<PAGE>
- --------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
AND
THE DFA INVESTMENT TRUST COMPANY
SEMI-ANNUAL
REPORT
SIX MONTHS ENDED MAY 31, 1998
(UNAUDITED)
---------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<S> <C>
Schedules of Investments
The U.S. Large Company Portfolio.................................. 1
The Enhanced U.S. Large Company Portfolio......................... 1
The U.S. Large Cap Value Portfolio................................ 1
The U.S. 6-10 Value Portfolio..................................... 2
The U.S. 6-10 Small Company Portfolio............................. 2
The U.S. 9-10 Small Company Portfolio............................. 2
The DFA Real Estate Securities Portfolio.......................... 3
The Large Cap International Portfolio............................. 5
The RWB/DFA International High Book to Market Portfolio........... 10
The International Small Company Portfolio......................... 10
The Japanese Small Company Portfolio.............................. 10
The Pacific Rim Small Company Portfolio........................... 11
The United Kingdom Small Company Portfolio........................ 11
The Continental Small Company Portfolio........................... 11
The DFA International Small Cap Value Portfolio................... 12
The Emerging Markets Portfolio.................................... 30
The Emerging Markets Small Cap Portfolio.......................... 30
The DFA One-Year Fixed Income Portfolio........................... 30
The DFA Two-Year Global Fixed Income Portfolio.................... 30
The DFA Five-Year Government Portfolio............................ 31
The DFA Global Fixed Income Portfolio............................. 32
The DFA Intermediate Government Fixed Income Portfolio............ 34
Statements of Assets and Liabilities.................................. 35
Statements of Operations.............................................. 38
Statements of Changes in Net Assets................................... 44
Financial Highlights.................................................. 50
Notes to Financial Statements......................................... 67
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
<TABLE>
<S> <C>
Schedules of Investments
The U.S. Large Company Series..................................... 75
The Enhanced U.S. Large Company Series............................ 80
The U.S. Large Cap Value Series................................... 82
The U.S. 4-10 Value Series........................................ 84
The U.S. 6-10 Value Series........................................ 87
The U.S. 6-10 Small Company Series................................ 104
The U.S. 9-10 Small Company Series................................ 136
The DFA International Value Series................................ 161
The Japanese Small Company Series................................. 169
The Pacific Rim Small Company Series.............................. 176
The United Kingdom Small Company Series........................... 187
The Continental Small Company Series.............................. 194
The Emerging Markets Series....................................... 204
The Emerging Markets Small Cap Series............................. 213
The DFA One-Year Fixed Income Series.............................. 220
The DFA Two-Year Global Fixed Income Series....................... 222
Statements of Assets and Liabilities.................................. 224
Statements of Operations.............................................. 226
Statements of Changes in Net Assets................................... 229
Financial Highlights.................................................. 233
Notes to Financial Statements......................................... 240
</TABLE>
ii
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
THE U.S. LARGE COMPANY PORTFOLIO
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C> <C>
Investment in The U.S. Large Company Series of The DFA Investment Trust Company............ $ 463,290,484
----------------
Total Investments (100%) (Cost $290,948,432)++......................................... $ 463,290,484
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $293,534,414.
THE ENHANCED U.S. LARGE COMPANY PORTFOLIO
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
-------------- --------------
<S> <C> <C>
Investment in The Enhanced U.S. Large Company Series of The DFA Investment Trust
Company................................................................................. 4,208,514 $ 51,806,805
--------------
Total Investments (100%) (Cost $44,963,527)++......................................... $ 51,806,805
--------------
--------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $45,732,624.
THE U.S. LARGE CAP VALUE PORTFOLIO
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
-------------- ------------------
<S> <C> <C>
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company........ 53,467,601 $ 1,068,817,335
------------------
Total Investments (100%) (Cost $733,058,847)++....................................... $ 1,068,817,335
------------------
------------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $735,382,776.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
1
<PAGE>
SCHEDULES OF INVESTMENTS
THE U.S. 6-10 VALUE PORTFOLIO
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
-------------- ------------------
<S> <C> <C>
Investment in The U.S. 6-10 Value Series of The DFA Investment Trust Company............. 120,038,866 $ 2,490,806,483
------------------
Total Investments (100%) (Cost $1,799,510,157)++..................................... $ 2,490,806,483
------------------
------------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $1,803,262,335.
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
-------------- ----------------
<S> <C> <C>
Investment in The U.S. 6-10 Small Company Series of The DFA Investment Trust Company...... 28,116,897 $ 379,015,772
----------------
Total Investments (100%) (Cost $278,596,763)++........................................ $ 379,015,772
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $281,418,876.
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
-------------- ------------------
<S> <C> <C>
Investment in The U.S. 9-10 Small Company Series of The DFA Investment Trust Company..... 150,545,050 $ 1,588,250,278
------------------
Total Investments (100%) (Cost $1,110,294,052)++..................................... $ 1,588,250,278
------------------
------------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $1,129,246,328.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
2
<PAGE>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (98.5%)
AMB Property Corp..................................... 109,200 $ 2,600,325
AMLI Residential Properties Trust..................... 15,900 356,756
Aegis Realty, Inc..................................... 3,800 43,700
Agree Realty Corp..................................... 4,300 86,269
Alexandria Real Estate Equities, Inc.................. 10,100 320,044
American General Hospitality Corp..................... 17,100 406,125
American Industrial Properties........................ 4,100 51,506
American Real Estate Investment Corp.................. 1,600 30,600
American Realty Trust, Inc............................ 15,300 222,806
Apartment Investment & Management Co. Class A......... 33,546 1,308,294
Arden Realty Group, Inc............................... 48,800 1,338,950
Associated Estates Realty Corp........................ 16,700 317,300
Avalon Properties, Inc................................ 37,500 1,054,687
BRE Properties, Inc. Class A.......................... 36,060 955,590
Bay Apartment Communities, Inc........................ 22,200 815,850
Bedford Property Investors, Inc....................... 19,150 368,637
Berkshire Realty Co................................... 32,200 388,412
Boddie-Noell Properties, Inc.......................... 4,900 69,519
Boston Properties, Inc................................ 49,300 1,676,200
Boykin Lodging Trust, Inc............................. 12,100 256,369
Bradley Real Estate, Inc.............................. 21,355 445,786
Brandywine Realty Trust............................... 25,100 582,006
Burnham Pacific Properties, Inc....................... 23,000 323,437
CBL & Associates Properties, Inc...................... 23,500 577,219
#CCA Prison Realty Trust.............................. 16,100 504,131
Camden Property Trust................................. 52,224 1,596,096
*Capital Trust Class A................................ 8,900 86,775
Captec Net Lease Realty, Inc.......................... 8,200 129,406
Carramerica Realty Corp............................... 56,100 1,570,800
Centerpoint Properties Corp........................... 18,500 626,687
Chateau Communities, Inc.............................. 24,776 733,989
Chelsea GCA Realty, Inc............................... 13,600 544,850
*Clevetrust Realty Investors.......................... 5,800 3,534
Colonial Properties Trust............................. 20,400 619,650
Commercial Net Lease Realty, Inc...................... 23,900 383,894
Cornerstone Properties, Inc........................... 83,300 1,457,750
Cousins Properties, Inc............................... 28,700 878,937
Crescent Real Estate Equities, Inc.................... 99,800 3,418,150
Crown American Realty Trust........................... 27,200 275,400
Developers Diversified Realty Corp.................... 25,700 1,007,119
Duke Realty Investments, Inc.......................... 76,700 1,735,337
*EQK Realty Investors................................. 8,200 8,712
Eastgroup Properties, Inc............................. 14,277 286,432
Entertainment Properties Trust........................ 12,000 231,000
Equity Inns, Inc...................................... 31,000 443,687
#Equity Office Properties Trust....................... 213,762 5,878,455
Equity Residential Properties Corp.................... 78,803 3,856,422
Essex Property Trust.................................. 13,600 442,000
*Excel Legacy Corp.................................... 18,500 95,969
Excel Realty Trust, Inc............................... 18,500 504,125
*FAC Realty, Inc...................................... 12,000 107,250
Federal Realty Investment Trust....................... 38,300 947,925
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Felcor Suite Hotels, Inc.............................. 32,400 $ 1,115,775
First Industrial Realty Trust, Inc.................... 32,300 1,001,300
First Union Real Estate Equity & Mortgage
Investments......................................... 27,400 299,687
First Washington Realty Trust, Inc.................... 6,400 161,200
Franklin Select Realty Trust Class A.................. 12,100 80,919
Gables Residential Trust.............................. 19,100 532,412
General Growth Properties............................. 34,300 1,269,100
Glenborough Realty Trust, Inc......................... 27,900 781,200
Glimcher Realty Trust................................. 21,500 447,469
Golf Trust America, Inc............................... 6,300 206,325
Great Lakes Reit, Inc................................. 13,600 248,200
Grove Property Trust.................................. 3,400 35,062
*HMG Courtland Properties, Inc........................ 1,100 5,741
Haagen (Alexander) Properties, Inc.................... 13,200 195,525
Highwood Properties, Inc.............................. 40,500 1,336,500
Home Properties of New York, Inc...................... 7,600 203,300
Horizon Group, Inc.................................... 23,400 260,325
Hospitality Properties Trust.......................... 33,700 1,053,125
Humphrey Hospitality Trust............................ 3,000 30,750
IRT Property Co....................................... 31,400 357,175
Innkeepers USA Trust.................................. 29,100 405,581
Irvine Apartment Communities, Inc..................... 24,500 731,937
JDN Realty Corp....................................... 16,300 529,750
JP Realty, Inc........................................ 17,300 395,737
Jameson Inns, Inc..................................... 9,600 106,200
Kilroy Realty Corp.................................... 21,200 555,175
#Kimco Realty Corp.................................... 35,800 1,393,962
Koger Equity, Inc..................................... 22,000 462,000
Kranzco Realty Trust, Inc............................. 10,200 182,962
Lexington Corporate Properties Trust.................. 14,200 200,575
Liberty Property Trust................................ 44,700 1,181,756
MGI Properties........................................ 21,900 532,444
Macerich Co........................................... 25,400 685,800
Mack-California Realty Corp........................... 44,000 1,584,000
Malan Realty Investors, Inc........................... 3,400 60,350
Manufactured Home Communities, Inc.................... 24,500 610,969
Mark Centers Trust.................................... 10,000 79,375
Meridian Industrial Trust, Inc........................ 14,800 344,100
Merry Land & Investment Co., Inc...................... 37,500 832,031
Mid-America Apartment Communities, Inc................ 14,900 401,369
Mid-America Realty Investments, Inc................... 8,200 86,613
Mid-Atlantic Realty Trust............................. 7,800 104,813
Mills Corp............................................ 21,900 540,656
Monmouth Real Estate Investment Corp. Class A......... 3,700 25,206
National Golf Properties, Inc......................... 11,000 330,688
New Plan Realty Trust................................. 57,700 1,352,344
PS Business Parks, Inc................................ 1,600 38,200
Pacific Gulf Properties, Inc.......................... 16,900 367,575
Pan Pacific Retail Properties, Inc.................... 14,600 309,338
Parkway Properties, Inc............................... 7,650 236,672
</TABLE>
3
<PAGE>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Patriot American Hospitality, Inc. (Paired Shares).... 42,300 $ 1,012,556
Pennsylvania Real Estate Investment Trust............. 7,800 183,788
Post Properties, Inc.................................. 29,670 1,220,179
Prentiss Properties Trust............................. 28,000 715,750
Price Real Estate Investment Trust, Inc. Class B...... 10,500 500,719
Prime Group Realty Trust.............................. 5,000 102,500
Prime Retail, Inc..................................... 28,800 379,800
#Property Capital Trust............................... 9,300 7,556
#Public Storage, Inc.................................. 93,596 2,807,880
RFS Hotel Investors, Inc.............................. 23,900 475,013
Realty Income Corp.................................... 22,700 602,969
#Reckson Associates Realty Corp....................... 33,700 838,288
Regency Realty Corp................................... 20,100 492,450
SL Green Realty Corp.................................. 7,800 176,963
Saul Centers, Inc..................................... 12,100 210,238
Security Capital Atlantic, Inc........................ 41,100 917,044
Security Capital Industrial Trust..................... 151,300 3,725,763
Security Capital Pacific Trust........................ 76,700 1,730,544
Shurgard Storage Centers, Inc. Class A................ 27,200 780,300
Simon Debartolo Group, Inc............................ 92,648 3,092,127
Sizeler Property Investors, Inc....................... 8,200 88,663
Smith (Charles E.) Residential Realty, Inc............ 11,800 382,025
Sovran Self Storage, Inc.............................. 10,900 297,706
#Spieker Properties, Inc.............................. 39,400 1,568,613
#Starwood Lodging Trust............................... 116,050 5,476,109
Storage Trust Realty.................................. 13,100 316,038
Storage USA, Inc...................................... 25,000 929,688
Summit Properties, Inc................................ 22,700 452,581
Sun Communities, Inc.................................. 14,400 488,700
Sunstone Hotel Investors, Inc......................... 18,100 260,188
Tanger Factory Outlet Centers, Inc.................... 6,800 211,225
Taubman Centers, Inc.................................. 45,300 620,044
Town & Country Trust.................................. 14,000 230,125
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Transcontinental Realty Investors, Inc................ 3,500 $ 53,375
Trinet Corporate Realty Trust, Inc.................... 18,100 631,238
United Dominion Realty Trust, Inc..................... 78,082 1,102,908
United Mobile Homes, Inc.............................. 5,800 65,250
Urban Shopping Centers, Inc........................... 15,200 501,600
Urstadt Biddle Properties, Inc........................ 5,000 90,000
Vornado Realty Trust.................................. 51,054 1,959,197
Walden Residential Properties, Inc.................... 15,600 378,300
Washington Real Estate Investment Trust............... 31,500 557,156
Weeks Corp............................................ 15,600 498,225
Weingarten Realty Investors........................... 23,800 1,017,450
*Wellsford Real Properties, Inc....................... 2,984 41,776
Western Investment Real Estate Trust.................. 15,300 210,375
Westfield America, Inc................................ 95,000 1,662,500
Winston Hotels, Inc................................... 14,100 169,200
------------
TOTAL COMMON STOCKS
(Cost $95,807,303)................................... 107,492,819
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH
INVESTMENTS -- (1.5%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes
5.875%, 08/31/99, valued at $1,678,875) to be
repurchased at $1,649,721. (Cost $1,649,000)........ $ 1,649 1,649,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $97,456,303)++................................. $109,141,819
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++The cost for federal income tax purposes is $95,536,673.
</TABLE>
See accompanying Notes to Financial Statements.
4
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
UNITED KINGDOM -- (21.7%)
COMMON STOCKS -- (21.7%)
Abbey National P.L.C................................. 27,800 $ 495,498
BAT Industries P.L.C................................. 62,999 566,573
BG P.L.C............................................. 81,353 418,884
BOC Group P.L.C...................................... 10,645 168,381
BTR P.L.C............................................ 66,768 219,120
Barclays P.L.C....................................... 31,438 837,691
Bass P.L.C........................................... 16,428 301,380
Boots Co., P.L.C..................................... 20,298 304,190
British Petroleum Co., P.L.C......................... 119,728 1,755,222
British Telecommunications P.L.C..................... 135,496 1,411,900
Cable and Wireless P.L.C............................. 45,778 517,329
Cadbury Schweppes P.L.C.............................. 21,986 335,761
Diageo P.L.C......................................... 82,864 935,756
EMI Group P.L.C...................................... 14,688 124,071
General Electric Co. P.L.C........................... 57,881 473,823
Glaxo Wellcome P.L.C................................. 72,176 1,939,665
Granada Group P.L.C.................................. 17,275 323,679
Great Universal Stores P.L.C......................... 21,200 300,941
HSBC Holdings P.L.C.................................. 17,000 443,553
Imperial Chemical Industries P.L.C................... 15,800 299,134
Lloyds TSB Group P.L.C............................... 127,310 1,846,653
Marks & Spencer P.L.C................................ 60,750 540,898
National Power P.L.C................................. 23,900 222,152
National Westminster Bank P.L.C...................... 39,980 729,541
Prudential Corp. P.L.C............................... 44,788 594,515
Reuters Holdings Group P.L.C......................... 29,640 339,548
Rio Tinto P.L.C...................................... 25,526 318,643
Royal & Sun Alliance Insurance Group, Inc. P.L.C..... 17,153 181,675
Safeway P.L.C........................................ 24,333 147,709
Sainsbury (J.) P.L.C................................. 38,828 306,772
Shell Transport & Trading Co., P.L.C................. 201,600 1,487,599
Smithkline Beecham P.L.C............................. 72,514 784,584
Standard Chartered P.L.C............................. 19,336 239,954
Tesco P.L.C.......................................... 48,167 422,580
Unilever P.L.C....................................... 68,800 754,497
Vodafone Group P.L.C................................. 62,438 685,237
Zeneca Group P.L.C................................... 15,200 616,943
------------
TOTAL COMMON STOCKS
(Cost $10,073,126)................................... 22,392,051
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $61,880)..................................... 61,922
------------
TOTAL -- UNITED KINGDOM
(Cost $10,135,006)................................... 22,453,973
------------
JAPAN -- (21.0%)
COMMON STOCKS -- (21.0%)
Acom Co., Ltd........................................ 1,000 44,311
Advantest Corp....................................... 770 47,568
Ajinomoto Co., Inc................................... 11,000 92,484
#All Nippon Airways Co., Ltd......................... 24,000 88,161
#Asahi Bank, Ltd..................................... 41,000 154,159
SHARES VALUE+
------------ ------------
Asahi Breweries, Ltd................................. 3,000 $ 37,672
Asahi Chemical Industry Co., Ltd..................... 27,000 93,335
Asahi Glass Co., Ltd................................. 21,000 113,362
#Bank of Tokyo-Mitsubishi, Ltd....................... 94,200 968,751
Bank of Yokohama, Ltd................................ 20,000 48,786
Bridgestone Corp..................................... 15,000 342,078
Canon, Inc........................................... 16,000 381,049
Chiba Bank, Ltd...................................... 11,000 39,137
Chubu Electric Power Co., Ltd........................ 14,100 208,602
Chugoku Electric Power Co., Ltd...................... 6,600 92,881
Dai Nippon Printing Co., Ltd......................... 13,000 213,907
#Dai-Ichi Kangyo Bank, Ltd........................... 56,000 350,796
#Daiwa Bank, Ltd..................................... 23,000 44,816
Daiwa House Industry Co., Ltd........................ 9,000 70,083
Daiwa Securities Co., Ltd............................ 22,000 83,672
Denso Corp........................................... 15,000 254,393
East Japan Railway Co................................ 75 356,150
Fanuc, Ltd........................................... 4,300 158,265
#Fuji Bank, Ltd...................................... 52,000 255,187
Fuji Photo Film Co., Ltd............................. 9,000 304,622
Fujitsu, Ltd......................................... 35,000 401,616
*Hanwa Co., Ltd...................................... 2,000 2,165
Hitachi, Ltd......................................... 63,000 415,105
Honda Motor Co., Ltd................................. 18,000 613,142
#Industrial Bank of Japan............................ 45,120 276,780
Ito-Yokado Co., Ltd.................................. 7,000 348,573
Itochu Corp.......................................... 21,000 47,285
*#Japan Air Lines Co., Ltd........................... 14,000 35,868
Jusco Co., Ltd....................................... 6,000 104,355
#Kajima Corp......................................... 17,000 45,639
Kansai Electric Power Co., Inc....................... 17,600 280,071
Kao Corp............................................. 6,000 89,633
Kawasaki Steel Corp.................................. 58,000 92,924
Kinki Nippon Railway Co., Ltd........................ 29,000 139,386
Kirin Brewery Co., Ltd............................... 18,000 167,445
Kobe Steel, Ltd...................................... 42,000 32,129
Komatsu, Ltd......................................... 15,000 62,786
Kubota Corp.......................................... 25,000 60,441
Kyocera Corp......................................... 2,000 97,572
Kyushu Electric Power Co., Inc....................... 8,500 125,753
#Long Term Credit Bank of Japan, Ltd................. 40,000 58,023
Marubeni Corp........................................ 22,000 44,456
Marui Co., Ltd....................................... 2,000 30,672
Matsushita Communication Industrial Co., Ltd......... 1,000 28,146
Matsushita Electric Industrial Co., Ltd.............. 40,000 626,421
#Matsushita Electric Works, Ltd...................... 14,000 117,100
#Mitsubishi Chemical Corp............................ 39,000 69,801
Mitsubishi Corp...................................... 29,000 174,965
Mitsubishi Electric Corp............................. 36,000 85,216
Mitsubishi Estate Co., Ltd........................... 17,000 149,309
Mitsubishi Heavy Industries, Ltd..................... 60,000 208,711
#Mitsubishi Trust & Banking Corp..................... 23,000 204,164
Mitsui & Co., Ltd.................................... 30,000 153,718
#Mitsui Trust & Banking Co., Ltd..................... 20,000 46,909
</TABLE>
5
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Murata Manufacturing Co., Ltd........................ 1,000 $ 29,156
NEC Corp............................................. 30,000 305,272
NKK Corp............................................. 63,000 53,650
Nikko Securities Co., Ltd............................ 24,000 75,517
Nintendo Co., Ltd., Kyoto............................ 1,000 93,241
*#Nippon Credit Bank, Ltd............................ 26,000 25,143
Nippon Express Co., Ltd.............................. 19,000 104,348
Nippon Oil Co., Ltd.................................. 22,000 68,271
Nippon Steel Corp.................................... 124,000 210,298
Nippon Telegraph & Telephone Corp.................... 130 1,069,534
Nissan Motor Co., Ltd................................ 47,000 142,460
Nomura Securities Co., Ltd........................... 35,000 381,409
Osaka Gas Co., Ltd................................... 48,000 103,576
Pioneer Electronic................................... 2,000 38,971
Ricoh Co., Ltd., Tokyo............................... 5,000 53,982
Rohm Co., Ltd........................................ 2,000 212,608
SMC Corp............................................. 500 40,414
#Sakura Bank, Ltd.................................... 61,000 180,933
Sankyo Co., Ltd...................................... 4,000 96,417
#Sanwa Bank, Ltd..................................... 52,000 455,584
Sanyo Electric....................................... 33,000 94,548
Secom Co., Ltd....................................... 2,000 113,593
Sega Enterprises, Ltd................................ 1,500 28,254
Seibu Railway Co., Ltd............................... 8,000 241,331
Seksui House......................................... 12,000 88,767
#Seven-Eleven Japan Co., Ltd......................... 7,000 448,598
Sharp Corp. Osaka.................................... 19,000 143,016
Shikoku Electric Power Co., Inc...................... 4,200 58,560
#Shimizu Corp........................................ 12,000 32,909
Shin-Etsu Chemical Co., Ltd.......................... 3,000 55,750
Shiseido Co., Ltd.................................... 3,000 34,857
Shizuoka Bank, Ltd................................... 14,000 151,351
Sony Corp............................................ 7,600 641,720
Sumitomo Bank, Ltd................................... 56,000 523,364
Sumitomo Chemical Co., Ltd........................... 29,000 78,064
Sumitomo Corp........................................ 19,000 100,509
Sumitomo Electric Industries, Ltd.................... 13,000 135,756
#Sumitomo Metal Industries, Ltd. Osaka............... 56,000 86,891
#Sumitomo Trust & Banking Co., Ltd................... 22,000 115,743
TDK Corp............................................. 1,000 78,519
#Taisei Corp......................................... 15,000 29,228
Taisho Pharmaceutical Co., Ltd....................... 6,000 115,397
Takeda Chemical Industries, Ltd...................... 16,000 413,380
Tohuku Electric Power Co., Inc....................... 9,000 121,784
#Tokai Bank, Ltd..................................... 34,000 188,200
Tokio Marine & Fire Insurance Co., Ltd............... 26,000 246,180
Tokyo Electric Power Co., Ltd........................ 25,700 491,502
Tokyo Electron, Ltd.................................. 1,000 31,754
Tokyo Gas Co., Ltd................................... 53,000 109,775
Tokyu Corp........................................... 17,000 55,822
Toppan Printing Co., Ltd............................. 12,000 130,942
Toray Industries, Inc................................ 25,000 124,490
Toshiba Corp......................................... 61,000 256,212
Toyo Seikan Kaisha, Ltd.............................. 3,300 39,081
#Toyo Trust & Banking Co., Ltd....................... 12,000 62,786
Toyota Motor Corp.................................... 72,000 1,782,268
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Yamanouchi Pharmaceutical Co., Ltd................... 6,000 $ 133,367
Yasuda Trust & Banking Co., Ltd...................... 16,000 20,092
------------
TOTAL COMMON STOCKS
(Cost $28,057,670)................................... 21,625,650
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Japanese Yen
(Cost $3,991)...................................... 3,828
------------
TOTAL -- JAPAN
(Cost $28,061,661)................................... 21,629,478
------------
GERMANY -- (11.4%)
COMMON STOCKS -- (11.4%)
BASF AG.............................................. 15,000 698,344
Bayer AG............................................. 14,000 668,278
#Bayerische Hypotheken und Wechselbank AG............ 4,800 302,357
Bayerische Motorenwerke AG BMW, Muenchen............. 481 509,386
*Bayerische Motorenwerke AG BMW, Muenchen Em 98...... 96 101,235
Bayerische Vereinsbank AG............................ 4,400 368,972
#Commerzbank AG...................................... 8,490 344,307
#Daimler-Benz AG..................................... 10,450 1,053,915
#Deutsche Bank AG.................................... 9,800 844,339
*Deutsche Telekom AG................................. 46,600 1,250,742
#Dresdner Bank AG, Frankfurt......................... 9,880 555,850
Hochtief AG.......................................... 1,510 69,453
Hoechst AG........................................... 12,000 584,253
Mannesmann AG........................................ 743 691,201
RWE AG............................................... 13,250 703,827
SAP AG (Systeme Anwendungen Produkte in der
Datenverarbeitung)................................. 1,100 568,884
Siemens AG........................................... 11,000 710,796
Thyssen AG........................................... 650 169,538
Veba AG.............................................. 12,000 788,876
Viag AG.............................................. 546 306,261
Volkswagen AG........................................ 592 480,496
------------
TOTAL COMMON STOCKS
(Cost $5,183,055).................................... 11,771,310
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*German Marks
(Cost $2,963)...................................... 2,963
------------
TOTAL -- GERMANY
(Cost $5,186,018).................................... 11,774,273
------------
FRANCE -- (10.0%)
COMMON STOCKS -- (10.0%)
AXA-UAP.............................................. 7,692 875,556
Accor SA............................................. 508 139,338
Air Liquide.......................................... 700 137,946
Air Liquide Prime Fidelite........................... 1,826 355,569
Alcatel Alsthom Cie Generale d'Electricite SA........ 5,100 1,091,133
Banque Nationale de Paris............................ 2,247 191,921
Canal Plus SA........................................ 483 87,675
Carrefour Supermarche SA............................. 900 549,979
</TABLE>
6
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Elf Aquitaine....................................... 5,127 $ 712,135
*Euro Disney SCA..................................... 15,150 26,589
#Generale des Eaux................................... 2,786 559,736
Generale des Establissements Michelin SA Series B.... 509 31,496
Groupe Danone........................................ 2,346 631,715
Havas SA............................................. 974 76,712
L'Oreal.............................................. 1,540 764,753
LVMH (Louis Vuitton Moet Hennessy)................... 2,016 422,894
LaFarge SA........................................... 1,887 191,451
*LaFarge SA Em 98.................................... 157 16,008
Lyonnais des Eaux SA................................. 2,754 469,989
Paribas.............................................. 2,350 238,819
Pechiney SA Series A................................. 800 40,717
Pernod-Ricard........................................ 1,260 93,382
Peugeot SA........................................... 950 185,625
Pinault Printemps Redoute SA......................... 200 164,639
Rhone-Poulenc SA Series A............................ 3,765 208,930
Saint-Gobain......................................... 1,984 391,310
Sanofi SA............................................ 2,414 282,848
Schneider SA......................................... 2,519 213,047
Societe Generale Paris............................... 1,782 352,959
Thomson-CSF.......................................... 2,324 94,005
Total SA............................................. 5,485 681,182
------------
TOTAL COMMON STOCKS
(Cost $4,953,404).................................... 10,280,058
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*French Francs
(Cost $22,604)..................................... 22,541
------------
TOTAL -- FRANCE
(Cost $4,976,008).................................... 10,302,599
------------
SWITZERLAND -- (7.9%)
COMMON STOCKS -- (7.9%)
#ABB AG, Baden....................................... 186 315,738
#Credit Suisse Holding, Zuerich (Namen).............. 3,575 788,196
*Financiere Richemont AG Units -A-................... 106 151,907
#Nestle SA, Cham et Vevey............................ 853 1,830,457
Novartis AG, Basel................................... 1,334 2,262,684
Roche Holding AG, Basel.............................. 79 1,308,982
SBG (Schweizerische Bankgesellschaft)................ 556 936,299
SBV (Schweizerischer Bankverein) (Namen)............. 1,546 559,376
------------
TOTAL COMMON STOCKS
(Cost $2,441,930).................................... 8,153,639
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Swiss Francs
(Cost $8,857)...................................... 8,798
------------
TOTAL -- SWITZERLAND
(Cost $2,450,787).................................... 8,162,437
------------
NETHERLANDS -- (6.3%)
COMMON STOCKS -- (6.3%)
ABN Amro Holding NV.................................. 5,959 144,446
Aegon NV............................................. 1,892 151,618
SHARES VALUE+
------------ ------------
Heineken NV.......................................... 1,250 $ 48,094
Ing Groep NV......................................... 20,727 1,424,731
Philips Electronics NV............................... 1,100 104,630
Polygram NV.......................................... 600 32,492
Royal Dutch Petroleum Co., Den Haag.................. 53,200 3,034,583
#Unilever NV......................................... 19,200 1,527,147
------------
TOTAL COMMON STOCKS
(Cost $2,301,212).................................... 6,467,741
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Netherlands Guilder
(Cost $13,099)..................................... 12,955
------------
TOTAL -- NETHERLANDS
(Cost $2,314,311).................................... 6,480,696
------------
ITALY -- (5.2%)
COMMON STOCKS -- (5.2%)
#Alleanza Assicurazioni SpA.......................... 12,375 171,523
Alleanza Assicurazioni SpA (Risp).................... 113 1,193
Assicurazioni Generali SpA, Trieste.................. 21,404 688,368
Banca Commerciale Italiana SpA....................... 34,000 200,888
*Banca di Roma....................................... 66,500 137,217
#Banco Ambrosiano Veneto SpA......................... 44,000 274,499
*Campart SpA......................................... 38,769 39,811
Credito Italiano..................................... 39,000 217,666
Edison SpA........................................... 10,000 95,515
Fiat SpA............................................. 75,900 340,012
*HPI SpA (Holding di Partecipazioni Industriale)..... 18,000 15,912
ITALGAS SpA, Torino.................................. 11,000 50,717
Ifil Finanziaria Partecipazioni SpA, Torino.......... 8,000 41,621
*Istituto Bancario San Paolo Torino SpA.............. 18,500 290,115
Istituto Mobiliare Italiano IMI SpA.................. 13,500 231,301
Italcementi Fabbriche Riunite Cemento SpA, Bergamo... 1,500 15,587
La Fondiara Assicurazioni SpA........................ 4,200 27,206
Montedison SpA....................................... 73,260 101,333
Pirelli SpA.......................................... 20,000 66,029
RAS SpA (Riunione Adriatica di Sicurta).............. 7,465 118,340
RAS SpA (Riunione Adriatica di Sicurta) (Risp)....... 371 3,856
SAI SpA (Sta Assicuratrice Industriale SpA).......... 2,000 25,956
*SEAT SpA............................................ 86,000 60,848
Sirti SpA............................................ 4,000 24,875
Telecom Italia Mobile SpA............................ 134,740 797,258
#Telecom Italia SpA, Torino.......................... 176,965 1,338,217
------------
TOTAL COMMON STOCKS
(Cost $2,071,892).................................... 5,375,863
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Italian Lira
(Cost $16,269)..................................... 16,351
------------
TOTAL -- ITALY
(Cost $2,088,161).................................... 5,392,214
------------
</TABLE>
7
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
SWEDEN -- (3.4%)
COMMON STOCKS -- (3.4%)
AGA AB Series A...................................... 2,900 $ 47,217
AGA AB Series B...................................... 2,500 40,065
Asea AB Series A..................................... 13,000 210,001
Asea AB Series B..................................... 5,000 80,131
Astra AB Series A.................................... 29,866 600,682
Astra AB Series B.................................... 6,133 119,434
Foreningssparbanken AB Series A...................... 4,500 135,329
Hennes & Mauritz AB Series B......................... 2,300 129,231
Sandvik AB Series A.................................. 3,200 97,051
Sandvik AB Series B.................................. 1,300 39,344
Skandinaviska Enskilda Banken Series A............... 10,300 171,646
Skanska AB........................................... 2,400 113,397
Svenska Handelsbanken Series A....................... 4,200 176,990
Swedish Match AB (Frueher Svenska Taendsticks AB).... 8,800 31,015
Sydkraft AB Series C................................. 2,400 64,360
Telefon AB L.M. Ericsson Series A.................... 3,000 90,411
Telefon AB L.M. Ericsson Series B.................... 36,600 1,044,589
Volvo AB Series A.................................... 2,200 69,532
Volvo AB Series B.................................... 6,600 211,124
------------
TOTAL COMMON STOCKS
(Cost $1,995,760).................................... 3,471,549
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Swedish Krona
(Cost $18,015)..................................... 17,830
------------
RIGHTS/WARRANTS -- (0.0%)
*Fastighets AB Balder Rights 06/17/98................ 4,200 4,049
*Swedish Match AB (Frueher Svenska Taendsticks AB)
Rights 06/12/98.................................... 8,800 584
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 4,633
------------
TOTAL -- SWEDEN
(Cost $2,013,775).................................... 3,494,012
------------
SPAIN -- (3.3%)
COMMON STOCKS -- (3.3%)
Banco Popular Espanol SA, Madrid..................... 2,000 158,874
Banco Santander SA, Santander........................ 9,300 468,949
Bilbao Vizcaya SA, Bilbao............................ 12,800 643,743
ENDESA SA, Madrid.................................... 19,700 472,597
Iberdrola SA......................................... 15,500 256,088
Repsol SA............................................ 5,600 311,615
SDG SA, Barcelona.................................... 2,800 191,706
Telefonica de Espana SA.............................. 19,418 868,782
------------
TOTAL COMMON STOCKS
(Cost $1,605,580).................................... 3,372,354
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Spanish Peseta
(Cost $10,483)..................................... 10,639
------------
TOTAL -- SPAIN
(Cost $1,616,063).................................... 3,382,993
------------
SHARES VALUE+
------------ ------------
AUSTRALIA -- (2.4%)
COMMON STOCKS -- (2.4%)
Amcor, Ltd........................................... 12,538 $ 58,114
Australia & New Zealand Banking Group, Ltd........... 30,984 220,074
Boral, Ltd........................................... 23,908 47,620
Brambles Industries, Ltd............................. 3,950 80,160
Broken Hill Proprietary Co., Ltd..................... 39,765 340,725
CSR, Ltd............................................. 16,243 47,715
Coca-Cola Amatil, Ltd................................ 5,108 37,593
Coles Myer, Ltd...................................... 21,764 98,150
Commonwealth Bank of Australia....................... 11,183 131,684
Fosters Brewing Group, Ltd........................... 34,148 74,219
MIM Holdings......................................... 49,683 25,829
National Australia Bank, Ltd......................... 37,104 514,629
News Corp., Ltd...................................... 19,588 120,849
Pacific Dunlop, Ltd.................................. 19,238 34,824
Rio Tinto, Ltd....................................... 12,510 150,789
WMC, Ltd............................................. 30,370 95,111
Westpac Banking Corp................................. 49,144 324,743
Woodside Petroleum, Ltd.............................. 6,666 38,329
------------
TOTAL COMMON STOCKS
(Cost $1,844,167).................................... 2,441,157
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Australian Dollar
(Cost $10,448)..................................... 10,141
------------
TOTAL -- AUSTRALIA
(Cost $1,854,615).................................... 2,451,298
------------
HONG KONG -- (1.9%)
COMMON STOCKS -- (1.9%)
CLP Holdings, Ltd.................................... 35,500 153,013
Cathay Pacific Airways, Ltd.......................... 61,000 41,722
Citic Pacific, Ltd................................... 24,000 58,382
Hang Seng Bank, Ltd.................................. 39,000 290,650
Henderson Land Development Co., Ltd.................. 18,000 63,647
Hong Kong Telecommunications, Ltd.................... 231,058 415,958
Hong Kong Electric Holdings, Ltd..................... 30,500 89,544
Hutchison Whampoa, Ltd............................... 73,000 381,533
*New World Development Co. Ltd....................... 31,000 73,210
Sung Hungkai Properties, Ltd......................... 47,000 226,842
Swire Pacific, Ltd. Series A......................... 27,000 99,826
Wharf Holdings, Ltd.................................. 41,000 52,381
------------
TOTAL COMMON STOCKS
(Cost $2,605,712).................................... 1,946,708
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $17,378)..................................... 17,375
------------
TOTAL -- HONG KONG
(Cost $2,623,090).................................... 1,964,083
------------
BELGIUM -- (1.6%)
COMMON STOCKS -- (1.6%)
Electrabel SA........................................ 1,300 325,491
*Etablissement Delhaize Freres & Cie le Lion SA
Molenbeek-Saint-Jean............................... 700 48,102
</TABLE>
8
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Fortis AG........................................... 1,000 $ 285,757
Generale de Banque SA................................ 400 293,105
*Ing Groep NV........................................ 1,200 84,747
#Petrofina SA, Bruxelles............................. 500 205,473
Solvay SA............................................ 2,000 146,688
Tractebel (Cie Reunies Electrobel et Tractionel
SA)................................................ 2,100 278,327
------------
TOTAL COMMON STOCKS
(Cost $1,307,585).................................... 1,667,690
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Belgian Francs
(Cost $17,712)..................................... 17,753
------------
RIGHTS/WARRANTS -- (0.0%)
*Ing Groep NV Warrants 01/05/08
(Cost $0).......................................... 200 6,379
------------
TOTAL -- BELGIUM
(Cost $1,325,297).................................... 1,691,822
------------
DENMARK -- (0.8%)
COMMON STOCKS -- (0.8%)
Bikuben Girobank A.S................................. 670 39,460
Carlsberg A.S. Series B.............................. 650 45,077
Dampskibsselskabet AF 1912 A.S....................... 10 94,968
Dampskibsselskabet Svendborg A.S..................... 5 65,521
Danisco A.S.......................................... 1,380 86,151
Fls Industries....................................... 890 24,636
Novo Nordisk A.S. Series B........................... 1,470 231,590
Tele Danmark A.S. Series B........................... 1,450 135,782
Unidanmark A.S. Series A............................. 1,070 86,492
------------
TOTAL COMMON STOCKS
(Cost $788,189)...................................... 809,677
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Danish Krone
(Cost $1,515)...................................... 1,517
------------
TOTAL -- DENMARK
(Cost $789,704)...................................... 811,194
------------
SINGAPORE -- (0.6%)
COMMON STOCKS -- (0.6%)
Cerebos Pacific, Ltd................................. 10,000 15,771
SHARES VALUE+
------------ ------------
City Developments, Ltd............................... 26,000 $ 93,966
*Creative Technology Co., Ltd........................ 3,000 54,659
Cycle & Carriage, Ltd................................ 7,000 21,744
Fraser & Neave, Ltd.................................. 10,000 34,050
Keppel Bank of Singapore, Ltd........................ 20,000 20,311
Keppel Corp., Ltd.................................... 25,000 49,880
Singapore Land, Ltd.................................. 11,000 22,999
#Singapore Telecommunications, Ltd................... 161,000 226,976
Straits Steamship Land, Ltd.......................... 22,000 21,159
Tat Lee Bank......................................... 18,000 15,376
Wing Tai Holdings, Ltd............................... 19,000 10,669
------------
TOTAL COMMON STOCKS
(Cost $908,313)...................................... 587,560
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $2,061)...................................... 1,974
------------
TOTAL -- SINGAPORE
(Cost $910,374)...................................... 589,534
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.5%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes
5.25%, 01/31/01, valued at $2,612,663) to be
repurchased at $2,570,124. (Cost $2,569,000)....... $ 2,569 2,569,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $68,913,870)++..... $103,149,606
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++The cost for federal income tax purposes is $69,430,079.
</TABLE>
See accompanying Notes to Financial Statements.
9
<PAGE>
SCHEDULES OF INVESTMENTS
THE RWB/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ----------------
<S> <C> <C>
Investment in The DFA International Value Series of The DFA Investment Trust Company......... 24,791,786 $ 318,822,363
----------------
Total Investments (100%) (Cost $251,144,547)++........................................... $ 318,822,363
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $253,765,746.
THE INTERNATIONAL SMALL COMPANY PORTFOLIO
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C> <C>
Investment in The Japanese Small Company Series of The DFA Investment Trust Company (23.5%)
(Cost $119,356,847)........................................................................ $ 68,316,166
Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company
(13.6%)
(Cost $67,105,358)......................................................................... 39,527,347
Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company
(20.0%)
(Cost $49,134,910)......................................................................... 57,940,424
Investment in The Continental Small Company Series of The DFA Investment Trust Company
(42.7%)
(Cost $90,784,825)......................................................................... 123,956,854
Temporary Cash Investments (0.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%, 06/01/98
(Collateralized by U.S. Treasury Note 6.50%, 08/31/01 valued at $697,638) to be
repurchased at $685,300
(Cost $685,000).......................................................................... 685,000
----------------
Total Investments (100%) (Cost $327,066,940)++........................................... $ 290,425,791
----------------
----------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE JAPANESE SMALL COMPANY PORTFOLIO
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C> <C>
Investment in The Japanese Small Company Series of The DFA Investment Trust Company.......... $ 111,314,037
----------------
Total Investments (100%) (Cost $282,164,654)++........................................... $ 111,314,037
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $288,373,856.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
10
<PAGE>
SCHEDULES OF INVESTMENTS
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
--------------
<S> <C> <C>
Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company....... $ 89,114,698
--------------
Total Investments (100%) (Cost $165,941,565)++........................................... $ 89,114,698
--------------
--------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C> <C>
Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company.... $ 116,372,223
----------------
Total Investments (100%) (Cost $78,603,223)++............................................ $ 116,372,223
----------------
----------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE CONTINENTAL SMALL COMPANY PORTFOLIO
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C> <C>
Investment in The Continental Small Company Series of The DFA Investment Trust Company....... $ 253,292,048
----------------
Total Investments (100%) (Cost $153,161,175)++........................................... $ 253,292,048
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $153,424,932.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
11
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (22.1%)
COMMON STOCKS -- (22.1%)
ASK Corp., Yokohama.................................. 13,000 $ 16,981
Achilles Corp........................................ 37,000 50,734
Aica Kogyo Co., Ltd.................................. 75,000 222,459
Aichi Corp........................................... 126,500 566,016
Aichi Machine Industry Co., Ltd...................... 86,000 211,020
Aichi Steel Works, Ltd............................... 261,000 470,898
Aida Engineering, Ltd................................ 84,000 319,475
Akai Electric Co., Ltd............................... 95,000 112,438
Amada Metrecs Co., Ltd............................... 71,000 425,288
Amada Sonoike Co., Ltd............................... 133,000 329,224
*Amada Wasino Co., Ltd............................... 300,000 389,709
Ando Corp............................................ 306,000 501,295
*#Aoki Corp.......................................... 361,000 200,606
Aoki International Co., Ltd.......................... 63,000 377,823
#Arai-Gumi, Ltd...................................... 19,600 42,435
Araya Industrial Co., Ltd............................ 194,000 236,611
Asahi Kogyosha Co., Ltd.............................. 114,000 304,406
*Asahi Tec Corp...................................... 45,000 69,823
Asanuma Corp......................................... 325,000 462,057
Ashimori Industry Co., Ltd........................... 44,000 90,499
*Asics Corp.......................................... 384,000 324,238
#Atsugi Nylon Industrial Co., Ltd.................... 352,000 515,686
Azel Corp., Tokyo.................................... 152,000 329,087
Bank of Okinawa, Ltd................................. 36,700 688,630
*#Bank of Osaka, Ltd................................. 223,000 346,011
#Bank of the Ryukyus, Ltd............................ 48,490 626,400
Brother Industries, Ltd.............................. 349,000 1,309,710
Bunka Shutter Co., Ltd............................... 258,000 709,400
*Cabin Co., Ltd...................................... 164,000 210,674
Calpis Co., Ltd...................................... 71,000 309,999
Central Finance Co., Ltd............................. 387,000 586,512
Cesar Co............................................. 41,000 78,707
#Chiba Kogyo Bank, Ltd............................... 48,500 871,540
*Chisan Tokan Co., Ltd............................... 165,000 147,656
*Chiyoda Corp........................................ 191,000 226,060
Chuetsu Pulp and Paper Co., Ltd...................... 215,000 364,630
Chugoku Marine Paints, Ltd........................... 60,000 118,645
Chuo Spring Co., Ltd., Nagoya........................ 222,000 530,307
#Chuo Trust and Banking Co., Ltd..................... 299,000 932,183
Cleanup Corp......................................... 68,000 258,622
D'urban, Inc......................................... 39,000 63,046
Dai-Dan Co., Ltd..................................... 42,000 233,392
Dai-Ichi Hotel, Ltd., Tokyo.......................... 121,000 209,577
*#Dai-Ichi Katei Denki Co., Ltd...................... 225,000 115,289
Dai-Ichi Kogyo Seiyaku Co., Ltd...................... 19,000 35,925
*Dai-Ichi Securities Co., Ltd........................ 200,000 145,780
Daido Hoxan, Inc..................................... 124,000 263,992
Daido Steel Co., Ltd................................. 562,000 928,791
Daido Steel Sheet Corp............................... 45,000 133,475
Daidoh, Ltd.......................................... 135,000 399,451
*#Daiei OMC, Inc..................................... 264,000 310,555
Daiho Corp........................................... 83,000 141,363
Daiichi Cement Co., Ltd.............................. 77,000 86,133
Daiken Corp.......................................... 65,000 152,455
*#Daikyo, Inc........................................ 176,000 200,686
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Daisue Construction Co., Ltd........................ 25,000 $ 17,681
*#Daiwa Danchi Co., Ltd.............................. 170,000 299,354
Daiwabo Co., Ltd..................................... 215,000 256,017
Deodeo Corp.......................................... 57,600 347,932
Descente, Ltd........................................ 202,000 451,918
Dijet Industrial Co., Ltd............................ 10,000 17,104
Eagle Industry Co., Ltd.............................. 35,000 96,742
*First Baking Co., Ltd............................... 70,000 132,862
Fuji Denki Reiki Co., Ltd............................ 67,000 261,105
*Fuji Kiko Co., Ltd.................................. 45,000 95,803
*Fujii & Co., Ltd.................................... 9,000 9,548
Fujirebio, Inc....................................... 144,000 430,238
*#Fujita Corp........................................ 491,000 294,107
Fukuda Corp.......................................... 160,000 409,916
Fukushima Bank, Ltd.................................. 32,000 70,436
*Gakken Co., Ltd..................................... 127,000 234,633
Gastec Service, Inc.................................. 98,000 353,625
*#Godo Steel, Ltd.................................... 206,000 205,160
*Goldwin, Inc........................................ 54,000 52,611
*Graphtec Corp....................................... 99,000 199,336
Gun-Ei Chemical Industry Co., Ltd.................... 306,000 538,837
*Gunze Sangyo, Inc., Tokyo........................... 222,000 291,589
*Gunze, Ltd.......................................... 315,000 713,816
*#Hanshin Sogo Bank, Ltd............................. 198,000 287,215
Harima Chemicals, Inc................................ 83,000 299,498
*Haseko Corp......................................... 390,000 233,609
*#Hazama Corp........................................ 305,000 178,292
Heiwado Co., Ltd..................................... 73,000 421,463
Hibiya Engineering, Ltd.............................. 53,000 236,380
#Hisaka Works, Ltd................................... 106,000 498,769
Hisamitsu Pharmaceutical Co., Inc.................... 58,000 523,220
Hitachi Koki Co., Ltd................................ 153,000 606,192
Hitachi Medical Corp................................. 39,000 422,184
Hitachi Plant Engineering & Construction Co., Ltd.... 48,000 128,171
Hochiki Corp......................................... 17,000 48,461
*Hodogaya Chemical Co., Ltd.......................... 32,000 45,264
Hokkai Can Co., Ltd., Tokyo.......................... 250,000 631,472
*Hokkaido Bank, Ltd.................................. 477,000 543,903
Hokkaido Gas Co., Ltd................................ 8,000 14,318
Hokko Chemical Industry Co., Ltd..................... 12,000 25,548
Hokuriku Electrical Construction Co., Ltd............ 81,000 202,259
Hokushin Co., Ltd.................................... 32,600 100,224
Honen Corp........................................... 67,000 89,453
Ichikawa Co., Ltd.................................... 117,000 198,427
Ichiken Co., Ltd..................................... 45,000 58,456
Idec Izumi Corp...................................... 130,000 692,382
#Ikegami Tsushinki Co., Ltd.......................... 129,000 304,427
Inabata and Co., Ltd., Osaka......................... 178,000 545,953
#Intec, Inc.......................................... 51,000 404,864
*Inui Steamship Co., Ltd............................. 32,000 25,634
Ishizuka Glass Co., Ltd.............................. 119,000 221,571
Itochu Fuel Corp..................................... 140,000 415,256
Itoki Crebio Corp.................................... 127,000 346,451
Iwasaki Electric Co., Ltd............................ 60,000 116,913
*Iwatsu Electric Co., Ltd............................ 76,000 90,499
</TABLE>
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<TABLE>
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<S> <C> <C>
#Izumi Co., Ltd...................................... 82,000 $ 418,388
#JDC Corp............................................ 128,000 84,985
JGC Corp............................................. 226,000 458,312
JMS Co., Ltd......................................... 135,000 394,580
Japan Aircraft Manufacturing Co., Ltd................ 24,000 51,095
Japan Oil Transportation Co., Ltd.................... 41,000 89,951
Japan Paperboard Industries Co., Ltd., Tokyo......... 35,000 57,338
*Japan Steel Works, Ltd.............................. 237,000 227,482
Japan Transcity Corp................................. 79,000 162,487
Japan Vilene Co., Ltd................................ 202,000 466,496
Joban Kosan Co., Ltd................................. 87,000 144,409
Joshin Denki Co., Ltd................................ 71,000 156,280
*#Jujiya Co., Ltd.................................... 265,000 277,307
Juken Sangyo Co., Ltd................................ 38,000 97,903
Kahma Co., Ltd....................................... 41,000 233,457
*#Kamagai Gumi Co., Ltd.............................. 878,000 570,274
Kamei Corp........................................... 131,000 748,760
Kanaden Corp......................................... 11,000 45,646
#Kanematsu Electronics, Ltd.......................... 87,000 381,741
*#Kankaku Securities Co., Ltd........................ 645,000 479,450
Kansei Corp.......................................... 179,000 859,055
Kanto Auto Works, Ltd., Yokosuka..................... 220,000 627,142
Kanto Bank, Ltd...................................... 30,700 354,491
#Kanto Natural Gas Development Co., Ltd.............. 198,000 828,780
#Kasumi Co., Ltd..................................... 43,000 155,472
Kato Works Co., Ltd.................................. 201,000 369,898
Katsumura Construction Co., Ltd...................... 24,000 32,043
Kawada Industries, Inc............................... 181,000 274,312
Kawai Musical Instruments Manufacturing Co., Ltd..... 35,000 37,383
Kawashima Textile Manufacturers, Ltd................. 306,000 450,503
#Kawasho Corp........................................ 473,000 546,170
Kawasho Gecoss Corp.................................. 45,300 136,327
Keihin Co., Ltd...................................... 34,000 44,903
Keiyo Bank, Ltd...................................... 391,000 945,296
Kinki Sharyo Co., Ltd., Nagaokakyo................... 52,000 68,675
Kinseki, Ltd......................................... 135,000 719,987
*Kinsho-Mataichi Corp................................ 51,000 57,049
Kioritz Corp......................................... 237,000 323,263
Kitagawa Iron Works Co., Ltd......................... 41,000 68,646
Kitano Construction Corp............................. 98,000 185,299
Kitz Corp............................................ 197,000 342,633
#Kiyo Bank, Ltd...................................... 375,000 879,551
Kokune Corp.......................................... 99,000 85,736
Kokusai Kogyo Co., Ltd............................... 127,000 515,094
Komai Tekko, Inc..................................... 126,000 223,693
Komatsu Construction Co., Ltd........................ 16,000 21,939
Komatsu Forklift Co., Ltd............................ 111,000 232,310
Komatsu Zenoah Co.................................... 26,000 75,055
Kosei Securities Co., Ltd............................ 118,000 225,670
*Krosaki Corp........................................ 32,000 49,883
Kumiai Chemical Industry Co., Ltd., Tokyo............ 66,000 106,694
Kurabo Industries, Ltd............................... 337,000 430,477
Kurimoto, Ltd........................................ 171,000 617,039
Kyokuto Kaihatsu Kogyo Co., Ltd...................... 39,000 140,728
Kyowa Leather Cloth Co., Ltd......................... 75,000 300,400
Kyudenko Corp........................................ 107,000 702,703
<CAPTION>
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------------ ------------
<S> <C> <C>
#Kyushu Bank, Ltd.................................... 314,000 $ 890,571
Life Corp............................................ 14,000 60,520
#MR Max Corp......................................... 39,000 115,397
#Maeda Corp.......................................... 244,000 695,558
#Maeda Road Construction Co., Ltd.................... 103,000 512,900
Magara Construction Co., Ltd......................... 57,000 77,335
Marudai Food Co., Ltd................................ 170,000 393,822
Maruetsu, Inc........................................ 192,000 547,324
Marusan Securities Co., Ltd.......................... 115,000 345,253
Maruzen Showa Unyu Co., Ltd.......................... 143,000 263,162
Matsui Construction Co., Ltd......................... 90,000 187,060
Matsuo Bridge Co., Ltd............................... 90,000 148,089
Meito Sangyo Co., Ltd................................ 90,000 740,447
#Mitsuba Corp........................................ 97,000 490,023
Mitsubishi Paper Mills, Ltd.......................... 419,000 689,438
*Mitsubishi Steel Manufacturing Co., Ltd............. 185,000 166,889
#Mitsui Construction Co., Ltd........................ 199,000 211,114
Mitsui Matsushima Co., Ltd........................... 55,000 64,302
*Mitsui Mining Co., Ltd.............................. 129,000 107,993
Mitsui Wood Systems, Inc............................. 37,000 90,788
Mitsuuroko Co., Ltd.................................. 174,000 640,421
Miyaji Iron Works Co. Ltd............................ 57,000 90,499
Miyazaki Bank, Ltd................................... 127,260 482,167
Miyuki Keori Co., Ltd................................ 124,000 469,815
Mizuno Corp.......................................... 176,000 599,516
Morita Corp.......................................... 168,000 315,231
*Morozoff, Ltd., Osaka............................... 119,000 193,231
Mory Industries, Inc................................. 56,000 94,165
*Mutoh Industries, Ltd............................... 147,000 159,131
Mutow Co., Ltd....................................... 89,000 328,214
Nabco, Ltd........................................... 107,000 189,189
Nagase & Co., Ltd.................................... 196,000 671,887
Naigai Co., Ltd...................................... 281,000 407,614
Nakamuraya Co., Ltd.................................. 8,000 20,958
#Nakano Corp......................................... 157,000 232,274
Nakayama Steel Works, Ltd............................ 151,000 294,230
*National Securities Co., Ltd........................ 124,000 90,384
Neturen Co., Ltd., Tokyo............................. 146,000 391,960
*#New Japan Securities Co., Ltd...................... 558,000 595,995
Nichia Steel Works, Ltd.............................. 156,200 497,125
Nichimo Co., Ltd..................................... 127,000 132,898
Nichimo Corp......................................... 209,000 279,039
Nichireki Co., Ltd................................... 32,000 108,772
Nihon Cement Co., Ltd................................ 424,000 734,384
Nihon Kohden Corp.................................... 164,000 485,259
Nihon Matai Co., Ltd................................. 119,000 406,214
Nihon Nohyaku Co., Ltd............................... 90,000 168,224
Nihon Parkerizing Co., Ltd........................... 228,000 518,313
Nihon Tokushu Toryo Co., Ltd......................... 79,000 129,989
Niigata Chuo Bank, Ltd............................... 321,000 562,934
Nikko Co., Ltd., Akashi.............................. 123,000 266,301
Nippon Beet Sugar Manufacturing Co., Ltd............. 217,000 283,455
Nippon Chemi-Con Corp................................ 119,000 408,790
Nippon Chemical Industrial Co., Ltd.................. 47,000 122,787
Nippon Chemiphar Co., Ltd............................ 115,000 216,613
Nippon Columbia Co., Ltd............................. 35,000 65,168
Nippon Concrete Industries Co., Ltd.................. 23,000 40,003
Nippon Conlux Co., Ltd............................... 78,000 306,787
*Nippon Conveyor Co., Ltd............................ 52,000 48,786
Nippon Denko Co., Ltd................................ 137,000 145,340
</TABLE>
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Nippon Densetsu Kogyo Co., Ltd....................... 86,000 $ 266,878
Nippon Formula Feed Manufacturing Co., Ltd........... 35,000 38,646
Nippon Hodo Co., Ltd................................. 151,000 577,563
Nippon Hume Pipe Co., Ltd............................ 95,000 174,828
Nippon Koei Co., Ltd., Tokyo......................... 121,000 235,774
Nippon Koshuha Steel Co., Ltd........................ 133,000 111,341
*Nippon Metal Industry Co., Ltd...................... 238,000 221,571
Nippon Paint Co., Ltd................................ 315,000 493,306
Nippon Piston Ring Co., Ltd.......................... 8,000 10,508
Nippon Road Co., Ltd................................. 125,000 211,092
Nippon Seisen Co., Ltd............................... 35,000 68,199
Nippon Shinpan Co., Ltd.............................. 399,000 538,469
Nippon Synthetic Chemical Industry Co., Ltd.......... 133,000 196,767
Nippon Valqua Industries, Ltd........................ 294,000 492,245
*Nippon Yakin Kogyo Co., Ltd......................... 237,000 145,383
#Nissan Construction Co., Ltd........................ 106,000 137,697
#Nissan Diesel Motor Co., Ltd........................ 179,000 379,793
Nisshin Oil Mills, Ltd............................... 189,000 425,562
Nissin Electric Co., Ltd............................. 152,000 307,148
Nittetsu Mining Co., Ltd............................. 77,000 278,959
Nitto Construction Co., Ltd.......................... 10,000 17,681
#Nittoc Construction Co., Ltd........................ 147,000 392,523
Noritz Corp.......................................... 70,000 495,074
Obayashi Road Corp................................... 152,000 281,918
Ohki Corp............................................ 168,000 283,708
*Ohkura Electric Co., Ltd............................ 12,000 23,989
Okabe Co., Ltd....................................... 98,000 384,036
*Okasan Securities Co., Ltd.......................... 284,000 405,817
Oki Electric Cable Co., Ltd.......................... 10,000 18,908
Okura Industrial Co., Ltd............................ 240,000 620,070
Ono Sokki Co., Ltd................................... 9,000 37,022
Optec Dai-Ichi Denko Co., Ltd........................ 157,000 87,244
Osaki Electric Co., Ltd.............................. 29,000 75,344
P.S.C. Corp.......................................... 21,000 82,597
Pacific Industrial Co., Ltd.......................... 187,000 608,646
Parco Co., Ltd....................................... 77,000 302,854
#Pokka Corp.......................................... 110,000 595,388
*Prima Meat Packers, Ltd............................. 93,000 83,224
#Rengo Co., Ltd...................................... 252,000 643,799
Renown Look, Inc..................................... 114,000 114,358
*Renown, Inc......................................... 357,000 244,759
Rheon Automatic Machinery Co., Ltd................... 93,000 394,645
Rhythm Watch Co., Ltd................................ 120,000 219,103
Ryoden Trading Co., Ltd.............................. 170,000 601,162
S.T. Chemical Co., Ltd............................... 115,000 388,410
SXL Corp............................................. 108,000 233,825
Sagami Co., Ltd...................................... 141,000 303,237
Sakai Chemical Industry Co., Ltd..................... 202,000 597,698
Sakai Heavy Industries, Ltd.......................... 43,000 105,510
Sakurada Co., Ltd.................................... 36,000 45,466
San-Ai Oil Co., Ltd.................................. 100,000 219,392
Sankei Building Co., Ltd............................. 36,000 85,736
Sanko Metal Industrial Co., Ltd., Tokyo.............. 49,000 51,983
*Sankyo Aluminum Industry Co., Ltd................... 328,000 302,991
Sankyo Seiko Co., Ltd................................ 75,000 168,874
Sanyo Industries, Ltd., Tokyo........................ 121,000 248,872
Sanyo Special Steel Co., Ltd......................... 248,000 304,261
Sata Construction Co., Ltd., Gumma................... 134,000 194,378
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sato Shoji Corp...................................... 49,000 $ 157,717
*Seikitokyu Kogyo Co., Ltd........................... 211,000 204,049
Seiren Co., Ltd...................................... 204,000 485,837
Seiyo Food Systems, Inc.............................. 74,000 280,374
#Sekisui Jushi Co., Ltd.............................. 35,000 135,135
Sekisui Plastics Co., Ltd............................ 296,000 446,462
Senko Co., Ltd....................................... 150,000 232,743
Senshukai Co., Ltd................................... 88,000 406,452
*#Settsu Corp........................................ 308,000 186,714
Shibaura Engineering Works Co., Ltd.................. 16,000 46,072
Shibuya Kogyo Co., Ltd............................... 61,000 374,633
Shin Nippon Air Technologies Co., Ltd................ 89,320 429,953
Shinagawa Fuel Co., Ltd.............................. 86,000 319,633
Shinko Shoji Co., Ltd................................ 80,000 467,650
#Shinmaywa Industries, Ltd........................... 154,000 402,324
*#Shokusan Jutaku Sogo Co., Ltd...................... 116,000 66,972
Showa Highpolymer Co., Ltd........................... 26,000 77,307
Showa Sangyo Co., Ltd................................ 146,000 292,917
#Sintokogio, Ltd., Nagoya............................ 215,000 809,945
Soda Nikka Co., Ltd.................................. 82,000 150,904
Sokkisha Co., Ltd.................................... 35,000 71,483
Sotetsu Rosen Co., Ltd............................... 5,000 20,929
Star Micronics Co., Ltd.............................. 74,000 358,344
*Suminoe Textile Co., Ltd............................ 46,000 63,739
*Sumitomo Corporation's Leasing, Ltd................. 85,000 165,626
Sumitomo Precision Products Co., Ltd., Amagasaki
City............................................... 40,000 129,903
Sumitomo Seika Chemicals Co., Ltd.................... 10,000 20,929
Sun Wave Corp........................................ 70,000 176,812
SunTelephone Co., Ltd................................ 157,000 359,174
*#Suzutan Co., Ltd................................... 156,000 180,132
TYK Corp............................................. 36,000 100,025
Taihei Dengyo Kaisha, Ltd............................ 58,000 209,288
Taihei Kogyo Co., Ltd................................ 101,000 151,611
*#Taiheiyo Securities Co., Ltd....................... 392,000 243,294
*Taisei Prefab Construction Co., Ltd................. 265,000 273,482
Taisei Rotec Corp.................................... 220,000 317,540
Taiyo Toyo Sanso Co., Ltd............................ 102,000 162,682
*Taka-Q Co., Ltd..................................... 196,000 144,279
#Takada Kiko Co., Ltd................................ 73,000 260,780
Takara Co., Ltd...................................... 97,000 352,116
Takiron Co., Ltd..................................... 314,000 747,808
Tamura Corp.......................................... 73,000 303,453
#Tasaki Shinju Co., Ltd.............................. 130,000 394,039
Tatsuta Electric Wire & Cable Co., Ltd............... 55,000 103,598
*Tayca Corp.......................................... 169,000 298,813
Teikoku Hormone Manufacturing Co., Ltd............... 76,000 438,783
Teikoku Tsushin Kogyo Co., Ltd....................... 63,000 140,945
Tekken Corp.......................................... 204,000 298,863
Tenma Corp........................................... 32,000 392,595
Tetra Co., Ltd., Tokyo............................... 31,000 57,720
Titan Kogyo KK....................................... 86,000 187,435
Toa Corp............................................. 112,000 168,931
Toa Doro Kogyo Co., Ltd.............................. 76,000 128,893
*#Toa Steel Co., Ltd................................. 261,000 205,312
*Toa Wool Spinning & Weaving Co., Ltd................ 185,000 226,969
</TABLE>
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<TABLE>
<CAPTION>
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------------ ------------
<S> <C> <C>
*Tobu Store Co., Ltd................................. 168,000 $ 290,982
#Tochigi Bank, Ltd................................... 86,000 359,975
Tochigi Fuji Industrial Co., Ltd..................... 125,000 315,736
#Toda Kogyo Corp..................................... 156,000 650,727
Toenec Corp.......................................... 124,000 373,168
Tohto Suisan Co., Ltd................................ 135,000 176,343
Tokai Maruman Securities Co., Ltd.................... 100,000 171,039
Tokai Rika Co., Ltd.................................. 68,000 196,788
*Tokai Senko KK, Nagoya.............................. 118,000 111,558
#Tokico, Ltd......................................... 160,000 282,900
Tokimec, Inc......................................... 107,000 196,139
#Tokushu Paper Manufacturing Co., Ltd................ 42,000 273,402
Tokyo Denki Komusho Co., Ltd......................... 128,000 434,164
*Tokyo Nissan Auto Sales Co., Ltd.................... 34,000 76,065
*Tokyo Securities Co., Ltd........................... 271,000 242,514
*Tokyo Tatemono Co., Ltd............................. 294,000 553,776
*Tokyo Tekko Co., Ltd................................ 170,000 143,543
*Tokyu Car Corp...................................... 175,000 217,226
#Tokyu Construction Co., Ltd......................... 223,000 196,341
Tokyu Hotel Chain Co., Ltd........................... 81,000 140,295
*Tokyu Tourist Corp.................................. 54,000 69,368
Toli Corp............................................ 49,000 106,441
Tomoe Corp........................................... 50,000 86,602
Tomoku Co., Ltd...................................... 99,000 174,330
Tonami Transportation Co., Ltd....................... 126,000 256,428
Topcon Corp.......................................... 129,000 539,963
Topre Corp........................................... 184,000 597,553
Torishima Pump Manufacturing Co., Ltd., Osaka........ 93,000 556,396
Toshiba Engineering & Construction Co., Ltd.......... 94,000 278,137
Toshiba Tungaloy Co.,Ltd............................. 38,000 109,696
Tosho Printing Co., Ltd.............................. 24,000 58,023
*Tostem Viva Corp.................................... 87,000 145,037
Totenko Co., Ltd..................................... 83,000 368,383
Totetsu Kogyo Co., Ltd............................... 117,000 211,937
Totoku Electric Co., Ltd., Tokyo..................... 57,000 109,422
Toyo Communication Equipment Co., Ltd................ 42,000 173,074
Toyo Construction Co., Ltd........................... 266,000 295,630
*Toyo Electric Co., Ltd.............................. 14,000 13,741
#Toyo Engineering Corp............................... 226,000 257,698
Toyo Exterior Co., Ltd............................... 3,000 29,012
Toyo Ink Manufacturing Co., Ltd...................... 378,000 823,844
*Toyo Kanetsu KK..................................... 182,000 148,421
Toyo Radiator Co., Ltd............................... 93,000 147,656
*#Toyo Securities Co., Ltd........................... 267,000 310,230
Toyo Shutter Co., Ltd................................ 66,000 204,814
Toyo Wharf & Warehouse Co., Ltd...................... 41,000 61,249
#Toyoda Boshoku Corp................................. 71,000 158,842
*Tsubaki Nakashima Co., Ltd.......................... 28,000 163,678
Tsudakoma Corp....................................... 237,000 478,909
*#Tsugami Corp....................................... 282,000 299,166
*Tsumura & Co., Inc.................................. 44,000 209,577
Tsurumi Manufacturing Co., Ltd....................... 7,000 34,554
Tsutsumi Jewelry Co., Ltd............................ 25,000 303,107
Tsutsunaka Plastic Industry Co., Ltd................. 61,000 177,851
Uchida Yoko Co., Ltd................................. 202,000 505,856
Ueki Corp............................................ 113,000 160,654
Utoc Corp............................................ 22,000 29,372
Wakachiku Construction Co., Ltd...................... 167,000 361,563
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Xebio Co., Ltd....................................... 23,900 $ 331,166
#Yahagi Construction Co., Ltd........................ 130,000 469,094
Yamamura Glass Co., Ltd.............................. 227,000 391,535
Yamatane Corp........................................ 105,000 183,380
*#Yamatane Securities Co., Ltd....................... 83,000 61,098
Yamato International, Inc............................ 72,000 109,638
Yokogawa Bridge Corp................................. 66,000 183,380
Yokohama Reito Co., Ltd.............................. 8,000 57,735
Yomeishu Seizo Co., Ltd.............................. 9,000 57,157
Yondenko Corp........................................ 139,650 474,688
*Yuasa Corp.......................................... 86,000 130,336
Yuasa Trading Co., Ltd............................... 57,000 85,563
Yurtec Corp.......................................... 80,000 444,557
#Zenchiku Co., Ltd................................... 66,000 142,417
------------
TOTAL COMMON STOCKS
(Cost $228,666,823).................................. 116,561,177
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Japanese Yen
(Cost $76,451)..................................... 73,615
------------
TOTAL -- JAPAN
(Cost $228,743,274).................................. 116,634,792
------------
UNITED KINGDOM -- (19.6%)
COMMON STOCKS -- (19.4%)
600 Group P.L.C...................................... 155,890 376,233
*AAF Industries P.L.C................................ 20,000 16,633
ABI Leisure Group P.L.C.............................. 65,000 14,309
AG Holdings P.L.C.................................... 100,000 136,980
AIM Group P.L.C...................................... 32,556 149,447
ASDA Property Holdings P.L.C......................... 116,000 357,517
*ASW Holdings P.L.C.................................. 434,000 230,012
Abbeycrest P.L.C..................................... 70,000 185,493
Acatos & Hutcheson P.L.C............................. 100,404 388,040
Adam & Harvey Group P.L.C............................ 8,000 41,420
Adscene Group P.L.C.................................. 103,067 296,648
Adwest Group P.L.C................................... 150,000 380,363
Airflow Streamlines P.L.C............................ 19,305 67,999
Airsprung Furniture Group P.L.C...................... 80,900 211,739
*Alexanders Holdings P.L.C........................... 71,000 28,366
Alexandra Workwear P.L.C............................. 46,000 122,646
Allders P.L.C........................................ 156,842 612,554
Allied Leisure P.L.C................................. 198,600 103,635
Allied London Properties P.L.C....................... 210,148 340,977
Allied Textile Companies P.L.C....................... 115,205 265,830
Alumasc Group P.L.C.................................. 150,000 492,882
Amber Industrial Holdings P.L.C...................... 19,000 39,194
Amec P.L.C........................................... 121,863 384,529
*Anglesey Mining P.L.C............................... 100,000 13,453
Anglo Eastern Plantations P.L.C...................... 57,195 48,966
*Anite Group P.L.C................................... 800,000 952,335
Apollo Metals P.L.C.................................. 30,588 60,604
Arlen P.L.C.......................................... 100,000 54,221
Armour Trust P.L.C................................... 225,000 80,720
Ascot P.L.C.......................................... 174,615 1,005,157
Ash & Lacy P.L.C..................................... 45,000 127,318
Associated Nursing Services P.L.C.................... 85,000 227,321
Austin Reed Group P.L.C.............................. 63,001 209,582
Avesco P.L.C......................................... 30,857 232,221
Avon Rubber P.L.C.................................... 34,840 398,266
Avonside Group P.L.C................................. 185,000 138,773
</TABLE>
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<TABLE>
<CAPTION>
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------------ ------------
<S> <C> <C>
BLP Group P.L.C...................................... 35,000 $ 94,174
BS P.L.C............................................. 5,000 11,945
BSG International P.L.C.............................. 102,500 310,895
*BWI P.L.C........................................... 94,870 133,820
Babcock International Group P.L.C.................... 300,000 413,385
Baggeridge Brick P.L.C............................... 96,100 184,919
Baird (William) P.L.C................................ 236,500 925,591
Baldwin P.L.C........................................ 30,000 61,152
Bandt P.L.C.......................................... 326,334 199,559
Banks (Sidney C.) P.L.C.............................. 48,771 154,291
Barcom P.L.C......................................... 70,000 79,905
Bardon Group P.L.C................................... 1,849,360 2,239,209
Barlows P.L.C........................................ 100,000 100,289
Barr & Wallace Arnold Trust P.L.C.................... 40,000 120,673
Barr (A.G.) P.L.C.................................... 7,500 61,763
Beales Hunter P.L.C.................................. 6,000 8,366
Bellway P.L.C........................................ 50,000 326,142
*Bellwinch P.L.C..................................... 240,000 95,886
Benson Group P.L.C................................... 25,000 18,753
Bentalls P.L.C....................................... 111,883 256,340
Betacom P.L.C........................................ 86,077 68,078
Bett Brothers P.L.C.................................. 71,892 197,541
Bilton P.L.C......................................... 205,000 907,612
Birkby P.L.C......................................... 174,356 490,459
Birse Group P.L.C.................................... 529,277 211,459
Black Arrow Group P.L.C.............................. 35,000 73,341
Blagden Industries P.L.C............................. 181,983 534,171
Blockleys P.L.C...................................... 45,147 35,707
Boot (Henry) & Sons P.L.C............................ 50,000 220,146
Bourne End Properties P.L.C.......................... 289,475 285,590
Brasway P.L.C........................................ 103,883 27,528
Breedon P.L.C........................................ 16,000 31,310
Bridport-Gundry P.L.C................................ 17,500 33,531
Bristol United Press P.L.C........................... 61,511 473,949
Britannia Group P.L.C................................ 90,000 58,706
British Dredging P.L.C............................... 42,000 129,446
British Fittings Group P.L.C......................... 76,000 131,990
British Mohair Holdings P.L.C........................ 10,000 14,350
British Steam Specialties Group P.L.C................ 30,000 173,181
Brooke Industrial Holdings P.L.C..................... 25,000 59,113
Brooks Service Group P.L.C........................... 15,000 30,209
*Brown & Jackson P.L.C............................... 600,000 479,429
Brunel Holdings P.L.C................................ 200,000 35,876
Bruntcliffe Aggregates P.L.C......................... 76,000 33,462
Bryant Group P.L.C................................... 312,768 650,293
Budgens P.L.C........................................ 252,148 314,553
Bullough P.L.C....................................... 235,000 390,881
Burford Holdings P.L.C............................... 75,000 140,037
Burn Stewart Distillers P.L.C........................ 200,395 68,625
Burndene Investments P.L.C........................... 229,402 129,060
Burtonwood Brewery P.L.C............................. 29,580 88,031
CLS Holdings P.L.C................................... 254,181 598,946
CNC Properties P.L.C................................. 93,269 137,646
Caffyns P.L.C........................................ 2,500 14,473
Cala P.L.C........................................... 175,000 363,852
Calderburn P.L.C..................................... 150,000 121,080
Cape P.L.C........................................... 237,482 590,578
Capital & Regional Properties P.L.C.................. 131,657 611,879
Carclo Engineering Group P.L.C....................... 144,314 462,432
*Carlisle Group P.L.C................................ 465,000 102,368
Carr's Milling Industries P.L.C...................... 11,000 24,485
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Cathay International P.L.C.......................... 920,000 $ 138,773
Channel Holdings P.L.C............................... 350,000 77,051
Chesterfield Properties P.L.C........................ 39,000 387,946
Chime Communications P.L.C........................... 100,000 99,066
Chloride Group P.L.C................................. 316,000 253,787
Church & Co. P.L.C................................... 24,000 161,832
Claremont Garments (Holdings) P.L.C.................. 247,334 201,665
Clarkson (Horace) P.L.C.............................. 75,061 159,736
Clinton Cards P.L.C.................................. 93,000 211,560
*Clubhaus P.L.C...................................... 24,267 36,802
Colefax & Fowler Group P.L.C......................... 96,000 182,379
Community Hospitals Group P.L.C...................... 67,000 601,463
Concentric P.L.C..................................... 162,991 394,700
Conrad Ritblat Group P.L.C........................... 53,373 318,987
Cook (D.C.) Holdings, Ltd............................ 200,000 167,963
Cornwell Parker P.L.C................................ 13,333 33,157
Cosalt P.L.C......................................... 20,000 82,351
*Costain Group P.L.C................................. 73,000 45,831
Countryside Property P.L.C........................... 144,855 272,830
Courtaulds Textiles P.L.C............................ 202,150 980,703
Courts P.L.C......................................... 141,633 900,753
Cpl Aromas P.L.C..................................... 15,000 28,130
Cradley Group Holdings P.L.C......................... 38,466 33,559
*Creative Publishing P.L.C........................... 30,000 84,878
*Creighton Naturally P.L.C........................... 100,000 39,952
Crest Nicholson P.L.C................................ 545,000 1,235,344
Crest Packaging P.L.C................................ 75,000 71,547
Crestacare P.L.C..................................... 427,000 229,783
Cropper (James) P.L.C................................ 14,000 52,509
Cussins Property Group P.L.C......................... 25,000 47,494
*DRS Data Research Services P.L.C.................... 51,000 12,475
Daejan Holdings P.L.C................................ 27,000 750,697
Dagenham Motors Group P.L.C.......................... 55,248 125,680
*Dana Petroleum P.L.C., UK........................... 233,333 75,148
*Dares Estates P.L.C................................. 150,000 33,633
Dawson Group P.L.C................................... 68,000 280,547
Dawson International P.L.C........................... 606,389 514,199
Debenham Tewson & Chinnocks Holdings P.L.C........... 42,423 82,670
*Delta P.L.C......................................... 73,000 392,838
Delyn Group P.L.C. .................................. 18,000 33,756
Dencora P.L.C........................................ 20,000 75,828
Derwent Valley Holdings P.L.C........................ 86,000 805,685
Development Securities P.L.C......................... 70,000 366,421
Diploma P.L.C........................................ 286,078 1,030,988
Dolphin Packaging P.L.C.............................. 21,000 90,749
Domino Printing Sciences P.L.C....................... 88,000 644,326
EIS Group P.L.C...................................... 192,400 1,596,980
*Eleco Holdings P.L.C................................ 68,900 34,549
Electronic Data Processing P.L.C..................... 55,900 89,789
Emess P.L.C.......................................... 200,000 88,058
English & Overseas Properties P.L.C.................. 38,800 62,955
Epwin Group P.L.C.................................... 180,000 484,321
Estates & General P.L.C.............................. 25,000 32,410
Eurocopy P.L.C....................................... 156,700 58,772
European Motor Holdings P.L.C........................ 271,675 471,820
Evans Halshaw Holdings P.L.C......................... 66,767 323,911
Evans of Leeds P.L.C................................. 218,000 595,454
Ewart P.L.C.......................................... 10,000 13,290
Exco P.L.C........................................... 341,000 122,336
</TABLE>
16
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Eyecare Products P.L.C.............................. 338,988 $ 107,794
FII Group P.L.C...................................... 104,900 152,245
Fenner P.L.C......................................... 175,000 552,199
Ferguson International Holdings P.L.C................ 88,836 135,449
Fine Art Developments P.L.C.......................... 295,000 974,145
Finlay (James) P.L.C................................. 199,130 461,107
Firth Rixson P.L.C................................... 100,000 273,959
Five Oaks Investments P.L.C.......................... 168,000 118,487
French P.L.C......................................... 17,000 9,841
Friendly Hotels P.L.C................................ 36,111 90,391
Frogmore Estates P.L.C............................... 93,039 772,253
Frost Group P.L.C.................................... 196,000 318,021
*GBE International P.L.C............................. 309,427 51,720
GEI International P.L.C.............................. 150,000 276,405
Galliford P.L.C...................................... 160,000 61,315
Gerrard Group P.L.C.................................. 75,010 493,559
Gleeson (M.J.) Group P.L.C........................... 16,829 279,921
Goodwin P.L.C........................................ 5,000 7,175
Grainger Trust, Ltd.................................. 42,000 243,139
Greene King P.L.C.................................... 47,000 555,664
*Greenwich Resources P.L.C........................... 156,000 71,229
Greycoat P.L.C....................................... 232,000 926,896
Haggas (John) P.L.C.................................. 40,000 48,595
Hall Engineering (Holdings) P.L.C.................... 81,000 236,437
Halstead (James) Group P.L.C......................... 71,702 268,928
Hambros P.L.C........................................ 100,000 485,136
Hamlet Group P.L.C................................... 42,000 0
Hampden Group P.L.C.................................. 25,000 43,010
Hampson Industries P.L.C............................. 95,295 121,988
*Hampton Trust P.L.C................................. 200,491 86,640
Hardy Oil & Gas P.L.C................................ 169,000 720,668
Hardys & Hansons P.L.C............................... 96,200 416,501
Hartstone Group P.L.C................................ 1,182,431 221,743
Hawtin P.L.C......................................... 150,000 78,886
Haynes Publishing Group P.L.C........................ 23,932 112,200
Hazlewood Foods P.L.C................................ 395,500 1,386,633
Headway P.L.C........................................ 25,000 23,849
Healthcall Group P.L.C............................... 72,000 102,735
*Helene P.L.C........................................ 282,000 0
Helical Bar P.L.C.................................... 23,000 248,479
Hemingway Properties P.L.C........................... 300,000 221,369
Hi-Tech Sports P.L.C................................. 61,000 48,245
Hickson International P.L.C.......................... 853,872 1,246,214
*Highbury House Communications P.L.C................. 250,000 58,094
Highland Distilleries Co. P.L.C...................... 243,000 1,210,582
Hill & Smith Holdings P.L.C.......................... 74,890 83,655
*Hollas Group P.L.C.................................. 100,000 3,669
Holt (Joseph) P.L.C.................................. 5,878 193,144
Hopkinsons Group P.L.C............................... 412,000 225,071
*Horace Small Apparel P.L.C.......................... 48,000 75,534
How Group P.L.C...................................... 66,000 119,466
Howard Holdings P.L.C................................ 100,000 37,506
Hunters Armley Group P.L.C........................... 86,994 176,618
Hunting P.L.C........................................ 105,000 458,026
*Huntingdon Life Sciences Group P.L.C................ 365,560 238,449
IAF Group P.L.C...................................... 66,500 121,998
Ibstock P.L.C........................................ 1,733,000 1,582,571
Iceland Group P.L.C.................................. 569,000 2,259,373
Independent Insurance Group P.L.C.................... 220,000 1,225,152
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Inn Business Group................................... 150,471 $ 175,443
Inveresk P.L.C....................................... 124,500 175,615
Jackson Group P.L.C.................................. 30,763 35,116
Jacobs (John I.) P.L.C............................... 117,419 182,860
James Dickie P.L.C................................... 35,000 59,929
Jeyes Group P.L.C.................................... 39,000 159,630
Johnson Group Cleaners P.L.C......................... 37,000 187,344
Johnston Group P.L.C................................. 14,000 71,914
Jones & Shipman P.L.C................................ 35,000 12,842
Jones Stroud Holdings P.L.C.......................... 30,504 145,499
Joseph (Leopold) Holdings P.L.C...................... 9,000 90,260
Kalamazoo Computer Group P.L.C....................... 12,200 10,445
Kelsey Industries P.L.C.............................. 3,000 21,036
*Kenwood Appliances P.L.C............................ 119,108 210,740
Kunick P.L.C......................................... 799,000 429,969
Laing (John) P.L.C................................... 73,279 431,981
Lambert Fenchurch P.L.C.............................. 72,220 137,202
Lambert Howarth Group P.L.C.......................... 15,073 53,830
*Laura Ashley Holdings P.L.C......................... 200,000 110,888
Leeds Group P.L.C.................................... 141,639 211,340
Liberty P.L.C........................................ 29,900 130,428
Lilleshall P.L.C..................................... 29,000 49,655
Linton Park P.L.C.................................... 30,500 201,433
Locker (Thomas) Holdings P.L.C....................... 419,082 177,684
London Industrial P.L.C.............................. 30,000 217,455
London Merchant Securities P.L.C..................... 355,222 790,695
Lookers P.L.C........................................ 68,983 132,177
*Lovell (Y.J.) Holdings P.L.C........................ 29,000 5,438
MS International P.L.C............................... 49,000 16,380
*Mackie International Group P.L.C.................... 33,250 6,778
Mallett P.L.C........................................ 25,000 49,941
Mansfield Brewery P.L.C.............................. 162,608 802,129
Marley P.L.C......................................... 366,232 770,411
Marshalls P.L.C...................................... 225,001 585,224
Marston Thompson & Evershed P.L.C.................... 142,000 760,677
Martin International Holdings P.L.C.................. 162,000 116,237
Marylebone Warwick Balfour Group P.L.C............... 36,400 65,887
Matthews (Bernard) P.L.C............................. 219,058 392,942
Maunders (John) Group P.L.C.......................... 52,000 177,650
Mayborn Group P.L.C.................................. 50,000 93,766
McAlpine (Alfred) P.L.C.............................. 126,000 342,107
McCarthy & Stone P.L.C............................... 155,000 477,716
McKay Securities P.L.C............................... 94,000 231,463
Mentmore Abbey P.L.C................................. 31,200 40,194
Merchant Retail Group P.L.C.......................... 153,000 126,621
Meristem P.L.C....................................... 66,000 76,953
Merrydown P.L.C...................................... 55,000 45,741
Metrotect Industries P.L.C........................... 39,000 20,669
*Micro Focus Group P.L.C............................. 87,500 795,481
*Microgen Holdings P.L.C............................. 45,600 94,809
Mid-States P.L.C..................................... 50,000 13,046
Molins P.L.C......................................... 57,750 234,492
Moorfield Estates P.L.C.............................. 220,000 123,771
Morland & Co. P.L.C.................................. 73,800 490,412
Mowlem (John) & Co. P.L.C............................ 446,215 949,580
Mucklow (A & J) Group P.L.C.......................... 160,000 413,548
Nightfreight P.L.C................................... 75,000 44,029
Norcor Holdings P.L.C................................ 33,000 34,979
Norcros P.L.C........................................ 262,000 316,162
Novara P.L.C......................................... 119,875 214,052
</TABLE>
17
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
OMI International P.L.C.............................. 99,000 $ 17,758
*Oliver Group P.L.C.................................. 86,000 37,865
Olives Property P.L.C................................ 125,000 82,555
Owen (H.R.) P.L.C.................................... 250,000 61,152
Oxford Instruments P.L.C............................. 17,162 89,136
*PGA European Tour Courses P.L.C..................... 80,000 58,706
Panther Securities P.L.C............................. 40,000 100,452
Parkland Group P.L.C................................. 60,000 48,921
Partridge Fine Arts P.L.C............................ 33,000 46,010
Paterson Zochonis P.L.C.............................. 40,000 301,355
Peel Holdings P.L.C.................................. 74,000 862,809
Perry Group P.L.C.................................... 59,000 228,503
Persimmon P.L.C...................................... 40,000 156,222
Photo-Me International P.L.C......................... 94,000 454,495
Pifco Holdings P.L.C................................. 10,000 34,816
Pillar Property Investments P.L.C.................... 60,428 335,038
Pittards P.L.C....................................... 39,000 27,665
*Pittencrieff Resources P.L.C........................ 204,394 104,992
Plantation & General Investment P.L.C................ 64,601 76,376
Plysu P.L.C.......................................... 111,942 336,795
Portmeirion Potteries (Holdings) P.L.C............... 16,044 66,062
Premier Consolidated Oilfields P.L.C................. 1,639,916 1,256,887
*Premier Land P.L.C.................................. 250,000 38,729
Property Partnerships P.L.C.......................... 10,000 47,698
Prowting P.L.C....................................... 113,261 275,197
*QS Holdings P.L.C................................... 102,000 45,741
*Quadrant Group P.L.C................................ 5,900 3,416
*Quality Software Products Holdings P.L.C............ 11,000 89,241
Queensborough Holdings P.L.C......................... 187,000 76,236
Quick Group P.L.C.................................... 114,217 302,664
Quintain Estates & Development P.L.C................. 39,107 124,993
RCO Holdings P.L.C................................... 20,000 62,456
RJB Mining P.L.C..................................... 500,000 1,121,113
Radamec Group P.L.C.................................. 20,000 26,907
Raglan Property P.L.C................................ 313,895 133,087
Ransom (William) & Son P.L.C......................... 75,000 79,497
Rea Brothers Group P.L.C............................. 67,906 71,424
Rea Holdings P.L.C................................... 47,705 136,138
Readicut International P.L.C......................... 340,760 234,775
Record Holdings P.L.C................................ 69,000 61,323
Regal Hotel Group P.L.C.............................. 400,000 277,221
Ricardo Group P.L.C.................................. 95,000 335,396
Richards P.L.C....................................... 62,000 26,287
Richardsons Westgarth P.L.C.......................... 41,017 58,526
Rowe Evans Investments P.L.C......................... 95,900 93,049
Royal Doulton P.L.C.................................. 78,000 272,198
Ruberoid P.L.C....................................... 204,100 361,118
Rugby Estates P.L.C.................................. 22,000 63,679
Russell (Alexander) P.L.C............................ 40,000 62,945
SEP Industrial Holdings P.L.C........................ 370,000 170,450
Safeland P.L.C....................................... 100,000 105,996
*Safestore P.L.C..................................... 26,923 36,879
*Salvesen (Christian) P.L.C.......................... 74,500 151,860
Sanderson Bramall Motor Group P.L.C.................. 8,720 41,024
Saville (J.) Gordon Group P.L.C...................... 311,302 365,503
Savills P.L.C........................................ 66,000 156,059
Scholl P.L.C......................................... 20,000 165,517
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Scottish Metropolitan Property P.L.C................. 407,167 $ 713,769
Shaftesbury P.L.C.................................... 150,000 600,509
Shani Group P.L.C.................................... 30,000 31,554
Sharpe & Fisher P.L.C................................ 14,804 56,369
*Sheffield United P.L.C.............................. 30,000 13,453
Sherwood Group P.L.C................................. 202,000 131,761
*ShopRite Group P.L.C................................ 146,000 44,641
Sidlaw Group P.L.C................................... 112,994 211,900
*Signet Group P.L.C.................................. 438,700 341,600
Silentnight Holdings P.L.C........................... 30,000 133,800
Simon Engineering P.L.C.............................. 175,847 182,090
Sinclair (William) Holdings P.L.C.................... 40,000 160,788
Sirdar P.L.C......................................... 119,721 130,804
*Sketchley P.L.C..................................... 109,000 86,207
Smart (J.) & Co. (Contractors) P.L.C................. 8,000 37,180
Smith (James) Estates P.L.C.......................... 95,000 220,757
Spring Ram Corp. P.L.C............................... 846,888 269,301
St. Modwen Properties P.L.C.......................... 196,000 242,911
Stanley Leisure Organisation P.L.C................... 152,932 735,694
Stat-Plus Group P.L.C................................ 25,300 47,446
Stirling Group P.L.C................................. 214,889 175,211
Stoddard Sekers International P.L.C.................. 98,000 10,787
Stratagem Group P.L.C................................ 47,000 69,362
*Sunleigh P.L.C...................................... 2,000,000 24,461
Swan Hill Group P.L.C................................ 87,000 102,148
Syltone P.L.C........................................ 29,000 59,823
*Tadpole Technology P.L.C............................ 53,280 17,160
*Tandem Group P.L.C.................................. 472,000 67,348
Tay Homes P.L.C...................................... 103,937 209,322
Telemetrix P.L.C..................................... 170,214 167,930
The Cardiff Property P.L.C........................... 4,000 22,406
Thorpe (F.W.) P.L.C.................................. 15,000 35,590
Tibbett & Britten Group P.L.C........................ 3,692 36,063
Time Products P.L.C.................................. 81,758 207,985
Tomkinsons P.L.C..................................... 10,000 28,945
Tops Estates P.L.C................................... 63,557 201,067
Town Centre Securities P.L.C......................... 240,000 428,551
Trafford Park Estates P.L.C.......................... 102,721 332,504
Transport Development Group P.L.C.................... 285,056 1,424,746
*Transport Development Group P.L.C. Series B......... 460,100 266,353
*Tring International Group P.L.C..................... 60,000 6,360
Try Group P.L.C...................................... 91,160 39,022
Tunstall Group P.L.C................................. 120,000 310,161
UCM Group P.L.C...................................... 31,000 51,310
Ugland International Holdings P.L.C.................. 146,666 243,953
*Union P.L.C......................................... 50,000 64,005
United Carriers Group P.L.C.......................... 20,000 13,861
United Industries P.L.C.............................. 81,822 88,062
Usborne P.L.C........................................ 30,000 11,986
*Utility Cable P.L.C................................. 200,000 13,861
Vardon P.L.C......................................... 110,000 349,787
Vaux Group P.L.C..................................... 82,966 393,028
*Vert (Jacques) P.L.C................................ 45,000 7,705
Vibroplant P.L.C..................................... 185,000 236,820
Viglen Technology P.L.C.............................. 196,000 92,690
*Villiers Group P.L.C................................ 167,000 28,595
Vtr P.L.C............................................ 13,000 24,803
*Wace Group P.L.C.................................... 253,807 148,999
Wainhomes P.L.C...................................... 86,000 189,325
Walker Greenbank P.L.C............................... 205,640 216,294
Ward Holdings P.L.C.................................. 206,900 170,384
</TABLE>
18
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
VALUE+
SHARES -
------------
<S> <C> <C>
Warner Estate Holdings P.L.C......................... 99,000 $ 435,082
Warnford Investments P.L.C........................... 12,000 51,465
Waterman Partnership Holdings P.L.C.................. 25,000 20,588
*Wates City of London Properties P.L.C............... 281,099 430,887
Watts, Blake, Bearne & Co. P.L.C..................... 57,205 371,273
Wembley P.L.C........................................ 36,000 238,638
Westbury P.L.C....................................... 148,442 641,475
Westminster Health Care Holdings P.L.C............... 37,500 185,595
Wilson (Connolly) Holdings P.L.C..................... 415,400 1,134,640
Wilson Bowden P.L.C.................................. 7,700 88,146
Wimpey (George) P.L.C................................ 25,000 53,406
Wintrust P.L.C....................................... 24,000 171,225
Wolverhampton & Dudley Breweries P.L.C............... 92,700 782,288
Wyevale Garden Centres P.L.C......................... 50,000 277,221
Yorklyde P.L.C....................................... 14,000 24,200
*Yorkshire Food Group P.L.C.......................... 70,000 0
Yorkshire Group P.L.C................................ 117,096 431,546
Young & Co's Brewery P.L.C. Class A.................. 5,000 52,387
Young (H.) Holdings P.L.C............................ 38,666 104,038
------------
TOTAL COMMON STOCKS
(Cost $83,582,970)................................... 102,554,751
------------
FACE
AMOUNT@
------------
(000)
BONDS -- (0.2%)
Viglen Technology P.L.C. 6.375%, 09/01/00............ 319 849,196
*Viglen Technology P.L.C. Floating Rate Notes, 6.98%,
01/01/01........................................... 84 0
------------
TOTAL BONDS
(Cost $424,372)...................................... 849,196
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $58,134)..................................... 60,236
------------
SHARES
------------
RIGHTS/WARRANTS -- (0.0%)
*Viglen Technology P.L.C. Entitlement Letters
(Cost $0).......................................... 196,000 0
------------
TOTAL -- UNITED KINGDOM
(Cost $84,065,476)................................... 103,464,183
------------
FRANCE -- (9.4%)
COMMON STOCKS -- (9.4%)
Agricole de la Crau.................................. 200 17,383
Airfeu SA............................................ 3,141 120,752
Alain Manoukian SA................................... 8,198 334,345
*Arbel SA............................................ 1,583 15,002
Bail-Investissement (Societe Immobiliere pour le
Commerce & l'Industrie)............................ 100 16,447
Bains de Mer et du Cercle des Etrangers a Monaco..... 6,329 864,281
Banque de la Reunion................................. 504 48,608
SHARES VALUE+
------------ ------------
#Bazar de l'Hotel de Ville SA........................ 9,361 $ 1,157,848
Bongrain SA.......................................... 190 96,703
Burelle SA........................................... 10,986 881,411
*CEE (Continentale d'Equipements Electriques)........ 2,215 85,153
Caisse Regionale de Credit Agricole Mutuel de la
Brie............................................... 5,680 370,263
*Cascades SA......................................... 8,281 40,832
*Cofigeo (Cie Financiere Geo)........................ 205 28,817
Conflandey SA........................................ 1,939 110,582
Continentale d'Entreprises SA........................ 19,198 750,878
*DMC (Dollfus Mieg et Cie)........................... 38,146 1,051,399
*Desquenne et Giral SA............................... 4,761 119,368
Dietrich et Cie...................................... 38,762 2,818,338
Exacompta Clairefontaine SA.......................... 400 70,068
*FIDEI (Compagnie Financiere pour l'Immobiliere
d'Enterprise)...................................... 23,759 246,217
Fimalac SA........................................... 10,590 1,327,562
Fonderies Franco Belge............................... 913 87,748
Francaise des Ferrailles............................. 4,855 478,783
France-Africaine de Recherches Petrolieres
Francarep.......................................... 280 16,146
Frankoparis SA....................................... 31,700 455,675
Galeries Lafayette SA................................ 4,718 4,573,868
Gantois Series A..................................... 465 92,335
Gascogne SA.......................................... 10,334 1,065,740
Gautier France SA.................................... 2,227 148,150
*Gel 2000 SA......................................... 4,629 31,336
*Generale de Transport et d'Industrie................ 11,342 834,142
Gevelot.............................................. 1,200 251,723
Groupe Zannier SA.................................... 26,650 770,621
Guerbet SA........................................... 15,148 648,176
ICBT Groupe SA....................................... 8,110 315,845
*Immeubles de France................................. 36,161 2,991,874
*Immeubles de France Em 98........................... 554 45,837
Immobanque........................................... 9,394 1,111,684
Immobiliere Complexes Commerciaux SA................. 3,078 102,895
*#Immobiliere et Hoteliere SA........................ 27,700 180,569
Locindus (Cie Financiere pour la Location d'Immeubles
Industrials et Commerciaux)........................ 12,163 1,748,384
Maire (Henri)........................................ 1,252 23,019
Marie Brizard & Roger International SA............... 2,745 353,290
Matussiere et Forest SA.............................. 1,020 13,213
*Maxi-Livre/Profrance SA............................. 8,442 56,442
Metal Deploye........................................ 300 20,308
Michel Thierry SA.................................... 3,269 590,115
*Mors................................................ 37,132 60,203
*NAF NAF SA.......................................... 36,191 664,203
Nord-Est............................................. 5,000 111,153
*Nordon & Cie........................................ 1,600 131,070
PSB Industries SA.................................... 1,838 197,847
*Pier Import Europe SA............................... 18,642 258,312
Plastic Omnium....................................... 16,250 2,477,113
*Primisteres Reynoird SA............................. 5,349 354,945
*Rochette............................................ 138,121 660,273
Rougier SA........................................... 2,715 194,228
*Rouleau-Guichard SA................................. 2,495 116,769
Rue Imperiale de Lyon................................ 2,519 3,199,922
</TABLE>
19
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
SAT SA (SA des Telecommunications)................... 1,068 $ 473,058
SERIBO (Societe d'Etudes et de Realizations pour les
Industries du Bois)................................ 4,015 157,707
*SFIM (Societe de Fabrication d'Instruments de
Mesure)............................................ 3,403 588,708
Sabeton.............................................. 1,846 255,482
*Saupiquet........................................... 420 42,612
Securidev SA......................................... 16,908 316,525
*Selectibanque SA.................................... 46,567 607,504
Signaux et d'Equipements Electroniques SA............ 26,939 2,094,686
Signaux Girod SA..................................... 5,407 104,113
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)........................ 3,483 636,896
Smoby SA............................................. 300 29,836
Societe Financiere Immobail SA....................... 9,997 384,322
Societe Financiere Interbail SA...................... 27,370 667,921
Taittinger SA........................................ 2,629 2,175,171
Teisseire France SA.................................. 6,492 238,726
*Teleflex Lionel-Dupont.............................. 500 9,778
Tivoly SA............................................ 1,904 42,231
Touax SA............................................. 1,425 89,438
*Trouvay et Cauvin SA................................ 9,481 329,463
VM Materiaux SA...................................... 1,636 88,872
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies)................................. 43,572 3,692,437
*Via Banque.......................................... 21,658 727,633
------------
TOTAL COMMON STOCKS
(Cost $36,059,816)................................... 49,759,332
------------
RIGHTS/WARRANTS -- (0.0%)
*Derichebourg Finances Warrants 07/15/98 (Cost
$57,964)........................................... 4,855 1,270
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*French Francs (Cost $24,882)........................ 25,316
------------
TOTAL -- FRANCE
(Cost $36,142,662)................................... 49,785,918
------------
GERMANY -- (7.8%)
COMMON STOCKS -- (7.8%)
*Anterra Vermoegensverwaltungs AG.................... 3,920 317,727
*BDAG Balcke-Duerr AG................................ 2,420 488,672
Bayerische Handelsbank AG............................ 3,631 1,260,714
*Bremer Woll-Kaemmerei AG............................ 5,310 455,409
*DLW AG.............................................. 8,900 1,542,582
DSL Holding AG....................................... 11,850 1,954,184
Deutsche Hypotheken Bank AG, Hannover/Berlin......... 6,387 1,773,380
Deutsche Verkehrs-Bank AG............................ 1,908 179,799
*Dierig Holding AG................................... 1,250 119,195
Dyckerhoff & Widmann AG.............................. 12,224 1,638,744
Escada AG............................................ 5,709 986,303
*Felten & Guilleaume Energietechnik AG............... 9,100 1,240,359
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Flender (A. Friedrich) AG........................... 9,832 $ 2,018,472
Fuchs Petrolub AG Oel & Chemie....................... 717 94,512
Heilit & Woerner Bau AG.............................. 8,542 814,532
Herlitz AG........................................... 13,643 857,093
*Honsel-Werke AG..................................... 3,450 358,006
*Hutschenreuther AG.................................. 8,591 161,431
#KM Europa Metal AG.................................. 13,005 1,874,750
KM Europa Metal AG Em 95............................. 1,484 201,442
Kaufring AG.......................................... 12,600 682,021
*Mauser Waldeck AG................................... 1,151 125,895
*Mueller-Weingarten AG............................... 389 75,278
*Neue Baumwoll-Spinnerei und Weberei Hof AG.......... 873 140,049
Norddeutsche Steingutfabrik AG....................... 715 11,386
Nuernberger Hypothekenbank AG........................ 1,634 545,342
*Orenstein & Koppel AG............................... 13,550 353,421
Otto Reichelt AG..................................... 36,354 469,008
Phoenix AG, Hamburg.................................. 18,540 421,177
Rheinboden Hypothekenbank AG......................... 3,900 772,217
Rheinmetall Berlin AG................................ 124,700 4,056,900
*Salamander AG, Kornwesteim.......................... 12,999 2,362,407
Scor Deutschland Rueckversicherungs AG............... 415 65,179
Stern-Brauerei Carl Funke AG......................... 300 22,717
*Stoehr & Co. AG..................................... 4,431 435,199
*Strabag AG.......................................... 15,450 1,351,926
Sueddeutsche Bodencreditbank AG...................... 4,248 1,656,034
*Triton-Belco AG, Hamburg............................ 2,977 127,744
Tucher Braeu AG...................................... 1,047 65,776
Varta AG............................................. 5,611 1,101,560
Voegele (Joseph) AG.................................. 1,559 244,852
WMF (Wuerttembergische Metallwarenfabrik AG)......... 6,462 1,384,618
Walter Bau AG........................................ 4,427 533,885
Weru AG.............................................. 950 522,215
Westag & Getalit..................................... 1,980 427,588
Wuerttembergische AG................................. 2,474 3,712,131
*Zanders Feinpapiere AG.............................. 10,902 917,270
------------
TOTAL COMMON STOCKS
(Cost $34,029,758)................................... 40,921,101
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*German Marks (Cost $52,422)......................... 52,117
------------
TOTAL -- GERMANY
(Cost $34,082,180)................................... 40,973,218
------------
ITALY -- (6.0%)
COMMON STOCKS -- (5.8%)
*Ansaldo Trasporti SpA............................... 497,000 1,120,287
*Banca Nazionale dell'Agricoltura SpA................ 1,857,500 3,383,424
Banca Toscana........................................ 607,000 3,161,458
Banco di Chiavari e della Riviera Ligure SpA,
Chiavari........................................... 172,500 667,691
Bassetti SpA......................................... 69,000 744,279
*Brioschi Finanziaria SpA, Milano.................... 100,000 29,599
CEMENTIR (Cementarie del Tirreno SpA), Roma.......... 1,400,000 1,936,475
Caltagirone SpA...................................... 1,145,000 1,270,919
Cementeria di Augusta SpA............................ 142,500 312,287
Cia Assicuratrice Unipol SpA......................... 215,464 1,060,885
</TABLE>
20
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Comau SpA............................................ 295,500 $ 1,017,631
Ericsson SpA......................................... 61,500 3,959,272
*#FONSPA (Credito Fondiaro e Industriale Istituto per
i Finanziamenti a Medio e Lungo Termine SpA)....... 527,000 1,864,358
Finarte Casa d'Aste SpA (Milano)..................... 135,000 152,920
Finarte Partecipazioni Pro Arte SpA.................. 221,640 208,040
*Fincasa 44 SpA...................................... 175,000 53,492
*Gabetti Holding SpA................................. 175,000 358,109
*Grassetto SpA....................................... 110,000 0
*Impregilo SpA....................................... 655,000 689,748
Ipi SpA.............................................. 447,500 934,839
Linificio & Canapificio Nazionale SpA................ 185,000 109,517
Maffei SpA........................................... 90,500 166,648
Marangoni SpA, Rovereto.............................. 68,000 243,852
Milano Assicurazioni SpA............................. 135,700 617,942
*Montefibre SpA, Milano.............................. 262,464 256,667
*Necchi SpA.......................................... 50,000 34,153
*Premafin Finanziaria SpA............................ 2,615,000 2,262,523
*#Reno de Medici SpA, Milano......................... 172,060 621,915
Riva Finanziaria SpA................................. 86,000 401,412
SISA (Societa Imballaggi Speciali Asti SpA).......... 175,000 170,438
*SMI STA Metallurgica Italiana SpA................... 290,000 217,896
*SOPAF (Societa Partecipazioni Finanziarie SpA)...... 640,000 586,521
*Stayer SpA.......................................... 117,500 140,454
Vianini Industria SpA................................ 315,000 270,748
Vianini Lavori SpA................................... 407,500 1,135,424
Zucchi (Vincenzo) SpA................................ 74,000 753,984
------------
TOTAL COMMON STOCKS
(Cost $14,427,211)................................... 30,915,807
------------
INVESTMENT IN
CURRENCY -- (0.2%)
*Italian Lira (Cost $967,330)........................ 966,770
------------
TOTAL -- ITALY
(Cost $15,394,541)................................... 31,882,577
------------
SPAIN -- (4.5%)
COMMON STOCKS -- (4.5%)
Acieras y Forjas de Azcoita SA....................... 2,613 120,880
*BAMI SA (Inmobiliara de Construcciones y
Terrenos).......................................... 36,200 216,509
Banco Guipuzcoano SA................................. 19,247 1,025,218
Banco Pastor SA, La Coruna........................... 51,600 2,864,488
Banco Zaragozano SA.................................. 51,800 1,810,937
Bodegas y Bebidas SA................................. 5,959 273,307
Construcciones Lain SA............................... 15,816 50,903
Elecnor SA........................................... 5,770 228,794
*#Empresa Nacional de Celulosa SA.................... 54,900 1,168,278
*Europistas Concesionaria Espanola SA................ 158,900 1,380,917
Fabricacion de Automoviles Renault de Espana SA...... 12,690 469,643
*Filo SA............................................. 65,600 268,357
GESA (Gas y Electricidad SA)......................... 34,800 2,817,301
Grupo Anaya SA....................................... 12,500 470,872
SHARES VALUE+
------------ ------------
*Grupo Fosforera SA.................................. 12,060 $ 26,939
Inbesos SA........................................... 3,200 73,806
*Inmobiliaria Urbis SA............................... 144,300 2,031,252
Inmobiliaria Zabalburu SA............................ 30,004 456,063
*Nueva Montana Quijano SA Series B................... 122,740 193,055
OCP Construcciones SA, Madrid........................ 90,450 2,827,403
Omsa Alimentacion SA................................. 38,675 382,111
Papelera de Navarra SA............................... 7,851 207,541
Pescanova SA......................................... 24,900 424,558
*Sarrio SA........................................... 216,615 1,052,189
Tableros de Fibras SA Series B....................... 57,730 957,620
Tavex Algodonera SA.................................. 17,800 262,327
Transportes Ferroviarios Especiales Tranfesa......... 25,580 287,387
Unipapel SA.......................................... 17,029 606,591
Uralita SA........................................... 63,500 872,881
------------
TOTAL COMMON STOCKS
(Cost $12,986,976)................................... 23,828,127
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Spanish Peseta (Cost $28,790)....................... 28,623
------------
TOTAL -- SPAIN
(Cost $13,015,766)................................... 23,856,750
------------
NETHERLANDS -- (3.9%)
COMMON STOCKS -- (3.9%)
ACF Holding NV (Certificate)......................... 53,200 1,178,350
*Bam Groep NV........................................ 16,798 1,507,496
Beers NV............................................. 5,000 293,667
Begemann Groep NV.................................... 44,600 617,138
*Begemann Groep NV Series B.......................... 44,600 266,391
Cindu International NV............................... 1,790 149,681
Econosto NV.......................................... 23,124 351,047
Gamma Holding NV..................................... 53,690 3,046,499
Gemeenschappeljk Bezit Crown van Gelder NV........... 40,320 712,446
Kas-Associatie NV.................................... 16,350 1,334,641
Koninklijke Ten Cate NV.............................. 39,230 1,679,266
*Krasnapolsky Hotels & Restaurants NV................ 15,110 740,804
Landre & Glinderman NV............................... 3,307 139,912
MacIntosh NV......................................... 63,909 1,787,727
NKF Holding NV....................................... 37,664 1,059,199
Nagron Nationaal Grondbezit NV....................... 2,218 62,927
Nedlloyd Groep NV, Rotterdam......................... 35,000 775,231
Norit NV............................................. 78,571 973,788
Polynorm NV.......................................... 13,226 1,379,162
Roto Smeets de Boer NV............................... 20,100 957,438
*Sphinx NV........................................... 36,562 527,753
*Textielgroep Twenthe NV............................. 1,200 35,837
*Tulip Computers NV.................................. 38,643 89,439
Ubbink NV............................................ 900 26,430
Van Dorp Groep NV.................................... 11,400 261,582
Vredestein NV........................................ 64,470 728,427
------------
TOTAL COMMON STOCKS
(Cost $17,710,770)................................... 20,682,278
------------
</TABLE>
21
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN
CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $22,303).................. $ 22,034
------------
TOTAL -- NETHERLANDS
(Cost $17,733,073)................................... 20,704,312
------------
AUSTRALIA -- (3.8%)
COMMON STOCKS -- (3.6%)
A.P. Eagers, Ltd..................................... 16,699 43,930
*AWA, Ltd............................................ 295,133 109,065
Aberfoyle, Ltd....................................... 176,668 293,239
Acacia Resources, Ltd................................ 400,664 499,403
Adelaide Brighton, Ltd............................... 449,901 293,068
*Aerodata Holdings, Ltd.............................. 52,987 13,275
*An Feng Kingstream Steel, Ltd....................... 81,521 14,552
*Anzoil NL........................................... 38,461 6,022
Ashton Mining, Ltd................................... 448,960 314,951
Atkins Carlyle, Ltd.................................. 41,311 119,026
Ausdrill, Ltd........................................ 135,330 70,354
Australian Oil & Gas Corp., Ltd...................... 64,938 63,045
*Australian Resources, Ltd........................... 352,493 77,274
Avatar Industries, Ltd............................... 112,898 57,985
*Beach Petroleum NL.................................. 549,636 15,836
Bridgestone Australia, Ltd........................... 26,822 52,080
CIM Resources, Ltd................................... 325,177 30,551
#Caltex Australia, Ltd............................... 307,800 761,523
*Cambridge Gulf Exploration NL....................... 93,366 5,556
Capral Aluminium, Ltd................................ 398,971 679,716
Centennial Coal, Ltd................................. 52,702 13,864
Central Equity, Ltd.................................. 155,382 136,253
Centro Properties, Ltd............................... 175,272 288,726
*Climax Mining, Ltd.................................. 139,697 30,625
Consolidated Paper Industries, Ltd................... 13,100 16,410
*Consolidated Rutile, Ltd............................ 437,974 145,392
*Coplex Resources NL................................. 351,512 57,244
Coventry Group, Ltd.................................. 66,628 198,229
Crane (G.E) Holdings, Ltd............................ 44,129 304,042
Crevet, Ltd.......................................... 46,997 25,021
*Croesus Mining NL................................... 154,735 26,653
*#Crown, Ltd......................................... 1,439,216 576,930
Cudgen RZ, Ltd....................................... 47,724 19,430
*Cumnock Coal, Ltd................................... 40,710 9,944
*Denehurst, Ltd...................................... 78,163 3,574
*Devex, Ltd.......................................... 141,218 31,843
*Dome Resources NL................................... 195,839 11,469
*Dominion Mining, Ltd................................ 116,119 24,001
*ERG, Ltd............................................ 296,242 218,951
Eltin, Ltd........................................... 146,860 140,738
*Emporer Mines, Ltd.................................. 135,024 43,132
Energy Resources of Australia, Ltd. Series A......... 354,731 866,525
*Equatorial Mining, Ltd.............................. 21,997 39,956
FAI Insurances, Ltd.................................. 570,291 162,527
FAI Life, Ltd........................................ 216,186 86,661
Finemore Holdings, Ltd............................... 38,378 57,211
Forrester Parker Group, Ltd.......................... 169,862 138,311
Gazal Corp., Ltd..................................... 89,069 86,472
*General Gold Resources NL........................... 135,245 5,506
*Gold Mines of Australia, Ltd........................ 39,934 3,252
Goldfields, Ltd...................................... 473,424 581,198
Gowing Bros., Ltd.................................... 74,237 104,622
Green's Foods, Ltd................................... 81,301 23,934
SHARES VALUE+
------------ ------------
Gwalia Consolidated, Ltd............................. 115,618 $ 106,454
Hancock and Gore, Ltd................................ 55,066 52,081
Harris Scarfe Holdings, Ltd.......................... 63,600 119,508
Healthscope, Ltd..................................... 127,219 50,998
Homestake Mining Co.................................. 68,661 731,100
Hudson Conway, Ltd................................... 89,183 240,197
Hudson Timber & Hardware, Ltd........................ 59,500 34,659
Hudson Timber & Hardware, Ltd. Issue 97.............. 14,875 2,795
Iama, Ltd............................................ 163,624 235,718
*Intag International, Ltd............................ 93,568 5,275
Ipoh, Ltd............................................ 208,463 274,199
Ipswich and West Moreton Building Society, Ltd....... 23,034 34,770
JNA Telecommunications, Ltd.......................... 38,610 41,595
Jupiters, Ltd........................................ 596,821 1,005,574
KLZ, Ltd............................................. 81,686 71,118
*Kidston Gold Mines, Ltd............................. 198,750 60,999
*Lachlan Resources NL................................ 217,903 12,966
*MRI Holdings, Ltd................................... 87,075 22,361
MacMahon Holdings, Ltd............................... 305,720 89,999
Magellan Petroleum Australia, Ltd.................... 28,131 44,050
*Manettas, Ltd....................................... 154,638 40,680
*Meekatharra Minerals, Ltd........................... 184,462 17,331
Metal Manufactures, Ltd.............................. 342,615 461,384
Mirvac, Ltd.......................................... 265,119 344,569
National Foods, Ltd.................................. 427,500 819,360
*New Hampton Goldfields NL........................... 145,700 8,213
*Newcrest Mining, Ltd................................ 474,531 594,445
Normandy Mt. Leyshon, Ltd............................ 123,978 108,715
*Orbital Engine Corp., Ltd........................... 165,000 111,616
PMP Communications, Ltd.............................. 432,525 780,227
Pacific Hydro, Ltd................................... 81,545 52,608
Parbury, Ltd......................................... 30,916 7,165
*Payce Consolidated, Ltd............................. 74,466 36,381
*Peptide Technology, Ltd............................. 153,432 38,441
*Perilya Mines NL.................................... 167,228 40,850
Permanent Trustee Co., Ltd........................... 18,736 67,478
Pirelli Cables Australia, Ltd........................ 168,560 65,458
Primac Holdings, Ltd................................. 22,084 33,198
#QCT Resources, Ltd.................................. 388,237 257,520
RCG, Ltd............................................. 388,221 442,556
*Resolute, Ltd....................................... 440,868 325,843
Savage Resources, Ltd................................ 953,826 436,123
Schaffer Corp., Ltd.................................. 14,106 18,112
Sea World Property Trust............................. 61,000 36,297
*Solution 6 Holdings, Ltd............................ 28,900 19,550
Southern Cross Broadcasting (Australia), Ltd......... 44,381 199,868
*Spectrum Network Systems, Ltd. Series B............. 149,597 81,519
Spicers Paper, Ltd................................... 245,591 224,586
*St. Barbara Mines, Ltd.............................. 329,338 25,785
*Star Mining Corp. NL................................ 302,691 1,706
Tassal, Ltd.......................................... 38,655 33,412
*Techniche, Ltd...................................... 34,687 33,676
Thakral Holdings Group............................... 824,280 309,773
*Ticor, Ltd.......................................... 482,210 265,789
*Titan Resources NL.................................. 125,121 11,755
*Union Gold Mining Co. NL............................ 118,986 17,886
Village Roadshow, Ltd................................ 45,752 96,860
Visions Systems, Ltd................................. 16,295 70,424
</TABLE>
22
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Walker Corp., Ltd................................... 455,773 $ 202,686
Wesfi, Ltd........................................... 77,134 82,132
Westralian Sands, Ltd................................ 134,869 318,472
White (Joe) Maltings, Ltd............................ 35,860 89,844
Wide Bay Capricorn Building Society, Ltd............. 25,741 53,850
Wills (W.D. & H.O.) Holdings, Ltd.................... 229,057 387,369
Yates (Arthur) and Co. Property, Ltd................. 327,276 225,488
------------
TOTAL COMMON STOCKS
(Cost $25,263,754)................................... 19,132,513
------------
INVESTMENT IN
CURRENCY -- (0.2%)
*Australian Dollar
(Cost $1,187,500).................................. 1,176,329
------------
RIGHTS/WARRANTS -- (0.0%)
*Ashton Mining, Ltd. Rights 07/01/98................. 44,896 562
*Harris Scarfe Holdings, Ltd. Rights 06/10/98........ 9,085 683
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 1,245
------------
TOTAL -- AUSTRALIA
(Cost $26,451,254)................................... 20,310,087
------------
SWITZERLAND -- (3.8%)
COMMON STOCKS -- (3.8%)
Attisholz Holding AG, Attisholz...................... 1,670 1,005,187
Banque Privee Edmond de Rothschild SA, Geneve........ 105 589,397
Bucher Holding AG, Niederweningen.................... 2,125 2,996,439
Calida Holding AG, Oberkirch......................... 100 130,188
Canon (Schweiz) AG, Dietlikon........................ 9,900 736,493
Carlo Gavazzi Holding AG, Baar Series B.............. 230 246,546
Coop Bank, Basel..................................... 370 262,743
Daetwyler Holding AG, Atldorf........................ 940 2,008,887
#Feldschloesschen-Huerlimann Holding AG,
Rheinfelden........................................ 5,035 2,315,522
Financiere Tradition, Lausanne....................... 30 42,201
*Galenica Holding AG, Bern Series B.................. 3,115 1,917,079
Golay-Buchel Holding SA, Lausanne.................... 125 114,126
Industrieholding Cham AG, Cham....................... 325 285,737
*Keramik Holding AG Laufen, Laufen................... 1,540 885,279
Kuehne & Nagel International AG, Schindellegi........ 700 591,764
*Maag Holding AG, Zuerich............................ 1,900 359,792
*Porst Holding AG, Jegenstorf........................ 1,500 213,035
*Sihl Zuercher Papierfabriek an der Sihl, Zuerich.... 50 37,197
UMS Schweizerische Metallwerke Holding AG, Bern...... 3,200 383,057
Unigestion Holding, Geneve........................... 9,200 731,082
Vaudoise Assurances Holding, Lausanne................ 189 639,105
Vaudoise d'Electricite SA, Morges.................... 95 224,870
WMH Walter Meier Holding AG, Staefa.................. 260 272,550
Zellweger Luwa AG, Uster............................. 590 506,753
*Zschokke Holding SA, Geneve......................... 1,950 619,830
SHARES VALUE+
------------ ------------
*Zueblin Holding AG, Zuerich......................... 3,300 $ 77,332
Zuercher Ziegeleien Holding, Zuerich................. 2,000 1,873,356
------------
TOTAL COMMON STOCKS
(Cost $13,958,833)................................... 20,065,547
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Swiss Francs
(Cost $114,411).................................... 114,710
------------
TOTAL -- SWITZERLAND
(Cost $14,073,244)................................... 20,180,257
------------
HONG KONG -- (3.0%)
COMMON STOCKS -- (3.0%)
ALCO Holdings, Ltd................................... 710,000 27,487
Acme Landis Holdings, Ltd............................ 130,000 6,878
*Allied Group, Ltd................................... 5,364,000 252,660
Allied Properties (Hong Kong), Ltd................... 6,468,000 338,049
*Applied International Holdings, Ltd................. 1,150,000 30,572
*Asia Commercial Holdings, Ltd....................... 35,960 1,949
*Asia Securities International, Ltd.................. 2,326,000 189,106
Asia Standard International Group, Ltd............... 3,658,000 665,606
Associated International Hotels, Ltd................. 758,000 266,557
Beauforte Investors Corp., Ltd....................... 44,000 59,905
#Burlingame International Co., Ltd................... 675,000 130,662
Burwill Holdings, Ltd................................ 350,000 36,585
CDL Hotels International, Ltd........................ 2,489,041 875,292
CNT Group, Ltd....................................... 1,428,000 72,791
*Capetronic International Holdings, Ltd.............. 107,000 7,733
Century City International Holdings, Ltd............. 5,727,067 687,337
Cheuk Nang Properties (Holdings), Ltd................ 318,000 75,919
*Cheung Wah Development Co., Ltd..................... 898,000 18,542
Chevalier Construction Holdings, Ltd................. 194,857 7,167
#Chevalier Development International, Ltd............ 625,852 222,105
Chevalier International Holdings, Ltd................ 1,447,349 140,084
#China Foods Holdings, Ltd........................... 1,032,000 296,322
*China Investments Holdings, Ltd..................... 989,000 44,670
Chinney Investments, Ltd............................. 752,000 70,843
Chow Sang Sang Holdings International, Ltd........... 738,000 185,714
*Chuang's China Investments, Inc..................... 4,420,000 47,913
Chuang's Consortium International, Ltd............... 3,051,760 200,851
*City Chiu Chow (Holdings), Ltd...................... 298,000 6,538
Continental Holdings, Ltd............................ 382,000 18,733
Crocodile Garments, Ltd.............................. 986,000 31,811
*Culturecom Holdings, Ltd............................ 1,326,000 17,454
*Dransfield Holdings, Ltd............................ 1,952,000 15,618
Dynamic Holdings, Ltd................................ 482,000 57,847
*Emperor (China Concept) Investments, Ltd............ 2,790,000 70,929
Emporer International Holdings, Ltd.................. 812,000 98,500
*Fairwood Holdings, Ltd.............................. 675,000 20,035
Far East Consortium International, Ltd............... 1,758,041 129,318
*Far East Holdings International, Ltd................ 408,000 20,534
Fountain Set Holdings, Ltd........................... 1,350,000 210,801
</TABLE>
23
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Four Seas Travel International, Ltd.................. 236,000 $ 20,405
*Fu Hui Jewelry Co. (Hong Kong), Ltd................. 670,000 34,153
*Golden Harvest Entertainment Holdings, Ltd.......... 736,000 41,791
Golden Resources Development International, Ltd...... 722,000 44,723
Grande Holdings, Ltd................................. 506,000 146,922
Great Wall Electronic International, Ltd............. 2,278,566 73,218
Harbour Centre Development, Ltd...................... 590,000 365,467
Harbour Ring International Holdings, Ltd............. 3,430,000 107,561
High Fashion International, Ltd...................... 800,000 46,458
Hong Kong Ferry (Holdings) Co., Ltd.................. 302,000 235,785
Hong Kong Parkview Group, Ltd........................ 648,000 334,495
Hop Hing Holdings, Ltd............................... 604,000 74,828
Huey Tai International, Ltd.......................... 2,920,260 203,502
Hwa Kay Thai Holdings, Ltd........................... 3,235,600 20,042
Innovative International (Holdings), Ltd............. 520,000 100,658
*Jinhui Holdings Co., Ltd............................ 978,000 30,290
Joyce Boutique Holdings, Ltd......................... 808,000 15,849
K Wah International Holdings, Ltd.................... 871,672 76,492
KTP Holdings, Ltd.................................... 758,000 54,779
*Kader Holdings Co., Ltd............................. 857,000 28,755
Keck Seng Investments (Hong Kong), Ltd............... 380,000 58,356
Kee-Shing Holdings Co., Ltd.......................... 256,000 20,483
King Fook Holdings, Ltd.............................. 338,000 20,501
Kwong Sang Hong International, Ltd................... 1,060,000 120,377
#Lai Sun Development Co., Ltd........................ 1,908,800 428,612
Lai Sun Garment (International), Ltd................. 540,000 175,958
Lai Sun Hotels International, Ltd.................... 382,000 42,395
*Lam Soon (Hong Kong), Ltd........................... 203,250 51,672
*Lam Soon Food Industries, Ltd....................... 156,000 36,841
Lane Crawford International, Ltd. Series A........... 63,000 47,154
Laws International Holdings, Ltd..................... 520,000 85,224
Leefung-Asco Printers Holdings, Ltd.................. 128,000 20,152
*Linkful International Holdings, Ltd................. 582,000 9,013
Lippo, Ltd........................................... 751,000 327,091
Liu Chong Hing Investment, Ltd....................... 626,000 412,002
*Luks Industrial Co., Ltd............................ 3,069,000 71,289
*Magnificent Estates, Ltd............................ 5,014,600 44,005
*Mansion Holdings, Ltd............................... 566,000 5,332
*Megga (S.) International Holdings, Ltd.............. 1,399,200 55,072
Melbourne Enterprises, Ltd........................... 41,000 172,487
Melco International Development, Ltd................. 170,000 16,454
Min Xin Holdings, Ltd................................ 432,000 66,341
*Mui Hong Kong, Ltd.................................. 2,050,000 29,101
Nam Hing Holdings, Ltd............................... 538,000 17,704
Nanyang Holdings, Ltd................................ 73,500 76,829
National Electronics Holdings, Ltd................... 1,106,000 39,964
*Nph International Holdings, Ltd..................... 408,000 19,481
#Onfem Holdings, Ltd................................. 684,000 43,252
Orient Power Holdings, Ltd........................... 420,000 21,680
Pacific Concord Holding, Ltd......................... 1,648,000 216,926
*Paul Y. Properties Group, Ltd....................... 113,085 3,050
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Peregrine Investments Holdings, Ltd.................. 589,000 $ 326,842
Pokfulam Development Co., Ltd........................ 244,000 70,848
*Poly Investments Holdings, Ltd...................... 1,428,000 79,241
Prestige Properties Holdings, Ltd.................... 1,166,000 82,759
Process Automation Holdings, Ltd..................... 400,000 43,360
*RJP Electronics, Ltd................................ 1,350,000 18,815
Regal Hotels International Holdings, Ltd............. 4,988,179 650,156
*Rhine Holdings, Ltd................................. 260,000 4,697
*Rivera Holdings, Ltd................................ 1,912,000 22,453
Ryoden Development, Ltd.............................. 2,410,000 242,586
*S.A.S.Dragon Holdings, Ltd.......................... 944,000 12,182
*SIS International Holdings, Ltd..................... 326,000 25,242
San Miguel Brewery Hong Kong, Ltd.................... 812,400 125,807
Sea Holdings, Ltd.................................... 1,208,000 452,084
Seapower Resources International, Ltd................ 2,785,000 111,414
Semi-Tech (Global) Co., Ltd.......................... 3,546,672 247,155
Shaw Brothers Hong Kong, Ltd......................... 158,000 91,754
Shell Electric Manufacturing (Holdings) Co., Ltd..... 1,177,000 138,220
*#Shougang Concord Century Holdings, Ltd............. 1,000,000 36,134
*Shun Ho Construction (Holdings), Ltd................ 814,380 25,748
*Shun Ho Resources Holdings, Ltd..................... 510,000 15,006
Sincere Co., Ltd..................................... 872,000 56,265
*Singamas Container Holdings, Ltd.................... 360,000 8,595
*Sino Foundations Holdings, Ltd...................... 618,000 16,668
South China Brokerage Co., Ltd....................... 4,418,000 28,507
South China Holdings, Ltd............................ 846,000 90,616
South China Industries, Ltd.......................... 1,182,000 36,609
*South Sea Development Co., Ltd...................... 967,000 19,218
Starlight International Holdings, Ltd................ 708,000 41,572
#Stelux Holdings International, Ltd.................. 1,862,552 90,135
Sun Fook Kong Holdings, Ltd.......................... 1,018,000 143,195
*Swank International Manufacturing Co., Ltd.......... 226,000 24,499
Tai Cheung Holdings, Ltd............................. 1,377,000 334,077
Tai Sang Land Development, Ltd....................... 640,900 188,159
Tak Sing Alliance Holdings, Ltd...................... 1,299,335 50,303
Tak Wing Investment Holdings, Ltd.................... 370,000 15,757
Tern Properties Co., Ltd............................. 168,000 25,583
Tian An China Investments Co., Ltd................... 2,287,000 82,638
Tian Teck Land, Ltd.................................. 800,000 107,369
*Top Form International, Ltd......................... 494,000 10,200
Tse Sui Luen Jewellry (International), Ltd........... 395,830 57,722
*Tung Fong Hung (Holdings), Ltd...................... 6,942,000 43,001
Tung Fong Hung Properties (Holdings), Ltd............ 534,353 27,928
Tungtex (Holdings) Co., Ltd.......................... 558,000 60,488
*UDL Holdings, Ltd................................... 1,504,000 38,236
USI Holdings, Ltd.................................... 671,999 97,994
*Wah Nam Group, Ltd.................................. 630,000 3,984
*Winfoong International, Ltd......................... 1,525,000 59,040
*Wing Fai International, Ltd......................... 342,000 6,973
Wing On Co. International, Ltd....................... 588,000 256,098
Wing Shan International, Ltd......................... 1,130,000 121,035
Winsor Industrial Corp., Ltd......................... 394,500 73,819
Winsor Properties Holdings, Ltd...................... 55,000 42,231
</TABLE>
24
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Wo Kee Hong (Holdings), Ltd......................... 2,722,400 $ 52,698
*Wong's Kong King International (Holdings), Ltd...... 874,000 20,753
World Houseware (Holdings), Ltd...................... 594,000 23,763
*Yaohan International Holdings, Ltd.................. 1,660,000 10,711
Yau Lee Holdings, Ltd................................ 1,754,000 43,686
*Yoshiya International Corp., Ltd.................... 720,000 27,410
------------
TOTAL COMMON STOCKS
(Cost $27,516,174)................................... 15,728,426
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $184,236).................................... 184,235
------------
RIGHTS/WARRANTS -- (0.0%)
*Far East Consortium International, Ltd. Warrants
10/31/99........................................... 132,604 684
*Four Seas Travel International, Ltd. Warrants
12/08/00........................................... 47,200 1,218
*Grande Holdings, Ltd. Warrants 10/15/00............. 89,600 4,047
*KTP Holdings, Ltd. Warrants 09/30/99................ 23,000 208
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 6,157
------------
TOTAL -- HONG KONG
(Cost $27,700,410)................................... 15,918,818
------------
SWEDEN -- (2.9%)
COMMON STOCKS -- (2.7%)
Alma Industri & Handel AB Series B................... 8,000 185,929
Angpannefoereningen AB Series B...................... 7,650 126,996
*Argonaut AB Series A................................ 62,600 95,927
*Argonaut AB Series B................................ 571,480 883,025
B & N Bylock & Nordsjoefrakt AB Series B............. 91,800 336,443
BPA AB Series A...................................... 64,900 155,808
BPA AB Series B...................................... 49,700 123,125
Beijer AB Series B................................... 8,000 140,979
Benima Ferator Engineering AB........................ 10,600 41,150
Berg (C.F.) & Co. AB Series B........................ 19,200 76,006
Bong Ljungdahl AB.................................... 15,200 141,695
Boras Waefveri AB Series B........................... 15,900 116,749
Celsius Industrier AB Series B....................... 42,900 1,112,090
Concordia Maritime AB Series B....................... 118,100 304,641
*Evidentia Fastigheter AB Series A................... 40,410 172,354
*Evidentia Fastigheter AB Series B................... 3,900 16,385
FFNS Gruppen AB Series B............................. 47,050 477,654
*Fagerlid Industrier AB.............................. 12,150 58,959
Fastighets AB Tornet................................. 17,750 290,132
*Fastighits AB Celtica............................... 11,000 61,806
*Firefly AB.......................................... 5,800 5,925
Geveko AB Series B................................... 16,800 252,077
Gorthon Lines AB Series B............................ 69,300 402,653
ICB Shipping AB Series B............................. 135,200 1,363,925
*Intelligent Micro Systems Data AB................... 7,500 43,194
JP Bank Series A..................................... 44,500 261,399
SHARES VALUE+
------------ ------------
JP Bank Series B..................................... 23,100 $ 137,168
*Jacobson and Widmark AB............................. 31,000 130,636
*Kjessler & Mannerstrale AB.......................... 20,200 90,283
*Klippans Finpappersbruk AB.......................... 30,800 108,161
Marieberg Tidnings AB Series A....................... 38,700 1,173,711
Meda AB Series A..................................... 4,900 48,494
NH Nordiska Holding AB............................... 86,500 198,827
Naeckebro AB......................................... 45,030 750,411
*Naerkes Elektriska AB Series B...................... 18,000 151,706
Piren AB............................................. 58,618 445,384
Platzer Bygg AB Series B............................. 87,900 150,411
Prifast AB........................................... 44,400 436,576
Rottneros Bruk AB.................................... 461,900 362,752
*Scandiaconsult AB................................... 28,700 150,263
Solitair Kapital AB.................................. 265,600 237,418
Spendrups Bryggeri AB Series B....................... 23,600 177,808
*#Stena Line AB Series B............................. 212,300 704,872
Wallenstam Byggnads AB Series B...................... 73,700 541,155
Westergyllen AB Series B............................. 6,800 173,670
#Wihlborg & Son AB Series B.......................... 467,550 668,702
------------
TOTAL COMMON STOCKS
(Cost $13,470,554)................................... 14,085,434
------------
FACE
AMOUNT@
------------
(000)
BONDS -- (0.1%)
*Wihlborgs Fastigheter AB 5.83% Notes 12/02/02
(Cost $452,917).................................... 57 666,939
------------
INVESTMENT IN
CURRENCY -- (0.1%)
*Swedish Krona
(Cost $317,469).................................... 315,444
------------
SHARES
------------
RIGHTS/WARRANTS -- (0.0%)
*Wihlborgs Fastigheter AB Warrants 12/20/02
(Cost $85,873)..................................... 169,740 29,262
------------
TOTAL -- SWEDEN
(Cost $14,326,813)................................... 15,097,079
------------
MALAYSIA -- (2.7%)
COMMON STOCKS -- (2.7%)
A&M Realty Berhad.................................... 135,000 38,667
*#AMMB Holdings Berhad............................... 892,400 794,690
Advance Synergy Berhad............................... 523,000 76,261
Affin Holdings Berhad................................ 633,000 220,862
Aluminum Co. of Malaysia............................. 175,000 32,125
Amalgamated Containers Berhad........................ 67,000 12,212
*Amsteel Corp. Berhad................................ 1,912,000 216,566
Ancom Berhad......................................... 171,000 44,525
Angkasa Marketing Berhad............................. 206,000 35,938
*Anson Perdana Berhad................................ 122,000 27,002
Antah Holding Berhad................................. 275,000 44,395
*Aokam Perdana Berhad................................ 310,000 49,642
Arab Malaysia Corp. Berhad........................... 364,000 112,787
Asas Dunia Berhad.................................... 247,000 48,879
Asia Pacific Land Berhad............................. 1,101,000 121,840
*Austral Amalgamated Berhad.......................... 256,000 30,329
Austral Enterprises Berhad........................... 224,000 233,303
</TABLE>
25
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Bandar Raya Developments Berhad...................... 605,000 $ 118,149
Batu Kawan Berhad.................................... 358,000 449,306
*Berjaya Industrial Berhad........................... 130,000 12,694
*Best World Land Berhad.............................. 232,000 27,184
Bimb Holdings BHD.................................... 163,800 55,446
#Bolton Properties Berhad............................ 291,000 45,842
#Boustead Holdings Berhad............................ 541,000 394,428
*CHG Industries Berhad............................... 60,000 8,124
Cahya Mata Sarawak Berhad............................ 113,000 59,435
Cement Industries of Malaysia Berhad................. 204,000 109,423
Chin Teck Plantations Berhad......................... 55,000 69,027
Chocolate Products (Malaysia) Berhad................. 540,000 54,134
Choo Bee Metal Industries Berhad..................... 128,000 22,997
Cold Storage (Malaysia) Berhad....................... 125,000 59,563
DNP Holdings Berhad.................................. 487,000 74,182
*Damansara Realty Berhad............................. 1,136,000 109,444
Datuk Keramik Holdings Berhad........................ 309,000 81,263
Diethelm Holdings (Malaysia) Berhad.................. 101,000 20,776
Diversified Resources Berhad......................... 339,000 104,158
Eastern & Oriental Berhad............................ 143,000 59,203
Eastern Pacific Industrial Corp. Berhad.............. 125,000 18,389
*Econstates Berhad................................... 193,000 27,137
*FACB Berhad......................................... 969,000 99,663
FCW Holdings Berhad.................................. 182,000 25,827
*Faber Group Berhad.................................. 502,000 73,199
Far East Holdings Berhad............................. 78,000 37,370
Federal Flour Mills Berhad........................... 274,000 234,011
Fima Corp. Berhad.................................... 4,000 1,823
Gadek (Malaysia) Berhad.............................. 136,000 84,635
*General Corp. Berhad................................ 521,000 62,403
George Kent (Malaysia) Berhad........................ 108,000 21,653
George Town Holdings Berhad.......................... 171,000 36,511
Goh Ban Huat Berhad.................................. 72,000 14,623
Gold Coin (Malaysia) Berhad.......................... 47,000 25,700
Golden Plus Holdings Berhad.......................... 189,000 43,799
*Granite Industries Berhad........................... 345,000 41,772
*Gula Perak Berhad................................... 357,000 82,731
*Guthrie Ropel Berhad................................ 196,000 153,105
H&R Johnson (Malaysia) Berhad........................ 44,000 6,072
HLG Capital Berhad................................... 49,000 21,690
Ho Hup Construction Co. Berhad....................... 77,000 23,859
Hong Leong Industries Berhad......................... 217,000 177,420
IGB Corp. Berhad..................................... 583,000 180,646
*Insas Berhad........................................ 794,000 116,810
*Integrated Logistics Berhad......................... 107,000 21,314
Intria Berhad........................................ 1,127,500 158,534
*Island & Peninsular Berhad.......................... 242,000 163,833
Jasa Megah Industries Berhad......................... 226,000 45,312
Jeram Kuantan (Malaysia) Berhad...................... 42,000 6,124
KIG Glass Industrial Berhad.......................... 218,000 25,827
Kamunting Corp. Berhad............................... 1,648,000 214,555
Kanzen Berhad........................................ 83,000 15,777
Keck Seng (Malaysia) Berhad.......................... 373,000 138,886
*Kelanamas Industries Berhad......................... 162,000 17,084
Kemayan Corp. Berhad................................. 454,000 63,244
Kim Hin Industry Berhad.............................. 131,000 20,978
Kuala Sidim Berhad................................... 203,000 252,660
*Kumpulan Emas Berhad................................ 652,000 73,001
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Kym Holdings Berhad................................. 51,000 $ 12,748
Land - General Berhad................................ 649,000 101,393
*Landmarks Berhad.................................... 595,000 89,858
Larut Consolidated Berhad............................ 291,000 63,648
Leader Universal Holdings Berhad..................... 636,000 129,171
*Leong Hup Holdings Berhad........................... 230,000 34,735
Lim Kim Hai Holdings Berhad.......................... 36,000 4,687
Lion Corp. Berhad.................................... 226,800 50,197
Lion Land Berhad..................................... 1,551,304 179,750
MBF Holdings Berhad.................................. 1,521,000 162,377
*MBF Land Berhad..................................... 1,109,000 105,399
MCB Holdings Berhad.................................. 173,000 24,100
MMC Engineering Group Berhad......................... 25,000 9,016
MUI Properties Berhad................................ 1,017,400 131,132
MWE Holdings Berhad.................................. 228,000 32,058
Malayan Flour Mills Berhad........................... 137,000 42,093
Malayawata Steel Berhad.............................. 306,000 79,677
Malaysia Building Society Berhad..................... 343,000 100,922
Malaysia Industrial Development Finance Berhad....... 964,000 278,620
Malaysia Mining Corp. Berhad......................... 1,531,000 673,712
Malaysian Airlines System............................ 987,000 591,095
Malaysian Helicopter Services Berhad................. 1,070,000 150,449
Malaysian Mosaics Berhad............................. 79,000 24,067
Malaysian Plantations Berhad......................... 497,000 114,528
Maruichi Malaysia Steel Tube Berhad.................. 101,000 57,331
Mechmar Corp......................................... 67,000 10,816
Mega First Corp. Berhad.............................. 358,000 40,083
Metrojaya Berhad..................................... 152,000 36,412
Metroplex Berhad..................................... 1,210,000 274,105
*Minho (Malaysia) Berhad............................. 153,000 18,326
Muda Holdings Berhad................................. 223,000 44,420
Muhibbah Engineering Berhad.......................... 13,000 5,788
NCK Corp. Berhad..................................... 25,000 7,811
*Nam Fatt Berhad..................................... 143,000 45,799
OSK Holdings......................................... 349,000 117,227
Oriental Holdings Berhad............................. 197,200 341,461
PJ Development Holdings Berhad....................... 380,000 56,399
Palmco Holdings Berhad............................... 229,000 33,093
Pan Pacific Asia Berhad.............................. 165,000 51,985
Panglobal Berhad..................................... 180,000 28,590
Paramount Corp. Berhad............................... 100,000 23,304
Parit Perak Holdings Berhad.......................... 228,000 40,667
Pernas International Holdings Berhad................. 834,000 194,357
Pilecon Engineering Berhad........................... 257,000 67,588
Putera Capital Berhad................................ 77,000 18,846
SCB Developments Berhad.............................. 215,000 85,653
Sarawak Enterprise Corp. Berhad...................... 264,000 87,988
*Sateras Resources (Malaysia) Berhad................. 292,000 31,173
Scientex, Inc. Berhad................................ 3,000 1,133
Selangor Dredging Berhad............................. 356,000 46,348
Selangor Properties Berhad........................... 532,000 223,023
Shangri-la Hotels (Malaysia) Berhad.................. 682,000 188,236
Siah Brothers Corp. Berhad........................... 52,000 7,989
*Silverstone Berhad.................................. 66,920 0
South Malaysia Industries Berhad..................... 240,000 27,496
Southern Acids (Malaysia) Berhad..................... 24,000 7,624
</TABLE>
26
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
VALUE+
SHARES -
------------
<S> <C> <C>
Sriwani Holdings Berhad.............................. 26,000 $ 6,770
Ta Enterprise Berhad................................. 941,000 171,514
Taiping Consolidated Berhad.......................... 332,000 44,520
Talam Corp. Berhad................................... 191,000 45,257
Tan & Tan Developments Berhad........................ 496,000 167,895
Tan Chong Motor Holdings Berhad...................... 981,000 638,589
Time Engineering Berhad.............................. 796,000 209,337
*Tongkah Holdings Berhad............................. 205,000 47,774
Tradewinds (Malaysia) Berhad......................... 289,000 139,966
Tronoh Mines Malaysia Berhad......................... 62,000 73,615
UMW Holdings Berhad.................................. 95,000 59,120
Uniphone Telecommunications Berhad................... 212,000 40,297
Utusan Melayu (Malaysia) Berhad...................... 95,000 24,984
*Wembley Industries Holdings Berhad.................. 128,000 23,664
*Westmont Industries Berhad.......................... 361,000 83,658
Westmont Land (Asia) Berhad.......................... 259,000 36,417
*Wing Tiek Holdings Berhad........................... 86,000 19,930
Worldwide Holdings Berhad............................ 156,000 36,558
------------
TOTAL COMMON STOCKS
(Cost $44,655,412)................................... 14,179,146
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Malaysian Ringetts
(Cost $15,564)..................................... 15,001
------------
RIGHTS/WARRANTS -- (0.0%)
*Bolton Properties Berhad Rights 06/05/98
(Cost $0).......................................... 145,500 0
------------
TOTAL -- MALAYSIA
(Cost $44,670,976)................................... 14,194,147
------------
DENMARK -- (2.1%)
COMMON STOCKS -- (2.1%)
Aalborg Portland Holding A.S. Series A............... 4,556 519,881
Aalborg Portland Holding A.S. Series B............... 680 77,594
Aarhus Oliefabrik A.S. Aeries A...................... 6,770 358,847
Albani Bryggerierne Series B......................... 1,140 142,673
Alm Brand A.S. Series B.............................. 26,564 880,024
Amagerbanken A.S..................................... 3,842 179,323
Ambu International AS Series B....................... 358 28,042
Amtssparekassen Fyn A.S.............................. 3,711 247,518
Andersen & Martini Series B.......................... 500 19,141
Bording (F.E.) A.S. Series B......................... 475 25,387
Broedrene Hartmann A.S. Series B..................... 1,102 186,323
Cubic Modulsystem
A/S Series B....................................... 400 30,272
Dalhoff, Larsen & Hornemann A.S. Series B............ 1,813 82,752
Dampskibsselsk et Torm A.S........................... 3,657 230,994
Dampskibsselskabet Norden A.S........................ 937 89,675
Dansk Kautionsforsikring A.S......................... 3,929 313,169
Djursland Bank....................................... 473 41,438
Dv Industri A.S...................................... 4,200 176,243
*East Asiatic Co., Ltd............................... 43,862 400,404
Egnsbank Fyn Aktieselskab............................ 300 32,024
Egnsbank Han Herred.................................. 2,545 63,702
Egnsbank Nord A.S.................................... 708 68,280
SHARES VALUE+
------------ ------------
Ejendamsselskabet Norden A.S......................... 1,953 $ 112,146
Fih A.S. Series B.................................... 31,664 759,927
Foras Holding A.S. Series B.......................... 2,979 120,621
Forstaedernes Bank................................... 4,715 98,830
Fredgaard Radio AS................................... 1,747 105,462
Haandvaerkerbanken I Naestved........................ 519 38,208
Hedegaard (Peder P.) A.S............................. 1,406 60,035
Henriksen Og Henriksen Holding
A/S Series B....................................... 500 38,473
Hoejgaard Holding A.S. Series A...................... 2,076 336,231
Hoejgaard Holding A.S. Series B...................... 1,415 225,008
Hoffman & Sonner A.S. Series B....................... 1,261 58,299
*Junckers (F.) Industrier A.S........................ 3,475 181,636
Korn-Og Foderstof Kompagnet A.S...................... 24,880 615,429
Lan & Spar Bank A.S.................................. 5,706 176,429
Lauritzen (J.) Holding Series B...................... 4,878 466,846
Lokalbanken I Nordsjaelland A.S...................... 690 50,797
*Midtbank A.S........................................ 5,700 196,385
Migatronic Series B.................................. 1,294 38,105
Moens Bank A.S....................................... 424 21,663
Morso Bank........................................... 240 19,435
Naestved Diskontobanken.............................. 651 72,847
Nordvestbank......................................... 673 78,282
Norresundby Bank..................................... 110 15,386
Ove Arkil Series B................................... 400 39,460
*Rederiet Knud I. Larsen A.S......................... 3,619 85,256
Ringkjoebing Bank.................................... 244 56,404
Ringkjoebing Landbobank.............................. 513 139,736
Salling Bank......................................... 500 25,767
*Scanbox Danmark A/S Series B........................ 3,400 101,348
Skjern Bank A.S...................................... 306 25,456
Spaencom A.S......................................... 300 23,852
Spar Nord Holding.................................... 11,289 601,703
Sparbank Vest A.S.................................... 2,374 185,257
Sparekassen Faaborg A.S.............................. 1,314 102,539
Sydbank A.S.......................................... 15,770 893,945
The Bank of Greenland A.S., Nuuk..................... 1,000 28,711
Thrigetitan AS Series A.............................. 100 22,086
Torsana A/S Series B................................. 200 17,669
Totalbanken A.S...................................... 200 10,748
Vestfyns Bank........................................ 500 21,349
Vestjysk Bank........................................ 1,116 69,342
Wessel & Vett Magasin du Nord A.S. Series C.......... 6,148 402,821
------------
TOTAL COMMON STOCKS
(Cost $11,348,154)................................... 10,933,635
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Danish Krone
(Cost $94,764)..................................... 96,428
------------
TOTAL -- DENMARK
(Cost $11,442,918)................................... 11,030,063
------------
SINGAPORE -- (1.8%)
COMMON STOCKS -- (1.8%)
*Alliance Technology & Development, Ltd.............. 3,000 878
Apollo Enterprises, Ltd.............................. 192,000 91,756
Bonvests Holdings, Ltd............................... 471,000 120,985
*CK Tang, Ltd........................................ 57,000 30,645
</TABLE>
27
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Carnaudmetalbox Asia, Ltd............................ 163,000 $ 166,991
Chevalier Singapore Holdings, Ltd.................... 200,000 29,271
Chuan Hup Holdings, Ltd.............................. 516,000 110,967
Cosco Investment (Singapore), Ltd.................... 223,000 83,924
First Capital Corp., Ltd............................. 580,000 315,291
Focal Finance, Ltd................................... 101,000 87,485
*General Magnetics, Ltd.............................. 187,000 22,900
#Haw Par Brothers International, Ltd................. 411,000 451,754
Hind Hotels International, Ltd....................... 147,000 98,351
Hong Kok Corp., Ltd.................................. 307,000 201,731
Hotel Grand Central, Ltd............................. 327,700 97,879
Hotel Plaza, Ltd..................................... 892,000 213,141
Hotel Properties, Ltd................................ 785,000 286,050
Hour Glass, Ltd...................................... 210,000 50,179
Hwa Hong Corp., Ltd.................................. 402,000 261,755
*Hwa Tat Lee, Ltd.................................... 330,000 38,441
Insurance Corp. of Singapore, Ltd.................... 112,000 119,760
Intraco, Ltd......................................... 215,000 79,629
Isetan (Singapore), Ltd.............................. 64,000 69,199
Jack Chia-MPH, Ltd................................... 208,000 68,339
Jurong Engineering, Ltd.............................. 91,000 73,387
Keppel Marine Industries, Ltd........................ 409,000 322,507
LC Development, Ltd.................................. 292,000 54,074
Lee Kim Tah Holdings, Ltd............................ 72,000 23,871
Liang Court Holdings, Ltd............................ 1,052,600 264,092
Lim Kah Ngam, Ltd.................................... 235,000 80,017
Low Keng Huat Singapore, Ltd......................... 232,000 24,253
Metro Holdings, Ltd.................................. 233,800 167,598
*Neptune Orient Lines, Ltd........................... 1,394,000 549,602
Orchard Parade Holdings, Ltd......................... 472,000 245,303
Pacific Carriers, Ltd................................ 669,000 245,778
Prima, Ltd........................................... 83,000 138,828
Republic Hotels and Resorts, Ltd..................... 552,000 207,741
Resources Development Corp., Ltd..................... 88,000 115,650
SNP Corp., Ltd....................................... 72,500 16,891
*SPP, Ltd............................................ 55,000 4,271
Scotts Holdings, Ltd................................. 529,000 249,646
Shangri-la Hotel, Ltd................................ 354,200 425,291
Singapura Building Society, Ltd...................... 84,000 36,129
*Singatronics, Ltd................................... 433,000 76,305
Ssangyong Cement (Singapore), Ltd.................... 9,000 7,796
Tat Lee Finance, Ltd................................. 160,000 88,888
Tibs Holdings, Ltd................................... 203,000 86,705
Times Publishing, Ltd................................ 271,000 461,377
Tuan Sing Holdings, Ltd.............................. 1,676,000 180,214
United Engineers, Ltd................................ 334,000 155,626
United Industrial Corp., Ltd......................... 3,443,000 1,018,085
United Overseas Finance, Ltd......................... 129,000 75,519
United Overseas Land, Ltd............................ 1,321,000 725,993
*Van der Horst, Ltd.................................. 109,000 25,394
Vickers Ballas Holdings, Ltd......................... 543,000 231,925
WBL Corp., Ltd....................................... 98,000 81,373
#Wing Tai Holdings, Ltd.............................. 266,000 149,366
------------
TOTAL COMMON STOCKS
(Cost $20,887,090)................................... 9,706,796
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN
CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $10,606)..................................... $ 10,438
------------
TOTAL -- SINGAPORE
(Cost $20,897,696)................................... 9,717,234
------------
NORWAY -- (1.7%)
COMMON STOCKS -- (1.7%)
*Askia Invest ASA.................................... 93,000 23,459
*Awilco ASA Series A................................. 22,700 52,739
Bergensbanken ASA.................................... 24,056 210,784
Braathens S.A.F.E. ASA............................... 79,900 599,328
*Broevig Offshore ASA................................ 6,600 53,450
*C. Tybring-Gjedde ASA............................... 12,100 104,416
*Color Line ASA...................................... 72,300 230,366
*Dyno Industrier ASA................................. 67,522 1,380,497
Elkem ASA............................................ 123,652 1,592,364
*Fesil ASA........................................... 19,257 161,064
Gresvig ASA.......................................... 13,300 176,572
Helicopter Services Group ASA........................ 50,452 535,843
*Hunsfos ASA......................................... 10,740 38,641
*Kenor ASA........................................... 24,000 17,524
*Kongsberg Automotive ASA............................ 9,899 122,878
Kverneland ASA....................................... 21,732 565,490
Leif Hoegh & Co. ASA................................. 75,300 1,219,619
Moelven Industrier ASA............................... 179,016 209,143
*Nomadic Shipping ASA................................ 33,021 65,758
Nordlandsbanken ASA.................................. 15,808 392,453
*Nydalens Compagnie ASA Series A..................... 10,112 80,549
*Petroleum Geo-Services ASA.......................... 3,518 232,125
*Raufoss Ammunisjonfabrikker ASA..................... 3,100 43,214
Sagatex AS........................................... 4,000 22,304
Se Labels ASA........................................ 14,028 173,200
*Sensonor ASA........................................ 57,632 294,574
Storli ASA Series A.................................. 32,274 471,319
Ugland Nordic Shipping ASA........................... 4,000 44,077
*Waterfront Shipping ASA Series A.................... 24,000 10,355
------------
TOTAL COMMON STOCKS
(Cost $9,582,946).................................... 9,124,105
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $106,020).................................... 105,194
------------
TOTAL -- NORWAY
(Cost $9,688,966).................................... 9,229,299
------------
BELGIUM -- (1.3%)
COMMON STOCKS -- (1.3%)
*Banque Belgo-Zairoise Belgolaise SA................. 83 28,461
Belge des Betons..................................... 626 388,433
#Bernheim-Comofi SA.................................. 9,640 729,338
#CFE (Compagnie Francois d'Entreprises).............. 2,996 1,002,892
#CMB (Cie Martime Belge)............................. 7,500 574,575
#Cofinimmo SA........................................ 4,850 527,970
Floridienne NV....................................... 1,900 134,442
*Forges de Clabecq SA................................ 1,760 144
</TABLE>
28
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Franki NV (Cie Internationale des Pieux Armes
Frankignoul SA).................................... 1,800 $ 7,446
Ibel................................................. 2,500 190,505
*Immobel (Cie Immobiliere de Belgique SA)............ 17,260 1,221,297
*Papeteries de Catala SA............................. 450 74,583
Quick Restaurants SA................................. 600 27,759
*Recticel SA......................................... 58,686 742,668
SIPEF (Societe Internationale de Plantations & de
Finance), Anvers................................... 275 47,973
Sapec SA............................................. 6,401 339,695
Ter Beke NV.......................................... 1,600 195,948
Uco Textiles NV...................................... 2,000 336,377
------------
TOTAL COMMON STOCKS
(Cost $5,460,487).................................... 6,570,506
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Belgian Francs
(Cost $91,573)..................................... 91,255
------------
TOTAL -- BELGIUM
(Cost $5,552,060).................................... 6,661,761
------------
FINLAND -- (0.5%)
COMMON STOCKS -- (0.5%)
*Amer Group P.L.C.................................... 36,500 767,998
Bank of Aland, Ltd................................... 400 8,564
Benefon Oy........................................... 7,300 77,069
Honkarakenne Oy Series B............................. 1,000 6,460
Interavanti Oy....................................... 10,000 13,104
Julius Tallberg-Kiinteistoet Oy, Helsinki Series B... 7,101 59,634
Kone Oy Series B..................................... 6,200 904,027
Laennen Tehtaat Oy................................... 7,000 108,528
Lemminkainen Oy...................................... 3,000 38,760
Okobank Series A..................................... 10,670 196,937
Olvi Oyj Series A.................................... 2,700 76,246
Oy Leo-Longlife, Ltd. Series A....................... 400 7,383
Raute Oy Series A.................................... 3,600 46,512
Silja Oy AB Series A................................. 27,800 174,456
------------
TOTAL COMMON STOCKS
(Cost $2,458,606).................................... 2,485,678
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Finnish Markka
(Cost $10,050)..................................... 10,119
------------
TOTAL -- FINLAND
(Cost $2,468,656).................................... 2,495,797
------------
SHARES VALUE+
------------ ------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
AFFCO Holdings, Ltd.................................. 145,200 $ 21,765
CDL Hotels NZ, Ltd................................... 248,200 33,218
Cavalier Corp., Ltd.................................. 25,500 31,671
Ceramco Corp., Ltd................................... 34,400 24,493
DB Group, Ltd........................................ 71,500 114,830
Independent Newspapers, Ltd. (Auckland).............. 40,000 160,602
*New Zealand Oil & Gas, Ltd.......................... 110,000 20,022
Richina Pacific, Ltd................................. 28,600 16,535
Sanford, Ltd......................................... 75,900 113,770
St. Lukes Group, Ltd................................. 113,700 96,172
Tasman Agriculture, Ltd.............................. 99,400 40,442
*Tourism Holdings, Ltd............................... 31,200 17,037
Trans Tasman Properties, Ltd......................... 224,040 61,168
Wrightson, Ltd....................................... 119,900 32,735
------------
TOTAL COMMON STOCKS
(Cost $877,301)...................................... 784,460
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $2,016)...................................... 1,964
------------
RIGHTS/WARRANTS -- (0.0%)
*Tourism Holdings, Ltd. Rights 06/09/98
(Cost $0).......................................... 8,914 1,336
------------
TOTAL -- NEW ZEALAND
(Cost $879,317)...................................... 787,760
------------
UNITED STATES -- (0.1%)
COMMON STOCKS -- (0.1%)
*Forcenergy, Inc.
(Cost $217,696).................................... 21,811 406,229
------------
</TABLE>
<TABLE>
<S> <C> <C>
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.9%)
Repurchase Agreement, PNC Capital Markets Inc.
5.25%, 06/01/98 (Collateralized by U.S. Treasury
Notes 5.25%, 01/31/01, valued at $15,428,831) to
be repurchased at $15,198,647.
(Cost $15,192,000)............................... $ 15,192 15,192,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $622,738,978)++................................ $528,522,281
------------
------------
</TABLE>
- --------------------
+See Note B to Financial Statements.
@Denominated in local currency.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++Approximates cost for federal income tax purposes.
See accompanying Notes to Financial Statements.
29
<PAGE>
SCHEDULES OF INVESTMENTS
THE EMERGING MARKETS PORTFOLIO
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C> <C>
Investment in The Emerging Markets Series of The DFA Investment Trust Company................ $ 225,281,483
----------------
Total Investments (100%) (Cost $290,554,403)++........................................... $ 225,281,483
----------------
----------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE EMERGING MARKETS SMALL CAP PORTFOLIO
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
VALUE+
-------------
<S> <C> <C>
Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company...... $ 1,719,065
-------------
Total Investments (100%) (Cost $1,836,315)++............................................. $ 1,719,065
-------------
-------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ----------------
<S> <C> <C>
Investment in The DFA One-Year Fixed Income Series of The DFA Investment Trust Company....... 76,881,389 $ 771,120,332
----------------
Total Investments (100%) (Cost $762,695,834)++........................................... $ 771,120,332
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $767,066,383.
THE DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ----------------
<S> <C> <C>
Investment in The DFA Two-Year Global Fixed Income Series of The DFA Investment Trust
Company.................................................................................... 42,267,222 $ 427,317,584
----------------
Total Investments (100%) (Cost $424,676,171)++........................................... $ 427,317,584
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $426,325,431.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
30
<PAGE>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
AGENCY OBLIGATIONS -- (73.7%)
Federal Farm Credit Bank
5.380%, 06/04/98................................... $ 3,915 $ 3,913,244
5.350%, 06/15/98................................... 3,500 3,492,677
5.410%, 06/22/98................................... 5,607 5,589,403
Federal Home Loan Bank
5.450%, 06/01/98................................... 1,100 1,100,000
5.380%, 06/05/98................................... 15,200 15,190,964
5.380%, 06/24/98................................... 19,000 18,935,056
5.340%, 07/10/98................................... 26,500 26,346,406
5.410%, 07/15/98................................... 2,589 2,572,070
5.400%, 07/17/98................................... 10,000 9,931,638
5.380%, 07/22/98................................... 45,746 45,399,282
5.390%, 07/24/98................................... 15,000 14,881,854
5.380%, 08/12/98................................... 7,946 7,860,976
------------
TOTAL AGENCY OBLIGATIONS
(Cost $155,208,989).................................. 155,213,570
------------
U.S. TREASURY OBLIGATIONS -- (24.7%)
U.S. Treasury Notes
5.875%, 10/31/98
(Cost $52,047,622)............................... 52,000 52,090,480
------------
TEMPORARY CASH INVESTMENTS -- (1.6%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Bill,
04/01/99, valued at $3,432,040) to be repurchased at
$3,376,477.
(Cost $3,375,000).................................... 3,375 3,375,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $210,631,611)++................................ $210,679,050
------------
------------
- --------------------
+See Note B to Financial Statements.
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
31
<PAGE>
THE DFA GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
FRANCE -- (25.2%)
BONDS -- (25.2%)
Belgium (Kingdom of)
6.875%, 05/30/02................................... 35,000 $ 6,318,144
Caisse d'Amortissement et de Dette Sociale
5.500%, 04/25/02................................... 49,200 8,516,376
Credit Local de France SA Euro Medium Term Notes
5.375%, 10/11/01................................... 31,000 5,326,111
6.000%, 07/01/02................................... 20,000 3,513,423
France (Government of) BTAN
5.500%, 10/12/01................................... 38,000 6,577,054
4.750%, 03/12/02................................... 30,000 5,072,065
France Telecom SA
9.000%, 07/27/01................................... 50,000 9,447,129
KFW International Finance, Inc.
8.750%, 06/26/02................................... 33,800 6,507,725
SNCF (Societe Nationale de Chemins de Fer Francais)
7.750%, 03/01/02................................... 67,800 12,531,526
Suedwestdeutsche Landesbank Giro & Suedwestlb Capital
Markets P.L.C.
6.000%, 03/08/02................................... 15,500 2,707,358
Toyota Motor Credit Corp. Euro Medium Term Notes
6.250%, 04/11/02................................... 30,000 5,299,719
------------
TOTAL BONDS
(Cost $72,019,494)................................... 71,816,630
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*French Francs (Cost $329)............................ 330
------------
TOTAL -- FRANCE
(Cost $72,019,823)................................... 71,816,960
------------
GERMANY -- (23.5%)
BONDS -- (23.5%)
Denmark (Kingdom of)
4.750%, 01/07/02................................... 5,500 3,104,488
Deutsche Bahn Finance BV
6.875%, 07/19/02................................... 7,100 4,303,115
Germany (Federal Republic of)
8.000%, 07/22/02................................... 21,000 13,322,376
Japan Finance Corp. for Small Business
4.500%, 08/07/02................................... 17,400 9,696,543
LB Rheinland-Pfalz Finance BV
5.375%, 02/12/02................................... 14,700 8,491,219
Minnesota Mining & Manufacturing Co.
5.000%, 10/15/01................................... 19,700 11,200,377
Suedwestdeutsche Landesbank Capital Markets P.L.C.
5.375%, 02/06/02................................... 7,000 4,034,407
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
Tokyo Electric Power Co., Inc.
4.750%, 06/16/02................................... 15,000 $ 8,464,261
7.625%, 11/06/02................................... 7,000 4,358,337
------------
TOTAL BONDS
(Cost $67,495,445)................................... 66,975,123
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*German Marks (Cost $137)............................. 139
------------
TOTAL -- GERMANY
(Cost $67,495,582)................................... 66,975,262
------------
JAPAN -- (22.2%)
BONDS -- (22.2%)
Asian Development Bank
5.000%, 02/05/03................................... 1,600,000 13,677,333
Credit Local de France SA
6.000%, 10/31/01................................... 400,000 3,393,930
Deutsche Siedlungs Landesrentenbank
2.600%, 07/10/02................................... 868,000 6,698,316
Eksportfinans ASA
2.650%, 07/10/02................................... 360,000 2,782,520
European Investment Bank
4.625%, 02/26/03................................... 1,500,000 12,660,121
Inter-American Development Bank
2.250%, 02/05/02................................... 1,358,000 10,318,897
Nordic Investment Bank
2.600%, 06/28/02................................... 60,000 462,757
World Bank (International Bank for Reconstruction and
Development)
4.500%, 03/20/03................................... 1,580,000 13,304,540
------------
TOTAL BONDS
(Cost $68,567,248)................................... 63,298,414
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Japanese Yen (Cost $8)............................... 7
------------
TOTAL -- JAPAN
(Cost $68,567,256)................................... 63,298,421
------------
UNITED STATES -- (8.0%)
COMMERCIAL PAPER -- (8.0%)
Corporate Asset Funding Corp. C.P.
5.520%, 06/05/98................................... 1,000 999,387
Enterprise Funding Corp. C.P.
5.540%, 06/08/98................................... 2,030 2,027,813
Sheffield Receivables Corp. C.P.
5.530%, 06/09/98................................... 2,500 2,496,928
Sigma Finance Corp. C.P.
5.510%, 06/10/98................................... 3,500 3,495,179
Tampa Electric Co. C.P.
5.550%, 06/02/98................................... 1,600 1,599,753
</TABLE>
32
<PAGE>
THE DFA GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
Windmill Funding Corp. C.P.
5.510%, 06/11/98................................... 7,000 $ 6,989,286
5.400%, 06/23/98................................... 5,400 5,381,751
------------
TOTAL UNITED STATES
(Cost $22,990,097)................................... 22,990,097
------------
CANADA -- (9.5%)
BONDS -- (9.5%)
Bayerische Landesbank Girozentrale
6.750%, 12/29/00................................... 2,000 1,417,221
7.250%, 10/31/01................................... 4,000 2,889,427
Canada (Government of)
7.500%, 09/01/00................................... 5,000 3,601,817
General Electric Capital Canada, Inc.
8.000%, 12/29/00................................... 5,000 3,635,839
8.250%, 12/29/00................................... 6,684 4,883,359
Oesterreichische Kontrollbank AG Euro Medium Term Notes
7.000%, 12/31/01................................... 7,140 5,152,719
Oesterreichische Postsparkasse PSK
10.750%, 08/08/01.................................. 1,600 1,262,220
Toyota Credit Canada, Inc.
7.375%, 12/31/01................................... 5,603 4,072,396
------------
TOTAL BONDS
(Cost $28,323,494)................................... 26,914,998
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Canadian Dollars (Cost $180)......................... 180
------------
TOTAL -- CANADA
(Cost $28,323,674)................................... 26,915,178
------------
AUSTRALIA -- (7.9%)
BONDS -- (7.9%)
Airservices Australia
7.375%, 11/15/01................................... 2,750 1,835,802
Alberta (Province of)
7.000%, 03/20/02................................... 5,500 3,603,395
KFW International Finance, Inc.
7.375%, 05/09/01................................... 6,000 3,951,646
Mobil Australia Finance Co., Inc.
6.625%, 03/15/01................................... 2,000 1,292,286
New South Wales Treasury Corp.
8.000%, 12/01/01................................... 7,000 4,779,493
New South Wales Treasury Corp. Euro Medium Term Notes
8.750%, 04/18/02................................... 2,000 1,389,872
State Bank of New South Wales
11.750%, 08/16/01.................................. 3,800 2,811,174
10.750%, 03/12/02.................................. 2,000 1,466,913
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
State Bank of South Australia
11.000%, 04/10/02.................................. 2,000 $ 1,479,440
------------
TOTAL BONDS
(Cost $24,752,831)................................... 22,610,021
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Australian Dollar (Cost $1).......................... 1
------------
TOTAL -- AUSTRALIA
(Cost $24,752,832)................................... 22,610,022
------------
NETHERLANDS -- (1.8%)
BONDS -- (1.8%)
Netherlands (Kingdom of)
5.750%, 09/15/02 (Cost $5,348,710)................. 10,000 5,203,874
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $5)........................ 5
------------
TOTAL -- NETHERLANDS
(Cost $5,348,715).................................... 5,203,879
------------
UNITED KINGDOM -- (0.0%)
INVESTMENT IN
CURRENCY -- (0.0%)
*British Pound Sterling (Cost $72).................... 71
------------
TEMPORARY CASH INVESTMENTS -- (1.9%)
Repurchase Agreement, PNC Capital Markets Inc.
5.25%, 06/01/98 (Collateralized by U.S. Treasury
Notes 6.50%, 08/31/01, valued at $5,424,913) to
be repurchased at $5,340,335. (Cost
$5,338,000)...................................... 5,338 5,338,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $294,836,050)...... $285,147,890
------------
------------
- --------------------
+See Note B to Financial Statements.
@Denominated in local currency.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
33
<PAGE>
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
AGENCY OBLIGATIONS -- (57.5%)
Farm Credit System Financial Assistance Corp.
9.375%, 07/21/03................................... $ 2,000 $ 2,285,000
8.800%, 06/10/05................................... 1,000 1,170,000
Federal Farm Credit Bank
6.560%, 08/05/02................................... 2,000 2,058,440
6.875%, 04/04/03................................... 1,190 1,244,728
7.030%, 06/24/03................................... 2,000 2,109,180
6.450%, 10/07/09................................... 2,000 2,088,180
7.160%, 05/19/10................................... 3,000 3,323,819
6.135%, 12/13/10................................... 3,000 3,065,730
6.280%, 11/26/12................................... 1,000 1,029,760
Federal Home Loan Bank
6.225%, 10/17/02................................... 2,000 2,034,600
5.930%, 03/07/03................................... 10,085 10,154,485
5.440%, 10/15/03................................... 8,550 8,324,535
5.935%, 04/22/05................................... 2,000 2,015,000
6.030%, 01/30/08................................... 2,000 2,020,200
6.185%, 05/06/08................................... 1,000 1,024,150
6.045%, 05/22/08................................... 1,000 1,013,050
Federal Home Loan Mortgage Corp.
7.350%, 03/22/05................................... 2,000 2,168,580
6.130%, 02/27/06................................... 1,000 1,014,630
7.100%, 04/10/07................................... 2,000 2,162,100
6.480%, 12/05/11................................... 2,000 2,087,980
Federal National Mortgage Association
6.800%, 01/10/03................................... 6,000 6,248,939
6.710%, 05/21/03................................... 2,000 2,080,200
6.050%, 06/30/03................................... 3,000 3,036,360
5.450%, 10/10/03................................... 2,000 1,969,780
6.480%, 06/28/04................................... 2,000 2,067,640
7.400%, 07/01/04................................... 1,000 1,080,430
7.875%, 02/24/05................................... 2,000 2,224,740
7.375%, 03/28/05................................... 1,000 1,085,850
6.220%, 03/13/06................................... 3,070 3,124,523
6.890%, 04/25/06................................... 1,525 1,620,099
6.570%, 08/22/07................................... 2,000 2,089,700
6.470%, 09/25/12................................... 3,410 3,578,897
Student Loan Marketing Association
5.850%, 06/01/07................................... 1,000 995,850
Tennessee Valley Authority
6.375%, 06/15/05................................... 5,000 5,143,750
------------
TOTAL AGENCY OBLIGATIONS
(Cost $86,009,331)................................... 88,740,905
------------
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (41.8%)
U.S. Treasury Bonds
10.750%, 02/15/03.................................. $ 4,000 $ 4,837,480
10.750%, 05/15/03.................................. 8,000 9,753,359
11.125%, 08/15/03.................................. 2,000 2,490,620
11.875%, 11/15/03.................................. 3,000 3,867,780
12.375%, 05/15/04.................................. 2,000 2,674,480
11.625%, 11/15/04.................................. 1,000 1,320,680
12.000%, 05/15/05.................................. 5,000 6,805,050
10.750%, 08/15/05.................................. 8,000 10,380,799
9.375%, 02/15/06................................... 7,000 8,609,789
U.S. Treasury Notes
7.250%, 05/15/04................................... 3,000 3,247,620
7.000%, 07/15/06................................... 5,000 5,431,000
6.125%, 08/15/07................................... 5,000 5,164,500
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $62,710,073)................................... 64,583,157
------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes
5.875%, 08/31/99, valued at $1,159,950) to be
repurchased at $1,139,498.
(Cost $1,139,000)................................... 1,139 1,139,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $149,858,404)++.... $154,463,062
------------
------------
- --------------------
+See Note B to Financial Statements.
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
34
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
THE U.S. THE ENHANCED THE U.S. THE U.S.
LARGE U.S. LARGE LARGE 6-10
COMPANY COMPANY CAP VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ------------ -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value.................................. $ 463,290 $ 51,807 $ 1,068,817 $ 2,490,806
Receivables
Investment Securities Sold........................ 168 8 -- --
Fund Shares Sold.................................. 164 21 927 18,741
Prepaid Expenses and Other Assets..................... 43 29 45 98
------------ -------------- ------------ -------------
Total Assets.................................. 463,665 51,865 1,069,789 2,509,645
------------ -------------- ------------ -------------
LIABILITIES:
Payable for Investment Securities Purchased........... -- -- 466 14,100
Payable for Fund Shares Redeemed...................... 332 29 461 4,641
Accrued Expenses and Other Liabilities................ 39 11 157 669
------------ -------------- ------------ -------------
Total Liabilities............................. 371 40 1,084 19,410
------------ -------------- ------------ -------------
NET ASSETS............................................ $ 463,294 $ 51,825 $ 1,068,705 $ 2,490,235
------------ -------------- ------------ -------------
------------ -------------- ------------ -------------
SHARES OUTSTANDING $.01 PAR VALUE..................... 14,286,255 3,827,064 49,886,360 109,063,444
------------ -------------- ------------ -------------
------------ -------------- ------------ -------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE........ $ 32.43 $ 13.54 $ 21.42 $ 22.83
------------ -------------- ------------ -------------
------------ -------------- ------------ -------------
PUBLIC OFFERING PRICE PER SHARE....................... $ 32.43 $ 13.54 $ 21.42 $ 22.83
------------ -------------- ------------ -------------
------------ -------------- ------------ -------------
Investments at Cost................................... $ 290,948 $ 44,964 $ 733,059 $ 1,799,510
------------ -------------- ------------ -------------
------------ -------------- ------------ -------------
</TABLE>
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE DFA
6-10 SMALL 9-10 SMALL REAL ESTATE
COMPANY COMPANY SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------- -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE
AMOUNTS)
<S> <C> <C> <C>
ASSETS:
Investments at Value..................................................... $ 379,016 $ 1,588,250 $ 109,142
Collateral for Securities Loaned......................................... -- -- 15,375
Receivables
Dividends and Interest............................................... -- -- 201
Investment Securities Sold........................................... -- 39 --
Fund Shares Sold..................................................... 252 389 67
Prepaid Expenses and Other Assets........................................ 19 37 9
------------ ------------- -------------
Total Assets..................................................... 379,287 1,588,715 124,794
------------ ------------- -------------
LIABILITIES:
Payable for Securities Loaned............................................ -- -- 15,375
Payable for Investment Securities Purchased.............................. 114 -- --
Payable for Fund Shares Redeemed......................................... 138 428 50
Accrued Expenses and Other Liabilities................................... 133 1,061 50
------------ ------------- -------------
Total Liabilities................................................ 385 1,489 15,475
------------ ------------- -------------
NET ASSETS............................................................... $ 378,902 $ 1,587,226 $ 109,319
------------ ------------- -------------
------------ ------------- -------------
SHARES OUTSTANDING $.01 PAR VALUE........................................ 23,517,807 125,681,499 7,537,605
------------ ------------- -------------
------------ ------------- -------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE........................... $ 16.11 $ 12.63 $ 14.50
------------ ------------- -------------
------------ ------------- -------------
PUBLIC OFFERING PRICE PER SHARE.......................................... $ 16.11 $ 12.63 $ 14.50
------------ ------------- -------------
------------ ------------- -------------
Investments at Cost...................................................... $ 278,597 $ 1,110,294 $ 97,456
------------ ------------- -------------
------------ ------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
35
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
THE RWB/DFA THE THE
THE INTERNATIONAL INTERNATIONAL JAPANESE
LARGE CAP HIGH BOOK SMALL SMALL
INTERNATIONAL TO MARKET COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ------------ ------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value........................................... $ 103,150 $ 318,822 $ 290,426 $ 111,314
Collateral for Securities Loaned............................... 15,003 -- -- --
Cash........................................................... 15 -- 25 --
Receivables
Dividends and Interest..................................... 541 -- -- --
Investment Securities Sold................................. 53 201 -- 2,517
Fund Shares Sold........................................... 28 92 114 5
Prepaid Expenses and Other Assets.............................. 18 11 77 6
------------ -------------- ------------ ------------
Total Assets........................................... 118,808 319,126 290,642 113,842
------------ -------------- ------------ ------------
LIABILITIES:
Payable for Securities Loaned.................................. 15,003 -- -- --
Payable for Investment Securities Purchased.................... 16 -- -- --
Payable for Fund Shares Redeemed............................... 104 293 88 2,522
Accrued Expenses and Other Liabilities......................... 41 54 106 54
------------ -------------- ------------ ------------
Total Liabilities...................................... 15,164 347 194 2,576
------------ -------------- ------------ ------------
NET ASSETS..................................................... $ 103,644 $ 318,779 $ 290,448 $ 111,266
------------ -------------- ------------ ------------
------------ -------------- ------------ ------------
SHARES OUTSTANDING $.01 PAR VALUE.............................. 6,426,518 21,723,034 33,939,940 12,726,571
------------ -------------- ------------ ------------
------------ -------------- ------------ ------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE................. $ 16.13 $ 14.67 $ 8.56 $ 8.74
------------ -------------- ------------ ------------
------------ -------------- ------------ ------------
PUBLIC OFFERING PRICE PER SHARE................................ $ 16.13 $ 14.67 $ 8.62 $ 8.78
------------ -------------- ------------ ------------
------------ -------------- ------------ ------------
Investments at Cost............................................ $ 68,914 $ 251,145 $ 327,067 $ 282,165
------------ -------------- ------------ ------------
------------ -------------- ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
THE THE THE DFA
PACIFIC RIM THE UNITED CONTINENTAL INTERNATIONAL
SMALL KINGDOM SMALL SMALL SMALL CAP
COMPANY COMPANY COMPANY VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ --------------- ------------ ------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value........................................... $ 89,115 $ 116,372 $ 253,292 $ 528,522
Cash........................................................... -- -- -- 15
Receivables
Dividends and Interest..................................... -- -- -- 2,992
Investment Securities Sold................................. 3,000 59 87 5,902
Fund Shares Sold........................................... -- -- 5 454
Prepaid Expenses and Other Assets.............................. 5 7 5 67
------------ --------------- ------------ ------------
Total Assets........................................... 92,120 116,438 253,389 537,952
------------ --------------- ------------ ------------
LIABILITIES:
Payable for Investment Securities Purchased.................... -- -- -- 1,917
Payable for Fund Shares Redeemed............................... 3,000 59 92 86
Loan Payable................................................... -- -- 1,103 --
Accrued Expenses and Other Liabilities......................... 43 46 103 390
------------ --------------- ------------ ------------
Total Liabilities...................................... 3,043 105 1,298 2,393
------------ --------------- ------------ ------------
NET ASSETS..................................................... $ 89,077 $ 116,333 $ 252,091 $ 535,559
------------ --------------- ------------ ------------
------------ --------------- ------------ ------------
SHARES OUTSTANDING $.01 PAR VALUE.............................. 13,044,592 3,996,563 12,854,478 64,265,859
------------ --------------- ------------ ------------
------------ --------------- ------------ ------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE................. $ 6.83 $ 29.11 $ 19.61 $ 8.33
------------ --------------- ------------ ------------
------------ --------------- ------------ ------------
PUBLIC OFFERING PRICE PER SHARE................................ $ 6.90 $ 29.11 $ 19.81 $ 8.39
------------ --------------- ------------ ------------
------------ --------------- ------------ ------------
Investments at Cost............................................ $ 165,942 $ 78,603 $ 153,161 $ 622,739
------------ --------------- ------------ ------------
------------ --------------- ------------ ------------
</TABLE>
See accompanying Notes to Financial Statements.
36
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
THE THE DFA
THE EMERGING THE DFA TWO-YEAR
EMERGING MARKETS ONE-YEAR GLOBAL FIXED
MARKETS SMALL CAP FIXED INCOME INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ------------- -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value.............................................. $ 225,281 $ 1,719 $ 771,120 $ 427,318
Receivables
Investment Securities Sold.................................... -- -- 2,387 240
Fund Shares Sold.............................................. 186 25 513 264
Prepaid Expenses and Other Assets................................. 36 50 24 45
------------ ----------- ------------- -------------
Total Assets.............................................. 225,503 1,794 774,044 427,867
------------ ----------- ------------- -------------
LIABILITIES:
Payable for Investment Securities Purchased....................... 130 -- -- --
Payable for Fund Shares Redeemed.................................. 55 -- 2,900 504
Accrued Expenses and Other Liabilities............................ 85 30 88 43
------------ ----------- ------------- -------------
Total Liabilities......................................... 270 30 2,988 547
------------ ----------- ------------- -------------
NET ASSETS........................................................ $ 225,233 $ 1,764 $ 771,056 $ 427,320
------------ ----------- ------------- -------------
------------ ----------- ------------- -------------
SHARES OUTSTANDING $.01 PAR VALUE................................. 25,052,829 175,328 75,336,468 42,241,980
------------ ----------- ------------- -------------
------------ ----------- ------------- -------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE.................... $ 8.99 $ 10.06 $ 10.23 $ 10.12
------------ ----------- ------------- -------------
------------ ----------- ------------- -------------
PUBLIC OFFERING PRICE PER SHARE................................... $ 9.03 $ 10.16 $ 10.23 $ 10.12
------------ ----------- ------------- -------------
------------ ----------- ------------- -------------
Investments at Cost............................................... $ 290,554 $ 1,836 $ 762,696 $ 424,676
------------ ----------- ------------- -------------
------------ ----------- ------------- -------------
</TABLE>
<TABLE>
<CAPTION>
THE DFA
THE DFA THE DFA INTERMEDIATE
FIVE-YEAR GLOBAL GOVERNMENT
GOVERNMENT FIXED INCOME FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
------------- --------------- ----------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C>
ASSETS:
Investments at Value..................................................... $ 210,679 $ 285,148 $ 154,463
Cash..................................................................... -- 15 --
Receivables
Dividends and Interest............................................... 267 7,595 2,413
Fund Shares Sold..................................................... 192 895 614
Unrealized Gain on Forward Currency Contracts........................ -- 4,288 --
Prepaid Expenses and Other Assets........................................ 21 32 12
------------- --------------- ----------------
Total Assets..................................................... 211,159 297,973 157,502
------------- --------------- ----------------
LIABILITIES:
Payable for Fund Shares Redeemed......................................... 285 167 76
Accrued Expenses and Other Liabilities................................... 57 107 43
------------- --------------- ----------------
Total Liabilities................................................ 342 274 119
------------- --------------- ----------------
NET ASSETS............................................................... $ 210,817 $ 297,699 $ 157,383
------------- --------------- ----------------
------------- --------------- ----------------
SHARES OUTSTANDING $.01 PAR VALUE........................................ 20,454,822 28,639,010 13,847,912
------------- --------------- ----------------
------------- --------------- ----------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE........................... $ 10.31 $ 10.39 $ 11.37
------------- --------------- ----------------
------------- --------------- ----------------
PUBLIC OFFERING PRICE PER SHARE.......................................... $ 10.31 $ 10.39 $ 11.37
------------- --------------- ----------------
------------- --------------- ----------------
Investments at Cost...................................................... $ 210,632 $ 294,836 $ 149,858
------------- --------------- ----------------
------------- --------------- ----------------
</TABLE>
See accompanying Notes to Financial Statements.
37
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE
THE U.S. ENHANCED THE U.S.
LARGE U.S. LARGE LARGE CAP THE U.S.
COMPANY COMPANY VALUE 6-10 VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust
Company.................................................... -- $ 1,236 $ 4,743 $ 4,892
Net Investment Income from The DFA Investment Trust
Company.................................................... $ 3,123 -- -- --
----------- ----------- ----------- -----------
Total Investment Income................................ 3,123 1,236 4,743 4,892
----------- ----------- ----------- -----------
EXPENSES
Administrative Services...................................... 441 37 723 3,419
Accounting & Transfer Agent Fees............................. 57 10 10 10
Legal Fees................................................... 2 1 5 12
Audit Fees................................................... 1 -- 1 3
Filing Fees.................................................. 27 8 35 68
Shareholders' Reports........................................ 7 1 17 40
Directors' Fees and Expenses................................. 2 1 4 11
Other........................................................ 1 2 3 3
----------- ----------- ----------- -----------
Total Expenses......................................... 538 60 798 3,566
Less: Expenses Waived........................................ (365) -- -- --
----------- ----------- ----------- -----------
Net Expenses................................................. 173 60 798 3,566
----------- ----------- ----------- -----------
NET INVESTMENT INCOME........................................ 2,950 1,176 3,945 1,326
----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from The DFA Investment
Trust Company.............................................. -- 5,923 46,822 189,783
Net Realized Loss on Investment Securities................... (135) (631) (448) (1,093)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................. 52,337 288 100,538 (11,737)
----------- ----------- ----------- -----------
NET GAIN ON INVESTMENT SECURITIES AND FOREIGN CURRENCY....... 52,202 5,580 146,912 176,953
----------- ----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........... $ 55,152 $ 6,756 $ 150,857 $ 178,279
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
</TABLE>
See accompanying Notes to Financial Statements.
38
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE DFA THE LARGE
6-10 SMALL 9-10 SMALL REAL ESTATE CAP
COMPANY COMPANY SECURITIES INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0 and
$112, respectively)......................................... -- -- $ 3,017 $ 1,077
Interest...................................................... -- -- 65 78
Income from Securities Lending................................ -- -- 31 42
Income Distributions Received from The DFA Investment Trust
Company..................................................... $ 542 $ 905 -- --
----------- ----------- ----------- ------------
Total Investment Income................................. 542 905 3,113 1,197
----------- ----------- ----------- ------------
EXPENSES
Investment Advisory Services.................................. -- -- 155 121
Administrative Services....................................... 603 3,108 -- --
Accounting & Transfer Agent Fees.............................. 10 10 57 63
Custodian's Fee............................................... -- -- 8 17
Legal Fees.................................................... 2 51 1 2
Audit Fees.................................................... 1 13 5 4
Filing Fees................................................... 14 35 12 9
Shareholders' Reports......................................... 7 45 2 2
Directors' Fees and Expenses.................................. 2 12 1 1
Other......................................................... -- 1 2 2
----------- ----------- ----------- ------------
Total Expenses.......................................... 639 3,275 243 221
----------- ----------- ----------- ------------
NET INVESTMENT INCOME (LOSS).................................. (97) (2,370) 2,870 976
----------- ----------- ----------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from The DFA Investment
Trust Company............................................... 25,514 -- -- --
Net Realized Gain (Loss) on Investment Securities............. 415 (20,832) 69 (32)
Net Realized Loss on Foreign Currency Transactions............ -- -- -- (5)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................. (2,493) 101,287 (5,043) 12,349
Translation of Foreign Currency Denominated Amounts......... -- -- -- (8)
----------- ----------- ----------- ------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY.................................................... 23,436 80,455 (4,974) 12,304
----------- ----------- ----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS.................................................... $ 23,339 $ 78,085 $ (2,104) $ 13,280
----------- ----------- ----------- ------------
----------- ----------- ----------- ------------
</TABLE>
See accompanying Notes to Financial Statements.
39
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE RWB/DFA THE THE THE
INTERNATIONAL INTERNATIONAL JAPANESE PACIFIC RIM
HIGH BOOK SMALL SMALL SMALL
TO MARKET COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------ ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest........................................................... -- $ 61 -- --
Income Distributions Received from The DFA Investment Trust
Company.......................................................... $ 1,592 -- -- --
Net Investment Income from The DFA Investment Trust Company........ -- 2,916 $ 1,072 $ 1,596
-------------- ------------ ----------- -----------
Total Investment Income...................................... 1,592 2,977 1,072 1,596
-------------- ------------ ----------- -----------
EXPENSES
Administrative Services............................................ 15 519 247 216
Accounting & Transfer Agent Fees................................... 10 16 19 19
Client Service Fee................................................. 194 -- -- --
Legal Fees......................................................... 2 2 1 1
Audit Fees......................................................... -- -- -- 8
Filing Fees........................................................ 18 32 9 3
Shareholders' Reports.............................................. 6 5 3 --
Directors' Fees and Expenses....................................... 2 1 1 1
Other.............................................................. 5 4 1 --
-------------- ------------ ----------- -----------
Total Expenses............................................... 252 579 281 248
-------------- ------------ ----------- -----------
NET INVESTMENT INCOME.............................................. 1,340 2,398 791 1,348
-------------- ------------ ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from The DFA Investment Trust
Company.......................................................... 721 -- -- --
Net Realized Gain (Loss) on Investment Securities.................. (1,157) 1,587 (5,603) 169
Net Realized Loss on Foreign Currency Transactions................. -- (154) (81) (187)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency....................... 50,576 23,461 (2,408) (25,383)
Translation of Foreign Currency Denominated Amounts.............. -- (7) (62) 8
-------------- ------------ ----------- -----------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY...... 50,137 24,887 (8,154) (25,393)
-------------- ------------ ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS...... $ 51,480 $ 27,285 $ (7,363) $ (24,045)
-------------- ------------ ----------- -----------
-------------- ------------ ----------- -----------
</TABLE>
See accompanying Notes to Financial Statements.
40
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE THE THE DFA
UNITED KINGDOM CONTINENTAL INTERNATIONAL THE
SMALL SMALL SMALL CAP EMERGING
COMPANY COMPANY VALUE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ----------- ------------ ----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0, $1,021 and
$0, respectively)............................................. -- -- $ 6,181 --
Interest........................................................ -- -- 388 --
Income from Securities Lending.................................. -- -- 126 --
Net Investment Income from The DFA Investment Trust Company..... $ 1,976 $ 2,099 -- $ 2,507
-------- ----------- ------------ ----------
Total Investment Income................................... 1,976 2,099 6,695 2,507
-------- ----------- ------------ ----------
EXPENSES
Investment Advisory Services.................................... -- -- 1,591 --
Administrative Services......................................... 247 479 -- 444
Accounting & Transfer Agent Fees................................ 19 19 246 19
Custodian's Fee................................................. -- -- 135 --
Legal Fees...................................................... 1 2 6 2
Audit Fees...................................................... -- -- 20 --
Filing Fees..................................................... 8 9 46 27
Shareholders' Reports........................................... 2 5 9 5
Directors' Fees and Expenses.................................... 1 1 5 1
Other........................................................... 1 4 15 4
-------- ----------- ------------ ----------
Total Expenses............................................ 279 519 2,073 502
-------- ----------- ------------ ----------
NET INVESTMENT INCOME........................................... 1,697 1,580 4,622 2,005
-------- ----------- ------------ ----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) on Investment Securities............... 6,368 13,979 2,373 (1,041)
Net Realized Loss on Foreign Currency Transactions.............. (61) (95) (143) (377)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.................... 10,231 55,323 42,064 (10,710)
Translation of Foreign Currency Denominated Amounts........... (20) 135 (93) 10
-------- ----------- ------------ ----------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY... 16,518 69,342 44,201 (12,118)
-------- ----------- ------------ ----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS... $ 18,215 $ 70,922 $ 48,823 $ (10,113)
-------- ----------- ------------ ----------
-------- ----------- ------------ ----------
</TABLE>
See accompanying Notes to Financial Statements.
41
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA THE DFA
THE EMERGING ONE-YEAR TWO-YEAR GLOBAL
MARKETS SMALL CAP FIXED INCOME FIXED INCOME
PORTFOLIO (1) PORTFOLIO PORTFOLIO
----------------- ------------- ----------------
<S> <C> <C> <C>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust
Company........................................................... -- $ 21,646 $ 16,419
Net Investment Income from The DFA Investment Trust Company......... $ 12 -- --
----- ------------- --------
Total Investment Income....................................... 12 21,646 16,419
----- ------------- --------
EXPENSES
Investment Advisory Services........................................ 1 -- --
Administrative Services............................................. -- 383 209
Accounting & Transfer Agent Fees.................................... 9 10 10
Legal Fees.......................................................... -- 4 2
Audit Fees.......................................................... -- 1 1
Filing Fees......................................................... 1 27 36
Shareholders' Reports............................................... 1 14 8
Directors' Fees and Expenses........................................ -- 4 2
Other............................................................... 1 1 3
----- ------------- --------
Total Expenses................................................ 13 444 271
----- ------------- --------
NET INVESTMENT INCOME (LOSS)........................................ (1) 21,202 16,148
----- ------------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from The DFA Investment Trust
Company........................................................... -- -- 898
Net Realized Gain (Loss) on Investment Securities................... 50 (94) (1,447)
Net Realized Loss on Foreign Currency Transactions.................. (1) -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................ (117) 1,197 (2,767)
----- ------------- --------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY....... (68) 1,103 (3,316)
----- ------------- --------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS....... $ (69) $ 22,305 $ 12,832
----- ------------- --------
----- ------------- --------
</TABLE>
- --------------
(1) For the period March 5, (commencement of operations) to May 31, 1998.
See accompanying Notes to Financial Statements.
42
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
THE DFA THE DFA INTERMEDIATE
FIVE-YEAR GLOBAL FIXED GOVERNMENT
GOVERNMENT INCOME FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------- -------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest................................................................. $ 5,731 $ 5,868 $ 4,433
------------- ------------- -------------
Total Investment Income............................................ 5,731 5,868 4,433
------------- ------------- -------------
EXPENSES
Investment Advisory Services............................................. 207 338 107
Accounting & Transfer Agent Fees......................................... 45 145 36
Custodian's Fee.......................................................... 11 25 7
Legal Fees............................................................... 2 4 1
Audit Fees............................................................... 10 12 7
Filing Fees.............................................................. 14 24 10
Shareholders' Reports.................................................... 4 5 3
Directors' Fees and Expenses............................................. 2 2 1
Other.................................................................... 1 1 2
------------- ------------- -------------
Total Expenses..................................................... 296 556 174
------------- ------------- -------------
NET INVESTMENT INCOME.................................................... 5,435 5,312 4,259
------------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) on Investment Securities........................ 259 (45) 402
Net Realized Gain on Foreign Currency Transactions....................... -- 9,497 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............................. 137 (3,394) 1,228
Translation of Foreign Currency Denominated Amounts.................... -- (282) --
------------- ------------- -------------
NET GAIN ON INVESTMENT SECURITIES AND FOREIGN CURRENCY................... 396 5,776 1,630
------------- ------------- -------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....................... $ 5,831 $ 11,088 $ 5,889
------------- ------------- -------------
------------- ------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
43
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE ENHANCED THE U.S. THE U.S.
LARGE COMPANY U.S. LARGE COMPANY LARGE CAP VALUE 6-10 VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------- ---------------------- ---------------------- -----------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31,
1998 1997 1998 1997 1998 1997 1998
----------- -------- ----------- -------- ----------- -------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income...................... $ 2,950 $ 4,429 $ 1,176 $ 1,501 $ 3,945 $ 11,814 $ 1,326
Capital Gain Distributions Received from
The DFA Investment Trust Company......... -- -- 5,923 3,438 46,822 28,840 189,783
Net Realized Gain (Loss) on Investment
Securities............................... (135) 386 (631) (223) (448) (374) (1,093)
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities............................... 52,337 61,568 288 2,464 100,538 112,833 (11,737)
----------- -------- ----------- -------- ----------- -------- -----------
Net Increase in Net Assets Resulting
from Operations...................... 55,152 66,383 6,756 7,180 150,857 153,113 178,279
----------- -------- ----------- -------- ----------- -------- -----------
Distributions From:
Net Investment Income...................... (2,714) (4,238) (1,582) (1,430) (7,287) (11,318) (9,211)
Net Realized Gains......................... (834) (1,083) (4,915) (1,462) (36,941) (11,813) (87,388)
----------- -------- ----------- -------- ----------- -------- -----------
Total Distributions.................... (3,548) (5,321) (6,497) (2,892) (44,228) (23,131) (96,599)
----------- -------- ----------- -------- ----------- -------- -----------
Capital Share Transactions (1):
Shares Issued.............................. 108,557 129,228 8,092 30,747 162,100 244,279 379,935
Shares Issued in Lieu of Cash
Distributions............................ 2,870 4,190 4,981 796 34,730 17,570 82,593
Shares Redeemed............................ (43,274) (38,700) (9,149) (17,425) (74,757) (92,977) (152,627)
----------- -------- ----------- -------- ----------- -------- -----------
Net Increase From Capital Shares
Transactions......................... 68,153 94,718 3,924 14,118 122,073 168,872 309,901
----------- -------- ----------- -------- ----------- -------- -----------
Total Increase......................... 119,757 155,780 4,183 18,406 228,702 298,854 391,581
NET ASSETS
Beginning of Period........................ 343,537 187,757 47,642 29,236 840,003 541,149 2,098,654
----------- -------- ----------- -------- ----------- -------- -----------
End of Period.............................. $463,294 $343,537 $51,825 $ 47,642 $1,068,705 $840,003 $2,490,235
----------- -------- ----------- -------- ----------- -------- -----------
----------- -------- ----------- -------- ----------- -------- -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................. 3,515 5,125 626 2,448 7,973 14,060 16,984
Shares Issued in Lieu of Cash
Distributions........................... 99 173 418 68 1,903 1,083 4,021
Shares Redeemed........................... (1,389) (1,498) (717) (1,488) (3,692) (5,299) (6,938)
----------- -------- ----------- -------- ----------- -------- -----------
2,225 3,800 327 1,028 6,184 9,844 14,067
----------- -------- ----------- -------- ----------- -------- -----------
----------- -------- ----------- -------- ----------- -------- -----------
<CAPTION>
YEAR ENDED
NOV. 30,
1997
----------
<S> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income...................... $ 6,176
Capital Gain Distributions Received from
The DFA Investment Trust Company......... 55,250
Net Realized Gain (Loss) on Investment
Securities............................... (793)
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities............................... 429,999
----------
Net Increase in Net Assets Resulting
from Operations...................... 490,632
----------
Distributions From:
Net Investment Income...................... (7,821)
Net Realized Gains......................... (26,324)
----------
Total Distributions.................... (34,145)
----------
Capital Share Transactions (1):
Shares Issued.............................. 644,816
Shares Issued in Lieu of Cash
Distributions............................ 28,379
Shares Redeemed............................ (238,326)
----------
Net Increase From Capital Shares
Transactions......................... 434,869
----------
Total Increase......................... 891,356
NET ASSETS
Beginning of Period........................ 1,207,298
----------
End of Period.............................. $2,098,654
----------
----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................. 34,268
Shares Issued in Lieu of Cash
Distributions........................... 1,683
Shares Redeemed........................... (11,957)
----------
23,994
----------
----------
</TABLE>
See accompanying Notes to Financial Statements.
44
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE U.S. 6-10 THE U.S. 9-10 THE DFA REAL ESTATE
SMALL COMPANY SMALL COMPANY SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------- ------------------------- -------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
1998 1997 1998 1997 1998 1997
----------- ----------- ----------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......... $ (97) $ 1,369 $ (2,370) $ 2,784 $ 2,870 $ 5,413
Capital Gain Distributions Received
from The DFA Investment Trust
Company............................. 25,514 25,830 -- -- -- --
Net Realized Gain (Loss) on Investment
Securities.......................... 415 3,502 (20,832) 203,572 69 9,447
Net Realized Loss on Foreign Currency
Transactions........................ -- -- -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities and Foreign Currency..... (2,493) 34,002 101,287 117,414 (5,043) 8,112
Translation of Foreign Currency
Denominated Amounts................. -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations...................... 23,339 64,703 78,085 323,770 (2,104) 22,972
----------- ----------- ----------- ----------- ----------- -----------
Distributions From:
Net Investment Income................. (1,600) (1,724) (2,802) (2,613) (4,644) (3,559)
Net Realized Gains.................... (30,255) (14,685) (203,659) (112,075) -- --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions............... (31,855) (16,409) (206,461) (114,688) (4,644) (3,559)
----------- ----------- ----------- ----------- ----------- -----------
Capital Share Transactions (1):
Shares Issued......................... 86,773 150,640 181,943 280,065 24,811 44,305
Shares Issued in Lieu of Cash
Distributions....................... 29,641 14,417 177,758 102,836 3,540 2,916
Shares Redeemed....................... (66,988) (109,553) (153,526) (264,360) (7,356) (35,952)
----------- ----------- ----------- ----------- ----------- -----------
Net Increase From Capital Shares
Transactions.................... 49,426 55,504 206,175 118,541 20,995 11,269
----------- ----------- ----------- ----------- ----------- -----------
Total Increase.................... 40,910 103,798 77,799 327,623 14,247 30,682
NET ASSETS
Beginning of Period................... 337,992 234,194 1,509,427 1,181,804 95,072 64,390
----------- ----------- ----------- ----------- ----------- -----------
End of Period......................... $ 378,902 $ 337,992 $1,587,226 $ 1,509,427 $ 109,319 $ 95,072
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued........................ 5,559 10,399 14,616 22,996 1,670 3,193
Shares Issued in Lieu of Cash
Distributions...................... 2,014 1,066 15,525 9,206 242 222
Shares Redeemed...................... (4,067) (7,570) (12,321) (21,719) (496) (2,384)
----------- ----------- ----------- ----------- ----------- -----------
3,506 3,895 17,820 10,483 1,416 1,031
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
<CAPTION>
THE LARGE CAP
INTERNATIONAL
PORTFOLIO
-------------------------
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
1998 1997
----------- -----------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss).......... $ 976 $ 1,425
Capital Gain Distributions Received
from The DFA Investment Trust
Company............................. -- --
Net Realized Gain (Loss) on Investment
Securities.......................... (32) (71)
Net Realized Loss on Foreign Currency
Transactions........................ (5) (12)
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities and Foreign Currency..... 12,349 1,055
Translation of Foreign Currency
Denominated Amounts................. (8) (6)
----------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations...................... 13,280 2,391
----------- -----------
Distributions From:
Net Investment Income................. (1,509) (1,189)
Net Realized Gains.................... -- (464)
----------- -----------
Total Distributions............... (1,509) (1,653)
----------- -----------
Capital Share Transactions (1):
Shares Issued......................... 15,715 29,793
Shares Issued in Lieu of Cash
Distributions....................... 1,502 1,653
Shares Redeemed....................... (12,567) (24,283)
----------- -----------
Net Increase From Capital Shares
Transactions.................... 4,650 7,163
----------- -----------
Total Increase.................... 16,421 7,901
NET ASSETS
Beginning of Period................... 87,223 79,322
----------- -----------
End of Period......................... $ 103,644 $ 87,223
----------- -----------
----------- -----------
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued........................ 1,036 2,101
Shares Issued in Lieu of Cash
Distributions...................... 109 122
Shares Redeemed...................... (832) (1,703)
----------- -----------
313 520
----------- -----------
----------- -----------
</TABLE>
See accompanying Notes to Financial Statements.
45
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE RWB/DFA
INTERNATIONAL THE INTERNATIONAL THE JAPANESE THE PACIFIC RIM
HIGH BOOK TO MARKET SMALL COMPANY SMALL COMPANY SMALL COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------- ---------------------- ---------------------- ----------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
1998 1997 1998 1997 1998 1997 1998 1997
----------- -------- ----------- -------- ----------- -------- ----------- --------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 1,340 $ 4,718 $ 2,398 $ 2,742 $ 791 $ 1,001 $ 1,348 $ 3,827
Capital Gain Distributions
Received from The DFA
Investment Trust
Company................. 721 5,179 -- -- -- -- -- --
Net Realized Gain (Loss) on
Investment Securities..... (1,157) 44 1,587 (813) (5,603) (1,544) 169 5,758
Net Realized Gain (Loss) on
Foreign Currency
Transactions.............. -- -- (154) (109) (81) 62 (187) (370)
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency........ 50,576 (21,705) 23,461 (59,544) (2,408) (134,974) (25,383) (81,707)
Translation of Foreign
Currency Denominated
Amounts................. -- -- (7) (70) (62) (17) 8 (10)
----------- -------- ----------- -------- ----------- -------- ----------- --------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations............ 51,480 (11,764) 27,285 (57,794) (7,363) (135,472) (24,045) (72,502)
----------- -------- ----------- -------- ----------- -------- ----------- --------
Distributions From:
Net Investment Income....... (5,715) (4,329) (2,942) (200) (1,284) (778) (3,671) (4,235)
Net Realized Gains.......... (4,682) (2,675) -- -- -- (16,082) (5,808) (11,345)
----------- -------- ----------- -------- ----------- -------- ----------- --------
Total Distributions..... (10,397) (7,004) (2,942) (200) (1,284) (16,860) (9,479) (15,580)
----------- -------- ----------- -------- ----------- -------- ----------- --------
Capital Share Transactions
(1):
Shares Issued............... 45,269 101,480 80,847 211,077 23,198 47,734 16,974 11,716
Shares Issued in Lieu of
Cash Distributions........ 10,397 7,004 2,942 200 1,284 16,860 9,479 15,580
Shares Redeemed............. (53,027) (72,030) (48,153) (26,932) (18,586) (92,365) (15,172) (43,436)
----------- -------- ----------- -------- ----------- -------- ----------- --------
Net Increase (Decrease)
From Capital Shares
Transactions.......... 2,639 36,454 35,636 184,345 5,896 (27,771) 11,281 (16,140)
----------- -------- ----------- -------- ----------- -------- ----------- --------
Total Increase
(Decrease)............ 43,722 17,686 59,979 126,351 (2,751) (180,103) (22,243) (104,222)
NET ASSETS
Beginning of Period......... 275,057 257,371 230,469 104,118 114,017 294,120 111,320 215,542
----------- -------- ----------- -------- ----------- -------- ----------- --------
End of Period............... $318,779 $275,057 $290,448 $230,469 $111,266 $114,017 $ 89,077 $111,320
----------- -------- ----------- -------- ----------- -------- ----------- --------
----------- -------- ----------- -------- ----------- -------- ----------- --------
(1) SHARES ISSUED AND
REDEEMED:
Shares Issued.............. 3,368 7,480 10,177 21,979 2,510 3,244 2,076 789
Shares Issued in Lieu of
Cash Distributions....... 865 535 410 21 170 978 1,218 1,051
Shares Redeemed............ (3,930) (5,300) (6,102) (2,995) (2,020) (6,140) (1,940) (3,110)
----------- -------- ----------- -------- ----------- -------- ----------- --------
303 2,715 4,485 19,005 660 (1,918) 1,354 (1,270)
----------- -------- ----------- -------- ----------- -------- ----------- --------
----------- -------- ----------- -------- ----------- -------- ----------- --------
</TABLE>
See accompanying Notes to Financial Statements.
46
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE UNITED KINGDOM THE CONTINENTAL THE DFA INTERNATIONAL
SMALL COMPANY SMALL COMPANY SMALL CAP VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------- -------------------------- --------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED MAY 31, NOV. 30, ENDED MAY 31, NOV. 30, ENDED MAY 31, NOV. 30,
1998 1997 1998 1997 1998 1997
------------- ---------- ------------- ----------- ------------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.............. $ 1,697 $ 3,635 $ 1,580 $ 4,007 $ 4,622 $ 6,288
Net Realized Gain (Loss) on
Investment Securities............ 6,368 12,752 13,979 16,008 2,373 15,347
Net Realized Gain (Loss) on Foreign
Currency Transactions............ (61) 117 (95) (405) (143) (18)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency....................... 10,231 (4,795) 55,323 16,460 42,064 (126,164)
Translation of Foreign Currency
Denominated Amounts............ (20) (1) 135 (144) (93) (8)
------------- ---------- ------------- ----------- ------------- -----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations................... 18,215 11,708 70,922 35,926 48,823 (104,555)
------------- ---------- ------------- ----------- ------------- -----------
Distributions From:
Net Investment Income.............. (3,815) (4,223) (3,596) (5,597) (6,364) (4,587)
Net Realized Gains................. (12,752) (7,613) (16,007) (16,811) (14,867) (10,863)
------------- ---------- ------------- ----------- ------------- -----------
Total Distributions............ (16,567) (11,836) (19,603) (22,408) (21,231) (15,450)
------------- ---------- ------------- ----------- ------------- -----------
CAPITAL SHARE TRANSACTIONS (1):
Shares Issued...................... 1,427 9,340 2,648 11,783 110,503 221,239
Shares Issued in Lieu of Cash
Distributions.................... 16,567 11,836 19,603 22,408 21,231 15,450
Shares Redeemed.................... (34,200) (56,946) (54,223) (114,290) (55,024) (60,915)
------------- ---------- ------------- ----------- ------------- -----------
Net Increase (Decrease) From
Capital Shares
Transactions................. (16,206) (35,770) (31,972) (80,099) 76,710 175,774
------------- ---------- ------------- ----------- ------------- -----------
Total Increase (Decrease)...... (14,558) (35,898) 19,347 (66,581) 104,302 55,769
NET ASSETS
Beginning of Period................ 130,891 166,789 232,744 299,325 431,257 375,488
------------- ---------- ------------- ----------- ------------- -----------
End of Period...................... $ 116,333 $ 130,891 $ 252,091 $ 232,744 $ 535,559 $ 431,257
------------- ---------- ------------- ----------- ------------- -----------
------------- ---------- ------------- ----------- ------------- -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................... 53 337 156 775 14,047 23,265
Shares Issued in Lieu of Cash
Distributions................... 662 440 1,342 1,582 3,002 1,604
Shares Redeemed................... (1,280) (2,073) (3,244) (7,367) (7,056) (6,517)
------------- ---------- ------------- ----------- ------------- -----------
(565) (1,296) (1,746) (5,010) 9,993 18,352
------------- ---------- ------------- ----------- ------------- -----------
------------- ---------- ------------- ----------- ------------- -----------
<CAPTION>
THE EMERGING MARKETS
PORTFOLIO
-------------------------
SIX
MONTHS ENDED YEAR ENDED
MAY 31, NOV. 30,
1998 1997
------------- ----------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.............. $ 2,005 $ 2,651
Net Realized Gain (Loss) on
Investment Securities............ (1,041) 151
Net Realized Gain (Loss) on Foreign
Currency Transactions............ (377) 698
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency....................... (10,710) (58,004)
Translation of Foreign Currency
Denominated Amounts............ 10 (18)
------------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations................... (10,113) (54,522)
------------- ----------
Distributions From:
Net Investment Income.............. (5,275) (1,330)
Net Realized Gains................. (40) --
------------- ----------
Total Distributions............ (5,315) (1,330)
------------- ----------
CAPITAL SHARE TRANSACTIONS (1):
Shares Issued...................... 77,381 146,704
Shares Issued in Lieu of Cash
Distributions.................... 5,315 1,330
Shares Redeemed.................... (54,083) (42,159)
------------- ----------
Net Increase (Decrease) From
Capital Shares
Transactions................. 28,613 105,875
------------- ----------
Total Increase (Decrease)...... 13,185 50,023
NET ASSETS
Beginning of Period................ 212,048 162,025
------------- ----------
End of Period...................... $ 225,233 $ 212,048
------------- ----------
------------- ----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................... 8,176 11,652
Shares Issued in Lieu of Cash
Distributions................... 599 114
Shares Redeemed................... (5,787) (3,541)
------------- ----------
2,988 8,225
------------- ----------
------------- ----------
</TABLE>
See accompanying Notes to Financial Statements.
47
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE EMERGING THE DFA ONE-YEAR THE DFA TWO-YEAR
MARKETS SMALL FIXED INCOME GLOBAL FIXED INCOME
CAP PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ------------------------ -----------------------
MARCH 5 SIX MONTHS YEAR SIX MONTHS YEAR
TO ENDED ENDED ENDED ENDED
MAY 31, MAY 31, NOV. 30, MAY 31, NOV. 30,
1998 1998 1997 1998 1997
--------------- ------------ ---------- ------------ ---------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)............................ $ (1) $ 21,202 $ 44,469 $ 16,148 $ 24,784
Capital Gain Distributions Received from The DFA
Investment Trust Company.............................. -- -- -- 898 251
Net Realized Gain (Loss) on Investment Securities....... 50 (94) (153) (1,447) (257)
Net Realized Loss on Foreign Currency Transactions...... (1) -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............ (117) 1,197 (1,625) (2,767) (4,154)
------- ------------ ---------- ------------ ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations......................... (69) 22,305 42,691 12,832 20,624
------- ------------ ---------- ------------ ---------
Distributions From:
Net Investment Income................................... -- (21,276) (44,616) (23,123) (18,076)
Net Realized Gains...................................... -- (380) (81) (816) (251)
------- ------------ ---------- ------------ ---------
Total Distributions................................. -- (21,656) (44,697) (23,939) (18,327)
------- ------------ ---------- ------------ ---------
Capital Share Transactions (1):
Shares Issued........................................... 1,833 182,698 430,934 69,363 155,724
Shares Issued in Lieu of Cash Distributions............. -- 16,682 36,040 11,551 8,378
Shares Redeemed......................................... -- (181,210) (567,252) (61,392) (66,837)
------- ------------ ---------- ------------ ---------
Net Increase (Decrease) From Capital Shares
Transactions...................................... 1,833 18,170 (100,278) 19,522 97,265
------- ------------ ---------- ------------ ---------
Total Increase (Decrease)........................... 1,764 18,819 (102,284) 8,415 99,562
NET ASSETS
Beginning of Period..................................... -- 752,237 854,521 418,905 319,343
------- ------------ ---------- ------------ ---------
End of Period........................................... $ 1,764 $ 771,056 $ 752,237 $ 427,320 $ 418,905
------- ------------ ---------- ------------ ---------
------- ------------ ---------- ------------ ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................................... 175 17,886 42,250 6,910 15,130
Shares Issued in Lieu of Cash Distributions............ -- 1,640 3,541 1,167 820
Shares Redeemed........................................ -- (17,754) (55,639) (6,106) (6,488)
------- ------------ ---------- ------------ ---------
175 1,772 (9,848) 1,971 9,462
------- ------------ ---------- ------------ ---------
------- ------------ ---------- ------------ ---------
</TABLE>
See accompanying Notes to Financial Statements.
48
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA FIVE-YEAR THE DFA GLOBAL THE DFA INTERMEDIATE
GOVERNMENT FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO FIXED INCOME
----------------------- ----------------------- PORTFOLIO
SIX MONTHS YEAR SIX MONTHS YEAR -----------------------
ENDED ENDED ENDED ENDED SIX MONTHS YEAR
MAY 31, NOV. 30, MAY 31, NOV. 30, ENDED ENDED
1998 1997 1998 1997 MAY 31, NOV. 30,
------------ --------- ------------ --------- 1998 1997
------------ ---------
(UNAUDITED) (UNAUDITED)
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income........................... $ 5,435 $ 11,373 $ 5,312 $ 9,339 $ 4,259 $ 7,613
Net Realized Gain (Loss) on Investment
Securities.................................... 259 2,329 (45) 1,496 402 604
Net Realized Gain on Foreign Currency
Transactions.................................. -- -- 9,497 10,999 -- --
Change in Unrealized Appreciation (Depreciation)
of: Investment Securities and Foreign
Currency...................................... 137 (3,322) (3,394) (9,751) 1,228 281
Translation of Foreign Currency Denominated
Amounts..................................... -- -- (282) 3,858 -- --
------------ --------- ------------ --------- ------------ ---------
Net Increase in Net Assets Resulting from
Operations................................ 5,831 10,380 11,088 15,941 5,889 8,498
------------ --------- ------------ --------- ------------ ---------
Distributions From:
Net Investment Income........................... (6,770) (10,523) (19,946) (14,771) (4,100) (7,137)
Net Realized Gains.............................. -- -- (1,483) (1,383) (583) --
------------ --------- ------------ --------- ------------ ---------
Total Distributions......................... (6,770) (10,523) (21,429) (16,154) (4,683) (7,137)
------------ --------- ------------ --------- ------------ ---------
Capital Share Transactions (1):
Shares Issued................................... 38,477 79,939 62,686 106,837 26,911 42,284
Shares Issued in Lieu of Cash Distributions..... 5,292 8,591 13,541 8,538 1,018 1,171
Shares Redeemed................................. (36,390) (58,396) (18,265) (30,856) (8,307) (16,205)
------------ --------- ------------ --------- ------------ ---------
Net Increase From Capital Shares
Transactions.............................. 7,379 30,134 57,962 84,519 19,622 27,250
------------ --------- ------------ --------- ------------ ---------
Total Increase.............................. 6,440 29,991 47,621 84,306 20,828 28,611
NET ASSETS
Beginning of Period............................. 204,377 174,386 250,078 165,772 136,555 107,944
------------ --------- ------------ --------- ------------ ---------
End of Period................................... $ 210,817 $ 204,377 $ 297,699 $ 250,078 $ 157,383 $ 136,555
------------ --------- ------------ --------- ------------ ---------
------------ --------- ------------ --------- ------------ ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................. 3,775 7,877 6,091 9,896 2,384 3,872
Shares Issued in Lieu of Cash Distributions.... 527 857 1,341 956 91 108
Shares Redeemed................................ (3,566) (5,752) (1,769) (2,889) (738) (1,487)
------------ --------- ------------ --------- ------------ ---------
736 2,982 5,663 7,963 1,737 2,493
------------ --------- ------------ --------- ------------ ---------
------------ --------- ------------ --------- ------------ ---------
</TABLE>
See accompanying Notes to Financial Statements.
49
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE COMPANY PORTFOLIO
-------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1993
- ---------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 28.48 $ 22.73 $ 18.12 $ 13.58 $ 13.91 $ 13.12
----------- --------- --------- --------- --------- --------
Income From Investment
Operations
Net Investment Income....... 0.22 0.42 0.41 0.35 0.37 0.36
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 4.02 5.89 4.52 4.57 (0.22) 0.87
----------- --------- --------- --------- --------- --------
Total From Investment
Operations.............. 4.24 6.31 4.93 4.92 0.15 1.23
- ---------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income....... (0.22) (0.43) (0.31) (0.36) (0.37) (0.44)
Net Realized Gains.......... (0.07) (0.13) (0.01) (0.02) (0.11) --
----------- --------- --------- --------- --------- --------
Total Distributions....... (0.29) (0.56) (0.32) (0.38) (0.48) (0.44)
- ---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 32.43 $ 28.48 $ 22.73 $ 18.12 $ 13.58 $ 13.91
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Total Return.................. 15.00%# 28.26% 27.49% 36.54% 1.04% 9.48%
- ---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 463,294 $ 343,537 $ 187,757 $ 97,111 $ 48,638 $37,830
Ratio of Expenses to Average
Net Assets**................ 0.15%*(a) 0.15%(a) 0.21%(a) 0.24%(a) 0.24%(a) 0.24%(a)
Ratio of Net Investment Income
to Average Net Assets....... 1.44%*(a) 1.66%(a) 2.10%(a) 2.29%(a) 2.75%(a) 2.48%(a)
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A 27.67%*(b)
Average Commission Rate....... N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 12.57%* 4.28% 14.09% 2.38% 8.52% 34.36%*(c)
Average Commission Rate of
Master Fund Series.......... $ 0.0108 $ 0.0202 $ 0.0212 N/A N/A N/A
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE ENHANCED U.S.
THE U.S. LARGE COMPANY LARGE COMPANY
PORTFOLIO PORTFOLIO
------------------------------ -------------------------------------
YEAR DEC. 31, SIX MONTHS YEAR JULY 3,
ENDED 1990 TO ENDED ENDED TO
NOV. 30, NOV. 30, MAY 31, NOV. 30, NOV. 30,
1992 1991 1998 1997 1996
- ------------------------------ ------------------------------------------------------------------------
(UNAUDITED)
<S> <C><C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 11.44 $ 10.00 $ 13.61 $ 11.83 $ 10.00
------------ -------------- ----------- --------- ---------
Income From Investment
Operations
Net Investment Income....... 0.36 0.34 0.33 0.54 0.12
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 1.69 1.34 1.44 2.40 1.71
------------ -------------- ----------- --------- ---------
Total From Investment
Operations.............. 2.05 1.68 1.77 2.94 1.83
- ------------------------------ ------------------------------------------------------------------------
Less Distributions
Net Investment Income....... (0.37) (0.24) (0.44) (0.55) --
Net Realized Gains.......... -- -- (1.40) (0.61) --
------------ -------------- ----------- --------- ---------
Total Distributions....... (0.37) (0.24) (1.84) (1.16) --
- ------------------------------ ------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 13.12 $ 11.44 $ 13.54 $ 13.61 $ 11.83
- ------------------------------ ------------------------------------------------------------------------
- ------------------------------ ------------------------------------------------------------------------
Total Return.................. 18.23% 16.80%# 14.97%# 27.22% 18.30%#
- ------------------------------ ------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 34,908 $ 22,279 $ 51,825 $ 47,642 $ 29,236
Ratio of Expenses to Average
Net Assets**................ 0.11%(a) 0.00%*(a) 0.45%* 0.52%(d) 0.65%*
Ratio of Net Investment Income
to Average Net Assets....... 2.86%(a) 3.42%*(a) 4.72%* 4.51%(d) 3.44%*
Portfolio Turnover Rate....... 3.56% 0.97%* N/A N/A N/A
Average Commission Rate....... N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... N/A N/A 66.49%* 193.78% 211.07%*
Average Commission Rate of
Master Fund Series.......... N/A N/A $ 0.0247 $ 0.0246 $ 0.0200
- ------------------------------ ------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series for the year ended
November 30, 1993 and subsequent periods.
(a) Had certain waivers and assumptions of expenses not been in effect the
ratios of expenses to average net assets for the periods ended May 31, 1998
and November 30, 1997 through 1991 would have been 0.33%, 0.35%, 0.45%,
0.46%, 0.66%, 0.79%, 0.53% and 0.52%, respectively, and the ratios of net
investment income to average net assets for the periods ended May 31, 1998
and November 30, 1997 through 1991 would have been 1.26%, 1.46%, 1.85 %,
2.23%, 2.64%, 2.28%, 2.44% and 2.90%, respectively.
(b) Portfolio turnover calculated for the period December 1, 1992 to February
7, 1993 (through the date on which the portfolio transferred its investable
assets to its corresponding Master Fund Series in a tax-free exchange).
(c) Master Fund Series turnover calculated for the period February 8 to
November 30, 1993.
(d) Had certain waivers and assumption of expenses not been in effect, the
ratio of expenses to average net assets for the year end November 30, 1997
would have been 0.54% and the ratio of net investments income to average
net assets for the year ended November 30, 1997 would have been 4.49%.
See accompanying Notes to Financial Statements.
50
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE CAP VALUE PORTFOLIO
----------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR FEB. 19
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1993
- ----------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 19.22 $ 15.98 $ 13.29 $ 9.91 $ 10.60 $ 10.00
------------- -------- -------- -------- -------- ----------
Income From Investment
Operations
Net Investment Income....... 0.09 0.29 0.30 0.29 0.32 0.18
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 3.11 3.60 2.62 3.55 (0.68) 0.59
------------- -------- -------- -------- -------- ----------
Total From Investment
Operations.............. 3.20 3.89 2.92 3.84 (0.36) 0.77
- ----------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income....... (0.16) (0.30) (0.23) (0.29) (0.33) (0.17)
Net Realized Gain........... (0.84) (0.35) -- (0.17) -- --
------------- -------- -------- -------- -------- ----------
Total Distributions....... (1.00) (0.65) (0.23) (0.46) (0.33) (0.17)
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 21.42 $ 19.22 $ 15.98 $ 13.29 $ 9.91 $ 10.60
- ----------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------
Total Return.................. 17.51%# 25.10% 22.20% 39.13% (3.27)% 7.59%#
- ----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $1,068,705 $840,003 $541,149 $280,915 $197,566 $ 90,288
Ratio of Expenses to Average
Net Assets**................ 0.35%* 0.35% 0.36% 0.42% 0.44% 0.47%*
Ratio of Net Investment Income
to Average Net Assets....... 0.82%* 1.70% 2.17% 2.49% 3.50% 3.38%*
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A N/A
Average Commission Rate....... N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 22.09%* 17.71% 20.12% 29.41% 39.33% 0.75%*
Average Commission Rate of
Master Fund Series.......... $ 0.0484 $ 0.0494 $ 0.0499 N/A N/A N/A
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. 6-10 VALUE PORTFOLIO
---------------------------------------------------------------------------
SIX
MONTHS YEAR YEAR YEAR YEAR MARCH 2
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1993
- ------------------------------ ---------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 22.09 $ 17.00 $ 14.03 $ 11.13 $ 11.04 $ 10.00
--------- --------- --------- --------- --------- ---------
Income From Investment
Operations
Net Investment Income....... 0.02 0.07 0.11 0.10 0.14 0.11
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 1.74 5.49 2.93 3.06 0.10 1.03
--------- --------- --------- --------- --------- ---------
Total From Investment
Operations.............. 1.76 5.56 3.04 3.16 0.24 1.14
- ------------------------------ ---------------------------------------------------------------------------
Less Distributions
Net Investment Income....... (0.10) (0.11) (0.02) (0.10) (0.15) (0.10)
Net Realized Gain........... (0.92) (0.36) (0.05) (0.16) -- --
--------- --------- --------- --------- --------- ---------
Total Distributions....... (1.02) (0.47) (0.07) (0.26) (0.15) (0.10)
- ------------------------------ ---------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 22.83 $ 22.09 $ 17.00 $ 14.03 $ 11.13 $ 11.04
- ------------------------------ ---------------------------------------------------------------------------
- ------------------------------ ---------------------------------------------------------------------------
Total Return.................. 8.45%# 33.57% 21.70% 28.41% 2.19% 11.39%#
- ------------------------------ ---------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $2,490,235 $2,098,654 $1,207,298 $ 609,950 $ 344,148 $ 95,682
Ratio of Expenses to Average
Net Assets**................ 0.57%* 0.60% 0.61% 0.64% 0.66% 0.70%*
Ratio of Net Investment Income
to Average Net Assets....... 0.12%* 0.37% 0.78% 0.85% 1.69% 1.97%*
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A N/A
Average Commission Rate....... N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 25.99%* 25.47% 14.91% 20.62% 8.22% 1.07%*
Average Commission Rate of
Master Fund Series.......... $ 0.0522 $ 0.0645 $ 0.0658 N/A N/A N/A
- ------------------------------ ---------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series.
See accompanying Notes to Financial Statements.
51
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
--------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995
- --------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 16.89 $ 14.53 $ 12.64 $ 11.08
-------------- ------------- ------------- -------------
Income From Investment Operations
Net Investment Income................. -- 0.09 0.11 0.09
Net Gain (Losses) on Securities
(Realized and Unrealized)........... 0.87 3.42 2.20 2.81
-------------- ------------- ------------- -------------
Total From Investment Operations.... 0.87 3.51 2.31 2.90
- --------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income................. (0.08) (0.12) (0.02) (0.14)
Net Realized Gains.................... (1.57) (1.03) (0.40) (1.20)
-------------- ------------- ------------- -------------
Total Distributions................. (1.65) (1.15) (0.42) (1.34)
- --------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 16.11 $ 16.89 $ 14.53 $ 12.64
- --------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------
Total Return............................ 6.15%# 26.12% 18.73% 28.75%
- --------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 378,902 $ 337,992 $ 234,194 $ 186,644
Ratio of Expenses to Average Net
Assets**.............................. 0.43%* 0.45% 0.48% 0.49%
Ratio of Net Investment Income to
Average Net Assets.................... (0.05)%* 0.48% 0.75% 0.83%
Portfolio Turnover Rate................. N/A N/A N/A N/A
Average Commission Rate................. N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ 33.72%* 30.04% 32.38% 21.16%
Average Commission Rate of Master Fund
Series................................ $ 0.0524 $ 0.0583 $ 0.0586 N/A
- --------------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
------------------------------------------------
YEAR YEAR MARCH 20
ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30,
1994 1993 1992
- ----------------------------------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 11.43 $ 10.35 $ 10.00
------------- ------------- --------------
Income From Investment Operations
Net Investment Income................. 0.09 0.08 0.04
Net Gain (Losses) on Securities
(Realized and Unrealized)........... (0.07) 1.43 0.31
------------- ------------- --------------
Total From Investment Operations.... 0.02 1.51 0.35
- ----------------------------------------
Less Distributions
Net Investment Income................. (0.09) (0.11) --
Net Realized Gains.................... (0.28) (0.32) --
------------- ------------- --------------
Total Distributions................. (0.37) (0.43) --
- ----------------------------------------
Net Asset Value, End of Period.......... $ 11.08 $ 11.43 $ 10.35
- ----------------------------------------
- ----------------------------------------
Total Return............................ 0.22% 14.72% 6.70%#
- ----------------------------------------
Net Assets, End of Period (thousands)... $ 112,137 $ 136,863 $ 134,418
Ratio of Expenses to Average Net
Assets**.............................. 0.53% 0.58% 0.48%*
Ratio of Net Investment Income to
Average Net Assets.................... 0.72% 0.70% 0.96%*
Portfolio Turnover Rate................. N/A 1.81%*(a) 3.41%*
Average Commission Rate................. N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ 27.65% 32.88%*(b) N/A
Average Commission Rate of Master Fund
Series................................ N/A N/A N/A
- ----------------------------------------
</TABLE>
* Annualized
# Non-annualized
** Represents the combined ratio for the portfolio and its pro-rata share of
its Master Fund Series for the period ended November 30, 1993 and
subsequent periods.
(a) Portfolio turnover calculated for the period December 1, 1992 to February
2, 1993 (through the date on which the portfolio transferred its investable
assets to its corresponding Master Fund Series in a tax-free exchange).
(b) Master Fund Series turnover calculated for the period February 3 to
November 30, 1993.
See accompanying Notes to Financial Statements.
52
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
-------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period............................ $ 13.99 $ 12.14 $ 11.03 $ 8.49 $ 8.69
------------ ----------- --------- --------- --------
Income From Investment Operations
Net Investment Income (Loss)...... (0.02) 0.03 0.03 0.05 0.01
Net Gain (Losses) on Securities
(Realized and Unrealized)....... 0.58 3.01 1.85 2.61 0.40
------------ ----------- --------- --------- --------
Total From Investment
Operations.................... 0.56 3.04 1.88 2.66 0.41
- ---------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income............. (0.03) (0.03) (0.01) (0.04) (0.03)
Net Realized Gains................ (1.89) (1.16) (0.76) (0.08) (0.58)
------------ ----------- --------- --------- --------
Total Distributions............. (1.92) (1.19) (0.77) (0.12) (0.61)
- ---------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 12.63 $ 13.99 $ 12.14 $ 11.03 $ 8.49
- ---------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------
Total Return........................ 5.39%# 27.46% 18.05% 31.37% 5.06%
- ---------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $1,587,226 $ 1,509,427 $1,181,804 $ 925,474 $659,221
Ratio of Expenses to Average Net
Assets**.......................... 0.58%* 0.60% 0.61% 0.62% 0.65%
Ratio of Net Investment Income to
Average Net Assets................ (0.31)%* 0.21% 0.22% 0.45% 0.16%
Portfolio Turnover Rate............. N/A 27.81% 23.68% 24.65% 16.56%
Average Commission Rate............. N/A $ 0.0579 $ 0.0604 N/A N/A
Portfolio Turnover Rate of Master
Fund Series....................... 26.05%* N/A N/A N/A N/A
Average Commission Rate of Master
Fund Series....................... $ 0.0502 N/A N/A N/A N/A
- ---------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1993 1992 1991 1990 1989 1988
- ------------------------------------ ---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period............................ $ 7.75 $ 6.33 $ 5.34 $ 7.74 $ 7.66 $ 7.50
-------- -------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income (Loss)...... 0.03 0.04 0.04 0.07 0.07 0.10
Net Gain (Losses) on Securities
(Realized and Unrealized)....... 1.67 1.53 1.64 (1.77) 0.98 1.48
-------- -------- -------- -------- -------- --------
Total From Investment
Operations.................... 1.70 1.57 1.68 (1.70) 1.05 1.58
- ------------------------------------ ---------------------------------------------------------------
Less Distributions
Net Investment Income............. (0.05) (0.05) (0.07) (0.08) (0.09) (0.11)
Net Realized Gains................ (0.71) (0.10) (0.62) (0.62) (0.88) (1.31)
-------- -------- -------- -------- -------- --------
Total Distributions............. (0.76) (0.15) (0.69) (0.70) (0.97) (1.42)
- ------------------------------------ ---------------------------------------------------------------
Net Asset Value, End of Period...... $ 8.69 $ 7.75 $ 6.33 $ 5.34 $ 7.74 $ 7.66
- ------------------------------------ ---------------------------------------------------------------
- ------------------------------------ ---------------------------------------------------------------
Total Return........................ 23.91% 25.24% 39.08% (24.09)% 16.09% 24.36%
- ------------------------------------ ---------------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $630,918 $651,313 $722,289 $561,102 $949,291 $912,518
Ratio of Expenses to Average Net
Assets**.......................... 0.70% 0.68% 0.64% 0.62% 0.62% 0.62%
Ratio of Net Investment Income to
Average Net Assets................ 0.26% 0.53% 0.75% 0.99% 0.86% 1.19%
Portfolio Turnover Rate............. 9.87% 9.72% 10.13% 3.79% 7.86% 25.98%
Average Commission Rate............. N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series....................... N/A N/A N/A N/A N/A N/A
Average Commission Rate of Master
Fund Series....................... N/A N/A N/A N/A N/A N/A
- ------------------------------------ ---------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
** Represents the combined ratio for the portfolio and its respective pro-rata
share of its Master Fund Series for the period ended May 31, 1998.
See accompanying Notes to Financial Statements.
53
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
---------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR JAN. 5
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 15.53 $ 12.65 $ 10.00 $ 9.28 $ 10.92 $ 10.00
----------- ----------- ----------- ----------- ----------- -----------
Income From Investment
Operations
Net Investment Income....... 0.36 0.88 0.71 0.61 0.37 0.20
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... (0.64) 2.68 2.08 0.68 (1.65) 0.91
----------- ----------- ----------- ----------- ----------- -----------
Total From Investment
Operations............... (0.28) 3.56 2.79 1.29 (1.28) 1.11
- --------------------------------------------------------------------------------------------------- -----------
Less Distributions
Net Investment Income....... (0.75) (0.68) (0.14) (0.46) (0.28) (0.19)
Net Realized Gain........... -- -- -- -- -- --
Tax Return of Capital....... -- -- -- (0.11) (0.08) --
----------- ----------- ----------- ----------- ----------- -----------
Total Distributions (0.75) (0.68) (0.14) (0.57) (0.36) (0.19)
- --------------------------------------------------------------------------------------------------- -----------
Net Asset Value, End of
Period...................... $ 14.50 $ 15.53 $ 12.65 $ 10.00 $ 9.28 $ 10.92
- --------------------------------------------------------------------------------------------------- -----------
- --------------------------------------------------------------------------------------------------- -----------
Total Return.................. (1.85)%# 29.13% 28.24% 14.00% (11.76)% 11.08%#
- --------------------------------------------------------------------------------------------------- -----------
Net Assets, End of Period
(thousands)................. $ 109,319 $ 95,072 $ 64,390 $ 43,435 $ 30,456 $ 22,106
Ratio of Expenses to Average
Net Assets.................. 0.47%* 0.48% 0.71% 0.82% 0.90% 0.88%*
Ratio of Net Investment Income
to Average Net Assets....... 0.56%* 5.73% 7.08% 6.76% 3.90% 2.63%*
Portfolio Turnover Rate....... 0.49%* 30.73% 11.25% 0.66% 28.87% 0.55%*
Average Commission Rate....... $ 0.0461 $ 0.0449 $ 0.0455 N/A N/A N/A
- --------------------------------------------------------------------------------------------------- -----------
</TABLE>
* Annualized
# Non-annualized.
See accompanying Notes to Financial Statements.
54
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE LARGE CAP INTERNATIONAL PORTFOLIO
-----------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1993 1992 1991
- -------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 14.27 $ 14.18 $ 12.60 $ 11.91 $ 11.26 $ 9.63 $ 10.64 $ 10.00
---------- --------- --------- --------- --------- --------- --------- ----------
Income From Investment
Operations
Net Investment Income....... 0.15 0.23 0.21 0.15 0.09 0.15 0.11 0.06
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 1.96 0.15 1.39 0.95 1.11 1.72 (1.04) 0.58
---------- --------- --------- --------- --------- --------- --------- ----------
Total From Investment
Operations.............. 2.11 0.38 1.60 1.10 1.20 1.87 (0.93) 0.64
- -------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income....... (0.25) (0.21) (0.02) (0.18) (0.09) (0.24) (0.07) --
Net Realized Gain........... -- (0.08) -- (0.23) (0.46) -- (0.01) --
---------- --------- --------- --------- --------- --------- --------- ----------
Total Distributions....... (0.25) (0.29) (0.02) (0.41) (0.55) (0.24) (0.08) --
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 16.13 $ 14.27 $ 14.18 $ 12.60 $ 11.91 $ 11.26 $ 9.63 $ 10.64
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Total Return.................. 15.06%# 2.80% 12.68% 9.37% 10.74% 19.55% (9.00)% 2.88%#
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $103,644 $87,223 $79,322 $67,940 $55,635 $78,472 $26,041 $ 4,360
Ratio of Expenses to Average
Net Assets.................. 0.46%* 0.47% 0.58% 0.57% 0.66% 0.55%(a) 0.50%(a) 0.50%*(a)
Ratio of Net Investment Income
to Average Net Assets....... 2.03%* 1.69% 1.57% 1.84% 1.18% 1.94%(a) 1.75%(a) 1.96%*(a)
Portfolio Turnover Rate....... 0.67%* 2.31% 17.65% 24.44% 33.15% 0.28% 0.20% 2.38%*
Average Commission Rate....... $ 0.0354 $0.0169 $0.0160 N/A N/A N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized.
(a) Had certain waivers and assumptions of expenses not been in effect, the
ratios of expenses to average net assets for the periods ended November 30,
1993, 1992 and 1991 would have been 0.66%, 1.35% and 2.31%, respectively,
and the ratios of net investment income to average net assets for the
periods ended November 30, 1993, 1992 and 1991 would have been 1.83%, 0.90%
and 0.15%, respectively.
See accompanying Notes to Financial Statements.
55
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE RWB/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
----------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1993
- ------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 12.84 $ 13.76 $ 12.02 $ 11.44 $ 9.92 $ 10.00
---------- ---------- ---------- ---------- ---------- --------
Income From Investment
Operations
Net Investment Income....... 0.07 0.22 0.22 0.19 0.14 0.06
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 2.25 (0.77) 1.53 0.60 1.52 (0.11)
---------- ---------- ---------- ---------- ---------- --------
Total From Investment
Operations.............. 2.32 (0.55) 1.75 0.79 1.66 (0.05)
- ------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income....... (0.27) (0.23) (0.01) (0.19) (0.14) (0.03)
Net Realized Gains.......... (0.22) (0.14) -- (0.02) -- --
---------- ---------- ---------- ---------- ---------- --------
Total Distributions....... (0.49) (0.37) (0.01) (0.21) (0.14) (0.03)
- ------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 14.67 $ 12.84 $ 13.76 $ 12.02 $ 11.44 $ 9.92
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
Total Return.................. 18.85%# (4.04)% 14.61% 6.95% 16.71% (0.50)%#
- ------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $318,779 $ 275,057 $ 257,371 $ 172,017 $ 112,952 $63,235
Ratio of Expenses to Average
Net Assets**................ 0.47%* 0.50% 0.54% 0.68% 0.69%(a) 0.65%*(a)
Ratio of Net Investment Income
to Average Net Assets....... 0.90%* 1.72% 1.88% 1.85% 1.39%(a) 1.40%*(a)
Portfolio Turnover Rate....... N/A N/A N/A N/A 0.15%*(b) 0.41%*
Average Commission Rate....... N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 18.78%* 22.55% 12.23% 9.75% 1.90%*(c) N/A
Average Commission Rate of
Master Fund Series.......... $ 0.0167 $ 0.0068 $ 0.0112 N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE INTERNATIONAL SMALL
COMPANY PORTFOLIO
------------------------------------------
SIX MONTHS YEAR OCT. 1
ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30,
1998 1997 1996
- ------------------------------ ------------------------------------------
(UNAUDITED)
<S> <C><C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 7.82 $ 9.96 $ 10.00
---------- ---------- ----------
Income From Investment
Operations
Net Investment Income....... 0.08 0.10 0.01
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 0.77 (2.22) (0.05)
---------- ---------- ----------
Total From Investment
Operations.............. 0.85 (2.12) (0.04)
- ------------------------------ ------------------------------------------
Less Distributions
Net Investment Income....... (0.11) (0.02) --
Net Realized Gains.......... -- -- --
---------- ---------- ----------
Total Distributions....... (0.11) (0.02) --
- ------------------------------ ------------------------------------------
Net Asset Value, End of
Period...................... $ 8.56 $ 7.82 $ 9.96
- ------------------------------ ------------------------------------------
- ------------------------------ ------------------------------------------
Total Return.................. 11.09%# (21.35)% (0.40)%#
- ------------------------------ ------------------------------------------
Net Assets, End of Period
(thousands)................. $290,448 $ 230,469 $ 104,118
Ratio of Expenses to Average
Net Assets**................ 0.75%* 0.75% 0.70%*(d)
Ratio of Net Investment Income
to Average Net Assets....... 1.85%* 1.46% 0.54%*(d)
Portfolio Turnover Rate....... N/A*** N/A*** N/A***
Average Commission Rate....... N/A*** N/A*** N/A***
Portfolio Turnover Rate of
Master Fund Series.......... N/A N/A N/A
Average Commission Rate of
Master Fund Series.......... N/A N/A N/A
- ------------------------------ ------------------------------------------
</TABLE>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its
respective pro-rata share of its Master Fund Series for the period ended
November 30, 1994 and subsequent periods.
*** Refer to the respective Master Fund Series.
(a) Had certain waivers and assumptions of expenses not been in effect, the
ratios of expenses to average net assets for the periods ended November 30,
1994 and 1993 would have been 0.73% and 0.82%, respectively, and the ratio
of net investment income to average net assets for their periods ended
November 30, 1994 and 1993 would have been 1.38% and 1.23%, respectively.
(b) Portfolio turnover calculated for the period December 1, 1993 to February
15, 1994 (through the date on which the portfolio transferred its
investable assets to its corresponding Master Fund Series in a tax-free
exchange).
(c) Master Fund Series turnover calculated for the period February 16 to
November 30, 1994.
(d) Had certain waivers and assumptions of expenses not been in effect, the
ratio of expenses to average net assets, for the period ended November 30,
1996 would have been 0.79%, and the ratio of net investment income to
average net assets for the period ended November 30, 1996 would have been
0.45%.
See accompanying Notes to Financial Statements.
56
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE JAPANESE SMALL COMPANY PORTFOLIO
-----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1993
- -------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period............................ $ 9.45 $ 21.03 $ 22.78 $ 25.06 $ 19.96 $ 18.92
------------ ----------- --------- --------- --------- ---------
Income From Investment Operations
Net Investment Income (Loss)...... -- 0.09 0.07 0.06 0.05 0.04
Net Gain (Losses) on Securities
(Realized and Unrealized)....... (0.60) (10.45) (1.45) (1.65) 5.76 1.75
------------ ----------- --------- --------- --------- ---------
Total From Investment
Operations...................... (0.60) (10.36) (1.38) (1.59) 5.81 1.79
- -------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income............. (0.11) (0.06) (0.01) (0.06) (0.04) (0.05)
Net Realized Gains................ -- (1.16) (0.36) (0.63) (0.67) (0.70)
------------ ----------- --------- --------- --------- ---------
Total Distributions............. (0.11) (1.22) (0.37) (0.69) (0.71) (0.75)
- -------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 8.74 $ 9.45 $ 21.03 $ 22.78 $ 25.06 $ 19.96
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
Total Return........................ (6.23)%# (51.90)% (6.28)% (6.54)% 29.59% 9.52%
- -------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $ 111,266 $ 114,017 $ 294,120 $ 371,113 $ 330,674 $ 209,244
Ratio of Expenses to Average Net
Assets**.......................... 0.75%* 0.73% 0.72% 0.74% 0.76% 0.82%
Ratio of Net Investment Income to
Average Net Assets................ 1.28%* 0.50% 0.24% 0.25% 0.10% 0.06%
Portfolio Turnover Rate............. N/A N/A 18.52%*(a) 7.79% 10.51% 9.36%
Average Commission Rate............. N/A N/A $ 0.0458(a) N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series....................... 12.16%* 13.17% 1.67%*(b) N/A N/A N/A
Average Commission Rate of Master
Fund Series....................... $ 0.0203 $ 0.0282 $0.0427(b) N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE JAPANESE SMALL COMPANY PORTFOLIO
----------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1992 1991 1990 1989 1988
- ------------------------------------ ----------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period............................ $ 25.05 $ 26.27 $ 38.33 $ 31.03 $ 24.87
-------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income (Loss)...... 0.04 (0.01) (0.03) (0.09) (0.05)
Net Gain (Losses) on Securities
(Realized and Unrealized)....... (5.69) 0.51 (10.74) 9.09 10.42
-------- -------- -------- -------- --------
Total From Investment
Operations...................... (5.65) 0.50 (10.77) 9.00 10.37
- ------------------------------------ ----------------------------------------------------
Less Distributions
Net Investment Income............. -- -- -- -- --
Net Realized Gains................ (0.48) (1.72) (1.29) (1.70) (4.21)
-------- -------- -------- -------- --------
Total Distributions............. (0.48) (1.72) (1.29) (1.70) (4.21)
- ------------------------------------ ----------------------------------------------------
Net Asset Value, End of Period...... $ 18.92 $ 25.05 $ 26.27 $ 38.33 $ 31.03
- ------------------------------------ ----------------------------------------------------
- ------------------------------------ ----------------------------------------------------
Total Return........................ (23.01)% 1.68% (29.12)% 30.63% 47.62%
- ------------------------------------ ----------------------------------------------------
Net Assets, End of Period
(thousands)....................... $139,892 $159,475 $149,100 $168,820 $107,863
Ratio of Expenses to Average Net
Assets**.......................... 0.78% 0.78% 0.83% 0.76% 0.76%
Ratio of Net Investment Income to
Average Net Assets................ 0.10% (0.11)% (0.22)% (0.34)% (0.23)%
Portfolio Turnover Rate............. 5.00% 2.71% 10.26% 5.76% 9.14%
Average Commission Rate............. N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series....................... N/A N/A N/A N/A N/A
Average Commission Rate of Master
Fund Series....................... N/A N/A N/A N/A N/A
- ------------------------------------ ----------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
** Represents the combined ratios for the portfolio and its pro-rata share of
its Master Fund Series for the period ended November 30, 1996 and
subsequent periods.
(a) Portfolio turnover and average commission calculated for the period
December 1, 1995 to August 9, 1996 (through the date on which the portfolio
transferred its investable assets to its corresponding Master Fund Series
in a tax-free exchange).
(b) Items calculated for the period August 9 to November 30, 1996.
See accompanying Notes to Financial Statements.
57
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
---------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR
SIX MONTHS ENDED ENDED ENDED ENDED JAN. 5 TO
ENDED MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 9.52 $ 16.63 $ 14.38 $ 15.98 $ 16.45 $ 10.00
------------- -------- -------- -------- -------- ----------
Income From Investment Operations
Net Investment Income................. 0.12 0.32 0.27 0.34 0.23 0.11
Net Gain (Losses) on Securities
(Realized and Unrealized)........... (1.99) (6.22) 2.40 (1.33) 0.47 6.46
------------- -------- -------- -------- -------- ----------
Total From Investment Operations.... (1.87) (5.90) 2.67 (0.99) 0.70 6.57
- ---------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income................. (0.32) (0.33) (0.02) (0.34) (0.23) (0.09)
Net Realized Gains.................... (0.50) (0.88) (0.40) (0.27) (0.94) (0.03)
------------- -------- -------- -------- -------- ----------
Total Distributions................. (0.82) (1.21) (0.42) (0.61) (1.17) (0.12)
- ---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 6.83 $ 9.52 $ 16.63 $ 14.38 $ 15.98 $ 16.45
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
Total Return............................ (20.73)%# (38.07)% 19.06% (6.27)% 4.26% 65.71%#
- ---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 89,077 $111,320 $215,542 $193,137 $212,953 $ 164,623
Ratio of Expenses to Average Net
Assets**.............................. 0.89%* 0.84% 0.84% 0.83% 0.95% 1.16%*
Ratio of Net Investment Income to
Average Net Assets.................... 2.51%* 1.95% 1.70% 2.22% 1.47% 1.27%*
Portfolio Turnover Rate................. N/A N/A 7.05%*(a) 5.95% 26.05% 2.77%*
Average Commission Rate................. N/A N/A $ 0.0094(a) N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ 42.44%* 24.00% 8.04%(b) N/A N/A N/A
Average Commission Rate of Master Fund
Series................................ $ 0.0010 $ 0.0042 $ 0.0102(b) N/A N/A N/A
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
** Represents the combined ratios for the portfolio and its pro-rata share of
its Master Fund Series for the period ended November 30, 1996 and
subsequent periods.
(a) Portfolio turnover and average commission calculated for the period
December 1, 1995 to August 9, 1996, (through the date on which the
portfolio transferred its investable assets to its corresponding Master
Fund Series in a tax-free exchange).
(b) Items calculated for the period August 9 to November 30, 1996.
See accompanying Notes to Financial Statements.
58
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED MAY ENDED ENDED ENDED ENDED ENDED
31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1993
- -------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 28.69 $ 28.47 $ 24.09 $ 23.20 $ 21.22 $ 16.38
----------- --------- --------- --------- --------- ---------
Income From Investment
Operations
Net Investment Income....... 0.43 0.81 0.72 0.84 0.48 0.45
Net Gain (Losses) on
Securities
(Realized and
Unrealized)............... 3.65 1.46 5.31 1.12 2.03 5.34
----------- --------- --------- --------- --------- ---------
Total From Investment
Operations.............. 4.08 2.27 6.03 1.96 2.51 5.79
- -------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income....... (0.84) (0.73) (0.06) (0.76) (0.53) (0.95)
Net Realized Gains.......... (2.82) (1.32) (1.59) (0.31) -- --
----------- --------- --------- --------- --------- ---------
Total Distributions....... (3.66) (2.05) (1.65) (1.07) (0.53) (0.95)
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 29.11 $ 28.69 $ 28.47 $ 24.09 $ 23.20 $ 21.22
- -------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------
Total Return.................. 16.33%# 8.45% 26.76% 8.39% 11.85% 36.42%
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $116,333 $ 130,891 $ 166,789 $ 167,730 $ 214,113 $ 181,789
Ratio of Expenses to Average
Net Assets**................ 0.71%* 0.70% 0.73% 0.72% 0.74% 0.78%
Ratio of Net Investment Income
to Average Net Assets....... 2.76%* 2.40% 2.49% 2.51% 1.95% 2.22%
Portfolio Turnover Rate....... N/A N/A 3.72%*(a) 7.82% 10.75% 8.21%
Average Commission Rate....... N/A N/A $ 0.0103(a) N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 5.26%* 4.26% 4.55%*(b) N/A N/A N/A
Average Commission Rate of
Master Fund Series.......... $ 0.0077 $ 0.0073 $ 0.0050(b) N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
---------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1992 1991 1990 1989 1988
- ------------------------------
---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 21.37 $ 20.41 $ 22.55 $ 28.29 $ 23.41
--------- --------- --------- --------- ---------
Income From Investment
Operations
Net Investment Income....... 0.64 0.69 0.92 0.52 0.61
Net Gain (Losses) on
Securities
(Realized and
Unrealized)............... (4.98) 1.71 (1.34) (4.75) 5.18
--------- --------- --------- --------- ---------
Total From Investment
Operations.............. (4.34) 2.40 (0.42) (4.23) 5.79
- ------------------------------ ---------------------------------------------------------------------
Less Distributions
Net Investment Income....... (0.65) (0.90) (0.75) (0.54) (0.28)
Net Realized Gains.......... -- (0.54) (0.97) (0.97) (0.63)
--------- --------- --------- --------- ---------
Total Distributions....... (0.65) (1.44) (1.72) (1.51) (0.91)
- ------------------------------ ---------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 16.38 $ 21.37 $ 20.41 $ 22.55 $ 28.29
- ------------------------------ ---------------------------------------------------------------------
- ------------------------------ ---------------------------------------------------------------------
Total Return.................. (20.93)% 12.55% (2.22)% (15.40)% 23.66%
- ------------------------------ ---------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 121,086 $ 146,873 $ 127,137 $ 119,385 $ 121,337
Ratio of Expenses to Average
Net Assets**................ 0.76% 0.84% 0.83% 0.70% 0.71%
Ratio of Net Investment Income
to Average Net Assets....... 3.19% 3.44% 4.34% 2.24% 2.58%
Portfolio Turnover Rate....... 4.41% 4.50% 10.86% 11.38% 12.55%
Average Commission Rate....... N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... N/A N/A N/A N/A N/A
Average Commission Rate of
Master Fund Series.......... N/A N/A N/A N/A N/A
- ------------------------------ ---------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
** Represents the combined ratios for the portfolio and its pro-rata share of
its Master Fund Series for the period ended November 30, 1996 and
subsequent periods.
(a) Portfolio turnover and average commission calculated for the period
December 1, 1995 to August 9, 1996, (through the date on which the
portfolio transferred its investable assets to its corresponding Master
Fund Series in a tax-free exchange).
(b) Items calculated for the period August 9 to November 30, 1996.
See accompanying Notes to Financial Statements.
59
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
-------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period............................ $ 15.94 $ 15.26 $ 14.13 $ 14.63 $ 12.62
------------ ----------- --------- --------- --------
Income From Investment Operations
Net Investment Income............. 0.13 0.29 0.30 0.29 0.18
Net Gain (Losses) on Securities
(Realized and Unrealized)....... 4.89 1.55 1.58 (0.48) 2.10
------------ ----------- --------- --------- --------
Total From Investment
Operations.................... 5.02 1.84 1.88 (0.19) 2.28
- ---------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income............. (0.25) (0.29) (0.02) (0.29) (0.19)
Net Realized Gains................ (1.10) (0.87) (0.73) (0.02) (0.07)
Tax Return of Capital............. -- -- -- -- (0.01)
------------ ----------- --------- --------- --------
Total Distributions............. (1.35) (1.16) (0.75) (0.31) (0.27)
- ---------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 19.61 $ 15.94 $ 15.26 $ 14.13 $ 14.63
- ---------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------
Total Return........................ 34.43%# 13.02% 13.96% (1.33)% 18.19%
- ---------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $ 252,091 $ 232,744 $ 299,325 $ 314,116 $340,992
Ratio of Expenses to Average Net
Assets**.......................... 0.72%* 0.72% 0.73% 0.74% 0.77%
Ratio of Net Investment Income to
Average Net Assets................ 1.32%* 1.41% 1.81% 1.69% 1.21%
Portfolio Turnover Rate............. N/A N/A 3.67%*(a) 9.79% 10.22%
Average Commission Rate............. N/A N/A $ 0.1030(a) N/A N/A
Portfolio Turnover Rate of Master
Fund Series....................... 0.28%* 3.46% 6.69%*(b) N/A N/A
Average Commission Rate of Master
Fund Series....................... $ 0.0382 $ 0.0586 $ 0.0392(b) N/A N/A
- ---------------------------------------------------------------------------------------------------
<CAPTION>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR APRIL 15
ENDED ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1993 1992 1991 1990 1989 1988
- ------------------------------------ ---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period............................ $ 11.39 $ 14.18 $ 16.24 $ 16.15 $ 12.02 $ 10.00
-------- -------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income............. 0.23 0.28 0.27 0.25 0.12 0.17
Net Gain (Losses) on Securities
(Realized and Unrealized)....... 1.46 (2.11) (1.66) 0.31 4.10 1.85
-------- -------- -------- -------- -------- --------
Total From Investment
Operations.................... 1.69 (1.83) (1.39) 0.56 4.22 2.02
- ------------------------------------ ---------------------------------------------------------------
Less Distributions
Net Investment Income............. (0.44) (0.26) (0.29) (0.20) (0.09) --
Net Realized Gains................ (0.02) (0.70) (0.38) (0.27) -- --
Tax Return of Capital............. -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions............. (0.46) (0.96) (0.67) (0.47) (0.09) --
- ------------------------------------ ---------------------------------------------------------------
Net Asset Value, End of Period...... $ 12.62 $ 11.39 $ 14.18 $ 16.24 $ 16.15 $ 12.02
- ------------------------------------ ---------------------------------------------------------------
- ------------------------------------ ---------------------------------------------------------------
Total Return........................ 15.27% (13.85)% (9.11)% 3.50% 35.62% 20.01%#
- ------------------------------------ ---------------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $266,175 $196,845 $214,054 $245,465 $199,065 $78,689
Ratio of Expenses to Average Net
Assets**.......................... 0.83% 0.90% 0.86% 0.89% 0.82% 1.05%*
Ratio of Net Investment Income to
Average Net Assets................ 1.61% 2.11% 1.68% 1.63% 1.41% 3.27%*
Portfolio Turnover Rate............. 8.99% 6.35% 7.69% 6.24% 5.70% 0.26%*
Average Commission Rate............. N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series....................... N/A N/A N/A N/A N/A N/A
Average Commission Rate of Master
Fund Series....................... N/A N/A N/A N/A N/A N/A
- ------------------------------------ ---------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
** Represents the combined ratio for the portfolio and its respective pro-rata
share of its Master Fund Series for the period ended November 30, 1996 and
subsequent periods.
(a) Portfolio turnover and average commission calculated for the period
December 1, 1995 to August 9, 1996 (through the date on which the portfolio
transferred its investable assets to its corresponding Master Fund Series
in a tax-free exchange).
(b) Items calculated for the period August 9 to November 30, 1996.
See accompanying Notes to Financial Statements.
60
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA INTERNATIONAL
SMALL CAP VALUE PORTFOLIO
-------------------------------------------------
SIX MONTHS YEAR YEAR DEC. 30,
ENDED ENDED ENDED 1994 TO
MAY 31, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995
- -------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 7.95 $ 10.45 $ 9.68 $ 10.00
---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income................. 0.08 0.12 0.11 0.05
Net Gain (Losses) on Securities
(Realized and Unrealized)........... 0.70 (2.19) 0.66 (0.32)
---------- ---------- ---------- ----------
Total From Investment Operations.... 0.78 (2.07) 0.77 (0.27)
- -------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income................. (0.12) (0.13) -- (0.04)
Net Realized Gains.................... (0.28) (0.30) -- (0.01)
---------- ---------- ---------- ----------
Total Distributions................. (0.40) (0.43) -- (0.05)
- -------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 8.33 $ 7.95 $ 10.45 $ 9.68
- -------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------
Total Return............................ 10.66%# (20.60)% 8.01% (2.73)%#
- -------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $535,559 $ 431,257 $ 375,488 $ 147,125
Ratio of Expenses to Average Net
Assets**.............................. 0.85%* 0.90% 0.99% 1.23%*
Ratio of Net Investment Income to
Average Net Assets.................... 1.89%* 1.47% 1.38% 1.43%*
Portfolio Turnover Rate................. 7.94%* 13.63% 14.52% 1.62%*
Average Commission Rate................. $ 0.0032 $ 0.0056 $ 0.0092 N/A
Portfolio Turnover Rate of Master Fund
Series................................ N/A N/A N/A N/A
Average Commission Rate of Master Fund
Series................................ N/A N/A N/A N/A
- -------------------------------------------------------------------------------------------
<CAPTION>
THE
EMERGING
MARKETS
SMALL CAP
THE EMERGING MARKETS PORTFOLIO PORTFOLIO
-------------------------------------------------------------- ----------
SIX MONTHS YEAR YEAR YEAR APRIL 25 MARCH 5,
ENDED ENDED ENDED ENDED TO TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, MAY 31,
1998 1997 1996 1995 1994 1998
- ---------------------------------------- ---------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 9.61 $ 11.71 $ 10.35 $ 11.30 $ 10.00 $ 10.00
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment Operations
Net Investment Income................. 0.11 0.12 0.09 0.06 (0.02) (0.01)
Net Gain (Losses) on Securities
(Realized and Unrealized)........... (0.47) (2.13) 1.27 (0.96) 1.32 0.07
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment Operations.... (0.36) (2.01) 1.36 (0.90) 1.30 0.06
- ---------------------------------------- ---------------------------------------------------------------------------
Less Distributions
Net Investment Income................. (0.26) (0.09) -- (0.05) -- --
Net Realized Gains.................... -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions................. (0.26) (0.09) -- (0.05) -- --
- ---------------------------------------- ---------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 8.99 $ 9.61 $ 11.71 $ 10.35 $ 11.30 $ 10.06
- ---------------------------------------- ---------------------------------------------------------------------------
- ---------------------------------------- ---------------------------------------------------------------------------
Total Return............................ (3.68)%# (17.27)% 13.18% (7.96)% 13.00%# 0.60%#
- ---------------------------------------- ---------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $225,233 $ 212,048 $ 162,025 $ 49,337 $ 15,731 $ 1,764
Ratio of Expenses to Average Net
Assets**.............................. 0.99%* 0.99% 1.15% 1.58% 2.43%* 11.31%*(a)
Ratio of Net Investment Income to
Average Net Assets.................... 1.81%* 1.19% 1.14% 0.98% (0.44)%* (0.85)%*(a)
Portfolio Turnover Rate................. N/A N/A N/A N/A N/A N/A
Average Commission Rate................. N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ 14.13%* 0.54% 0.37% 8.17% 1.28%* 12.51%*
Average Commission Rate of Master Fund
Series................................ $ 0.0013 $ 0.0010 $ 0.0010 N/A N/A $ 0.0010
- ---------------------------------------- ---------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
** Represents the combined ratios for The Emerging Markets Portfolio and The
Emerging Markets Small Cap Portfolio and their respective pro-rata share of
their Master Fund Series for the period ended November 30, 1996 and
subsequent periods.
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
See accompanying Notes to Financial Statements.
61
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period............................ $ 10.23 $ 10.24 $ 10.21 $ 10.05 $ 10.28 $ 10.35
------------ ------------ ----------- --------- --------- --------
Income From Investment Operations
Net Investment Income............. 0.28 0.59 0.56 0.60 0.46 0.35
Net Gain (Losses) on Securities
(Realized and Unrealized)....... 0.01 (0.01) 0.03 0.17 (0.21) 0.11
------------ ------------ ----------- --------- --------- --------
Total From Investment
Operations.................... 0.29 0.58 0.59 0.77 0.25 0.46
- ------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income............. (0.28) (0.59) (0.56) (0.60) (0.46) (0.38)
Net Realized Gains................ (0.01) -- -- (0.01) (0.02) (0.15)
------------ ------------ ----------- --------- --------- --------
Total Distributions............. (0.29) (0.59) (0.56) (0.61) (0.48) (0.53)
- ------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 10.23 $ 10.23 $ 10.24 $ 10.21 $ 10.05 $ 10.28
- ------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
Total Return........................ 2.98%# 5.84% 5.94% 7.80% 2.48% 4.62%
- ------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $ 771,056 $ 752,237 $ 854,521 $ 704,950 $ 592,226 $608,400
Ratio of Expenses to Average Net
Assets**.......................... 0.21%* 0.22% 0.21% 0.20% 0.21% 0.21%
Ratio of Net Investment Income to
Average Net Assets................ 5.56%* 5.79% 5.39% 5.86% 4.47% 3.38%
Portfolio Turnover Rate............. N/A N/A N/A N/A N/A 61.95%*(a)
Portfolio Turnover Rate of Master
Fund Series....................... 12.37%* 82.84% 95.84% 81.31% 140.82% 111.67%*(b)
Average Commission Rate of Master
Fund Series....................... N/A N/A N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
----------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1992 1991 1990 1989 1988
<S> <C> <C> <C> <C> <C>
- ------------------------------------ ----------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period............................ $ 10.33 $ 10.19 $ 10.16 $ 10.12 $ 10.12
-------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income............. 0.43 0.68 0.83 0.82 0.78
Net Gain (Losses) on Securities
(Realized and Unrealized)....... 0.06 0.16 0.04 0.03 (0.04)
-------- -------- -------- -------- --------
Total From Investment
Operations.................... 0.49 0.84 0.87 0.85 0.74
- ------------------------------------ ----------------------------------------------------
Less Distributions
Net Investment Income............. (0.44) (0.70) (0.84) (0.81) (0.74)
Net Realized Gains................ (0.03) -- -- -- --
-------- -------- -------- -------- --------
Total Distributions............. (0.47) (0.70) (0.84) (0.81) (0.74)
- ------------------------------------ ----------------------------------------------------
Net Asset Value, End of Period...... $ 10.35 $ 10.33 $ 10.19 $ 10.16 $ 10.12
- ------------------------------------ ----------------------------------------------------
- ------------------------------------ ----------------------------------------------------
Total Return........................ 5.64% 8.61% 8.88% 9.53% 7.61%
- ------------------------------------ ----------------------------------------------------
Net Assets, End of Period
(thousands)....................... $561,879 $469,276 $412,907 $360,146 $341,551
Ratio of Expenses to Average Net
Assets**.......................... 0.21% 0.21% 0.21% 0.22% 0.22%
Ratio of Net Investment Income to
Average Net Assets................ 4.81% 6.75% 8.27% 8.77% 7.70%
Portfolio Turnover Rate............. 125.56% 82.26% 96.30% 0.00% 80.74%
Portfolio Turnover Rate of Master
Fund Series....................... N/A N/A N/A N/A N/A
Average Commission Rate of Master
Fund Series....................... N/A N/A N/A N/A N/A
- ------------------------------------ ----------------------------------------------------
</TABLE>
Restated to reflect a 900% stock dividend as of January 2, 1996.
* Annualized
# Non-annualized
** Represents the combined ratio for the portfolio and its pro-rata share of
its Master Fund Series for the period ended November 30, 1993 and
subsequent periods.
(a) Portfolio turnover calculated for period December 1, 1992 to February 7,
1993 (through the date on which the portfolio transferred its investable
assets to its corresponding Master Fund Series in a tax-free exchange).
(b) Master Fund Series turnover calculated for the period February 8 to
November 30, 1993.
See accompanying Notes to Financial Statements.
62
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA TWO-YEAR GLOBAL FIXED
INCOME PORTFOLIO
----------------------------------
SIX
MONTHS YEAR FEB. 9
ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30,
1998 1997 1996
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value, Beginning of Period........................ $ 10.40 $ 10.37 $ 10.00
-------- -------- --------
Income From Investment Operations
Net Investment Income..................................... 0.40 0.69 0.24
Net Gain (Losses) on Securities (Realized and
Unrealized)............................................. (0.08 ) (0.12) 0.35
-------- -------- --------
Total From Investment Operations........................ 0.32 0.57 0.59
- ---------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income..................................... (0.58 ) (0.53) (0.22)
Net Realized Gains........................................ (0.02 ) (0.01) --
-------- -------- --------
Total Distributions..................................... (0.60 ) (0.54) (0.22)
- ---------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 10.12 $ 10.40 $ 10.37
- ---------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------
Total Return................................................ 3.18%# 5.66% 6.01%#
- ---------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $427,320 $418,905 $319,343
Ratio of Expenses to Average Net Assets**................... 0.30%* 0.34% 0.33%*
Ratio of Net Investment Income to Average Net Assets........ 7.76%* 6.70% 3.10%*
Portfolio Turnover Rate..................................... N/A N/A N/A
Portfolio Turnover Rate of Master Fund Series............... 80.22%* 119.27% 87.07%*
- ---------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
** Represents the combined ratio for the portfolio and its pro-rata share of
its Master Funds Series.
See accompanying Notes to Financial Statements.
63
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
-----------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1993 1992
- -------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 10.36 $ 10.42 $ 10.05 $ 9.75 $ 10.55 $ 10.88 $ 11.25
---------- -------- -------- -------- -------- -------- --------
Income From Investment
Operations
Net Investment Income....... 0.27 0.59 0.65 0.59 0.48 0.47 0.57
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 0.03 (0.06) 0.09 0.30 (0.80) 0.49 0.31
---------- -------- -------- -------- -------- -------- --------
Total From Investment
Operations.............. 0.30 0.53 0.74 0.89 (0.32) 0.96 0.88
- -------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income....... (0.35) (0.59) (0.37) (0.59) (0.48) (0.73) (0.76)
Net Realized Gains.......... -- -- -- -- -- (0.56) (0.49)
---------- -------- -------- -------- -------- -------- --------
Total Distributions....... (0.35) (0.59) (0.37) (0.59) (0.48) (1.29) (1.25)
- -------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 10.31 $ 10.36 $ 10.42 $ 10.05 $ 9.75 $ 10.55 $ 10.88
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
Total Return.................. 2.94%# 5.39% 7.51% 9.35% (3.13)% 9.46% 8.59%
- -------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $210,817 $204,377 $174,386 $300,921 $235,554 $164,504 $83,543
Ratio of Expenses to Average
Net Assets.................. 0.29%* 0.29% 0.30% 0.28% 0.31% 0.31% 0.31%
Ratio of Net Investment Income
to Average Net Assets....... 5.27%* 5.95% 5.63% 6.14% 5.08% 4.75% 5.82%
Portfolio Turnover Rate....... 10.30%* 27.78% 211.97% 398.09% 52.39% 152.10% 218.60%
- -------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
-----------------------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1991 1990 1989 1988
- ------------------------------
-----------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 10.64 $ 10.46 $ 10.42 $ 10.33
-------- -------- -------- --------
Income From Investment
Operations
Net Investment Income....... 0.81 0.76 0.85 0.62
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 0.54 0.20 0.05 0.09
-------- -------- -------- --------
Total From Investment
Operations.............. 1.35 0.96 0.90 0.71
- ------------------------------ -----------------------------------------
Less Distributions
Net Investment Income....... (0.74) (0.78) (0.86) (0.58)
Net Realized Gains.......... -- -- -- (0.04)
-------- -------- -------- --------
Total Distributions....... (0.74) (0.78) (0.86) (0.62)
- ------------------------------ -----------------------------------------
Net Asset Value, End of
Period...................... $ 11.25 $ 10.64 $ 10.46 $ 10.42
- ------------------------------ -----------------------------------------
- ------------------------------ -----------------------------------------
Total Return.................. 13.44% 9.72% 9.33% 7.13%
- ------------------------------ -----------------------------------------
Net Assets, End of Period
(thousands)................. $56,971 $52,260 $53,039 $ 4,863
Ratio of Expenses to Average
Net Assets.................. 0.30% 0.30% 0.30% 0.28%
Ratio of Net Investment Income
to Average Net Assets....... 7.16% 7.91% 8.49% 7.97%
Portfolio Turnover Rate....... 223.18% 165.50% 312.59% 253.31%
- ------------------------------ -----------------------------------------
</TABLE>
Restated to reflect a 900% stock dividend as of January 2, 1996.
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
64
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA GLOBAL FIXED INCOME PORTFOLIO
-----------------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR YEAR YEAR YEAR NOV. 6
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1993 1992 1991 1990
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Net Asset Value,
Beginning of Period.... $ 10.88 $ 11.04 $ 10.51 $ 9.81 $ 10.56 $ 10.36 $ 10.47 $ 10.02 $10.00
---------- -------- -------- -------- -------- -------- -------- -------- --------
Income From Investment
Operations
Net Investment
Income............... 0.23 0.48 0.50 0.39 0.35 0.40 0.54 0.66 0.04
Net Gain (Losses) on
Securities (Realized
and Unrealized)...... 0.19 0.33 0.61 1.08 (0.65) 0.73 0.26 0.26 (0.02)
---------- -------- -------- -------- -------- -------- -------- -------- --------
Total From Investment
Operations......... 0.42 0.81 1.11 1.47 (0.30) 1.13 0.80 0.92 0.02
- --------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment
Income............... (0.85) (0.88) (0.58) (0.77) (0.44) (0.45) (0.64) (0.47) --
Net Realized Gains..... (0.06) (0.09) -- -- (0.01) (0.48) (0.27) -- --
---------- -------- -------- -------- -------- -------- -------- -------- --------
Total
Distributions...... (0.91) (0.97) (0.58) (0.77) (0.45) (0.93) (0.91) (0.47) --
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................. $ 10.39 $ 10.88 $ 11.04 $ 10.51 $ 9.81 $ 10.56 $ 10.36 $ 10.47 $10.02
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
Total Return............. 4.20%# 7.87% 11.13% 15.23% (2.91)% 11.42% 8.00% 11.00% 0.22%#
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)............ $297,699 $250,078 $165,772 $208,166 $135,529 $101,528 $54,607 $31,647 $8,474
Ratio of Expenses to
Average Net Assets..... 0.41%* 0.42% 0.46% 0.46% 0.49% 0.52% 0.58% 0.67% 0.51%*
Ratio of Net Investment
Income to Average Net
Assets................. 3.94%* 4.50% 4.88% 5.80% 5.75% 5.09% 5.52% 6.74% 6.92%*
Portfolio Turnover
Rate................... 44.91%* 95.12% 97.78% 130.41% 113.55% 139.57% 210.39% 194.25% 0.00%*
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Restated to reflect a 900% stock dividend as of January 2, 1996.
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
65
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
------------------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR
SIX MONTHS ENDED ENDED ENDED ENDED ENDED ENDED ENDED OCT. 22
ENDED MAY NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, TO NOV.
31, 1998 1997 1996 1995 1994 1993 1992 1991 30, 1990
- ---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period.... $ 11.28 $ 11.22 $ 11.24 $ 10.22 $ 11.59 $ 11.20 $ 11.02 $ 10.27 $ 10.00
------------ --------- --------- -------- -------- -------- -------- -------- --------
Income From Investment
Operations
Net Investment
Income............... 0.32 0.66 0.65 0.70 0.69 0.55 0.76 0.84 0.09
Net Gain (Losses) on
Securities (Realized
and Unrealized)...... 0.15 0.06 (0.13) 1.11 (1.22) 0.66 0.26 0.63 0.18
------------ --------- --------- -------- -------- -------- -------- -------- --------
Total From Investment
Operations......... 0.47 0.72 0.52 1.81 (0.53) 1.21 1.02 1.47 0.27
- ------------------------------------------------------------------------------------- -----------------------------------------
Less Distributions
Net Investment
Income............... (0.33) (0.66) (0.50) (0.70) (0.68) (0.73) (0.78) (0.72) --
Net Realized Gains..... (0.05) -- (0.04) (0.09) (0.16) (0.09) (0.06) -- --
------------ --------- --------- -------- -------- -------- -------- -------- --------
Total
Distributions...... (0.38) (0.66) (0.54) (0.79) (0.84) (0.82) (0.84) (0.72) --
- ------------------------------------------------------------------------------------- -----------------------------------------
Net Asset Value, End of
Period $ 11.37 $ 11.28 $ 11.22 $ 11.24 $ 10.22 $ 11.59 $ 11.20 $ 11.02 $ 10.27
- ------------------------------------------------------------------------------------- -----------------------------------------
- ------------------------------------------------------------------------------------- -----------------------------------------
Total Return............. 4.27%# 6.75% 4.98% 18.04% (4.72)% 12.84% 9.70% 14.94% 2.63%#
- ------------------------------------------------------------------------------------- -----------------------------------------
Net Assets, End of Period
(thousands)............ $ 157,383 $ 136,555 $ 107,944 $78,087 $60,827 $53,051 $40,160 $29,393 $25,567
Ratio of Expenses to
Average Net Assets..... 0.24%* 0.25% 0.26% 0.27% 0.29% 0.32% 0.29% 0.28% 0.23%*
Ratio of Net Investment
Income to Average Net
Assets................. 5.97%* 6.20% 6.22% 6.44% 6.45% 6.41% 7.05% 7.86% 8.73%*
Portfolio Turnover
Rate................... 20.60%* 24.06% 30.84% 40.79% 27.15% 16.91% 17.91% 19.72% 0.00%*
- ------------------------------------------------------------------------------------- -----------------------------------------
</TABLE>
Restated to reflect a 900% stock dividend as of January 2, 1996.
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
66
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered, without a sales charge, generally
to institutional investors and clients of registered investment advisors.
Twenty-two of the Fund's thirty portfolios (the "Portfolios") are included in
this report. Of the remaining eight portfolios, six portfolios are only
available through a select group of insurance products and are presented in a
separate report, one is reported in a separate report and the remaining
portfolio has not yet commenced operations.
Effective August 1, 1997, The U.S. Small Cap Value Portfolio changed its
name to The U.S. 6-10 Value Portfolio.
On December 1, 1997, The U.S. 9-10 Small Company Portfolio transferred its
investable assets for shares with an equal value of The U.S. 9-10 Small Company
Series of The DFA Investment Trust Company. This portfolio invests solely in
this series.
The following Portfolios (the "Feeder Funds") invest in a corresponding
series of The DFA Investment Trust Company (the "Master Funds"):
<TABLE>
<CAPTION>
PERCENTAGE
OWNERSHIP
PORTFOLIOS (FEEDER FUNDS) CORRESPONDING SERIES (MASTER FUNDS) AT 5/31/98
- ------------------------------------------------------- ------------------------------------------------------- -------------
<S> <C> <C>
The U.S. Large Company Portfolio The U.S. Large Company Series 38%
The Enhanced U.S. Large Company Portfolio The Enhanced U.S. Large Company Series 100%
The U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 60%
The U.S. 6-10 Value Portfolio The U.S. 6-10 Value Series 95%
The U.S. 6-10 Small Company Portfolio The U.S. 6-10 Small Company Series 77%
The U.S. 9-10 Small Company Portfolio The U.S. 9-10 Small Company Series 100%
The RWB/DFA International High Book to Market Portfolio The DFA International Value Series 17%
The International Small Company Portfolio The Japanese Small Company Series 24%
The Pacific Rim Small Company Series 30%
The United Kingdom Small Company Series 20%
The Continental Small Company Series 42%
The Japanese Small Company Portfolio The Japanese Small Company Series 62%
The Pacific Rim Small Company Portfolio The Pacific Rim Small Company Series 70%
The United Kingdom Small Company Portfolio The United Kingdom Small Company Series 67%
The Continental Small Company Portfolio The Continental Small Company Series 67%
The Emerging Markets Portfolio The Emerging Markets Series 96%
The Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 9%
The DFA One-Year Fixed Income Portfolio The DFA One-Year Fixed Income Series 91%
The DFA Two-Year Global Fixed Income Portfolio The DFA Two-Year Global Fixed Income Series 100%
</TABLE>
67
<PAGE>
Each Feeder Fund, with the exception of The International Small Company
Portfolio, invests solely in a corresponding Master Fund. The International
Small Company Portfolio also invests in short term temporary cash investments
from time to time.
The financial statements of the Master Funds are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Funds.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by The DFA Real Estate Securities
Portfolio which are listed on a securities exchange and for which market
quotations are readily available are valued at the last quoted sale price of the
day, or if there is no such reported sale, at the mean between the most recent
bid and asked prices. Securities held by The Large Cap International Portfolio
and The DFA International Small Cap Value Portfolio (the "International Equity
Portfolios") which are listed on a securities exchange are valued at the last
quoted sale price. Price information on listed securities is taken from the
exchange where the security is primarily traded. Unlisted securities for which
market quotations are readily available are valued at the mean between the most
recent bid and asked prices. Securities for which quotations are not readily
available are valued in good faith at fair value using methods determined by the
Board of Directors.
Securities held by The DFA Intermediate Government Fixed Income Portfolio,
The DFA Five-Year Government Portfolio and The DFA Global Fixed Income Portfolio
(the "Fixed Income Portfolios"), are valued on the basis of prices provided by a
pricing service when such prices are believed to reflect the fair market value
of such securities. Securities for which quotations are not readily available
are valued in good faith at fair value using methods determined by the Board of
Directors.
Master Fund shares held by the Feeder Funds are valued at their respective
daily net asset values or for The U.S. Large Company Portfolio, The Japanese
Small Company Portfolio, The Pacific Rim Small Company Portfolio, The United
Kingdom Small Company Portfolio, The Continental Small Company Portfolio, The
International Small Company Portfolio, The Emerging Markets Portfolio and The
Emerging Markets Small Cap Portfolio, their investment reflects their
proportionate interest in the net assets of the corresponding Master Fund.
2. FOREIGN CURRENCY: Securities, other assets and liabilities of the
International Equity Portfolios and The DFA Global Fixed Income Portfolio whose
values are initially expressed in foreign currencies are translated to U.S.
dollars at the mean price of such currency against U.S. dollars last quoted by a
major bank. Dividend and interest income and certain expenses are translated to
U.S. dollars at the rate of exchange on their respective accrual dates.
Receivables and payables denominated in foreign currencies are marked to market
daily based on daily exchange rates and exchange gains or losses are realized
upon ultimate receipt or disbursement. The DFA Global Fixed Income Portfolio
also enters into forward foreign currency contracts solely for the purpose of
hedging against fluctuations in currency exchange rates.
The International Equity Portfolios do not isolate the effect of fluctuation
in foreign exchange rates from the effect of fluctuations in the market prices
of securities whether realized or unrealized. However, The DFA Global Fixed
Income Portfolio does isolate the effect of fluctuations in foreign currency
rates when determining the realized gain or loss upon the sale or maturity of
foreign currency denominated debt obligations pursuant to U.S. Federal income
tax regulations; such amounts are categorized as foreign exchange gain or loss
for both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
68
<PAGE>
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and The DFA Global Fixed Income Portfolio and
the U.S. dollar equivalent amounts actually received or paid.
3. FEDERAL INCOME TAXES: It is each Portfolio's intention to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal taxes is required in the financial
statements.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on an accrual basis. Discount and
premium on debt securities purchased are amortized over the lives of the
respective securities. Expenses directly attributable to a Portfolio are
directly charged. Common expenses are allocated using methods determined by the
Board of Directors.
The U.S. Large Company Portfolio, The Japanese Small Company Portfolio, The
Pacific Rim Small Company Portfolio, The United Kingdom Small Company Portfolio,
The Continental Small Company Portfolio, The International Small Company
Portfolio, The Emerging Markets Portfolio and The Emerging Markets Small Cap
Portfolio each accrue their respective share of income, net of expenses daily on
their investment in their corresponding Master Fund, which are treated as
partnerships for federal income tax purposes. All of the net investment income
and realized and unrealized gains and losses from the security transactions and
foreign currency of the Master Funds are allocated pro rata among its investors
at the time of such determination.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to all Portfolios except the Feeder Funds. The Advisor
provides administrative services to the Feeder Funds, including supervision of
services provided by others, providing information to shareholders and the Board
of Directors, and other administrative services.
For the six months ended May 31, 1998, the Portfolios' advisory fees were
computed daily and paid monthly to the Advisor based on the following effective
annual rates:
<TABLE>
<S> <C>
The DFA Real Estate Securities Portfolio........................ .30 of 1%(a)
The Large Cap International Portfolio........................... .25 of 1%
The DFA International Small Cap Value Portfolio................. .65 of 1%
The DFA Five-Year Government Portfolio.......................... .20 of 1%
The DFA Global Fixed Income Portfolio........................... .25 of 1%
The DFA Intermediate Government Fixed Income Portfolio.......... .15 of 1%
</TABLE>
(a) Effective December 11, 1996, the sub-advisory agreement between The DFA/AEW
Real Estate Securities Portfolio and Aldrich, Eastman & Waltch L.P. terminated.
Effective December 20, 1996, the advisory fee for The DFA/ AEW Real Estate
Securities Portfolio was reduced from .325% to .30% and the name of the
portfolio was changed to The DFA Real Estate Securities Portfolio.
For the six months ended May 31, 1998, the Feeder Funds computed daily and
paid monthly to the Advisor an administrative fee based on the following
effective annual rates:
<TABLE>
<S> <C>
The U.S. Large Company Portfolio................................ .215 of 1%
The Enhanced U.S. Large Company Portfolio....................... .15 of 1%
The U.S. Large Cap Value Portfolio.............................. .15 of 1%
The U.S. 6-10 Value Portfolio................................... .30 of 1%
The U.S. 6-10 Small Company Portfolio........................... .32 of 1%
The U.S. 9-10 Small Company Portfolio........................... .40 of 1%
The RWB/DFA International High Book to Market Portfolio......... .01 of 1%
The International Small Company Portfolio....................... .40 of 1%
The Japanese Small Company Portfolio............................ .40 of 1%
The Pacific Rim Small Company Portfolio......................... .40 of 1%
</TABLE>
69
<PAGE>
<TABLE>
<S> <C>
The United Kingdom Small Company Portfolio...................... .40 of 1%
The Continental Small Company Portfolio......................... .40 of 1%
The Emerging Markets Portfolio.................................. .40 of 1%
The Emerging Markets Small Cap Portfolio........................ .45 of 1%
The DFA One-Year Fixed Income Portfolio......................... .10 of 1%
The DFA Two-Year Global Fixed Income Portfolio.................. .10 of 1%
</TABLE>
Effective August 9, 1996, the Advisor agreed to waive its administrative
service fee and/or assume the direct and indirect expenses of The U.S. Large
Company Portfolio to the extent necessary to keep the annual combined expenses
of the Portfolio and its respective Master Fund to not more than 0.15% of the
average daily net assets of the Portfolio. Prior to that date, the Advisor
agreed to waive its fees and reimburse the Portfolio to the extent necessary to
keep the annual combined expenses to not more than 0.24% of average daily net
assets. At May 31, 1998, approximately $674,000 of previously waived fees are
subject to future reimbursement to the Advisor.
Effective August 9, 1996, the Advisor agreed to waive its administrative
service fee and/or assume the direct expenses of The Japanese Small Company
Portfolio, The Pacific Rim Small Company Portfolio, The United Kingdom Small
Company Portfolio and The Continental Small Company Portfolio to the extent
necessary to keep the direct annual expenses of each Portfolio to not more than
0.47% of the average daily net assets of the Portfolio.
The Advisor has agreed to waive its administrative service fee and/or assume
the direct expenses of The International Small Company Portfolio to the extent
necessary to keep the direct annual expenses of the Portfolio to not more than
0.45% of the average daily net assets of the Portfolio.
Effective August 1, 1997, the Advisor agreed to waive its administrative
service fee and/or assume the direct and indirect expenses of The Enhanced U.S.
Large Company Portfolio to the extent necessary to keep the annual combined
expenses of the portfolio and its respective Master Fund to not more than 0.45%
of the average daily net assets of the portfolio. At May 31, 1998 approximately
$6,000 of previously waived fees are subject to future reimbursement to the
Advisor.
Certain officers of the Portfolios are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1998, the Portfolios made the following
purchases and sales of investment securities:
<TABLE>
<CAPTION>
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
---------------------- ----------------------
PURCHASES SALES PURCHASES SALES
----------- --------- ----------- ---------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
The DFA Real Estate Securities Portfolio.................. -- -- $ 18,728 $ 246
The Large Cap International Portfolio..................... -- -- 5,228 313
The DFA International Small Cap Value Portfolio........... -- -- 67,404 18,777
The DFA Five-Year Government Portfolio.................... $ 5,009 $ 156,944 -- --
The DFA Global Fixed Income Portfolio..................... -- 998 99,159 56,670
The DFA Intermediate Government Fixed Income Portfolio.... 13,227 6,863 19,564 7,506
</TABLE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1998, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities and foreign currencies for each
Portfolio were as follows:
<TABLE>
<CAPTION>
GROSS GROSS
UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION NET
-------------- -------------- ---------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. Large Company Portfolio........................... $ 174,207 $ (1,865) $ 172,342
The Enhanced U.S. Large Company Portfolio.................. 6,843 -- 6,843
The U.S. Large Cap Value Portfolio......................... 335,758 -- 335,758
The U.S. 6-10 Value Portfolio.............................. 691,296 -- 691,296
</TABLE>
70
<PAGE>
<TABLE>
<CAPTION>
GROSS GROSS
UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION NET
-------------- -------------- ---------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. 6-10 Small Company Portfolio...................... $ 100,419 -- $ 100,419
The U.S. 9-10 Small Company Portfolio...................... 477,956 -- 477,956
The DFA Real Estate Securities Portfolio................... 13,571 $ (1,885) 11,686
The Large Cap International Portfolio...................... 44,311 (10,075) 34,236
The RWB/DFA International High Book to Market Portfolio.... 67,677 -- 67,677
The International Small Company Portfolio.................. 35,087 (71,728) (36,641)
The Japanese Small Company Portfolio....................... 24,224 (195,075) (170,851)
The Pacific Rim Small Company Portfolio.................... 16,840 (93,667) (76,827)
The United Kingdom Small Company Portfolio................. 50,565 (12,796) 37,769
The Continental Small Company Portfolio.................... 134,602 (34,471) 100,131
The DFA International Small Cap Value Portfolio............ 98,472 (192,689) (94,217)
The Emerging Markets Portfolio............................. 55,619 (120,892) (65,273)
The Emerging Markets Small Cap Portfolio................... -- (117) (117)
The DFA One-Year Fixed Income Portfolio.................... 8,424 -- 8,424
The DFA Two-Year Global Fixed Income Portfolio............. 2,642 -- 2,642
The DFA Five-Year Government Portfolio..................... 47 -- 47
The DFA Global Fixed Income Portfolio...................... -- (9,688) (9,688)
The DFA Intermediate Government Fixed Income Portfolio..... 4,626 (21) 4,605
</TABLE>
At November 30, 1997, the following Portfolios had capital loss carryovers
for federal income tax purposes:
<TABLE>
<CAPTION>
EXPIRES ON NOVEMBER 30,
------------------------------------------
(AMOUNTS IN THOUSANDS)
2002 2003 2004 2005 TOTAL
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
The DFA Real Estate Securities Portfolio...................... $ 134 -- $ 381 -- $ 515
The Large Cap International Portfolio......................... -- -- -- $ 74 74
The International Small Company Portfolio..................... -- -- 74 807 881
The Japanese Small Company Portfolio.......................... -- -- -- 1,532 1,532
The DFA Five-Year Government Portfolio........................ -- $ 8,130 887 -- 9,017
The DFA Two-Year Global Fixed Income Portfolio................ -- -- -- 83 83
</TABLE>
F. COMPONENTS OF NET ASSETS AND SHARES AUTHORIZED:
<TABLE>
<CAPTION>
AT MAY 31, 1998 NET ASSETS CONSIST OF:
-----------------------------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
UNREALIZED
UNDISTRIBUTED UNDISTRIBUTED APPRECIATION
NET NET REALIZED (DEPRECIATION) OF UNREALIZED
INVESTMENT UNDISTRIBUTED FOREIGN INVESTMENT NET FOREIGN
PAID-IN INCOME NET REALIZED EXCHANGE SECURITIES AND EXCHANGE
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY GAIN (LOSS)
------------- ------------ -------------- -------------- -------------------- -------------
<S> <C> <C> <C> <C> <C> <C>
The U.S. Large Company
Portfolio................ $ 290,873 $ 1,259 $ (1,180) -- $ 172,342 --
The Enhanced U.S. Large
Company Portfolio........ 42,886 (35) 2,131 -- 6,843 --
The U.S. Large Cap Value
Portfolio................ 701,833 (460) 31,574 -- 335,758
The U.S. 6-10 Value
Portfolio................ 1,659,416 (3,012) 142,535 -- 691,296 --
The U.S. 6-10 Small
Company Portfolio........ 259,857 (586) 19,212 -- 100,419 --
The U.S. 9-10 Small
Company Portfolio........ 1,133,949 2,045 (26,724) -- 477,956 --
The DFA Real Estate
Securities Portfolio..... 96,239 2,257 (863) -- 11,686 --
The Large Cap
International
Portfolio................ 69,316 803 (692) $ (5) 34,236 $ (14)
The RWB/DFA International
High Book to Market
Portfolio................ 252,804 (14) (1,688) -- 67,677 --
The International Small
Company Portfolio........ 324,643 1,985 699 (154) (36,641) (84)
The Japanese Small Company
Portfolio................ 291,092 768 (9,570) (81) (170,851) (92)
<CAPTION>
NUMBER OF
TOTAL NET SHARES
ASSETS AUTHORIZED
------------- -------------
<S> <C> <C>
The U.S. Large Company
Portfolio................ $ 463,294 200,000,000
The Enhanced U.S. Large
Company Portfolio........ 51,825 100,000,000
The U.S. Large Cap Value
Portfolio................ 1,068,705 100,000,000
The U.S. 6-10 Value
Portfolio................ 2,490,235 100,000,000
The U.S. 6-10 Small
Company Portfolio........ 378,902 100,000,000
The U.S. 9-10 Small
Company Portfolio........ 1,587,226 300,000,000
The DFA Real Estate
Securities Portfolio..... 109,319 100,000,000
The Large Cap
International
Portfolio................ 103,644 150,000,000
The RWB/DFA International
High Book to Market
Portfolio................ 318,779 100,000,000
The International Small
Company Portfolio........ 290,448 100,000,000
The Japanese Small Company
Portfolio................ 111,266 20,000,000
</TABLE>
71
<PAGE>
<TABLE>
<CAPTION>
AT MAY 31, 1998 NET ASSETS CONSIST OF:
-----------------------------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
UNREALIZED
UNDISTRIBUTED UNDISTRIBUTED APPRECIATION
NET NET REALIZED (DEPRECIATION) OF UNREALIZED
INVESTMENT UNDISTRIBUTED FOREIGN INVESTMENT NET FOREIGN
PAID-IN INCOME NET REALIZED EXCHANGE SECURITIES AND EXCHANGE
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY GAIN (LOSS)
------------- ------------ -------------- -------------- -------------------- -------------
<S> <C> <C> <C> <C> <C> <C>
The Pacific Rim Small
Company Portfolio........ $ 165,238 $ 225 $ 622 $ (187) $ (76,827) $ 6
The United Kingdom Small
Company Portfolio........ 66,073 1,692 10,873 (61) 37,769 (13)
The Continental Small
Company Portfolio........ 135,500 2,378 14,213 (95) 100,131 (36)
The DFA International
Small Cap Value
Portfolio................ 623,302 3,919 2,825 (143) (94,217) (127)
The Emerging Markets
Portfolio................ 292,020 (78) (1,057) (377) (65,273) (2)
The Emerging Markets Small
Cap Portfolio............ 1,833 (1) 50 (1) (117) --
The DFA One-Year Fixed
Income Portfolio......... 767,098 (156) (4,310) -- 8,424 --
The DFA Two-Year Global
Fixed Income Portfolio... 425,968 356 (1,646) -- 2,642 --
The DFA Five-Year
Government Portfolio..... 215,020 4,506 (8,756) -- 47 --
The DFA Global Fixed
Income Portfolio......... 295,686 (2,135) (45) 9,497 (9,688) 4,384
The DFA Intermediate
Government Fixed Income
Portfolio................ 150,202 2,181 395 -- 4,605 --
<CAPTION>
NUMBER OF
TOTAL NET SHARES
ASSETS AUTHORIZED
------------- -------------
<S> <C> <C>
The Pacific Rim Small
Company Portfolio........ $ 89,077 20,000,000
The United Kingdom Small
Company Portfolio........ 116,333 20,000,000
The Continental Small
Company Portfolio........ 252,091 50,000,000
The DFA International
Small Cap Value
Portfolio................ 535,559 100,000,000
The Emerging Markets
Portfolio................ 225,233 100,000,000
The Emerging Markets Small
Cap Portfolio............ 1,764 100,000,000
The DFA One-Year Fixed
Income Portfolio......... 771,056 100,000,000
The DFA Two-Year Global
Fixed Income Portfolio... 427,320 100,000,000
The DFA Five-Year
Government Portfolio..... 210,817 100,000,000
The DFA Global Fixed
Income Portfolio......... 297,699 100,000,000
The DFA Intermediate
Government Fixed Income
Portfolio................ 157,383 100,000,000
</TABLE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' Investment Objectives and Policies, the
Portfolios may invest, either directly or through its investment in a
corresponding Master Fund, in certain financial instruments which have
off-balance sheet risk and concentrations of credit risk. These instruments and
their significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolios may purchase money market
instruments subject to the seller's agreement to repurchase them at an agreed
upon date and price. The seller will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Fund's custodian or a third party sub-custodian. All open repurchase
agreements were entered into on May 29, 1998.
72
<PAGE>
2. FORWARD CURRENCY CONTRACTS: The DFA Global Fixed Income Portfolio may
enter into forward foreign currency contracts to hedge against adverse changes
in the relationship of the U.S. dollar to foreign currencies. At May 31, 1998,
The DFA Global Fixed Income Portfolio had entered into the following contracts
and the related net unrealized foreign exchange loss is reflected in the
accompanying financial statements:
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION VALUE AT MAY 31, EXCHANGE
DATE CURRENCY SOLD CONTRACT AMOUNT 1998 GAIN (LOSS)
- ---------- ---------------- ---------------- ---------------- -------------
<S> <C> <C> <C> <C> <C>
06/11/98 7,330,637,242 Japanese Yen $ 55,235,854 $ 52,903,949 $ 2,331,905
06/11/98 1,182,537,583 Japanese Yen 8,727,854 8,534,170 193,684
06/11/98 365,360,134 Japanese Yen 2,691,630 2,636,741 54,889
06/22/98 36,717,934 Australian Dollars 22,816,524 22,998,299 (181,775)
06/26/98 362,961,447 French Francs 61,585,959 60,667,792 918,167
06/26/98 77,550,800 French Francs 12,962,253 12,962,357 (104)
06/29/98 123,517,817 German Marks 70,271,408 69,283,436 987,972
06/30/98 40,590,328 Canadian Dollars 27,882,314 27,897,900 (15,586)
06/30/98 10,927,611 Netherlands Guilders 5,438,113 5,439,112 (999)
---------------- ---------------- -------------
$ 267,611,909 $ 263,323,756 $ 4,288,153
---------------- ---------------- -------------
---------------- ---------------- -------------
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter-parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. The DFA Global Fixed Income Portfolio will enter into forward contracts
only for hedging purposes.
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
H. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. For the six months ended May 31, 1998, borrowings
under the line were as follows:
<TABLE>
<CAPTION>
MAXIMUM
AMOUNT
WEIGHTED BORROWED
AVERAGE WEIGHTED NUMBER OF INTEREST DURING
INTEREST AVERAGE LOAN DAYS EXPENSE THE
RATE BALANCE OUTSTANDING INCURRED PERIOD
------- ------------- ------------- --------- ---------
<S> <C> <C> <C> <C> <C>
The United Kingdom Small Company
Portfolio.............................. 6.05% $ 665,000 2 $ 223 $1,000,000
The Continental Small Company
Portfolio.............................. 6.01% 1,457,143 14 3,406 2,500,000
The Emerging Markets Portfolio.......... 5.92% 1,125,000 2 370 1,500,000
</TABLE>
The Continental Small Company Portfolio had an outstanding borrowing of
$1,100,000 plus accrued interest under the line of credit at May 31, 1998.
73
<PAGE>
I. REIMBURSEMENT FEES:
Shares of The Japanese Small Company Portfolio, The Pacific Rim Small
Company Portfolio, The Continental Small Company Portfolio, The International
Small Company Portfolio, The Emerging Markets Portfolio, The Emerging Markets
Small Cap Portfolio and The DFA International Small Cap Value Portfolio are sold
at a public offering price which is equal to the current net asset value of such
shares plus a reimbursement fee. Reimbursement fees are recorded as an addition
to paid in capital.
The reimbursement fees for The Japanese Small Company Portfolio and The
Emerging Markets Portfolio are .50% of the net asset value of their shares. The
reimbursement fees for The Pacific Rim Small Company Portfolio, The Continental
Small Company Portfolio and The Emerging Markets Small Cap Portfolio 1.00% of
the net asset value of their shares. The reimbursement fee for The DFA
International Small Cap Value Portfolio and The International Small Company
Portfolio is .675% of the net asset value of its shares.
J. SECURITIES LENDING:
Loans of domestic security are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Portfolio or, at the option of
the lending agent, replace the loaned securities. Such cash collateral for May
31, 1998 was reinvested into overnight repurchase agreements with Swiss Bank
Corp., UBS Securities Inc., Salomon Brothers and Barclays De Zoete Wedd which
was in turn collateralized by U.S. Government Treasury Securities. The market
value of securities on loan to brokers, the related collateral cash received by
each Portfolio and value of collateral on overnight repurchase agreements at May
31, 1998, was as follows:
<TABLE>
<CAPTION>
VALUE OF
COLLATERAL ON
VALUE OF OVERNIGHT
VALUE COLLATERAL AND REPURCHASE
OF SECURITIES INDEMNIFICATION AGREEMENTS
-------------- --------------- --------------
<S> <C> <C> <C>
DOMESTIC EQUITY PORTFOLIO
- ------------------------------------------------------------
The DFA Real Estate Securities Portfolio.................... $ 14,826,569 $ 15,375,050 $ 15,500,692
INTERNATIONAL EQUITY PORTFOLIOS
- ------------------------------------------------------------
The Large Cap International Portfolio....................... $ 14,309,139 $ 15,002,986 $ 15,335,886
The DFA International Small Cap Value Portfolio............. 30,522,785 32,974,581 33,706,359
</TABLE>
74
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THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
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COMMON STOCKS -- (99.6%)
*3COM Corp................................................ 50,500 $ 1,283,016
AMP, Inc.................................................. 31,204 1,185,752
*AMR Corp................................................. 13,000 2,001,187
AON Corp.................................................. 23,900 1,531,094
#AT & T Corp.............................................. 230,739 14,046,237
Abbott Laboratories....................................... 107,900 8,004,831
Adobe Systems, Inc........................................ 9,700 387,697
*Advanced Micro Devices, Inc.............................. 19,900 388,050
Aeroquip Vickers, Inc..................................... 4,000 247,000
Aetna, Inc................................................ 20,937 1,637,012
Ahmanson (H.F.) & Co...................................... 15,600 1,189,500
Air Products & Chemicals, Inc............................. 16,600 1,444,200
*Airtouch Communications, Inc............................. 80,060 3,812,857
Alberto-Culver Co. Class B................................ 8,000 238,000
Albertson's Inc........................................... 34,700 1,607,044
Alcan Aluminum, Ltd....................................... 32,000 912,000
*Allegheny Teledyne, Inc.................................. 27,735 644,839
Allergan, Inc............................................. 9,300 390,600
AlliedSignal, Inc......................................... 79,900 3,415,725
Allstate Corp............................................. 61,100 5,751,038
Alltel Corp............................................... 26,100 1,029,319
#Aluminium Co. of America................................. 24,500 1,699,687
*Alza Corp................................................ 12,100 585,337
Amerada Hess Corp......................................... 13,000 702,812
Ameren Corp............................................... 19,500 762,937
#American Electric Power Co., Inc......................... 26,800 1,216,050
American Express Co....................................... 65,800 6,752,725
American General Corp..................................... 36,100 2,423,212
American Greetings Corp. Class A.......................... 10,400 494,000
American Home Products Corp............................... 184,500 8,913,656
American International Group, Inc......................... 99,693 12,343,240
American Stores Co........................................ 38,900 970,069
Ameritech Corp............................................ 155,700 6,607,519
*Amgen, Inc............................................... 37,600 2,273,625
Amoco Corp................................................ 138,400 5,786,850
#Anadarko Petroleum Corp.................................. 8,600 567,600
*#Andrew Corp............................................. 12,593 276,652
Anheuser-Busch Companies, Inc............................. 69,700 3,201,844
Apache Corp............................................... 13,600 464,950
*#Apple Computer, Inc..................................... 18,900 502,622
*#Applied Materials, Inc.................................. 52,000 1,665,625
Archer-Daniels Midland Co................................. 81,100 1,530,762
*Armco, Inc............................................... 15,300 83,194
Armstrong World Industries, Inc........................... 5,700 479,512
*#Asarco, Inc............................................. 5,750 130,453
Ashland, Inc.............................................. 10,700 533,662
*Associates First Capital Corp. Class A................... 49,255 3,684,890
Atlantic Richfield Co..................................... 45,700 3,604,587
#Autodesk, Inc............................................ 6,600 280,912
Automatic Data Processing, Inc............................ 42,400 2,697,700
*Autozone, Inc............................................ 21,700 721,525
Avery Dennison Corp....................................... 14,600 756,462
Avon Products, Inc........................................ 18,900 1,546,256
B B & T Corp.............................................. 20,300 1,343,606
#Baker Hughes, Inc........................................ 24,000 864,000
Ball Corp................................................. 4,300 169,581
Baltimore Gas & Electric Co............................... 21,050 640,709
Banc One Corp............................................. 91,932 5,067,751
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Bank of New York Co., Inc................................. 53,300 $ 3,257,962
BankAmerica Corp.......................................... 98,536 8,147,695
BankBoston Corp........................................... 20,800 2,191,800
#Bankers Trust New York Corp.............................. 13,900 1,716,650
Bard (C.R.), Inc.......................................... 8,100 280,969
#Barrick Gold Corp........................................ 53,000 1,020,250
Battle Mountain Gold Co................................... 32,600 173,187
Bausch & Lomb, Inc........................................ 7,900 393,519
Baxter International, Inc................................. 39,700 2,270,344
*Bay Networks, Inc........................................ 31,300 866,619
Becton Dickinson & Co..................................... 17,400 1,231,050
Bell Atlantic Corp........................................ 110,069 10,085,072
Bellsouth Corp............................................ 141,000 9,094,500
Bemis Co., Inc............................................ 7,500 316,406
Beneficial Corp........................................... 7,400 991,600
Bestfoods, Inc............................................ 40,800 2,302,650
*#Bethlehem Steel Corp.................................... 16,000 196,000
#Biomet, Inc.............................................. 15,900 459,609
Black & Decker Corp....................................... 13,500 788,062
Block (H.&R.), Inc........................................ 14,900 655,600
Boeing Co................................................. 142,106 6,767,798
Boise Cascade Corp........................................ 8,000 267,000
*Boston Scientific Corp................................... 27,600 1,759,500
Briggs & Stratton Corp.................................... 3,500 158,812
Bristol Myers Squibb Co................................... 141,300 15,189,750
#Brown-Forman Corp. Class B............................... 9,800 564,725
Browning-Ferris Industries, Inc........................... 27,600 981,525
Brunswick Corp............................................ 14,200 446,412
Burlington Northern Santa Fe Corp......................... 22,237 2,212,581
Burlington Resources, Inc................................. 25,200 1,061,550
CBS Corp.................................................. 101,000 3,206,750
CIGNA Corp................................................ 31,800 2,178,300
CSX Corp.................................................. 31,100 1,481,137
CVS Corp.................................................. 27,008 1,895,624
*Cabletron Systems, Inc................................... 22,500 289,687
Campbell Soup Co.......................................... 64,900 3,537,050
#Cardinal Health, Inc..................................... 15,700 1,399,262
Carolina Power & Light Co................................. 21,400 877,400
Case Corp................................................. 10,700 619,262
Caterpillar, Inc.......................................... 52,700 2,895,206
*Cendant Corp............................................. 115,000 2,494,062
Centex Corp............................................... 8,400 300,300
#Central & South West Corp................................ 30,200 798,412
*Ceridian Corp............................................ 10,253 553,662
Champion International Corp............................... 13,700 657,600
Chase Manhattan Corp...................................... 59,896 8,142,112
Chevron Corp.............................................. 93,100 7,436,362
Chrysler Corp............................................. 92,300 5,134,187
Chubb Corp................................................ 24,200 1,925,412
Cincinnati Financial Corp................................. 23,400 987,187
Cincinnati Milacron, Inc.................................. 5,700 170,644
Cinergy Corp.............................................. 22,493 726,805
Circuit City Stores, Inc. (Circuit City Group)............ 14,000 593,250
*Cisco Sytems, Inc........................................ 144,600 10,921,819
Citicorp.................................................. 65,100 9,708,037
*Clear Channel Communications, Inc........................ 17,583 1,685,770
Clorox Co................................................. 14,600 1,219,100
Coastal Corp.............................................. 15,200 1,071,600
#Coca-Cola Co............................................. 351,100 27,517,462
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CONTINUED
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Cognizant Corp............................................ 22,900 $ 1,219,425
Colgate-Palmolive Co...................................... 42,200 3,671,400
#Columbia Gas System, Inc................................. 7,800 658,125
#Columbia/HCA Healthcare Corp............................. 91,982 3,006,662
Comcast Corp. Class A Special............................. 49,600 1,700,350
Comerica, Inc............................................. 22,250 1,462,937
Compaq Computer Corp...................................... 215,190 5,877,377
Computer Associates International, Inc.................... 77,700 4,079,250
#Computer Sciences Corp................................... 22,000 1,142,625
Conagra, Inc.............................................. 67,500 1,974,375
#Conseco, Inc............................................. 26,900 1,254,212
Consolidated Edison, Inc.................................. 33,300 1,425,656
Consolidated Natural Gas Co............................... 13,600 769,250
*#Consolidated Stores Corp................................ 15,400 588,087
#Cooper Industries, Inc................................... 17,300 1,113,687
Cooper Tire & Rubber Co................................... 11,200 265,300
Coors (Adolph) Co. Class B................................ 5,300 198,916
Corning, Inc.............................................. 32,900 1,297,494
*#Costco Companies, Inc................................... 30,303 1,752,839
Countrywide Credit Industries, Inc........................ 15,500 716,875
Crane Co.................................................. 6,500 342,469
*Crown Cork & Seal Co., Inc............................... 18,200 944,125
Cummins Engine Co., Inc................................... 5,400 280,800
Cyprus Amax Minerals Co., Inc............................. 13,250 210,344
*DSC Communications Corp.................................. 16,800 287,175
DTE Energy Co............................................. 20,600 814,987
Dana Corp................................................. 14,900 776,662
Darden Restaurants, Inc................................... 21,100 325,731
*Data General Corp........................................ 6,900 105,225
Dayton-Hudson Corp........................................ 62,200 2,884,525
Deere & Co................................................ 35,600 1,846,750
*#Dell Computer Corp...................................... 92,500 7,622,578
Delta Air Lines, Inc...................................... 10,500 1,207,500
Deluxe Corp............................................... 11,600 389,325
*Digital Equipment Corp................................... 20,900 1,146,887
Dillards, Inc. Class A.................................... 15,800 664,587
Disney (Walt) Co.......................................... 96,100 10,871,312
Dominion Resources, Inc. VA............................... 27,500 1,091,406
Donnelley (R.R.) & Sons Co................................ 20,800 936,000
Dover Corp................................................ 31,500 1,181,250
Dow Chemical Co........................................... 32,000 3,100,000
#Dow Jones & Co., Inc..................................... 13,700 659,312
Dresser Industries, Inc................................... 25,000 1,164,062
DuPont (E.I.) de Nemours & Co............................. 160,800 12,381,600
Duke Power Co............................................. 51,141 2,947,000
Dun & Bradstreet Corp..................................... 24,100 813,375
E G & G, Inc.............................................. 6,400 201,600
*EMC Corp. MA............................................. 70,600 2,925,487
Eastern Enterprises....................................... 2,900 116,362
Eastman Chemical Co....................................... 11,150 747,050
Eastman Kodak Co.......................................... 46,000 3,283,250
Eaton Corp................................................ 10,100 907,106
Echlin, Inc............................................... 9,000 427,500
Ecolab, Inc............................................... 18,400 568,100
Edison International...................................... 54,300 1,601,850
Emerson Electric Co....................................... 63,000 3,827,250
Engelhard Corp............................................ 20,474 426,115
Enron Corp................................................ 46,500 2,330,812
Entergy Corp.............................................. 34,600 910,412
Equifax, Inc.............................................. 21,400 778,425
Exxon Corp................................................ 350,200 24,689,100
*FDX Corp................................................. 20,700 1,327,387
*FMC Corp................................................. 5,200 397,475
FPL Group, Inc............................................ 26,000 1,597,375
Fannie Mae................................................ 150,600 9,017,175
Federal Home Loan Mortgage Corp........................... 98,800 4,495,400
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*Federated Department Stores, Inc......................... 29,800 $ 1,544,012
Fifth Third Bancorp....................................... 33,000 1,626,281
First Chicago NBD Corp.................................... 41,293 3,610,557
First Data Corp........................................... 60,700 2,018,275
First Union Corp.......................................... 137,164 7,586,884
#FirstEnergy Corp......................................... 32,800 973,750
Fleet Financial Group, Inc................................ 38,464 3,154,048
#Fleetwood Enterprises, Inc............................... 5,200 208,000
Fluor Corp................................................ 12,000 572,250
Ford Motor Co............................................. 170,600 8,849,875
Fort James Corp........................................... 29,700 1,420,031
Fortune Brands, Inc....................................... 24,300 934,031
Foster Wheeler Corp....................................... 5,750 145,906
*#Franklin Resources, Inc................................. 35,800 1,749,725
Freeport McMoran Copper & Gold, Inc. Class B.............. 27,500 460,625
Frontier Corp............................................. 23,300 709,194
*Fruit of The Loom, Inc. Class A.......................... 10,400 373,750
#GPU, Inc................................................. 18,100 696,850
GTE Corp.................................................. 135,900 7,924,669
Gannett Co., Inc.......................................... 40,200 2,650,687
Gap, Inc.................................................. 56,100 3,029,400
*#Gateway 2000, Inc....................................... 22,000 991,375
General Dynamics Corp..................................... 17,800 790,987
General Electric Co....................................... 464,700 38,744,362
*General Instrument Corp.................................. 21,080 501,967
General Mills, Inc........................................ 22,600 1,542,450
General Motors Corp....................................... 100,600 7,236,912
General RE Corp........................................... 11,200 2,462,600
General Signal Corp....................................... 6,200 254,975
Genuine Parts Co.......................................... 25,475 864,558
#Georgia-Pacific Corp..................................... 13,100 840,856
Giant Food, Inc. Class A.................................. 8,500 365,500
Gillette Co............................................... 79,800 9,346,575
Golden West Financial Corp................................ 8,100 874,800
Goodrich (B.F.) Co........................................ 10,300 527,875
Goodyear Tire & Rubber Co................................. 22,300 1,602,812
Grainger (W.W.), Inc...................................... 7,100 749,494
Great Atlantic & Pacific Tea Co., Inc..................... 5,400 172,800
Great Lakes Chemical Corp................................. 8,500 340,000
Green Tree Financial Corp................................. 19,300 775,619
Guidant Corp.............................................. 21,300 1,372,519
HBO & Co.................................................. 29,900 1,725,791
Halliburton Co............................................ 37,100 1,757,612
Harcourt General, Inc..................................... 10,023 546,253
Harnischfeger Industries, Inc............................. 6,776 213,444
*Harrahs Entertainment, Inc............................... 14,300 357,500
Harris Corp............................................... 11,300 544,519
Hartford Financial Services Group, Inc.................... 16,600 1,827,037
#Hasbro, Inc.............................................. 18,999 726,712
*Healthsouth Corp......................................... 55,800 1,583,325
Heinz (H.J.) Co........................................... 51,750 2,745,984
Helmerich & Payne, Inc.................................... 7,100 179,275
Hercules, Inc............................................. 13,700 603,656
#Hershey Foods Corp....................................... 20,300 1,405,775
Hewlett-Packard Co........................................ 147,800 9,182,075
#Hilton Hotels Corp....................................... 35,500 1,116,031
#Home Depot, Inc.......................................... 103,672 8,144,731
#Homestake Mining Co...................................... 30,000 326,250
Honeywell, Inc............................................ 18,200 1,527,662
Household International, Inc.............................. 15,400 2,083,813
Houston Industries, Inc................................... 40,024 1,145,687
*Humana, Inc.............................................. 23,200 720,650
Huntington Bancshares, Inc................................ 27,100 884,984
ITT Industries, Inc....................................... 16,800 619,500
Ikon Office Solutions, Inc................................ 18,900 400,444
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CONTINUED
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Illinois Tool Works, Inc.................................. 35,400 $ 2,336,400
Inco, Ltd................................................. 23,700 340,688
Ingersoll-Rand Co......................................... 23,500 1,058,969
Inland Steel Industries, Inc.............................. 7,000 200,375
Intel Corp................................................ 232,200 16,580,531
International Business Machines Corp...................... 138,300 16,232,963
International Flavors & Fragrances, Inc................... 15,500 744,000
International Paper Co.................................... 42,900 1,973,400
#Interpublic Group of Companies, Inc...................... 17,850 1,058,728
Jefferson-Pilot Corp...................................... 15,175 868,769
Johnson & Johnson......................................... 190,800 13,177,125
Johnson Controls, Inc..................................... 12,000 714,000
Jostens, Inc.............................................. 5,500 138,875
*K Mart Corp.............................................. 69,300 1,342,688
*#KLA-Tencor Corp......................................... 11,900 401,997
Kaufman & Broad Home Corp................................. 5,500 141,281
#Kellogg Co............................................... 58,400 2,412,650
#Kerr-McGee Corp.......................................... 6,800 430,100
#Keycorp.................................................. 62,600 2,374,888
Kimberly Clark Corp....................................... 78,784 3,904,732
*King World Productions, Inc.............................. 10,500 267,750
#Knight Ridder, Inc....................................... 11,452 653,480
*Kroger Co................................................ 36,200 1,554,338
*LSI Logic Corp........................................... 20,200 430,513
Laidlaw, Inc.............................................. 46,700 577,913
Lehman Brothers Holdings, Inc............................. 14,600 1,035,688
Lilly (Eli) & Co.......................................... 157,400 9,670,263
Limited, Inc.............................................. 32,000 1,064,000
Lincoln National Corp..................................... 14,600 1,312,175
#Liz Claiborne, Inc....................................... 9,500 481,531
Lockheed Martin Corp...................................... 27,457 3,082,048
Loews Corp................................................ 16,200 1,470,150
Longs Drug Stores Corp.................................... 5,500 166,719
*Louisiana-Pacific Corp................................... 15,600 311,025
Lowe's Companies, Inc..................................... 24,800 1,963,850
Lucent Technologies, Inc.................................. 184,700 13,102,156
MBIA, Inc................................................. 13,800 1,028,963
#MBNA Corp................................................ 71,030 2,250,763
MCI Communications Corp................................... 99,100 5,298,753
#MGIC Investment Corp..................................... 16,200 970,988
Mallinckrodt, Inc......................................... 10,400 320,450
Manor Care, Inc........................................... 9,000 284,063
Marriott International, Inc. Class A...................... 36,400 1,264,900
#Marsh & McLennan Companies, Inc.......................... 24,000 2,101,500
#Masco Corp............................................... 23,500 1,321,875
Mattel, Inc............................................... 41,152 1,558,632
May Department Stores Co.................................. 32,700 2,103,019
Maytag Corp............................................... 13,500 680,906
#McDermott International, Inc............................. 8,600 328,413
McDonalds Corp............................................ 97,900 6,424,688
McGraw-Hill Companies, Inc................................ 14,200 1,110,263
Mead Corp................................................. 15,000 466,875
Medtronic, Inc............................................ 66,500 3,699,063
#Mellon Bank Corp......................................... 36,200 2,441,238
Mercantile Bancorporation, Inc............................ 18,500 945,813
Mercantile Stores Co., Inc................................ 5,200 408,850
Merck & Co., Inc.......................................... 170,000 19,900,625
Meredith Corp............................................. 7,500 298,125
Merrill Lynch & Co., Inc.................................. 47,200 4,224,400
*#Micron Technology, Inc.................................. 30,000 706,875
*Microsoft Corp........................................... 345,800 29,338,969
#Millipore Corp........................................... 6,200 206,925
Minnesota Mining & Manufacturing Co....................... 58,000 5,372,250
*#Mirage Resorts, Inc..................................... 25,400 528,638
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Mobil Corp................................................ 111,600 $ 8,704,800
#Monsanto Co.............................................. 84,200 4,662,575
#Moore Corp., Ltd......................................... 12,600 182,700
Morgan (J.P.) & Co., Inc.................................. 25,300 3,141,944
Morgan Stanley Dean Witter Discover & Co.................. 84,109 6,565,759
Morton International, Inc................................. 18,600 566,138
Motorola, Inc............................................. 84,800 4,489,100
Nacco Industries, Inc. Class A............................ 1,200 175,800
Nalco Chemical Co......................................... 9,500 356,250
National City Corp........................................ 46,867 3,175,239
*National Semiconductor Corp.............................. 23,300 378,625
#National Service Industries, Inc......................... 6,100 311,100
NationsBank Corp.......................................... 133,519 10,114,064
*Navistar International Corp.............................. 10,300 310,931
New York Times Class A.................................... 13,600 958,800
Newell Co................................................. 22,500 1,085,625
Newmont Mining Corp....................................... 22,258 555,059
*#Nextel Communications Corp. Class A..................... 37,452 881,292
*Niagara Mohawk Power Corp................................ 20,500 253,688
Nicor, Inc................................................ 6,900 266,513
#Nike, Inc. Class B....................................... 41,100 1,890,600
Nordstrom, Inc............................................ 11,000 792,688
Norfolk Southern Corp..................................... 53,700 1,681,481
Northern States Power Co. MN.............................. 10,600 602,875
#Northern Telecom, Ltd.................................... 74,100 4,742,400
Northern Trust Corp....................................... 15,900 1,121,447
Northrop Grumman Corp..................................... 9,500 1,018,281
#Norwest Corp............................................. 107,100 4,163,513
*Novell, Inc.............................................. 49,900 525,509
Nucor Corp................................................ 12,400 638,600
Occidental Petroleum Corp................................. 48,000 1,326,000
*#Octel Corp.............................................. 2,100 45,806
#Omnicom Group, Inc....................................... 23,100 1,081,369
Oneok, Inc................................................ 4,400 171,875
*#Oracle Systems Corp..................................... 139,962 3,302,228
*Oryx Energy Co........................................... 15,000 349,688
#Owens Corning............................................ 7,600 285,000
*Owens-Illinois, Inc...................................... 21,800 979,638
PECO Energy Co............................................ 31,600 892,700
#PG&E Corp. (Holding Co.)................................. 54,000 1,701,000
PNC Bank Corp............................................. 43,150 2,491,913
#PP&L Resources, Inc...................................... 23,500 519,938
PPG Industries, Inc....................................... 25,200 1,836,450
#Paccar, Inc.............................................. 11,120 614,033
Pacific Enterprises....................................... 11,800 449,138
PacifiCorp................................................ 42,100 970,931
#Pall Corp................................................ 17,700 350,681
*#Parametric Technology Corp.............................. 36,500 1,118,953
Parker-Hannifin Corp...................................... 15,725 645,708
#Penney (J.C.) Co., Inc................................... 35,700 2,563,706
Pennzoil Co............................................... 6,700 387,344
Peoples Energy Corp....................................... 5,000 184,375
Pep Boys - Manny, Moe & Jack.............................. 9,000 200,250
Pepsico, Inc.............................................. 215,500 8,795,094
Perkin Elmer Corp......................................... 6,900 472,650
Pfizer, Inc............................................... 183,600 19,243,575
Pharmacia & Upjohn, Inc................................... 72,080 3,185,035
Phelps Dodge Corp......................................... 8,300 506,300
Philip Morris Companies, Inc.............................. 344,500 12,875,688
Phillips Petroleum Co..................................... 37,200 1,862,325
#Pioneer Hi-Bred International, Inc....................... 34,801 1,324,613
Pitney Bowes, Inc......................................... 41,000 1,927,000
Placer Dome, Inc.......................................... 35,100 436,556
Polaroid Corp............................................. 6,400 259,600
*Potlatch Corp............................................ 4,100 179,631
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Praxair, Inc.............................................. 22,300 $ 1,099,669
Procter & Gamble Co....................................... 190,632 16,001,174
#Progressive Corp......................................... 10,300 1,420,113
Providian Financial Corp.................................. 13,400 852,575
Public Service Enterprise Group, Inc...................... 33,000 1,091,063
Pulte Corp................................................ 3,000 159,938
Quaker Oats Co............................................ 19,600 1,130,675
Ralston Purina Group...................................... 15,300 1,703,081
Raychem Corp.............................................. 12,000 451,500
#Raytheon Co. Class B..................................... 48,000 2,625,000
*Reebok International, Ltd................................ 8,000 230,000
Republic New York Corp.................................... 7,700 988,969
Reynolds Metals Co........................................ 10,600 614,800
#Rite Aid Corp............................................ 36,700 1,314,319
#Rockwell International Corp.............................. 28,400 1,562,000
Rohm & Haas Co............................................ 8,600 944,925
*Rowan Companies, Inc..................................... 12,300 314,419
#Royal Dutch Petroleum Co. Den Haag (N.Y. Registry)....... 304,400 17,065,425
Rubbermaid, Inc........................................... 21,200 691,650
Russell Corp.............................................. 5,200 141,700
Ryder System, Inc......................................... 10,900 371,281
SBC Communications, Inc................................... 260,208 10,115,586
Safeco Corp............................................... 20,100 938,419
*Saint Jude Medical, Inc.................................. 11,950 427,213
*Saint Paul Companies, Inc................................ 32,942 1,461,801
Sara Lee Corp............................................. 67,200 3,956,400
Schering-Plough Corp...................................... 104,000 8,703,500
#Schlumberger, Ltd........................................ 70,800 5,526,825
#Schwab (Charles) Corp.................................... 37,850 1,249,050
#Scientific-Atlanta, Inc.................................. 11,200 247,100
*Seagate Technology, Inc.................................. 34,500 797,813
#Seagram Co., Ltd......................................... 50,500 2,218,844
*Sealed Air Corp.......................................... 11,692 625,522
Sears, Roebuck & Co....................................... 55,900 3,455,319
Service Corp. International............................... 35,600 1,455,150
#Shared Medical Systems Corp.............................. 3,700 269,175
Sherwin-Williams Co....................................... 24,600 817,950
Sigma-Aldrich Corp........................................ 14,200 519,188
*Silicon Graphics, Inc.................................... 26,700 320,400
Snap-On, Inc.............................................. 8,700 381,713
#Sonat, Inc............................................... 15,700 615,244
Southern Co............................................... 98,200 2,608,438
Southwest Airlines Co..................................... 31,400 837,988
Springs Industries, Inc. Class A.......................... 2,850 159,956
Sprint Corp............................................... 60,900 4,369,575
Stanley Works............................................. 12,600 598,500
State Street Corp......................................... 22,900 1,578,669
*Stone Container Corp..................................... 14,100 250,275
Summit Bancorp............................................ 25,100 1,258,138
Sun Co., Inc.............................................. 10,200 433,500
*#Sun Microsystems........................................ 53,440 2,139,270
#Sunamerica, Inc.......................................... 27,650 1,344,481
#Suntrust Banks, Inc...................................... 30,100 2,377,900
Supervalu, Inc............................................ 8,500 355,938
#Synovus Financial Corp................................... 37,250 835,797
Sysco Corp................................................ 48,300 1,125,994
TJX Companies, Inc........................................ 23,000 1,075,250
#TRW, Inc................................................. 17,600 942,700
Tandy Corp................................................ 14,630 647,378
Tektronix, Inc............................................ 7,150 273,488
*Tele-Communications, Inc. Class A (TCI Group)............ 71,900 2,467,069
*#Tellabs, Inc............................................ 25,700 1,766,072
Temple-Inland, Inc........................................ 8,100 475,875
<CAPTION>
SHARES VALUE+
-------- --------------
<S> <C> <C>
*Tenet Healthcare Corp.................................... 43,600 $ 1,526,000
Tenneco, Inc.............................................. 24,300 1,011,488
Texaco, Inc............................................... 78,100 4,510,275
#Texas Instruments, Inc................................... 55,600 2,856,450
Texas Utilities Co........................................ 34,897 1,378,432
Textron, Inc.............................................. 23,400 1,735,988
*Thermo-Electron Corp..................................... 22,600 793,825
Thomas & Betts Corp....................................... 7,800 416,813
Time Warner, Inc.......................................... 82,100 6,388,406
Times Mirror Co. Class A.................................. 12,500 800,000
Timken Co................................................. 8,900 334,863
Torchmark Corp............................................ 19,900 853,213
*Toys R Us, Inc........................................... 40,400 1,070,600
Transamerica Corp......................................... 9,000 1,035,000
#Travelers Group, Inc..................................... 162,868 9,934,948
Tribune Co................................................ 17,600 1,177,000
*Tricon Global Restaurants, Inc........................... 21,660 672,814
Tupperware Corp........................................... 8,700 234,900
Tyco International, Ltd................................... 81,300 4,501,988
U.S. Bancorp.............................................. 104,400 4,084,650
UNUM Corp................................................. 19,700 1,094,581
US West, Inc. Communications Group........................ 68,700 3,486,525
*#US West, Inc. Media Group............................... 86,300 3,198,494
*USAir Group, Inc......................................... 13,000 910,000
UST, Inc.................................................. 26,200 697,575
USX-Marathon Group, Inc................................... 40,900 1,431,500
USX-US Steel Group........................................ 12,120 434,805
Unicom Corp., Inc......................................... 30,900 1,062,188
Unilever NV............................................... 90,800 7,167,525
Union Camp Corp........................................... 9,900 541,406
Union Carbide Corp........................................ 17,500 873,906
Union Pacific Corp........................................ 35,100 1,697,963
Union Pacific Resources Group, Inc........................ 36,076 730,539
*Unisys Corp.............................................. 35,400 867,300
United Healthcare Corp.................................... 26,600 1,702,400
United States Surgical Corp............................... 10,800 429,300
United Technologies Corp.................................. 33,000 3,102,000
#Unocal Corp.............................................. 35,000 1,246,875
VF Corp................................................... 17,400 925,463
*Viacom, Inc. Class B..................................... 50,334 2,768,370
*WR Grace & Co............................................ 10,500 194,906
Wachovia Corp............................................. 29,200 2,337,825
#Wal-Mart Stores, Inc..................................... 319,200 17,615,850
Walgreen Co............................................... 70,200 2,470,163
#Warner-Lambert Co........................................ 115,800 7,389,488
#Washington Mutual, Inc................................... 36,620 2,589,721
Waste Management, Inc..................................... 64,800 2,106,000
Wells Fargo & Co.......................................... 12,500 4,518,750
Wendy's International, Inc................................ 18,700 461,656
*Western Atlas, Inc....................................... 7,700 666,531
Westvaco Corp............................................. 14,450 411,825
Weyerhaeuser Co........................................... 28,200 1,432,913
Whirlpool Corp............................................ 10,700 730,944
*Willamette Industries, Inc............................... 15,900 545,569
Williams Companies, Inc................................... 58,197 1,887,765
Winn-Dixie Stores, Inc.................................... 21,100 858,506
*#Woolworth Corp.......................................... 19,200 379,200
*#Worldcom, Inc........................................... 143,920 6,552,858
Worthington Industries, Inc............................... 13,775 243,215
Wrigley (Wm.) Jr. Co...................................... 16,400 1,578,500
Xerox Corp................................................ 46,100 4,736,775
--------------
TOTAL COMMON STOCKS
(Cost $751,824,140)....................................... 1,219,685,670
--------------
</TABLE>
78
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
-------- --------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes 5.75%,
10/31/02, valued at $4,958,006) to be repurchased at
$4,880,134.
(Cost $4,878,000)....................................... $ 4,878 $ 4,878,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $756,702,140)++..................................... $1,224,563,670
--------------
--------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++The cost for federal income tax purposes is $760,858,623.
</TABLE>
See accompanying Notes to Financial Statements.
79
<PAGE>
THE ENHANCED U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
UNITED STATES -- (29.4%)
COMMERCIAL PAPER -- (18.3%)
Barton Capital Corp. C.P.
5.550%, 06/02/98.................................... 500 $ 499,923
5.570%, 06/11/98.................................... 1,450 1,447,772
CC (USA), Inc. C.P.
5.520%, 07/21/98.................................... 2,000 1,984,833
Corporate Asset Funding Corp. C.P.
5.520%, 06/18/98.................................... 2,100 2,094,546
Sheffield Receivables Corp. C.P.
5.540%, 06/23/98.................................... 1,900 1,893,614
Sigma Finance Corp. C.P.
5.540%, 06/15/98.................................... 950 947,957
------------
TOTAL COMMERCIAL PAPER
(Cost $8,868,393).................................... 8,868,645
------------
VARIABLE RATE OBLIGATIONS -- (6.2%)
American Express Centurion Bank
***5.686%, 06/05/98................................. 1,000 1,000,000
Chase Manhattan Corp. Medium Term Notes
***5.688%, 06/20/98................................. 1,000 1,000,000
First USA Bank
***5.986%, 06/01/98................................. 1,000 1,000,700
------------
TOTAL VARIABLE RATE OBLIGATIONS (Cost $3,001,141)...... 3,000,700
------------
AGENCY OBLIGATIONS -- (4.1%)
Federal Home Loan Mortgage Corp.
**5.410%, 06/05/98.................................. 2,000 1,998,780
------------
COMMON STOCKS -- (0.2%)
Standard & Poors Depository Receipts
(Cost $1,998,798)................................... 1,000 109,125
------------
TOTAL -- UNITED STATES
(Cost $14,267,993)................................... 14,265,250
------------
GERMANY -- (25.9%)
BONDS -- (25.9%)
Allgemeine Hypotheken Bank AG
4.500%, 12/20/99.................................... 3,000 1,692,516
Autobahnen und Schnellstrassenfinanzierungs AG Asfinag
7.125%, 12/22/99.................................... 3,000 1,761,004
Baden-Wuerttemberg L-Finance NV
7.000%, 03/08/00.................................... 3,000 1,759,826
Credit Local de France SA
7.000%, 03/21/00.................................... 2,555 1,499,931
KFW International Finance, Inc.
7.500%, 01/24/00.................................... 3,000 1,772,783
Landesbank Capital Markets P.L.C.
7.000%, 03/31/00.................................... 1,500 881,764
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
NV Bank Nederlandse Gemeenten, Den Haag
6.500%, 08/25/99.................................... 2,099 $ 1,210,923
Ste Nationale des Chemins de Fer Francais
6.750%, 09/30/99.................................... 1,400 811,593
World Bank (International Bank for Reconstruction and
Development)
7.250%, 10/13/99.................................... 2,000 1,168,169
------------
TOTAL BONDS
(Cost $12,327,679)................................... 12,558,509
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $386)............................. 398
------------
TOTAL -- GERMANY
(Cost $12,328,065)................................... 12,558,907
------------
CANADA -- (17.5%)
BONDS -- (17.3%)
British Columbia (Province of)
7.000%, 06/09/99.................................... 1,000 699,676
Canada (Government of)
6.500%, 08/01/99.................................... 2,000 1,395,227
Cregem Finance NV
8.625%, 05/18/99.................................... 1,542 1,090,558
Denmark (Kingdom of)
6.500%, 10/29/99.................................... 1,064 742,627
General Electric Capital Canada, Inc.
7.000%, 07/20/99.................................... 2,000 1,397,976
World Bank (International Bank for Reconstruction and
Development)
10.125%, 07/20/99................................... 1,181 855,538
Oesterreichische Kontrollbank AG
10.250%, 07/27/99................................... 2,000 1,446,088
SBC Finance (Cayman Islands), Ltd.
7.250%, 04/08/99.................................... 1,100 767,375
------------
TOTAL BONDS
(Cost $8,857,631).................................... 8,395,065
------------
INVESTMENT IN CURRENCY -- (0.2%)
*Canadian Dollars (Cost $91,592)...................... 91,459
------------
TOTAL -- CANADA
(Cost $8,949,223).................................... 8,486,524
------------
FRANCE -- (17.1%)
BONDS -- (17.1%)
African Development Bank
9.375%, 11/15/99.................................... 10,000 1,794,319
Credit d'Equipement des Petites et Moyennes Entreprises
9.000%, 08/19/99.................................... 7,000 1,237,771
</TABLE>
80
<PAGE>
THE ENHANCED U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
Eurofima Societe Europeene pour le Financement de
Material Ferrovaire, Bale
8.625%, 09/01/99.................................... 9,000 $ 1,586,456
European Investment Bank
6.250%, 07/28/99.................................... 7,000 1,200,330
France (Republic of)
7.750%, 04/12/00.................................... 8,000 1,423,154
Regie Autonome des Transports Parisiens SA
7.250%, 09/19/99.................................... 6,000 1,042,795
------------
TOTAL BONDS
(Cost $8,202,529).................................... 8,284,825
------------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $1).............................. 1
------------
TOTAL -- FRANCE
(Cost $8,202,530).................................... 8,284,826
------------
NETHERLANDS -- (7.4%)
BONDS -- (7.4%)
ABN-AMRO Bank NV
6.625%, 04/05/00.................................... 2,000 1,034,802
Baden-Wuerttemberg L-Finance NV
6.625%, 05/11/00.................................... 2,000 1,037,291
Netherlands (Kingdom of)
7.000%, 08/15/99.................................... 3,000 1,546,230
------------
TOTAL BONDS
(Cost $3,539,645).................................... 3,618,323
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $4)........................ 4
------------
TOTAL -- NETHERLANDS
(Cost $3,539,649).................................... 3,618,327
------------
AUSTRALIA -- (2.7%)
BONDS -- (2.7%)
ABN-AMRO Australia, Ltd.
7.500%, 03/08/00.................................... 1,000 648,899
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
Rural & Industries Bank of Western Australia
10.000%, 08/23/99................................... 1,000 $ 660,925
------------
TOTAL BONDS
(Cost $1,457,841).................................... 1,309,824
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $20)......................... 19
------------
TOTAL -- AUSTRALIA
(Cost $1,457,861).................................... 1,309,843
------------
JAPAN -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $19).............................. 17
------------
UNITED KINGDOM -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling (Cost $3)..................... 4
------------
TEMPORARY CASH INVESTMENTS -- (0.6%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes
5.875%, 08/31/99, valued at $295,075) to be
repurchased at $288,126. (Cost $288,000)............. 288 288,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $48,745,343)++..... $ 48,523,698
------------
------------
- --------------------
+See Note B to Financial Statements.
@Denominated in local currency.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
**Face amount of securities pledged as margin requirement for open futures
contract.
***Rates shown are the rates as of May 31, 1998, and maturities shown are the
next interest readjustment date.
</TABLE>
See accompanying Notes to Financial Statements.
81
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
COMMON STOCKS -- (99.5%)
AK Steel Holding Corp...................................... 156,800 $ 2,920,400
*AMR Corp.................................................. 226,500 34,866,844
*Advanced Micro Devices, Inc............................... 485,900 9,475,050
Advanta Corp. Class A...................................... 20,313 421,495
Advanta Corp. Class B Non-Voting........................... 40,225 763,018
#Aetna, Inc................................................ 544,726 42,590,764
Agco Corp.................................................. 141,400 3,552,675
Albemarle Corp............................................. 97,500 2,370,469
*Alexander & Baldwin, Inc.................................. 109,700 3,160,731
*Alleghany Corp............................................ 8,432 2,993,360
Alumax, Inc................................................ 138,500 6,483,531
Ambac, Inc................................................. 150,200 8,214,062
#Amerada Hess Corp......................................... 179,900 9,725,844
American Financial Group, Inc. (New)....................... 32,300 1,459,556
American General Corp...................................... 440,707 29,582,457
American Greetings Corp. Class A........................... 19,400 921,500
American National Insurance Co............................. 21,900 2,322,769
Apache Corp................................................ 156,600 5,353,762
*#Apple Computer, Inc...................................... 179,700 4,778,897
Archer-Daniels Midland Co.................................. 1,168,510 22,055,626
Argonaut Group, Inc........................................ 32,100 1,038,234
*Arrow Electronics, Inc.................................... 287,600 7,243,925
*#Asarco, Inc.............................................. 104,900 2,379,919
*Associates First Capital Corp. Class A.................... 696,019 52,070,921
Astoria Financial Corp..................................... 13,800 759,431
*#Atmel Corp............................................... 95,400 1,410,131
Avnet, Inc................................................. 55,600 3,280,400
Ball Corp.................................................. 112,500 4,436,719
Bear Stearns Companies, Inc................................ 204,437 11,090,707
Berkley (W.R.) Corp........................................ 44,600 2,101,775
*#Bethlehem Steel Corp..................................... 275,500 3,374,875
*Beverly Enterprises....................................... 296,100 4,237,931
Black & Decker Corp........................................ 220,100 12,848,337
Block Drug Co., Inc. Class A............................... 36,494 1,603,455
Boise Cascade Corp......................................... 162,100 5,410,087
Borg Warner Automotive, Inc................................ 46,300 2,639,100
#Bowater, Inc.............................................. 141,300 7,153,312
*Brinker International, Inc................................ 97,500 2,120,625
*Burlington Industries, Inc................................ 100,800 1,770,300
#Burlington Northern Santa Fe Corp......................... 278,600 27,720,700
#CIGNA Corp................................................ 269,424 18,455,544
*CNA Financial Corp........................................ 137,500 20,796,875
CSX Corp................................................... 474,500 22,598,062
*Cabletron Systems, Inc.................................... 438,500 5,645,687
Capital Re Corp............................................ 8,300 618,350
Carpenter Technology Corp.................................. 7,500 397,500
Century Telephone Enterprises, Inc......................... 121,800 5,397,262
Champion International Corp................................ 196,000 9,408,000
Chesapeake Corp............................................ 15,100 536,050
Chiquita Brands International, Inc......................... 111,200 1,494,250
*Chris-Craft Industries, Inc............................... 68,808 3,616,720
Chrysler Corp.............................................. 1,711,426 95,198,071
#Cincinnati Financial Corp................................. 296,580 12,511,969
Circuit City Stores, Inc. (Circuit City Group)............. 64,800 2,745,900
*#Circus Circus Enterprises, Inc........................... 271,300 4,815,575
Citizens Corp.............................................. 21,600 693,900
Commerce Group, Inc........................................ 54,700 1,952,106
Comsat Corp. Series 1...................................... 96,600 3,368,925
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
*Consolidated Freightways Corp............................. 50,450 $ 747,291
Consolidated Papers, Inc................................... 22,600 653,987
Coors (Adolph) Co. Class B................................. 80,500 3,021,266
Countrywide Credit Industries, Inc......................... 258,600 11,960,250
Cummins Engine Co., Inc.................................... 95,200 4,950,400
*Cypress Semiconductor Corp................................ 184,700 1,581,494
Cyprus Amax Minerals Co., Inc.............................. 238,900 3,792,537
*DSC Communications Corp................................... 372,300 6,364,003
Darden Restaurants, Inc.................................... 356,000 5,495,750
*Digital Equipment Corp.................................... 389,300 21,362,837
Dillards, Inc. Class A..................................... 321,700 13,531,506
*EEX Corp.................................................. 434,154 4,287,271
Echlin, Inc................................................ 29,500 1,401,250
#Enhance Financial Services Group, Inc..................... 13,200 859,650
Enron Corp................................................. 16,600 832,075
*Extended Stay America, Inc................................ 38,900 427,900
*#Federated Department Stores, Inc......................... 606,300 31,413,919
Fina, Inc. Class A......................................... 35,200 2,261,600
#Financial Security Assurance Holdings, Ltd................ 41,800 2,476,650
Fingerhut Companies, Inc................................... 106,800 3,130,575
First Citizens Bancshares, Inc. NC......................... 10,100 1,060,500
First Hawaiian, Inc........................................ 98,600 3,722,150
Florida East Coast Industries, Inc......................... 12,400 1,546,900
Ford Motor Co.............................................. 2,655,700 137,764,437
Foster Wheeler Corp........................................ 118,600 3,009,475
*Fruit of The Loom, Inc. Class A........................... 120,600 4,334,062
GATX Corp.................................................. 42,200 3,465,675
General Motors Corp........................................ 1,452,500 104,489,219
General Motors Corp. Class H............................... 205,846 10,189,377
*Genesis Health Ventures, Inc.............................. 98,400 2,490,750
Georgia-Pacific Corp....................................... 164,900 10,584,519
#Georgia-Pacific Corp. Timber Group........................ 164,900 3,885,456
*Golden State Bancorp, Inc................................. 144,900 5,551,481
Golden West Financial Corp................................. 90,800 9,806,400
Great Atlantic & Pacific Tea Co., Inc...................... 126,700 4,054,400
Greenpoint Financial Corp.................................. 143,200 5,898,050
Helmerich & Payne, Inc..................................... 104,300 2,633,575
Hilton Hotels Corp......................................... 329,500 10,358,656
#Hollinger International, Inc. Class A..................... 147,100 2,362,794
IBP, Inc................................................... 288,400 5,587,750
*IVAX Corp................................................. 361,000 3,316,687
Inland Steel Industries, Inc............................... 174,600 4,997,925
*Integrated Device Technology, Inc......................... 292,900 2,741,361
Integrated Health Services, Inc............................ 22,500 836,719
#International Paper Co.................................... 677,200 31,151,200
*International Speciality Products, Inc.................... 252,000 4,362,750
*#K Mart Corp.............................................. 1,417,400 27,462,125
*Komag, Inc................................................ 156,300 1,538,578
LNR Property Corp.......................................... 60,000 1,552,500
*LSI Logic Corp............................................ 458,000 9,761,125
LTV Corp................................................... 225,900 2,470,781
#Lafarge Corp.............................................. 136,700 5,143,337
*#Lam Research Corp........................................ 113,900 2,708,684
Lehman Brothers Holdings, Inc.............................. 297,600 21,111,000
Lennar Corp................................................ 10,600 280,900
Liberty Corp............................................... 35,900 1,806,219
Liberty Financial Companies, Inc........................... 121,500 4,244,906
Lincoln National Corp...................................... 223,050 20,046,619
Loews Corp................................................. 222,300 20,173,725
</TABLE>
82
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
*Lone Star Steakhouse Saloon............................... 2,500 $ 42,266
Longs Drug Stores Corp..................................... 28,000 848,750
*Longview Fibre Co......................................... 62,900 1,037,850
*#Louisiana-Pacific Corp................................... 298,100 5,943,369
Mallinckrodt, Inc.......................................... 56,100 1,728,581
Mead Corp.................................................. 281,000 8,746,125
Media General, Inc. Class A................................ 11,600 533,600
Mercantile Stores Co., Inc................................. 140,012 11,008,443
*#Micron Technology, Inc................................... 700,200 16,498,462
Mitchell Energy & Development Corp. Class A................ 68,500 1,644,000
Mitchell Energy & Development Corp. Class B................ 41,600 962,000
Morgan (J.P.) & Co., Inc................................... 174,500 21,670,719
NAC RE Corp................................................ 10,400 485,550
*National Semiconductor Corp............................... 458,600 7,452,250
*#Navistar International Corp.............................. 221,900 6,698,606
*Nextel Communications Corp. Class A....................... 113,915 2,680,562
Norfolk Southern Corp...................................... 739,500 23,155,594
*#Novell, Inc.............................................. 1,021,700 10,759,778
#Occidental Petroleum Corp................................. 650,800 17,978,350
*Officemax, Inc............................................ 367,200 6,035,850
Ogden Corp................................................. 151,696 4,332,817
#Ohio Casualty Corp........................................ 64,800 3,138,750
Old Republic International Corp............................ 373,275 10,638,338
Olsten Corp................................................ 13,300 165,419
Overseas Shipholding Group, Inc............................ 37,500 726,563
Pacific Century Financial Corp............................. 113,600 2,847,100
*Pacificare Health Systems, Inc. Class A................... 12,040 970,349
*Pacificare Health Systems, Inc. Class B................... 31,656 2,617,556
#Penncorp Financial Group, Inc............................. 18,200 402,675
Pep Boys - Manny, Moe & Jack............................... 151,100 3,361,975
*Pharmerica, Inc........................................... 134,755 1,638,115
Phelps Dodge Corp.......................................... 105,900 6,459,900
*Phycor, Inc............................................... 141,200 2,378,338
*Potlatch Corp............................................. 94,600 4,144,663
Provident Companies, Inc................................... 550,808 20,311,045
Providian Financial Corp................................... 88,300 5,618,088
Pulte Corp................................................. 35,700 1,903,256
RJR Nabisco Holdings Corp.................................. 584,480 16,475,030
Rayonier, Inc.............................................. 83,000 3,895,813
*Read-Rite Corp............................................ 204,700 1,797,522
#Reynolds Metals Co........................................ 136,800 7,934,400
Russell Corp............................................... 137,400 3,744,150
Ryder System, Inc.......................................... 195,800 6,669,438
#Safeco Corp............................................... 304,200 14,202,338
*Saint Paul Companies, Inc................................. 583,026 25,871,779
*Seagate Technology, Inc................................... 603,100 13,946,688
*#Sensormatic Electronics Corp............................. 270,400 3,464,500
*Silicon Graphics, Inc..................................... 456,700 5,480,400
Springs Industries, Inc. Class A........................... 5,000 280,625
Sprint Corp................................................ 86,700 6,220,725
St. Joe Corp............................................... 78,400 2,347,100
*#Stone Container Corp..................................... 237,400 4,213,850
*Stratus Computer, Inc..................................... 88,400 3,187,925
*#Sun Healthcare Group, Inc................................ 161,500 2,715,219
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
TIG Holdings, Inc.......................................... 185,700 $ 4,596,075
Tecumseh Products Co. Class A.............................. 58,300 2,922,288
Tecumseh Products Co. Class B.............................. 5,700 302,456
*#Tele-Communications International, Inc. Class A.......... 34,400 583,725
Telephone & Data Systems, Inc.............................. 152,900 6,689,375
Temple-Inland, Inc......................................... 138,200 8,119,250
Tenneco, Inc............................................... 324,700 13,515,638
Terra Industries, Inc...................................... 153,400 1,553,175
Timken Co.................................................. 167,800 6,313,475
*#Toys R Us, Inc........................................... 613,800 16,265,700
Transamerica Corp.......................................... 231,400 26,611,000
Trinity Industries, Inc.................................... 2,500 119,375
Tyson Foods, Inc. Class A.................................. 13,000 274,625
UMB Financial Corp......................................... 34,000 1,878,500
USX-Marathon Group, Inc.................................... 384,650 13,462,750
USX-US Steel Group......................................... 314,400 11,279,100
Union Camp Corp............................................ 142,600 7,798,438
Union Pacific Corp......................................... 495,300 23,960,138
Union Texas Petroleum Holding, Inc......................... 181,900 5,002,250
Unionbancal Corp........................................... 53,200 5,215,263
*#United States Cellular Corp.............................. 141,300 4,336,144
Unitrin, Inc............................................... 111,900 7,798,031
*Valero Energy Corp........................................ 133,300 4,348,913
Valhi, Inc................................................. 85,600 839,950
*Viacom, Inc. Class A...................................... 122,400 6,739,650
*Viacom, Inc. Class B...................................... 805,200 44,286,000
*#Vishay Intertechnology, Inc.............................. 102,564 2,288,459
Weis Markets, Inc.......................................... 20,700 730,969
Wesco Financial Corp....................................... 8,500 3,021,750
Westvaco Corp.............................................. 201,650 5,747,025
Weyerhaeuser Co............................................ 165,000 8,384,063
Whirlpool Corp............................................. 69,000 4,713,563
*Willamette Industries, Inc................................ 298,600 10,245,713
Xtra Corp.................................................. 6,200 325,500
--------------
TOTAL COMMON STOCKS
(Cost $1,294,463,943)..................................... 1,778,290,898
--------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
---------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes 6.50%,
08/31/01, valued at $3,686,025 and U.S. Treasury Notes
5.75%, 10/31/02, valued at $4,751,213) to be repurchased
at $8,305,632.
(Cost $8,302,000)........................................ $8,302 8,302,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,302,765,943)++................................... $1,786,592,898
--------------
--------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
83
<PAGE>
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SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (100.0%)
*ACX Technologies, Inc................................ 10,300 $ 233,681
AK Steel Holding Corp................................. 23,500 437,687
Aames Financial Corp.................................. 13,000 187,687
*Acceptance Insurance Companies, Inc.................. 7,200 165,600
Advanta Corp. Class A................................. 1,987 41,230
Advanta Corp. Class B Non-Voting...................... 2,827 53,625
Agco Corp............................................. 12,600 316,575
Albank Financial Corp................................. 2,600 134,550
Alexander & Baldwin, Inc.............................. 7,800 224,737
*Alleghany Corp....................................... 1,500 532,500
*Allen Telecom, Inc................................... 12,800 153,600
*Alliance Semiconductor Corp.......................... 18,700 91,162
Alumax, Inc........................................... 12,700 594,519
*Amax Gold, Inc....................................... 26,700 85,106
*America West Holdings Corp. Class B.................. 21,000 594,562
American Business Products, Inc....................... 6,300 140,175
*American Freightways Corp............................ 14,800 171,125
*American Homepatient, Inc............................ 7,000 116,812
Amerus Life Holdings, Inc. Class A.................... 8,500 272,000
*Anixter International, Inc........................... 1,000 20,125
*Ann Taylor Stores Corp............................... 9,000 196,312
*Antec Corp........................................... 2,100 40,228
*Applied Magnetics Corp............................... 11,300 63,562
*Apria Healthcare Group, Inc.......................... 24,200 184,525
*Arcadia Financial, Ltd............................... 8,900 66,750
Arctic Cat, Inc....................................... 10,100 91,531
Argonaut Group, Inc................................... 11,200 362,250
*Asarco, Inc.......................................... 18,900 428,794
*Ascent Entertainment Group, Inc...................... 10,800 138,375
*Atmel Corp........................................... 35,000 517,344
*Aztar Corp........................................... 21,200 148,400
*BRC Holdings, Inc.................................... 6,400 119,200
*BT Office Products International, Inc................ 11,800 157,825
Ball Corp............................................. 14,100 556,069
*Banner Aerospace, Inc................................ 10,000 118,125
Bassett Furniture Industries, Inc..................... 6,100 184,334
Battle Mountain Gold Co............................... 27,800 147,687
*Benton Oil & Gas Co.................................. 13,800 144,037
Berkley (W.R.) Corp................................... 13,900 655,037
*Bethlehem Steel Corp................................. 43,900 537,775
*Bio-Rad Laboratories, Inc. Class A................... 4,600 146,050
Birmingham Steel Corp................................. 13,900 194,600
Block Drug Co., Inc. Class A.......................... 4,300 188,931
Boise Cascade Corp.................................... 23,400 780,975
*Boston Chicken, Inc.................................. 33,500 68,570
Bowater, Inc.......................................... 9,400 475,875
Brown Group, Inc...................................... 8,500 152,469
Brush Wellman, Inc.................................... 3,300 80,437
*Buffets, Inc......................................... 3,000 48,937
Burlington Coat Factory Warehouse Corp................ 11,500 230,719
*Burlington Industries, Inc........................... 21,600 379,350
Butler Manufacturing Co............................... 3,600 126,000
*CSS Industries, Inc.................................. 2,500 81,875
Calgon Carbon Corp.................................... 18,600 198,787
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Calmat Co............................................. 11,000 $ 276,375
Capital Re Corp....................................... 7,400 551,300
*Carmike Cinemas, Inc. Class A........................ 2,000 52,375
Carpenter Technology Corp............................. 6,400 339,200
Carter-Wallace, Inc................................... 15,700 279,656
*Castle & Cooke, Inc.................................. 7,400 139,675
*Charming Shoppes, Inc................................ 49,800 254,447
Chartwell Re Corp..................................... 4,500 133,031
Chesapeake Corp....................................... 10,800 383,400
Chesapeake Energy Corp................................ 44,000 189,750
Chiquita Brands International, Inc.................... 29,300 393,719
*Chris-Craft Industries, Inc.......................... 11,371 597,688
*Circus Circus Enterprises, Inc....................... 44,600 791,650
*Cirrus Logic, Inc.................................... 31,900 318,003
Citizens Corp......................................... 1,900 61,037
Cleveland Cliffs, Inc................................. 5,300 280,569
*Coeur d'Alene Mines Corp. ID......................... 10,300 90,769
Commercial Metals Co.................................. 7,000 214,812
Commonwealth Bancorp, Inc............................. 7,600 179,787
Commonwealth Industries, Inc.......................... 7,500 110,625
Comsat Corp. Series 1................................. 5,100 177,862
*Consolidated Freightways Corp........................ 10,300 152,569
Coors (Adolph) Co. Class B............................ 16,800 630,525
*Credit Acceptance Corp............................... 18,800 194,462
Cubic Corp............................................ 1,800 52,875
Curtiss-Wright Corp................................... 2,000 83,500
*Cypress Semiconductor Corp........................... 42,600 364,762
Cyprus Amax Minerals Co., Inc......................... 43,800 695,325
*DSC Communications Corp.............................. 52,100 890,584
Darden Restaurants, Inc............................... 32,500 501,719
*Detroit Diesel Corp.................................. 4,300 105,350
Dime Community Bancorp, Inc........................... 5,800 166,931
Dimon, Inc............................................ 3,500 47,250
*Discount Auto Parts, Inc............................. 7,600 195,225
*EEX Corp............................................. 59,500 587,562
*Eagle Hardware & Garden, Inc......................... 13,600 247,775
*Electroglas, Inc..................................... 9,100 124,556
*Equity Corp. International........................... 1,000 23,750
Ethyl Corp............................................ 32,100 226,706
*Evans & Sutherland Computer Corp..................... 4,300 108,172
Exide Corp............................................ 10,000 180,625
*Extended Stay America, Inc........................... 44,900 493,900
*FSI International, Inc............................... 10,600 120,906
*Fairchild Corp. Class A.............................. 6,600 130,762
Farmer Brothers Co.................................... 1,000 198,219
Fina, Inc. Class A.................................... 5,800 372,650
Financial Security Assurance Holdings, Ltd............ 7,200 426,600
Fingerhut Companies, Inc.............................. 10,800 316,575
First Hawaiian, Inc................................... 14,900 562,475
First Savings Bank.................................... 4,700 119,997
Fleming Companies, Inc................................ 17,700 337,406
Florida East Coast Industries, Inc.................... 3,300 411,675
Florida Rock Industries, Inc.......................... 4,400 136,950
Foster Wheeler Corp................................... 19,100 484,662
*Friedmans, Inc. Class A.............................. 6,100 120,475
</TABLE>
84
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Fund American Enterprises Holdings, Inc............... 1,500 $ 219,844
*General Semiconductor, Inc........................... 8,500 114,750
*Genesis Health Ventures, Inc......................... 16,000 405,000
Geon Co............................................... 10,900 235,712
Gerber Scientific, Inc................................ 1,000 25,187
*Gibson Greetings, Inc................................ 7,700 184,800
Glatfelter (P.H.) Co.................................. 19,800 322,987
*Glenayre Technologies, Inc........................... 28,300 434,228
*Global Industrial Technologies, Inc.................. 10,300 174,456
*Golden State Bancorp, Inc............................ 10,000 383,125
*Grand Casinos, Inc................................... 18,700 328,419
Granite Construction, Inc............................. 4,700 132,775
Great Atlantic & Pacific Tea Co., Inc................. 17,900 572,800
Guarantee Life Companies, Inc......................... 3,600 97,200
*HS Resources, Inc.................................... 5,100 73,631
*Haemonetics Corp..................................... 6,300 96,075
*Handleman Co......................................... 11,400 139,650
Harleysville Group, Inc............................... 6,800 164,262
Harman International Industries, Inc.................. 8,700 370,294
*Hartmarx Corp........................................ 11,900 93,712
Heilig-Meyers Co...................................... 26,800 321,600
Helmerich & Payne, Inc................................ 15,700 396,425
*Highlands Insurance Group, Inc....................... 6,100 127,337
*Hollywood Park, Inc.................................. 5,000 64,687
*Homebase, Inc........................................ 17,600 152,900
*Hutchinson Technology, Inc........................... 3,900 97,744
IBP, Inc.............................................. 43,400 840,875
*IVAX Corp............................................ 57,000 523,687
*Imation Corp......................................... 19,000 345,562
Imperial Holly Corp................................... 5,200 50,050
*Information Resources, Inc........................... 5,800 100,594
Ingles Market, Inc. Class A........................... 4,200 52,237
Inland Steel Industries, Inc.......................... 11,400 326,325
*Intergraph Corp...................................... 22,500 197,578
International Multifoods Corp......................... 7,400 220,150
*International Rectifier Corp......................... 19,600 207,025
*International Speciality Products, Inc............... 1,000 17,312
Interpool, Inc........................................ 6,400 94,800
J & L Specialty Steel, Inc............................ 18,100 126,700
JSB Financial, Inc.................................... 2,000 116,250
John Alden Financial Corp............................. 6,100 134,962
*Just for Feet, Inc................................... 6,000 131,625
Justin Industries, Inc................................ 12,400 196,850
K2, Inc............................................... 7,800 156,000
KCS Energy, Inc....................................... 13,800 163,875
*Kaiser Aluminum Corp................................. 37,000 383,875
Kellwood Co........................................... 10,100 333,931
Kimball International, Inc. Class B................... 3,500 85,313
*Komag, Inc........................................... 24,600 242,156
LTV Corp.............................................. 46,800 511,875
*Laboratory Corp. of America Holdings, Inc............ 28,700 60,988
Lafarge Corp.......................................... 8,500 319,813
*Lam Research Corp.................................... 17,800 423,306
Landamerica Financial Group, Inc...................... 1,800 85,950
Lennar Corp........................................... 12,200 323,300
Liberty Corp.......................................... 9,600 483,000
Liberty Financial Companies, Inc...................... 18,800 656,825
Life USA Holdings, Inc................................ 10,300 166,409
Lomak Petroleum, Inc.................................. 9,600 116,400
*Lone Star Steakhouse Saloon.......................... 15,700 265,428
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Longview Fibre Co.................................... 24,200 $ 399,300
*Louisiana-Pacific Corp............................... 20,000 398,750
Luby's Cafeterias, Inc................................ 5,700 105,450
MDC Holdings, Inc..................................... 8,400 127,050
*MEMC Electronic Materials, Inc....................... 2,500 33,906
MMI Companies, Inc.................................... 8,800 194,700
*MS Carriers, Inc..................................... 2,400 71,550
Marcus Corp........................................... 5,300 93,744
*Mariner Health Group, Inc............................ 13,800 206,138
*Marshall Industries.................................. 7,800 241,313
*Maxxam, Inc.......................................... 1,700 100,194
McClatchey Newspapers, Inc. Class A................... 1,900 56,406
*Medaphis Corp........................................ 35,300 263,647
*Mesa Air Group, Inc.................................. 13,300 106,400
*Metrocall, Inc....................................... 19,000 114,594
*Micro Warehouse, Inc................................. 16,200 283,500
Mikasa, Inc........................................... 8,600 105,888
Mine Safety Appliances Co............................. 2,100 150,741
Mississippi Chemical Corp............................. 12,800 214,400
*Morrison Knudsen Corp................................ 7,300 86,688
Myers Industries, Inc................................. 3,700 78,163
NAC RE Corp........................................... 8,600 401,513
NCH Corp.............................................. 2,000 127,375
*NCS Healthcare, Inc.................................. 2,300 65,981
National Presto Industries, Inc....................... 2,100 84,919
*National Processing, Inc............................. 10,100 99,738
National Steel Corp. Class B.......................... 9,900 155,925
*Network Equipment Technologies, Inc.................. 10,000 156,875
New Jersey Resources Corp............................. 3,600 129,375
*Nortek, Inc.......................................... 1,800 55,350
*Novacare, Inc........................................ 28,700 315,700
*Nuevo Energy Co...................................... 9,200 299,000
*OMI Corp............................................. 20,200 185,588
*Oak Technology, Inc.................................. 19,700 107,427
*Officemax, Inc....................................... 28,800 473,400
*Offshore Logistics, Inc.............................. 10,200 208,463
Ogden Corp............................................ 21,000 599,813
Ohio Casualty Corp.................................... 15,900 770,156
Olsten Corp........................................... 25,600 318,400
*On Command Corp...................................... 9,200 126,788
Oregon Steel Mills, Inc............................... 12,000 290,250
Overseas Shipholding Group, Inc....................... 17,300 335,188
*Oxford Health Plans, Inc............................. 30,800 530,338
Oxford Industries, Inc................................ 1,800 62,775
PXRE Corp............................................. 7,500 236,250
Pacific Century Financial Corp........................ 24,500 614,031
*Paxson Communications Corp........................... 10,700 126,394
*Paymentech, Inc...................................... 4,200 71,400
Penncorp Financial Group, Inc......................... 13,200 292,050
Pep Boys - Manny, Moe & Jack.......................... 29,800 663,050
*Perrigo Co........................................... 3,800 41,681
*Petco Animal Supplies, Inc........................... 500 9,750
*Pharmerica, Inc...................................... 7,000 85,094
Phillips-Van Heusen Corp.............................. 10,700 139,100
Phoenix Investment Partners, Ltd...................... 20,700 194,063
*Phymatrix Corp....................................... 2,000 18,844
*Physician Reliance Network, Inc...................... 4,200 46,331
*Picturetel Corp...................................... 17,800 167,988
Pilgrim Pride Corp.................................... 6,500 111,313
Pioneer Standard Electronics, Inc..................... 11,000 137,156
Pittston Co. Burlington Group......................... 9,600 168,600
Potlatch Corp......................................... 11,600 508,225
</TABLE>
85
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Presidential Life Corp................................ 15,300 $ 337,556
Price Enterprises, Inc................................ 11,100 198,066
Pulte Corp............................................ 10,000 533,125
Quaker State Corp..................................... 16,500 279,469
Quanex Corp........................................... 6,600 205,013
RLI Corp.............................................. 1,800 93,825
*Rainforest Cafe, Inc................................. 5,200 72,313
Rayonier, Inc......................................... 13,400 628,963
*Read-Rite Corp....................................... 22,700 199,334
*Rio Hotel & Casino, Inc.............................. 1,000 21,750
*Roberts Pharmaceutical Corp.......................... 13,700 226,050
Rock-Tenn Co. Class A................................. 9,700 142,469
Rollins Truck Leasing Corp............................ 1,950 23,400
Rouge Industries, Inc. Class A........................ 6,700 84,588
Ruby Tuesday, Inc..................................... 2,000 32,125
Russell Corp.......................................... 17,100 465,975
*Ryans Family Steak Houses, Inc....................... 19,200 196,200
Ryland Group, Inc..................................... 6,800 136,425
*S3, Inc.............................................. 23,600 154,138
*SFX Broadcasting, Inc. Class A....................... 3,900 293,231
*SFX Entertainment, Inc. Class A...................... 3,900 172,331
Seaboard Corp......................................... 450 119,475
Selective Insurance Group, Inc........................ 13,800 361,388
*Sensormatic Electronics Corp......................... 34,900 447,156
*Sequa Corp. Class A.................................. 1,800 124,425
*Sequa Corp. Class B.................................. 1,000 84,656
*Servico, Inc......................................... 5,200 88,400
*Shiloh Industries, Inc............................... 1,300 27,828
*Shopko Stores, Inc................................... 12,100 421,988
*Silicon Valley Group, Inc............................ 15,200 276,925
Skyline Corp.......................................... 2,200 64,075
Smith (A.O.) Corp..................................... 5,500 277,750
Smith (A.O.) Corp. Convertible Class A................ 1,000 50,500
South Jersey Industries, Inc.......................... 5,000 136,563
Southwestern Energy Co................................ 11,600 122,525
*Spiegel, Inc. Class A Non-Voting..................... 6,900 36,872
*Sports Authority, Inc................................ 14,800 222,925
Springs Industries, Inc. Class A...................... 6,000 336,750
Standard Pacific Corp. DE............................. 12,500 216,406
Starrett (L.S.) Co. Class A........................... 1,000 38,688
Stepan Co............................................. 1,000 31,625
Stewart & Stevenson Services, Inc..................... 15,600 323,213
Stone & Webster, Inc.................................. 6,000 243,000
*Stone Container Corp................................. 46,600 827,150
Sumitomo Bank of California........................... 7,700 289,231
*Sun Healthcare Group, Inc............................ 23,200 390,050
*Sunrise Medical, Inc................................. 10,100 156,550
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Swift Energy Corp.................................... 2,200 $ 39,738
*Sybase, Inc.......................................... 37,500 298,828
*Syms Corp............................................ 4,100 60,988
TIG Holdings, Inc..................................... 24,100 596,475
Talbots, Inc.......................................... 15,400 439,863
Tecumseh Products Co. Class A......................... 7,700 385,963
Tecumseh Products Co. Class B......................... 2,600 137,963
*Tele-Communications International, Inc. Class A...... 13,300 225,684
Terra Industries, Inc................................. 35,200 356,400
*Tesoro Petroleum Corp................................ 10,500 202,781
Timken Co............................................. 15,700 590,713
*Trump Hotels & Casino Resorts, Inc................... 4,500 38,531
*Ultratech Stepper, Inc............................... 9,700 196,728
Union Texas Petroleum Holding, Inc.................... 39,900 1,097,250
United Companies Financial Corp....................... 13,500 248,063
*United States Home Corp.............................. 5,500 222,406
United Wisconsin Services, Inc........................ 3,500 108,500
*VLSI Technology, Inc................................. 22,000 341,688
Valero Energy Corp.................................... 13,000 424,125
Valhi, Inc............................................ 19,400 190,363
*Value City Department Stores, Inc.................... 3,700 65,906
*Veterinary Centers of America, Inc................... 4,000 74,875
*Vishay Intertechnology, Inc.......................... 27,825 620,845
*Vitalink Pharmacy Services, Inc...................... 12,100 262,419
*WFS Financial, Inc................................... 13,100 112,578
*WHX Corp............................................. 7,200 99,000
Watts Industries, Inc. Class A........................ 5,300 123,556
Webb (Del) Corp....................................... 8,400 203,700
Weis Markets, Inc..................................... 2,400 84,750
Wellman, Inc.......................................... 14,600 351,313
Wesco Financial Corp.................................. 1,400 497,700
West, Inc............................................. 4,300 126,850
Westcorp, Inc......................................... 12,300 149,138
Xtra Corp............................................. 7,200 378,000
Yankee Energy Systems, Inc............................ 4,900 117,600
*Yellow Corp.......................................... 13,400 252,088
*Zale Corp............................................ 1,000 30,938
Zenith National Insurance Corp........................ 4,100 117,363
------------
TOTAL COMMON STOCKS
(Cost $76,302,543)................................... 75,446,932
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $76,302,543)++................................. $ 75,446,932
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
86
<PAGE>
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SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
COMMON STOCKS -- (98.7%)
*3-D Systems Corp......................................... 129,900 $ 1,510,088
*3D0 Co................................................... 117,800 445,431
AAR Corp.................................................. 29,300 774,619
*ABC Rail Products Corp................................... 17,200 322,500
*ABT Building Products Corp............................... 105,800 1,527,488
*ACT Networks, Inc........................................ 103,000 1,287,500
*ACX Technologies, Inc.................................... 286,900 6,509,044
*AEP Industries, Inc...................................... 51,950 1,422,131
*AG Associates, Inc....................................... 67,800 186,450
*AG Services America, Inc................................. 2,900 51,838
*#APS Holding Corp. Class A............................... 167,300 146,388
ASB Financial Corp........................................ 500 7,344
*ATL Ultrasound, Inc...................................... 100,827 4,565,573
#Aames Financial Corp..................................... 361,000 5,211,938
*#Aasche Transportation Services, Inc..................... 48,800 308,050
Abington Bancorp, Inc..................................... 41,600 759,200
Abrams Industries, Inc.................................... 10,000 72,500
*Abraxas Petroleum Corp................................... 88,200 843,413
*Accell International Corp................................ 75,700 235,380
*Acceptance Insurance Companies, Inc...................... 168,100 3,866,300
*Acclaim Entertainment, Inc............................... 77,700 497,766
Aceto Corp................................................ 81,660 1,194,278
*Acme Electric Corp....................................... 40,100 197,994
*Acme Metals, Inc......................................... 210,400 1,656,900
*Acme United Corp......................................... 8,700 41,325
*Active Voice Corp........................................ 49,900 580,088
*Adam Software, Inc....................................... 3,000 12,000
*#Advanced Health Corp.................................... 83,500 1,043,750
*Advanced Magnetics, Inc.................................. 50,700 554,531
*Advanced Marketing Services, Inc......................... 61,500 1,126,219
Advest Group, Inc......................................... 80,200 2,100,238
*Advocat, Inc............................................. 47,800 388,375
*Aerovox, Inc............................................. 60,800 197,600
Affiliated Community Bancorp.............................. 20,500 782,844
*Affinity Technology Group, Inc........................... 17,400 21,750
*Air Methods Corp......................................... 91,700 372,531
*Airtran Holdings, Inc.................................... 14,600 105,166
Alamo Group, Inc.......................................... 61,000 1,010,313
*Alaska Air Group, Inc.................................... 53,500 2,477,719
*Alba-Waldensian, Inc..................................... 4,700 45,825
Albank Financial Corp..................................... 118,880 6,152,040
*Aldila, Inc.............................................. 178,100 1,107,559
Alfa Corp................................................. 132,700 2,595,944
Alico, Inc................................................ 79,100 1,646,269
*Alkermes, Inc............................................ 51,800 1,136,363
*All American Semiconductor, Inc.......................... 23,600 45,356
*Allegheny Teledyne, Inc.................................. 79,588 1,850,421
Allen Organ Co. Class B................................... 5,000 205,000
*Allen Telecom, Inc....................................... 86,000 1,032,000
Alliance Bancorp.......................................... 88,258 2,402,272
*Alliance Entertainment Corp.............................. 67,600 2,113
*Alliance Semiconductor Corp.............................. 414,900 2,022,638
*Allied Healthcare Products, Inc.......................... 128,000 680,000
*Allied Holdings, Inc..................................... 94,600 1,702,800
Allied Life Financial Corp................................ 31,600 841,350
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*Allied Research Corp..................................... 49,500 $ 615,656
*Allin Communications Corp................................ 90,000 410,625
*Allou Health & Beauty Care, Inc. Class A................. 46,900 551,075
*Allstars Systems, Inc.................................... 68,500 286,844
*Allstate Financial Corp.................................. 20,900 135,197
*Aloette Cosmetics, Inc................................... 17,300 84,878
*#Alpha Beta Technology, Inc.............................. 60,000 159,375
*Alpha Industries, Inc.................................... 34,200 568,575
*Alpha Microsystems, Inc.................................. 28,500 83,719
*Alpha Technologies Group, Inc............................ 74,400 358,050
Alpharma, Inc. Class A.................................... 131,000 2,849,250
*Altron, Inc.............................................. 128,400 1,416,413
*Amax Gold, Inc........................................... 39,000 124,313
Ambanc Holding Co., Inc................................... 23,200 440,075
Amcast Industrial Corp.................................... 112,800 2,432,250
Amcore Financial, Inc..................................... 44,650 1,093,925
*America West Holdings Corp. Class B...................... 306,900 8,689,106
American Bank of Connecticut.............................. 46,600 1,304,800
*American Banknote Corp................................... 212,500 823,438
American Biltrite, Inc.................................... 40,100 1,215,531
American Business Products, Inc........................... 195,000 4,338,750
*American Classic Voyages Co.............................. 1,100 18,356
*American Eagle Group, Inc................................ 75,600 2,457
*American Ecology Corp.................................... 51,900 68,119
*American Freightways Corp................................ 472,000 5,457,500
American Heritage Life Investment Corp.................... 239,600 5,031,600
*American Homepatient, Inc................................ 163,700 2,731,744
American Indemnity Financial Corp......................... 14,200 174,838
*American Medical Electronics, Inc. (Escrow-Bonus)........ 20,800 0
*American Medical Electronics, Inc. (Escrow-Earnings)..... 20,800 0
*American Mobile Satellite Corp........................... 217,200 2,484,225
*American Oncology Resources, Inc......................... 103,500 1,326,094
*American Pacific Corp.................................... 90,400 968,975
*American Pad & Paper Co.................................. 192,500 1,275,313
*American Physicians Services Group, Inc.................. 42,400 304,750
*American Residential Services, Inc....................... 21,000 242,813
*American Software, Inc. Class A.......................... 151,900 1,172,478
*American Technical Ceramics Corp......................... 43,200 407,700
*#American United Global, Inc............................. 22,100 30,042
American Vanguard Corp.................................... 7,040 43,120
*American Waste Services, Inc. Class A.................... 200,900 941,719
American Woodmark Corp.................................... 35,010 967,151
Americana Bancorp, Inc.................................... 23,300 470,369
*Amerihost Properties, Inc................................ 70,000 345,625
*Ameripath, Inc........................................... 40,000 573,750
*Ameristar Casinos, Inc................................... 88,000 473,000
Ameron, Inc............................................... 39,900 2,398,988
Amerus Life Holdings, Inc. Class A........................ 159,921 5,117,472
*Ames Department Stores, Inc.............................. 177,000 4,364,156
*Amistar Corp............................................. 42,300 150,033
</TABLE>
87
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
Ampco-Pittsburgh Corp..................................... 133,100 $ 1,963,225
*Amrep Corp............................................... 76,592 631,884
*Amresco, Inc............................................. 10,000 337,500
*Amtech Corp.............................................. 232,900 1,091,719
*Amtran, Inc.............................................. 118,000 2,271,500
Amwest Insurance Group, Inc............................... 30,855 480,181
*Anadigics, Inc........................................... 56,100 811,697
Analogic Corp............................................. 79,500 3,604,828
Analysis & Technology, Inc................................ 28,800 563,400
*Anaren Microwave, Inc.................................... 35,800 598,531
Anchor Bancorp Wisconsin, Inc............................. 59,350 2,500,119
Andover Bancorp, Inc. DE.................................. 71,825 2,451,028
Angelica Corp............................................. 163,400 3,676,500
*#Ann Taylor Stores Corp.................................. 395,900 8,635,569
*Ansaldo Signal N.V....................................... 60,100 240,400
*Antec Corp............................................... 348,000 6,666,375
*Apertus Technologies, Inc................................ 107,400 137,606
*Apogee, Inc.............................................. 104,800 235,800
*Applied Extrusion Technologies, Inc...................... 117,700 879,072
*#Applied Magnetics Corp.................................. 205,300 1,154,813
*Applied Microsystems Corp................................ 38,900 159,247
*Applied Signal Technologies, Inc......................... 90,500 1,074,688
*Apria Healthcare Group, Inc.............................. 134,800 1,027,850
*#Arcadia Financial, Ltd.................................. 521,200 3,909,000
Arch Coal, Inc............................................ 54,000 1,306,125
*Arch Communications Group, Inc........................... 287,400 1,329,225
Arctic Cat, Inc........................................... 191,700 1,737,281
*Ardent Software, Inc..................................... 3,000 36,938
*#Argosy Gaming Corp...................................... 355,800 1,289,775
*Arkansas Best Corp....................................... 219,000 2,121,563
Arnold Industries, Inc.................................... 198,500 3,113,969
*Arrow Automotive Industries, Inc......................... 21,600 45,900
Arrow Financial Corp...................................... 5,495 173,093
*Artisoft, Inc............................................ 157,400 469,741
Arvin Industries, Inc..................................... 50,600 1,875,363
*Asahi/Amer, Inc.......................................... 5,400 34,425
*Asante Technologies, Inc................................. 94,200 235,500
*Ascent Entertainment Group, Inc.......................... 273,496 3,504,168
*Aseco Corp............................................... 37,500 187,500
*Ashworth, Inc............................................ 7,400 93,656
*Associated Group, Inc. Class A........................... 6,800 238,425
*Astec Industries, Inc.................................... 94,800 3,110,625
Astoria Financial Corp.................................... 156,708 8,623,837
Astro-Med, Inc............................................ 49,675 378,772
*Astronics Corp........................................... 20,625 248,789
*Asyst Technologies, Inc.................................. 55,300 914,178
Atalanta Sosnoff Capital Corp............................. 43,000 444,781
*Atchison Casting Corp.................................... 151,300 2,732,856
*Athey Products Corp...................................... 17,140 80,344
*Atkinson (Guy F.) of California.......................... 87,900 6,867
*Atlantic Gulf Communities Corp........................... 124,000 375,875
*Atlantic Tele-Network, Inc............................... 58,480 884,510
*Atlantis Plastics, Inc................................... 60,000 480,000
Atrion Corp............................................... 37,750 377,500
*Au Bon Pain, Inc. Class A................................ 115,500 1,068,375
*Audiovox Corp. Class A................................... 257,000 1,317,125
*Ault, Inc................................................ 41,700 248,897
*Aura Systems, Inc........................................ 40,000 113,750
*Auspex Systems, Inc...................................... 322,800 1,825,838
*Autoimmune, Inc.......................................... 178,900 503,156
*Autoinfo, Inc............................................ 71,700 20,166
<CAPTION>
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---------- --------------
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*Autologic Information International, Inc................. 7,100 $ 47,925
*#Avatar Holdings, Inc.................................... 35,300 955,306
*#Avatex Corp............................................. 189,340 414,181
*Avecor Cardiovascular, Inc............................... 45,100 312,881
*Aviall, Inc.............................................. 117,500 1,718,438
*Avid Technology, Inc..................................... 78,400 3,177,650
*Avigen, Inc.............................................. 119,500 414,516
*Avondale Financial Corp.................................. 19,300 343,178
*Avondale Industries, Inc................................. 152,000 4,289,250
*Aydin Corp............................................... 54,300 515,850
*Aztar Corp............................................... 559,700 3,917,900
*BCT International, Inc................................... 7,800 23,888
BEI Electronics, Inc...................................... 86,000 384,313
BEI Technologies, Inc..................................... 86,000 1,596,375
*BF Enterprises, Inc...................................... 2,300 19,263
*BFX Hospitality Group, Inc............................... 89,400 206,738
*BI, Inc.................................................. 107,300 1,032,763
*#BPI Packaging Technologies, Inc......................... 78,200 76,978
*BRC Holdings, Inc........................................ 145,400 2,708,075
BSB Bancorp, Inc.......................................... 104,700 3,291,506
BT Financial Corp......................................... 57,824 1,588,353
*BT Office Products International, Inc.................... 339,500 4,540,813
*BTG, Inc................................................. 33,000 316,594
*BTU International, Inc................................... 75,800 360,050
*#BWAY Corp............................................... 76,200 1,938,338
*Back Bay Restaurant Group, Inc........................... 36,200 285,075
Badger Meter, Inc......................................... 21,200 765,850
*Badger Paper Mills, Inc.................................. 10,400 87,100
Bairnco Corp.............................................. 88,200 837,900
Baker (J.), Inc........................................... 155,818 1,899,032
*Baker (Michael) Corp..................................... 62,500 617,188
Baldwin & Lyons, Inc. Class B............................. 1,600 37,300
Baldwin Piano & Organ Co.................................. 27,000 426,094
*Baldwin Technology, Inc. Class A......................... 172,600 1,057,175
*Baltek Corp.............................................. 4,500 46,969
*Bancinsurance Corp....................................... 57,400 369,513
Bancorp Connecticut, Inc.................................. 47,400 953,925
*Bank Plus Corp........................................... 169,000 2,175,875
*Bank United Financial Corp. Class A...................... 19,900 356,334
#BankAtlantic Bancorp, Inc. Class A....................... 129,220 1,704,089
BankAtlantic Bancorp, Inc. Class B........................ 123,031 1,683,987
BankNorth Group, Inc. DE.................................. 54,400 1,965,200
*Banner Aerospace, Inc.................................... 310,500 3,667,781
*Banyan System, Inc....................................... 153,000 1,209,656
*Barry (R.G.) Corp........................................ 18,000 267,750
*Basin Exploration, Inc................................... 107,000 1,691,938
Bassett Furniture Industries, Inc......................... 135,350 4,090,108
Battle Mountain Gold Co................................... 373,400 1,983,688
Bay View Capital Corp..................................... 104,000 3,350,750
*Bayou Steel Corp. Class A................................ 121,300 780,869
*Be Aerospace, Inc........................................ 18,500 534,766
*#Beazer Homes USA, Inc................................... 111,200 2,529,800
*Bel Fuse, Inc............................................ 57,800 1,531,700
*Belco Oil & Gas Corp..................................... 35,000 345,625
*Bell Industries, Inc..................................... 101,022 1,275,403
*Bell Microproducts, Inc.................................. 99,900 739,884
*Bell Sports Corp......................................... 223,700 2,097,188
*Bellwether Exploration Co................................ 175,600 1,574,913
*Ben & Jerry's Homemade, Inc. Class A..................... 70,700 1,383,069
</TABLE>
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*Benton Oil & Gas Co...................................... 251,600 $ 2,626,075
*Berlitz International, Inc............................... 79,100 2,195,025
*Bertuccis, Inc........................................... 99,100 1,018,872
*Big 4 Ranch, Inc......................................... 73,300 0
Bindley Western Industries, Inc........................... 144,200 5,119,100
Binks Sames Corp.......................................... 30,918 1,298,556
*Bio Vascular, Inc........................................ 7,000 33,469
*Bio-Rad Laboratories, Inc. Class A....................... 85,800 2,724,150
*Biosource International, Inc............................. 22,800 151,050
Birmingham Steel Corp..................................... 401,500 5,621,000
*Biscayne Apparel, Inc.................................... 2,093 654
*Black Hawk Gaming & Development, Inc..................... 34,100 342,066
Blair Corp................................................ 127,100 3,781,225
*Bluegreen Corp........................................... 213,798 1,790,558
Bob Evans Farms, Inc...................................... 246,100 5,237,316
*Boca Research, Inc....................................... 98,700 508,922
*Bombay Co., Inc.......................................... 399,000 1,745,625
*Bon-Ton Stores, Inc...................................... 131,900 2,225,813
*Books-a-Million, Inc..................................... 199,000 1,013,656
*Borland International, Inc............................... 58,700 486,109
*Boston Biomedical, Inc................................... 26,700 130,163
*#Boston Chicken, Inc..................................... 538,000 1,101,219
Bostonfed Bancorp, Inc.................................... 15,000 352,500
Bowl America, Inc. Class A................................ 45,000 405,000
Bowne & Co., Inc.......................................... 57,016 2,440,998
*Boyd Gaming Corp......................................... 353,000 2,360,688
*Brauns Fashions Corp..................................... 22,200 266,400
*Brazos Sportswear, Inc................................... 4,190 19,903
Brenton Banks, Inc........................................ 1,729 35,611
*Brite Voice Systems, Inc................................. 19,300 208,681
*Broadway & Seymour, Inc.................................. 76,900 456,594
*Brookstone, Inc.......................................... 111,300 1,572,113
*Brothers Gourmet Coffees, Inc............................ 103,461 109,927
*Brown & Sharpe Manufacturing Co. Class A................. 173,600 2,300,200
*Brown (Tom), Inc......................................... 135,000 2,252,813
Brown Group, Inc.......................................... 297,200 5,331,025
Brush Wellman, Inc........................................ 166,000 4,046,250
*Buckhead America Corp.................................... 15,700 118,731
*Buffets, Inc............................................. 246,200 4,016,138
*#Builders Transport, Inc................................. 61,600 12,513
*Building Materials Holding Corp.......................... 197,000 2,721,063
*Bull Run Corp. GA........................................ 84,500 398,734
Burlington Coat Factory Warehouse Corp.................... 364,500 7,312,781
*Burlington Industries, Inc............................... 2,000 35,125
*Business Resource Group.................................. 57,200 193,050
*Butler International, Inc................................ 23,200 561,150
Butler Manufacturing Co................................... 73,900 2,586,500
*Buttrey Food & Drug Stores Co............................ 111,400 1,660,556
*C ATS Software, Inc...................................... 72,200 406,125
*C-COR Electronics, Inc................................... 12,000 189,750
*C.P. Clare Corp.......................................... 108,000 1,329,750
*CCA Industries, Inc...................................... 34,800 97,331
*CEM Corp................................................. 23,400 311,513
*CFM Technologies, Inc.................................... 15,600 178,425
*CMC Industries, Inc...................................... 61,400 564,113
*CML Group, Inc........................................... 326,300 1,060,475
CNA Surety Corp........................................... 110,600 1,790,338
CNB Bancshares, Inc....................................... 21,714 1,004,273
*CNS Income............................................... 194,400 801,900
<CAPTION>
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*CPAC, Inc................................................ 74,100 $ 810,469
CPB, Inc.................................................. 107,000 2,046,375
CPI Corp.................................................. 112,400 2,880,250
*CSP, Inc................................................. 32,120 326,219
*CSS Industries, Inc...................................... 23,200 759,800
CTS Corp.................................................. 161,200 5,037,500
Cadmus Communications Corp................................ 94,100 2,387,788
*Caere Corp............................................... 33,900 475,659
Cal-Maine Foods, Inc...................................... 3,000 16,031
*Calcomp Technology, Inc.................................. 89,600 291,200
*#Caldor Corp............................................. 111,100 68,882
Calgon Carbon Corp........................................ 144,700 1,546,481
*California Amplifier, Inc................................ 68,100 178,763
*California Microwave, Inc................................ 157,700 3,375,766
#Calmat Co................................................ 272,500 6,846,563
*Calumet Bancorp, Inc..................................... 27,000 995,625
*Cameron Ashley Building Products, Inc.................... 108,800 1,890,400
Cameron Financial Corp.................................... 12,200 251,625
*Campo Eletronics, Appliances & Computers, Inc............ 43,900 14,405
*Canandaigua Wine Co., Inc. Class A....................... 93,100 4,291,328
*Canisco Resources, Inc................................... 5,700 18,525
*Cannon Express, Inc. Class A............................. 6,900 59,081
*#Cannondale Corp......................................... 50,100 704,531
Cape Cod Bank & Trust Co.................................. 11,200 448,000
*Capital Pacific Holdings, Inc............................ 133,000 548,625
Capitol Bancorp, Ltd...................................... 34,727 915,925
Capitol Transamerica Corp................................. 68,300 1,406,553
*Cardiotech International, Inc............................ 15,572 32,117
*Cardiovascular Dynamics, Inc............................. 122,400 803,250
*Care Group, Inc.......................................... 71,130 21,117
*Caretenders Healthcorp................................... 5,900 42,406
*Carlyle Industries, Inc.................................. 10,231 14,707
*Carmike Cinemas, Inc. Class A............................ 120,100 3,145,119
Carnegie Bancorp.......................................... 18,195 651,608
*Carnegie Group, Inc...................................... 61,400 234,088
Carolina First Corp....................................... 74,990 2,078,629
*Carr-Gottstein Foods Co.................................. 100,657 723,472
*Carson, Inc.............................................. 20,500 125,563
Carter-Wallace, Inc....................................... 325,500 5,797,969
*Carver Corp. WA.......................................... 16,200 6,328
Cascade Corp.............................................. 96,300 1,649,138
*Casco International, Inc................................. 1,911 6,748
Cash America International, Inc........................... 239,200 4,036,500
*Casino America, Inc...................................... 323,400 1,288,547
*Casino Data Systems...................................... 206,300 709,156
*Casino Magic Corp........................................ 239,900 472,303
*Castle & Cooke, Inc...................................... 258,800 4,884,850
Castle Energy Corp........................................ 45,800 921,725
*Catalina Lighting, Inc................................... 85,700 326,731
*#Catalyst Semiconductor, Inc............................. 92,400 59,194
*Catherines Stores Corp................................... 114,400 1,133,275
Cato Corp. Class A........................................ 371,700 5,598,731
Cavalier Homes, Inc....................................... 29,600 331,150
*Cayenne Software, Inc.................................... 52,100 106,642
*Ceanic Corp.............................................. 121,500 1,792,125
*Celadon Group, Inc....................................... 100,000 1,437,500
*Celebrity, Inc........................................... 105,300 144,788
*Cell Genesys, Inc........................................ 35,500 300,641
*Cellpro, Inc............................................. 151,600 530,600
Cenit Bancorp, Inc........................................ 54,900 1,338,188
</TABLE>
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*Centennial Cellular Corp. Class A........................ 166,800 $ 5,832,788
*Centigram Communications Corp............................ 86,800 1,090,425
Central Co-Operative Bank Somerville, MA.................. 24,100 685,344
*Central Reserve Life Corp................................ 26,600 194,513
*Central Sprinkler Corp................................... 39,700 367,225
Centris Group, Inc........................................ 144,800 1,900,500
Century Aluminum Co....................................... 138,000 2,065,688
*Cephalon, Inc............................................ 48,600 513,338
*Ceradyne, Inc............................................ 70,700 371,175
*Cerion Technologies, Inc................................. 81,500 145,172
*Charming Shoppes, Inc.................................... 1,221,500 6,241,102
*Chart House Enterprises, Inc............................. 120,100 1,005,838
Chartwell Re Corp......................................... 106,100 3,136,581
*Chase Industries, Inc.................................... 34,500 1,067,344
*Check Technology Corp.................................... 70,700 331,406
*#Checkers Drive-In Restaurant, Inc....................... 100 117
*Checkmate Electronics, Inc............................... 62,000 490,188
*Checkpoint System, Inc................................... 306,500 5,402,063
Chemed Corp............................................... 82,200 3,025,988
*Chemfab Corp............................................. 16,050 366,141
Chemfirst, Inc............................................ 72,500 1,862,344
*Cherry Corp. Class A..................................... 48,700 833,988
*Cherry Corp. Class B..................................... 32,500 562,656
Chesapeake Corp........................................... 39,600 1,405,800
#Chesapeake Energy Corp................................... 1,292,600 5,574,338
Chester Valley Bancorp.................................... 794 25,507
Chic by His, Inc.......................................... 125,700 1,052,738
Chicago Rivet & Machine Co................................ 11,800 386,450
*Childtime Learning Centers, Inc.......................... 38,300 777,969
Chiquita Brands International, Inc........................ 5,589 75,102
*Chock Full O' Nuts Corp.................................. 125,323 947,755
*Christiana Companies, Inc................................ 60,000 2,343,750
*Chrysalis International Corp............................. 87,700 149,364
*Cidco, Inc............................................... 197,200 1,589,925
*Ciprico, Inc............................................. 52,200 655,763
*Circon Corp.............................................. 26,500 364,375
*Circuit City Stores, Inc. - Carmax Group................. 272,500 2,639,844
*Circuit Systems, Inc..................................... 53,000 215,313
*Cirrus Logic, Inc........................................ 242,600 2,418,419
*Citadel Holding Corp..................................... 73,300 366,500
*Citation Computer System, Inc............................ 11,200 67,200
*Citation Corp............................................ 191,000 3,688,688
Citfed Bancorp, Inc....................................... 72,600 3,546,056
Citizens Banking Corp..................................... 90,350 3,145,309
*Citizens, Inc. Class A................................... 43,400 263,113
*Civic Bancorp............................................ 37,695 699,713
*Clean Harbors, Inc....................................... 117,500 317,617
Cleveland Cliffs, Inc..................................... 131,300 6,950,694
*Clintrials Research, Inc................................. 286,300 1,565,703
*Coast Distribution System................................ 85,100 329,763
Coastal Bancorp, Inc...................................... 51,400 1,998,175
*Coastal Physician Group, Inc............................. 197,900 98,950
*Coastcast Corp........................................... 44,800 834,400
*Cobra Electronic Corp.................................... 64,300 347,622
*Code-Alarm, Inc.......................................... 23,200 53,650
*Coeur d'Alene Mines Corp. ID............................. 252,800 2,227,800
*#Coffee People, Inc...................................... 52,000 175,500
*#Coherent, Inc........................................... 97,600 2,250,900
*Coho Energy, Inc......................................... 270,200 2,237,594
*#Cohr, Inc............................................... 67,400 482,331
<CAPTION>
SHARES VALUE+
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*Cold Metal Products, Inc................................. 40,000 $ 197,500
Collagen Corp............................................. 107,300 2,099,056
Collins Industries, Inc................................... 28,200 147,169
*Columbia Banking System, Inc............................. 49,045 1,220,007
*Columbus Energy Corp..................................... 50,932 378,807
*Comdial Corp............................................. 91,800 1,061,438
Commercial Bancshares, Inc................................ 25,247 628,019
Commercial Bank of New York............................... 8,300 213,206
Commercial Intertech Corp................................. 34,100 647,900
Commercial Metals Co...................................... 154,900 4,753,494
*Commercial National Financial Corp....................... 9,000 346,500
Commonwealth Bancorp, Inc................................. 149,400 3,534,244
Commonwealth Industries, Inc.............................. 226,000 3,333,500
Community Bank System, Inc................................ 58,000 1,968,375
Community Trust Bancorp, Inc.............................. 43,370 1,324,140
*#Comnet Corp............................................. 11,500 156,688
*Compdent Corp............................................ 165,600 2,421,900
*#Complete Management, Inc................................ 47,000 317,250
*Compucom Systems, Inc.................................... 210,300 1,564,106
*Computer Network Technology Corp......................... 282,000 1,506,938
*Computer Outsourcing Services, Inc....................... 42,800 419,975
*Computrac, Inc........................................... 25,900 25,900
*Comshare, Inc............................................ 14,250 120,902
*Comstock Resources, Inc.................................. 23,900 239,000
*Comtech Telecommunications Corp.......................... 26,900 265,638
*Concord Camera Corp...................................... 101,200 635,663
*Concord Fabrics, Inc. Class A............................ 16,400 159,900
*Cone Mills Corp. NC...................................... 262,900 2,530,413
*Congoleum Corp. Class A.................................. 6,200 62,388
*Conmed Corp.............................................. 198,561 4,225,626
*Conso Products Co........................................ 14,000 122,500
*Consolidated Freightways Corp............................ 129,200 1,913,775
*Continental Can, Inc. DE................................. 38,400 1,411,200
*Continental Materials Corp............................... 2,300 84,813
Cooker Restaurant Corp.................................... 150,000 1,575,000
*Cooperative Bankshares, Inc.............................. 20,800 384,800
*Copart, Inc.............................................. 134,700 2,399,344
*Copley Pharmaceutical, Inc............................... 194,700 1,210,791
*Coram Healthcare Corp.................................... 343,900 709,294
*Corcom, Inc.............................................. 4,500 56,813
*Core, Inc................................................ 7,400 76,081
*Cornerstone Imaging, Inc................................. 86,400 631,800
*Corrpro Companies, Inc................................... 68,300 1,050,113
*Cortech, Inc............................................. 71,900 37,073
*Cosmetic Centers, Inc. Class C........................... 8,646 29,180
Courier Corp.............................................. 15,600 573,300
*Cover-All Technologies, Inc.............................. 31,901 85,235
Covest Bancshares, Inc.................................... 48,825 903,263
*#Craig Corp.............................................. 38,600 501,800
*Craig Corp. Class A...................................... 38,600 492,150
*Creative Computers, Inc.................................. 26,500 215,313
*#Credit Acceptance Corp.................................. 186,000 1,923,938
*Criticare Systems, Inc................................... 86,000 263,375
Cross (A.T.) Co. Class A.................................. 185,300 2,142,531
*Cross-Continent Auto Retailers, Inc...................... 61,800 498,263
*Crowley, Milner & Co..................................... 18,000 110,250
*Crown Books Corp......................................... 20,300 46,309
*Crown Central Petroleum Corp. Class A.................... 71,000 1,042,813
*Crown Central Petroleum Corp. Class B.................... 59,400 857,588
</TABLE>
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<TABLE>
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Crown Crafts, Inc......................................... 82,600 $ 1,171,888
*Crown Vantage, Inc....................................... 128,820 1,320,405
*Crown-Andersen, Inc...................................... 20,000 87,500
Cubic Corp................................................ 107,650 3,162,219
*Cuisine Solutions, Inc................................... 12,000 12,000
Culp, Inc................................................. 11,200 196,000
Curtiss-Wright Corp....................................... 94,900 3,962,075
*Cyberoptics Corp......................................... 46,800 797,063
*Cybex International, Inc................................. 43,300 438,413
*Cypress Semiconductor Corp............................... 12,000 102,750
*Cyrk, Inc................................................ 193,500 2,291,766
*Cytotherapeutics, Inc.................................... 120,600 231,778
*Cytrx Corp............................................... 86,000 220,375
D&N Financial Corp........................................ 54,670 1,411,169
*DII Group, Inc........................................... 22,400 420,700
*DIY Home Warehouse, Inc.................................. 84,800 214,650
*DM Management Co......................................... 32,300 989,188
*DSP Technology, Inc...................................... 18,800 160,388
DT Industries, Inc........................................ 114,700 3,362,144
*DVI, Inc................................................. 96,700 2,060,919
*Dailey International, Inc................................ 60,000 412,500
*Dairy Mart Convenience Stores, Inc. Class A.............. 9,000 38,250
*Dakotah, Inc............................................. 5,000 4,297
*Damark International, Inc. Class A....................... 95,800 952,013
Dames & Moore, Inc........................................ 220,300 2,850,131
*Dan River, Inc. (GA) Class A............................. 155,000 2,964,375
Daniel Industries, Inc.................................... 145,700 2,959,531
*Data Broadcasting Corp................................... 237,170 1,593,486
*Data I/O Corp............................................ 84,400 400,900
*#Data Race, Inc.......................................... 29,800 30,731
*Data Systems & Software, Inc............................. 86,800 482,825
*Data Systems Network Corp................................ 3,228 10,188
*Data Translation, Inc.................................... 8,250 15,727
*Dataflex Corp............................................ 66,500 264,961
*Datakey, Inc............................................. 19,100 108,631
*Dataram Corp............................................. 31,160 377,815
*Datascope Corp........................................... 24,000 669,750
*Dataware Technologies, Inc............................... 65,700 211,472
*Datron Systems, Inc...................................... 30,000 228,750
*#Datum, Inc.............................................. 57,500 849,922
*Daw Technologies, Inc.................................... 116,900 332,434
*Dawson Geophysical Co.................................... 45,700 729,772
*Dawson Production Services, Inc.......................... 130,000 1,454,375
*Daxor Corp............................................... 52,000 708,500
*DeGeorge Financial Corp.................................. 19,900 26,666
Deb Shops, Inc............................................ 142,000 1,118,250
*Deckers Outdoor Corp..................................... 100,100 719,469
Decorator Industries, Inc................................. 16,666 206,242
Defiance, Inc............................................. 73,100 630,488
*Del Global Technologies Corp............................. 85,877 976,851
Delta Natural Gas Co., Inc................................ 26,100 448,594
Delta Woodside Industries, Inc............................ 278,200 1,651,813
*Denamerica Corp.......................................... 22,600 66,388
*Depotech Corp............................................ 53,800 89,947
*Designs, Inc............................................. 178,800 273,788
*Detection Systems, Inc................................... 49,500 504,281
*Detrex Corp.............................................. 12,800 167,200
*#Detroit Diesel Corp..................................... 228,400 5,595,800
*Devcon International Corp................................ 50,800 158,750
*Devlieg-Bullard, Inc..................................... 46,300 120,091
*Diamond Home Services, Inc............................... 140,000 776,563
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Diamond Multimedia Systems, Inc.......................... 253,400 $ 1,948,013
*Dianon Systems, Inc...................................... 40,000 372,500
*Digi International, Inc.................................. 124,000 2,832,625
*Digital Link Corp........................................ 20,400 179,775
Dime Community Bancorp, Inc............................... 135,000 3,885,469
Dime Financial Corp....................................... 38,900 1,371,225
Dimon, Inc................................................ 240,000 3,240,000
*Discount Auto Parts, Inc................................. 172,100 4,420,819
Dixie Group, Inc.......................................... 122,400 1,568,250
*Dixon Ticonderoga Co..................................... 27,250 361,063
*Dominion Bridge Corp..................................... 179,500 221,570
*Dominion Homes, Inc...................................... 70,100 893,775
Donegal Group, Inc........................................ 52,833 1,396,772
*Donnelley Enterprise Solutions, Inc...................... 35,100 728,325
Donnelly Corp. Class A.................................... 78,250 1,731,281
*Donnkenny, Inc........................................... 157,300 535,803
*Dotronix, Inc............................................ 1,000 1,453
Downey Financial Corp..................................... 271,613 8,997,181
*Dravo Corp............................................... 128,700 1,447,875
*Dress Barn, Inc.......................................... 154,923 4,521,815
*Drug Emporium, Inc....................................... 188,400 735,938
*Drypers Corp............................................. 49,400 355,063
*Duckwall-Alco Stores, Inc................................ 58,000 1,051,250
*Durakon Industries, Inc.................................. 107,400 1,134,413
Dyersburg Corp............................................ 161,500 1,140,594
*Dynamics Research Corp................................... 85,636 1,011,575
*E-Z-Em, Inc. Class A..................................... 43,200 302,400
*E-Z-Em, Inc. Class B..................................... 3,843 22,578
*EA Engineering Science & Technology, Inc................. 72,025 238,583
*EA Industries, Inc....................................... 44,400 160,950
*ECC International Corp................................... 90,500 311,094
*EFTC Corp................................................ 34,700 511,825
*EIS International, Inc................................... 132,800 771,900
*ELXSI Corp............................................... 27,900 360,956
EMC Insurance Group, Inc.................................. 53,300 806,163
*ERLY Industries, Inc..................................... 68,520 196,995
*ESCO Electronics Corp. Trust Receipts.................... 193,400 3,469,113
Eagle Bancshares, Inc..................................... 64,600 1,501,950
*Eagle Food Centers, Inc.................................. 109,700 459,369
*Eagle Hardware & Garden, Inc............................. 290,100 5,285,259
*Eagle Point Software Corp................................ 80,000 555,000
Easco, Inc................................................ 108,000 1,417,500
*East/West Communications, Inc............................ 2,300 4,600
Eastern Co................................................ 19,600 523,075
Eaton Vance Corp.......................................... 124,446 5,592,292
Ecology & Environment, Inc. Class A....................... 22,300 217,425
*Edelbrock Corp........................................... 85,000 1,583,125
Edo Corp.................................................. 31,500 293,344
*Educational Insights, Inc................................ 49,300 101,681
*Egghead, Inc............................................. 234,625 1,884,332
*#Einstein/Noah Bagel Corp................................ 28,600 136,744
*Ekco Group, Inc.......................................... 229,300 1,805,738
*El Paso Electric Co...................................... 386,700 3,673,650
*Elcom International, Inc................................. 22,100 90,472
*Electric Fuel Corp....................................... 3,700 10,638
*Electro Rent Corp........................................ 68,600 1,646,400
*Electro Scientific Industries, Inc....................... 40,700 1,365,994
*Electroglas, Inc......................................... 265,200 3,629,925
*Electromagnetic Sciences, Inc............................ 72,250 1,555,633
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Ellett Brothers, Inc...................................... 61,500 $ 315,188
*Emcee Broadcast Products, Inc............................ 50,000 157,813
*Emcon.................................................... 102,000 452,625
*Emergent Group, Inc...................................... 18,400 93,150
*Emerging Communications, Inc............................. 156,400 1,397,825
*#Empire of Carolina, Inc................................. 87,550 93,022
*Emulex Corp.............................................. 47,150 344,784
Energen Corp.............................................. 245,400 4,984,688
Engineered Support Systems, Inc........................... 24,500 733,469
Engle Homes, Inc.......................................... 126,700 1,813,394
Ennis Business Forms, Inc................................. 6,000 66,000
*Enstar, Inc.............................................. 20,866 143,454
*Environmental Elements Corp.............................. 14,500 58,906
*Environmental Technologies Corp.......................... 58,500 378,422
*Envirotest Systems Corp. Class A......................... 95,600 1,553,500
*Equinox Systems, Inc..................................... 35,400 840,750
*Equitex, Inc............................................. 9,400 29,375
*Equitrac Corp............................................ 26,500 518,406
*Equity Oil Co............................................ 142,900 312,594
Eskimo Pie Corp........................................... 16,400 233,700
Espey Manufacturing & Electronics Corp.................... 3,500 50,969
*Esterline Technologies Corp.............................. 127,200 2,734,800
Ethyl Corp................................................ 188,300 1,329,869
*Evans & Sutherland Computer Corp......................... 93,000 2,339,531
*Evans Systems, Inc....................................... 23,585 36,852
*Evans, Inc............................................... 80,800 75,750
Evergreen Bancorp, Inc. DE................................ 63,100 1,644,544
*Evergreen Resources, Inc................................. 39,000 704,438
*Exabyte Corp............................................. 253,000 2,482,563
*Exar Corp................................................ 101,500 2,350,359
Excel Industries, Inc..................................... 177,600 3,529,800
*Executone Information Systems, Inc....................... 351,700 763,848
Exide Corp................................................ 250,100 4,517,431
*Exponent, Inc............................................ 69,500 642,875
*Ezcorp, Inc. Class A Non-Voting.......................... 139,100 1,490,978
FCB Financial Corp........................................ 35,600 1,148,100
FDP Corp.................................................. 10,500 129,281
*FEI Co................................................... 84,600 754,791
FFLC Bancorp.............................................. 50,833 1,026,191
FFY Financial Corp........................................ 42,300 1,401,188
FNB Rochester Corp........................................ 30,300 619,256
*FPA Corp................................................. 20,100 46,481
*FSI International, Inc................................... 233,100 2,658,797
*FTP Software, Inc........................................ 355,400 944,031
Fab Industries, Inc....................................... 67,081 1,819,572
*Fabri-Centers of America, Inc. Class A................... 35,700 1,053,150
*Fabri-Centers of America, Inc. Class B................... 35,700 921,506
*Factory Card Outlet Corp................................. 57,100 442,525
*Fairchild Corp. Class A.................................. 143,900 2,851,019
Falcon Products, Inc...................................... 76,700 997,100
*Fansteel, Inc............................................ 74,700 662,963
*Farah, Inc............................................... 163,600 1,451,950
Farmer Brothers Co........................................ 84 16,650
*Farr Co.................................................. 34,800 687,300
Farrel Corp............................................... 62,200 206,038
Federal Screw Works....................................... 2,000 107,750
*Fibermark, Inc........................................... 88,950 1,723,406
*Fiberstars, Inc.......................................... 12,300 64,575
Fidelity Bancorp, Inc. Delaware........................... 32,700 788,888
<CAPTION>
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*Filenes Basement Corp.................................... 246,200 $ 1,523,363
Financial Bancorp., Inc................................... 25,000 678,125
*Finish Line, Inc. Class A................................ 27,500 651,406
First Albany Companies, Inc............................... 30,309 441,375
First American Financial Corp............................. 3,750 270,469
First Bell Bancorp, Inc................................... 42,100 860,419
*First Cash, Inc.......................................... 69,700 790,659
*First Central Financial Corp............................. 49,600 273
First Citizens Bancshares, Inc. NC........................ 7,100 745,500
First Coastal Bankshares, Inc............................. 51,950 905,878
First Colorado Bancorp.................................... 4,200 119,963
First Commonwealth Financial Corp......................... 9,700 274,025
First Defiance Financial Corp............................. 108,600 1,679,906
First Empire State Corp................................... 3,045 1,546,860
First Essex Bancorp....................................... 86,400 1,960,200
*First Federal Bancshares of Arkansas, Inc................ 29,100 796,613
First Federal Capital Corp................................ 65,610 2,263,545
First Federal Savings & Loan Association of East Hartford,
CT...................................................... 31,000 1,139,250
First Financial Holdings, Inc............................. 100,600 2,298,081
First Indiana Corp........................................ 92,306 2,275,920
*First Investors Financial Services Group, Inc............ 47,000 352,500
First Keystone Financial, Inc............................. 21,800 419,650
First Liberty Financial Corp.............................. 71,775 1,713,628
*#First Merchants Acceptance Corp......................... 65,300 653
First Midwest Financial, Inc.............................. 11,400 271,463
First Mutual Bancorp, Inc................................. 11,900 206,019
First Northern Capital Corp............................... 98,700 1,357,125
First Oak Brook Bancshares, Inc. Class A.................. 14,500 694,188
First Palm Beach Bancorp, Inc............................. 55,200 2,421,900
*First Republic Bank...................................... 112,703 3,747,375
First Savings Bancorp, Inc. North Carolina................ 48,000 1,137,000
First Savings Bank........................................ 107,800 2,752,269
*First Team Sports, Inc................................... 85,600 211,325
First Western Bancorp, Inc................................ 19,200 594,000
Firstbank of Illinois Co.................................. 1,800 76,219
*FirstFed Financial Corp. DE.............................. 97,200 4,768,875
*Firstwave Technologies, Inc.............................. 45,700 219,931
*Fischer Imaging Corp..................................... 100,600 440,125
*Fisher Scientific, International, Inc.................... 15,100 201,019
Flag Financial Corp....................................... 6,900 161,719
Fleming Companies, Inc.................................... 383,697 7,314,224
Flexsteel Industries, Inc................................. 78,400 1,014,300
Florida Rock Industries, Inc.............................. 194,700 6,060,038
*Florsheim Group, Inc..................................... 88,700 820,475
Fluke Corp................................................ 103,620 3,328,793
*Fluor Daniel/GTI, Inc.................................... 15,822 115,698
Flushing Financial Corp................................... 85,700 2,292,475
*Foilmark, Inc............................................ 45,800 151,713
*Foodarama Supermarkets, Inc.............................. 12,400 426,250
*Foothill Independent Bancorp............................. 39,842 717,156
*Forcenergy, Inc.......................................... 800 14,900
*Foster (L.B.) Co. Class A................................ 128,300 673,575
*Four Kids Entertainment, Inc............................. 21,800 173,038
*Four Media Co............................................ 74,000 594,313
Frankfort First Bancorp, Inc.............................. 25,650 420,019
Franklin Bank National Associaton Southfield, MI.......... 38,283 646,026
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*Franklin Electronic Publishers, Inc...................... 86,100 $ 925,575
Freds, Inc. Class A....................................... 121,750 2,861,125
*Fresh Choice, Inc........................................ 64,900 249,459
*Fresh Foods, Inc......................................... 2,000 33,500
Friedman Industries, Inc.................................. 69,737 462,013
*Friedmans, Inc. Class A.................................. 149,300 2,948,675
Frisch's Restaurants, Inc................................. 77,405 924,022
Frozen Food Express Industries, Inc....................... 148,100 1,453,231
*Funco, Inc............................................... 34,300 557,375
Fund American Enterprises Holdings, Inc................... 1,000 146,563
*G-III Apparel Group, Ltd................................. 73,200 441,488
GA Financial, Inc......................................... 24,900 507,338
GBC Bancorp............................................... 96,400 2,750,413
*GC Companies, Inc........................................ 71,300 3,556,088
*GKN Holding Corp......................................... 59,800 175,663
*GNI Group, Inc........................................... 42,700 281,553
*GP Strategies Corp....................................... 119,615 1,854,033
*GT Bicycles, Inc......................................... 102,400 584,000
*GTI Corp................................................. 113,200 313,069
*GZA Geoenvironmental Technologies, Inc................... 36,500 189,344
Gainsco, Inc.............................................. 250,500 1,831,781
*Galey & Lord, Inc........................................ 118,500 2,932,875
*Galileo Corp............................................. 66,100 946,056
*Galoob Toys, Inc. DE..................................... 160,200 1,772,213
Gamma Biologicals, Inc.................................... 52,000 240,500
*Gantos, Inc.............................................. 84,350 119,935
Garan, Inc................................................ 58,000 1,602,250
*#Garden Botanika, Inc.................................... 110,200 120,531
*Garden Fresh Restaurant Corp............................. 45,900 823,331
*Gargoyles, Inc........................................... 86,500 143,266
*Garnet Resources Corp.................................... 39,600 693
*Gart Sports Co........................................... 16,137 252,141
*Gasonics International, Inc.............................. 47,000 483,219
*#Geerling & Wade, Inc.................................... 24,200 120,244
*Gehl Co.................................................. 68,600 1,264,813
*General Cigar Holdings, Inc. Class A..................... 36,000 357,750
*General Communications, Inc. Class A..................... 193,800 1,159,772
*#General Datacomm Industries, Inc........................ 219,000 999,188
General Housewares Corp................................... 50,700 508,584
*General Microwave Corp................................... 400 4,100
*General Semiconductor, Inc............................... 83,000 1,120,500
*General Surgical Innovations, Inc........................ 145,000 616,250
*Geneva Steel Co. Class A................................. 202,100 694,719
*Genicom Corp............................................. 90,400 726,025
*Genlyte Group, Inc....................................... 85,500 2,265,750
*Gensym Corp.............................................. 71,200 423,863
*#Genus, Inc.............................................. 178,300 239,591
*Genzyme Corp. Tissue Repair.............................. 36,500 234,969
Geon Co................................................... 175,500 3,795,188
*Geoscience Corp.......................................... 50,000 637,500
Gerber Scientific, Inc.................................... 339,500 8,551,156
*Getty Petroleum Marketing, Inc........................... 198,300 1,165,013
*Giant Group, Ltd......................................... 50,600 344,713
Giant Industries, Inc..................................... 154,900 2,914,056
*Gibraltar Packaging Group, Inc........................... 67,200 201,600
*Gibraltar Steel Corp..................................... 32,900 716,603
*Gibson Greetings, Inc.................................... 185,000 4,440,000
*Giga-Tronics, Inc........................................ 19,900 111,005
<CAPTION>
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*Gish Biomedical, Inc..................................... 42,300 $ 155,981
Glatfelter (P.H.) Co...................................... 79,000 1,288,688
Gleason Corp.............................................. 93,800 2,772,963
*Glenayre Technologies, Inc............................... 139,200 2,135,850
*Global Industrial Technologies, Inc...................... 225,900 3,826,181
*Global Motorsport Group, Inc............................. 62,500 1,332,031
*#Global Village Communication, Inc....................... 92,200 92,200
*Globe Business Resources, Inc............................ 33,100 475,813
*#Golden Bear Golf, Inc................................... 15,900 111,300
*Golden Books Family Entertainment, Inc................... 90,800 733,494
*Golden State Bancorp, Inc................................ 70,466 2,699,729
*Good Guys, Inc........................................... 218,300 2,783,325
Gorman-Rupp Co............................................ 26,100 499,163
*Gottschalks, Inc......................................... 107,300 891,931
*Government Technology Services, Inc...................... 68,200 341,000
*Gradco Systems, Inc...................................... 78,000 494,813
*Graham Corp.............................................. 25,950 437,906
*Graham-Field Health Products, Inc........................ 186,480 1,095,570
*Grand Casinos, Inc....................................... 460,900 8,094,556
Grand Premier Financial, Inc.............................. 54,907 919,692
Granite Construction, Inc................................. 201,150 5,682,488
Granite State Bankshares, Inc............................. 22,800 584,250
Green (A.P.) Industries, Inc.............................. 95,294 2,072,645
Greenbrier Companies, Inc................................. 219,800 3,956,400
*Greyhound Lines, Inc..................................... 254,000 1,587,500
*Gryphon Holdings, Inc.................................... 106,800 1,889,025
Guarantee Life Companies, Inc............................. 70,700 1,908,900
*Guest Supply, Inc........................................ 68,100 1,030,013
Guilford Mills, Inc....................................... 233,600 6,307,200
*Gulfmark Offshore, Inc................................... 21,800 602,225
*Gundle/SLT Environmental, Inc............................ 267,900 1,372,988
*HCIA, Inc................................................ 125,500 1,019,688
*HEI, Inc................................................. 10,200 63,431
HF Financial Corp......................................... 31,300 1,118,975
*HMI Industries, Inc...................................... 27,800 119,888
*HMN Financial, Inc....................................... 66,600 1,221,694
*HPSC, Inc................................................ 42,000 317,625
*HS Resources, Inc........................................ 221,300 3,195,019
#HUBCO, Inc............................................... 43,170 1,520,393
*Hadco Corp............................................... 47,400 1,524,206
*Haemonetics Corp......................................... 74,200 1,131,550
Haggar Corp............................................... 96,700 1,341,713
*Hahn Automotive Warehouse, Inc........................... 38,746 222,790
Halifax Corp.............................................. 24,000 195,000
*Hallmark Capital Corp.................................... 7,200 105,300
*Hampshire Group, Ltd..................................... 19,100 439,300
*Hampton Industries, Inc.................................. 62,359 413,128
*Handleman Co............................................. 484,436 5,934,341
*Harding Lawson Associates Group, Inc..................... 51,700 512,153
Hardinge Brothers, Inc.................................... 40,600 1,603,700
Harleysville Group, Inc................................... 305,600 7,382,150
Harman International Industries, Inc...................... 53,600 2,281,350
Harris Financial, Inc..................................... 7,000 177,406
*#Harry's Farmers Market, Inc. Class A.................... 46,100 79,234
*Hartmarx Corp............................................ 371,800 2,927,925
*Harvey Entertainment Co.................................. 36,600 409,463
Harvey's Casino Resorts................................... 112,100 3,047,719
Haskel International, Inc................................. 53,900 552,475
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Hastings Manufacturing Co................................. 1,700 $ 39,313
*Hathaway Corp............................................ 45,300 113,250
*Hauser, Inc.............................................. 116,700 889,838
Haven Bancorp, Inc........................................ 90,600 2,423,550
Haverty Furniture Co., Inc................................ 140,100 3,082,200
*Hawaiian Airlines, Inc................................... 36,000 94,500
*Hawthorne Financial Corp................................. 31,900 620,056
*#Hayes Corp.............................................. 10,133 39,265
*Health Management Systems, Inc........................... 59,900 666,388
*Health Risk Management, Inc.............................. 49,600 726,950
*Healthcare Services Group, Inc........................... 92,200 1,319,613
*Healthcor Holdings....................................... 65,300 126,519
*#Heartland Wireless Communications, Inc.................. 30,000 22,969
*#Hector Communications Corp.............................. 8,500 92,438
Heilig-Meyers Co.......................................... 537,250 6,447,000
*Hein-Werner Corp......................................... 19,830 249,114
*Heist (C.H.) Corp........................................ 16,800 121,800
*Hello Direct, Inc........................................ 84,100 572,931
Heritage Financial Services, Inc.......................... 500 17,609
*Herley Industries, Inc................................... 20,533 273,346
*Hf Bancorp, Inc.......................................... 15,800 271,563
*Hi-Shear Industries, Inc................................. 53,500 152,141
*Hi-Tech Pharmacal, Inc................................... 48,700 287,634
*High Plains Corp......................................... 177,300 465,413
*Highlands Insurance Group, Inc........................... 96,700 2,018,613
*Hirsch International Corp. Class A....................... 90,000 905,625
*Hoenig Group, Inc........................................ 104,700 762,347
*Holiday RV Superstores, Inc.............................. 67,900 144,288
Holly Corp................................................ 88,500 2,422,688
*Hollywood Casino Corp. Class A........................... 27,400 53,516
*Hollywood Entertainment Corp............................. 131,100 1,368,356
*Hollywood Park, Inc...................................... 181,600 2,349,450
*Hologic, Inc............................................. 19,600 412,213
*Holopak Technologies, Inc................................ 27,800 73,409
Home Bancorp.............................................. 13,800 449,363
Home Federal Bancorp...................................... 34,875 1,111,641
Home Port Bancorp, Inc.................................... 14,500 357,969
*Home Products International, Inc......................... 4,900 57,881
*Home State Holdings, Inc................................. 79,500 12,422
*Homebase, Inc............................................ 348,650 3,028,897
*Homeowners Group, Inc. Escrow............................ 21,600 0
*Homestead Village, Inc................................... 38,700 580,500
Horizon Financial Corp.................................... 82,265 1,475,628
#Horton (D.R.), Inc....................................... 179,433 3,229,794
*Hospital Staffing Services, Inc.......................... 62,200 25,269
*Housecall Medical Resources, Inc......................... 69,400 86,750
*Hovnanian Enterprises, Inc. Class A...................... 211,784 2,104,604
#Howell Corp.............................................. 34,200 406,125
*Hub Group, Inc. Class A.................................. 103,000 2,214,500
Hudson General Corp....................................... 32,900 1,583,313
*Hudson Hotels Corp....................................... 8,300 36,572
*Hudson Technologies, Inc................................. 61,600 244,475
Huffy Corp................................................ 136,900 2,079,169
Hughes Supply, Inc........................................ 172,400 5,807,725
Hunt (J.B.) Transport Services, Inc....................... 365,500 10,919,313
Huntco, Inc. Class A...................................... 84,500 1,066,813
*Hurco Companies, Inc..................................... 54,100 468,303
*#Hutchinson Technology, Inc.............................. 183,400 4,596,463
*Hvide Marine, Inc. Class A............................... 110,500 1,667,859
*Hycor Biomedical, Inc.................................... 77,700 148,116
*IA Corp. I............................................... 22,500 57,656
<CAPTION>
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<S> <C> <C>
IBS Financial Corp........................................ 43,200 $ 799,200
*ICF Kaiser International, Inc............................ 123,000 353,625
*ICU Medical, Inc......................................... 79,400 1,163,706
*IEC Electronics Corp..................................... 118,600 863,556
IFR Systems, Inc.......................................... 39,000 748,313
*IHOP Corp................................................ 33,900 1,356,000
IMCO Recycling, Inc....................................... 9,500 179,906
ISB Financial Corp. LA.................................... 70,300 1,972,794
*ITC Learning Corp........................................ 49,200 325,950
*ITEQ, Inc................................................ 68,759 816,513
*ITI Technologies, Inc.................................... 5,600 165,550
*ITLA Capital Corp........................................ 47,800 1,087,450
*Ibah, Inc................................................ 343,000 1,811,469
ICO, Inc.................................................. 241,800 1,148,550
*Ikos Systems, Inc........................................ 144,100 842,084
*Imation Corp............................................. 120,300 2,187,956
*Immucor, Inc............................................. 45,800 386,438
*Immulogic Pharmaceutical Corp............................ 280,100 516,434
Imperial Holly Corp....................................... 229,900 2,212,788
*In Focus Systems, Inc.................................... 96,600 757,706
*In Home Health, Inc...................................... 116,200 125,278
*#Inacom Corp............................................. 125,000 4,054,688
*Inco Homes Corp.......................................... 156 634
*Indenet, Inc............................................. 68,000 142,375
Independence Holding Co................................... 52,600 769,275
Independent Bank Corp. MA................................. 61,200 1,139,850
Independent Bank East..................................... 13,891 554,772
*Industrial Acoustics Co., Inc............................ 700 6,825
Industrial Bancorp, Inc................................... 25,700 539,700
*Inference Corp. Class A.................................. 115,000 452,813
*Infonautics Corp. Class A................................ 64,100 220,344
*Information Resources, Inc............................... 209,200 3,628,313
*Information Storage Devices, Inc......................... 161,000 945,875
Ingles Market, Inc. Class A............................... 99,700 1,240,019
*Innodata Corp............................................ 3,866 19,209
*Innoserv Technologies, Inc............................... 13,700 54,372
*Insilco Corp............................................. 12,800 558,000
Insituform East, Inc...................................... 31,200 73,125
*Insituform Technologies, Inc. Class A.................... 256,300 3,299,863
*Inso Corp................................................ 60,000 825,000
Insteel Industries, Inc................................... 86,900 624,594
Instron Corp.............................................. 63,500 1,270,000
*Insurance Auto Auctions, Inc............................. 141,500 1,892,563
*#Integ, Inc.............................................. 93,800 284,331
*Integrated Measurement System, Inc....................... 24,700 222,300
*Integrated Process Equipment Corp........................ 20,000 278,125
*Integrated Silicon Solution, Inc......................... 213,300 1,479,769
*Intellicall, Inc......................................... 29,500 140,125
*Intellidata Technologies Corp............................ 82,700 116,297
*Intelligent Systems Corp................................. 52,375 199,680
Intercargo Corp........................................... 44,300 550,981
*Interface Systems, Inc................................... 49,600 151,900
Interface, Inc. Class A................................... 144,600 5,643,919
*Intergraph Corp.......................................... 496,500 4,359,891
*Interlink Computer Sciences, Inc......................... 54,100 278,953
*Interlink Electronics.................................... 55,000 264,688
*Interlinq Software Corp.................................. 62,200 377,088
*Intermagnetics General Corp.............................. 57,000 577,125
International Aluminum Corp............................... 48,900 1,659,544
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*International Lottery & Totalizer Systems, Inc........... 9,600 $ 4,200
International Multifoods Corp............................. 241,400 7,181,650
*International Rectifier Corp............................. 709,600 7,495,150
*International Remote Imaging Systems, Inc................ 3,000 9,938
International Shipholding Corp............................ 70,475 1,162,838
*#International Technology Corp........................... 111,725 1,166,130
*International Thoroughbred Breeders, Inc................. 110,000 385,000
*Interphase Corp.......................................... 65,100 492,319
Interpool, Inc............................................ 196,400 2,909,175
Interstate Johnson Lane, Inc.............................. 40,100 1,167,913
*Intertan, Inc............................................ 131,400 796,613
*Intervisual Books, Inc. Class A.......................... 9,900 20,728
*Intervoice, Inc.......................................... 67,400 899,369
Interwest Bancorp......................................... 17,600 797,500
Investors Title Co........................................ 18,200 473,200
*Ion Laser Technology, Inc................................ 41,000 66,625
Isco, Inc................................................. 55,500 478,688
*Isolyser Co., Inc........................................ 597,600 1,400,625
*Iwerks Entertainment, Inc................................ 191,700 395,381
*J & J Snack Foods Corp................................... 100,100 1,958,206
J & L Specialty Steel, Inc................................ 545,800 3,820,600
*J. Alexander's Corp...................................... 63,500 313,531
*JPE, Inc................................................. 63,300 213,638
JSB Financial, Inc........................................ 105,400 6,126,375
*Jackpot Enterprises, Inc................................. 100,600 1,232,350
*Jaclyn, Inc.............................................. 26,900 156,356
*Jaco Electronics, Inc.................................... 45,446 284,038
*Jacobson Stores, Inc..................................... 62,650 881,016
*Jan Bell Marketing, Inc.................................. 264,100 1,353,513
*Jason, Inc............................................... 217,500 2,039,063
*Jean Philippe Fragrances, Inc............................ 103,200 857,850
Jefferson Savings Bancorp, Inc............................ 60,000 1,897,500
*Jerry's Famous Deli, Inc................................. 20,000 39,063
John Alden Financial Corp................................. 351,200 7,770,300
*Johnson Worldwide Associates, Inc. Class A............... 122,100 1,556,775
Johnston Industries, Inc.................................. 113,925 594,546
*Johnstown American Industries, Inc....................... 117,900 2,136,938
*Jones Intercable, Inc.................................... 48,900 1,023,844
*Jones Intercable, Inc. Class A........................... 335,100 7,225,594
*Jos. A. Bank Clothiers, Inc.............................. 117,300 879,750
*Jumbosports, Inc......................................... 335,000 439,688
Juno Lighting, Inc........................................ 12,000 253,875
*Just for Feet, Inc....................................... 40,400 886,275
*Just Toys, Inc........................................... 14,000 16,625
Justin Industries, Inc.................................... 339,800 5,394,325
K Swiss, Inc. Class A..................................... 37,000 728,438
*K-Tron International, Inc................................ 6,300 117,731
K2, Inc................................................... 200,000 4,000,000
*KBK Capital Corp......................................... 5,000 61,875
KCS Energy, Inc........................................... 107,500 1,276,563
*KLLM Transport Services, Inc............................. 52,099 654,494
*KVH Industries, Inc...................................... 23,000 79,063
*Kaiser Aluminum Corp..................................... 238,700 2,476,513
*Kaiser Ventures, Inc..................................... 111,500 1,247,406
Kaman Corp. Class A....................................... 245,800 4,508,894
Katy Industries, Inc...................................... 135,800 2,512,300
Kaye Group, Inc........................................... 40,000 270,000
Keithley Instruments, Inc................................. 1,000 7,750
<CAPTION>
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Kellwood Co............................................... 220,518 $ 7,290,876
Kenan Transport Co........................................ 200 6,950
*Kentucky Electric Steel, Inc............................. 32,600 181,338
Kentucky First Bancorp, Inc............................... 4,300 67,725
Kewaunee Scientific Corp.................................. 30,800 298,375
*Key Production Co., Inc.................................. 112,912 1,376,115
*Key Technology, Inc...................................... 3,500 39,594
*Key Tronic Corp.......................................... 138,600 411,469
*Keystone Consolidated Industries, Inc.................... 100,586 1,235,322
Kimball International, Inc. Class B....................... 234,400 5,713,500
*Kimmins Corp............................................. 44,000 154,000
*Kinark Corp.............................................. 70,900 239,288
*Kinnard Investment, Inc.................................. 71,100 457,706
*Kirby Corp............................................... 21,800 468,700
*Kit Manufacturing Co..................................... 11,100 77,700
Klamath First Bancorp, Inc................................ 131,900 2,629,756
Knape & Vogt Manufacturing Co............................. 46,531 1,058,580
*Komag, Inc............................................... 125,100 1,231,453
*Koss Corp................................................ 45,700 457,000
*Krug International Corp.................................. 65,400 363,788
*Kulicke & Soffa Industries, Inc.......................... 105,000 1,811,250
*#LCA-Vision, Inc......................................... 3,450 11,859
LCS Industries, Inc....................................... 32,200 470,925
LSB Industries, Inc....................................... 99,500 429,094
LSI Industries, Inc....................................... 13,230 267,494
*LTX Corp................................................. 382,900 1,477,755
Lab Holdings, Inc......................................... 61,300 1,340,938
*#Laboratory Corp. of America Holdings, Inc............... 400,700 851,488
*Laclede Steel Co......................................... 44,100 184,669
*Ladd Furniture, Inc...................................... 87,327 2,292,334
*Laidlaw Environmental Services, Inc...................... 597,134 2,313,894
*Lamson & Sessions Co..................................... 154,700 1,063,563
*Landair Services, Inc.................................... 16,200 504,225
Landamerica Financial Group, Inc.......................... 112,912 5,391,548
*Laserscope............................................... 124,200 337,669
*Laserscope (Private Placement)........................... 12,000 29,363
*LaserSight Corporation................................... 120,300 546,989
*Layne Christensen Co..................................... 37,300 517,538
*Lazare Kaplan International, Inc......................... 67,500 784,688
*Leap Group, Inc.......................................... 35,000 97,891
*Learning Co., Inc........................................ 282,500 8,051,250
*Leasing Solutions, Inc................................... 9,600 268,800
*Lechters, Inc............................................ 226,400 1,315,950
*#Lexford Residential Trust............................... 57,000 1,218,375
*Liberty Technologies, Inc................................ 62,300 198,581
Life USA Holdings, Inc.................................... 253,800 4,100,456
*Lifeline Systems, Inc.................................... 19,500 363,188
Lifetime Hoan Corp........................................ 75,200 836,600
Lillian Vernon Corp....................................... 97,400 1,692,325
*Lindal Cedar Homes, Inc.................................. 8,000 25,000
Lindberg Corp............................................. 64,800 1,482,300
*Liuski International, Inc................................ 30,700 24,944
*Lodgenet Entertainment Corp.............................. 134,000 1,465,625
*Loehmanns, Inc........................................... 78,000 433,875
*Logans Roadhouse, Inc.................................... 87,000 1,805,250
*#Logic Devices, Inc...................................... 68,900 203,470
Lomak Petroleum, Inc...................................... 98,000 1,188,250
*Lone Star Steakhouse Saloon.............................. 127,500 2,155,547
Longview Fibre Co......................................... 9,000 148,500
*Loronix Information Systems, Inc......................... 52,800 138,600
</TABLE>
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*Louis Dreyfus Natural Gas Corp........................... 277,900 $ 4,863,250
Luby's Cafeterias, Inc.................................... 22,700 419,950
Lufkin Industries, Inc.................................... 66,600 2,256,075
Lukens, Inc. DE........................................... 243,600 7,810,425
*Lumen Technologies, Inc.................................. 26,450 218,213
*Lumisy, Inc.............................................. 98,800 413,725
*Luria (L.) & Son, Inc.................................... 75,800 796
*Lynch Corp............................................... 6,200 565,750
*M-Wave, Inc.............................................. 24,800 58,900
*M.H. Meyerson & Co., Inc................................. 47,800 83,650
M/A/R/C, Inc.............................................. 5,002 89,411
MAF Bancorp, Inc.......................................... 27,961 1,052,033
MBIA, Inc................................................. 2,715 202,437
#MDC Holdings, Inc........................................ 274,288 4,148,606
*MEMC Electronic Materials, Inc........................... 234,200 3,176,338
MFB Corp.................................................. 19,200 513,600
*MFRI, Inc................................................ 53,900 461,519
*MHM Services, Inc........................................ 712 356
MI Schottenstein Homes, Inc............................... 93,800 1,887,725
*#MIM Corp................................................ 44,000 196,625
*MK Gold Corp............................................. 140,100 137,911
MMI Companies, Inc........................................ 190,400 4,212,600
*MRS Technology, Inc...................................... 67,600 104,569
*MS Carriers, Inc......................................... 134,000 3,994,875
MTS Systems Corp.......................................... 143,200 2,671,575
MYR Group, Inc............................................ 57,610 720,125
*Macheezmo Mouse Restaurants, Inc......................... 25,000 15,625
Magna Group, Inc.......................................... 26,684 1,482,630
*Main Street & Main, Inc.................................. 85,000 294,844
*Manchester Equipment Co., Inc............................ 3,300 12,994
*Manhattan Bagel Co., Inc................................. 4,100 4,741
*Mapinfo Corp............................................. 88,600 1,052,125
Marcus Corp............................................... 206,250 3,648,047
*Mariner Health Group, Inc................................ 307,300 4,590,294
*Marisa Christina, Inc.................................... 94,000 284,938
Maritrans, Inc............................................ 143,700 1,293,300
*Mark VII, Inc............................................ 10,500 181,125
*Marker International..................................... 115,000 415,078
*Marlton Technologies, Inc................................ 28,000 185,500
Marsh Supermarkets, Inc. Class A.......................... 42,900 600,600
Marsh Supermarkets, Inc. Class B.......................... 50,400 718,200
Marshall & Isley Corp..................................... 50,310 2,712,023
*Marshall Industries...................................... 153,400 4,745,813
Maryland Federal Bancorp.................................. 79,130 3,066,288
Massbank Corp. Reading, MA................................ 40,266 2,048,533
Matec Corp. DE............................................ 6,900 25,875
*Material Sciences Corp................................... 241,200 2,427,075
*Matlack Systems, Inc..................................... 94,642 804,457
*Matria Healthcare, Inc................................... 386,300 1,563,308
*Matrix Pharmaceutical, Inc............................... 304,900 1,505,444
*Matrix Service Co........................................ 106,900 841,838
*Mattson Technology, Inc.................................. 136,500 902,180
*Maverick Tube Corp....................................... 60,500 918,844
*Max & Ermas Restaurants, Inc............................. 41,900 309,013
*Maxco, Inc............................................... 38,500 344,094
*Maxicare Health Plans, Inc............................... 111,800 1,062,100
*Maxim Group, Inc......................................... 35,000 590,625
*Maxxam, Inc.............................................. 93,300 5,498,869
*Maxxim Medical, Inc...................................... 125,900 2,942,913
*Maynard Oil Co........................................... 49,600 536,300
McGrath Rent Corp......................................... 80,000 1,640,000
<CAPTION>
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McRae Industries, Inc. Class A............................ 1,000 $ 7,375
*Meadow Valley Corp....................................... 11,200 66,500
Medalliance, Inc. Escrow.................................. 39,500 0
*Medaphis Corp............................................ 1,115,800 8,333,631
*Medcath, Inc............................................. 117,400 2,098,525
Medford Bancorp, Inc...................................... 51,800 2,185,313
*Media 100, Inc........................................... 98,500 363,219
*#Media Logic, Inc........................................ 20,100 21,356
*Medical Action Industries, Inc........................... 22,000 89,375
*Medical Alliance, Inc.................................... 51,900 196,247
*Medical Assurance, Inc................................... 28,350 783,169
*Medical Graphics Corp.................................... 27,800 126,838
*#Medical Resources, Inc.................................. 184,856 514,131
*Medicore, Inc............................................ 58,600 162,981
*Mediq, Inc............................................... 5,200 73,125
*Medstone International, Inc.............................. 14,500 141,375
*Mego Mortgage Corp....................................... 126,600 239,353
Merchants Bancorp, Inc.................................... 39,400 1,322,363
Merchants Group, Inc...................................... 25,600 632,000
#Mercury Air Group, Inc................................... 15,300 113,794
*Meridian Data, Inc....................................... 142,900 741,294
Meridian Insurance Group, Inc............................. 47,000 910,625
*Merisel, Inc............................................. 335,800 1,002,153
*Merix Corp............................................... 77,100 901,106
Merrimac Industries, Inc.................................. 11,770 172,136
*Mesa Air Group, Inc...................................... 430,100 3,440,800
*Mesaba Holdings, Inc..................................... 30,600 663,638
*Mestek, Inc.............................................. 13,500 258,188
*Metal Management, Inc.................................... 43,300 435,706
*Metatec Corp. Class A.................................... 100,600 553,300
*Metra Biosystems, Inc.................................... 140,600 338,319
*Metrocall, Inc........................................... 410,810 2,477,698
*Michael Anthony Jewelers, Inc............................ 81,500 198,656
Michael Foods, Inc........................................ 173,981 4,844,283
*Michaels Stores, Inc..................................... 309,900 9,267,947
*Micrion Corp............................................. 28,400 277,788
*Micro Linear Corp........................................ 173,100 805,997
*Micro Warehouse, Inc..................................... 502,600 8,795,500
*Microage, Inc............................................ 241,900 3,258,091
*Microdyne Corp........................................... 8,100 38,728
*Micronics Computers, Inc................................. 157,900 372,545
*Microsemi Corp........................................... 5,600 76,825
*Microtest, Inc........................................... 93,700 456,788
*Microtouch Systems, Inc.................................. 122,600 1,950,106
*Microwave Power Dynamics, Inc............................ 117,900 792,141
Mid America Banccorp...................................... 83,246 2,830,364
*Middleby Corp............................................ 170,000 1,221,875
Middlesex Water Co........................................ 7,500 153,047
*#Midisoft Corp........................................... 35,000 17,500
Midland Co................................................ 16,800 505,050
*Midwest Grain Products, Inc.............................. 100,900 1,343,231
Mikasa, Inc............................................... 198,400 2,442,800
*Mikohn Gaming Corp....................................... 120,100 788,156
*Miller Building Systems, Inc............................. 27,300 271,294
*Miltope Group, Inc....................................... 68,100 189,403
Mine Safety Appliances Co................................. 37,600 2,698,975
Minuteman International, Inc.............................. 9,000 101,813
Mississippi Chemical Corp................................. 136,000 2,278,000
*Molecular Dynamics, Inc.................................. 4,500 56,813
*#Molten Metal Technology, Inc............................ 43,500 8,918
*Monaco Coach Corp........................................ 19,200 517,200
*Monarch Casino and Resort, Inc........................... 5,200 31,850
</TABLE>
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Monarch Machine Tool Co................................... 42,400 $ 371,000
*Monro Muffler Brake, Inc................................. 56,600 930,363
Monterey Bay Bancorp, Inc................................. 35,600 787,650
*Moog, Inc. Class A....................................... 54,000 2,112,750
*Moog, Inc. Class B....................................... 12,800 505,600
*Moore Handley, Inc....................................... 2,000 5,063
*Moore Medical Corp....................................... 42,100 552,563
Moore Products Co......................................... 40,400 1,328,150
*Morgan Products, Ltd..................................... 157,100 844,413
*Morrison Knudsen Corp.................................... 165,400 1,964,125
*Morrow Snowboards, Inc................................... 22,500 35,859
*Mosaix, Inc.............................................. 55,100 606,100
*Mossimo, Inc............................................. 19,000 92,625
*Mother's Work, Inc....................................... 67,000 644,875
*Motivepower Industries, Inc.............................. 25,700 711,569
*Motor Club of America.................................... 5,600 87,150
Movado Group, Inc......................................... 79,900 2,337,075
*#Movie Gallery, Inc...................................... 210,500 1,486,656
*Moviefone, Inc. Class A.................................. 29,500 282,094
Mueller (Paul) Co......................................... 3,900 149,175
*Multi Color Corp......................................... 7,600 48,450
*Multigraphics, Inc....................................... 8,000 48,000
*Multiple Zones International, Inc........................ 192,000 642,000
*Musicland Stores Corp.................................... 263,000 3,797,063
*Mutual Savings Bank FSB Bay City, MI..................... 50,900 620,344
Myers Industries, Inc..................................... 12,500 264,063
*Mylex Corp............................................... 120,600 840,431
*N & F Worldwide Corp..................................... 120,600 1,175,850
*NABI, Inc................................................ 356,100 1,279,734
*NAI Technologies, Inc.................................... 26,700 63,413
NBT Bancorp............................................... 68,944 2,234,217
NCH Corp.................................................. 61,900 3,942,256
*#NCS Healthcare, Inc..................................... 91,500 2,624,906
*NPS Pharmaceuticals, Inc................................. 173,700 1,411,313
*NS Group, Inc............................................ 64,800 826,200
*NSA International, Inc................................... 51,800 84,175
NSC Corp.................................................. 109,658 224,457
NYMAGIC, Inc.............................................. 132,700 3,881,475
*Nantucket Industries, Inc................................ 6,500 3,250
*Napco Security Systems, Inc.............................. 49,600 263,500
Nash Finch Co............................................. 125,900 2,136,366
*Nashua Corp.............................................. 89,800 1,419,963
*Nathans Famous, Inc...................................... 58,400 224,475
*National Auto Credit, Inc................................ 428,690 535,863
*National Bancorp of Alaska, Inc.......................... 6,400 206,000
*National City Bancorp.................................... 82,014 2,752,625
*National Discount Brokers Group, Inc..................... 50,800 571,500
*National Energy Group, Inc............................... 468,510 812,572
National Gas & Oil Co..................................... 38,306 476,431
*National Home Centers, Inc............................... 70,500 118,969
*National Home Health Care Corp........................... 58,211 254,673
National Insurance Group.................................. 24,400 230,275
*National Media Corp...................................... 259,800 340,988
National Presto Industries, Inc........................... 87,900 3,554,456
*National Processing, Inc................................. 45,400 448,325
*National Record Mart, Inc................................ 55,700 661,438
*National Standard Co..................................... 8,100 45,056
National Steel Corp. Class B.............................. 213,100 3,356,325
National Technical Systems, Inc........................... 58,000 447,688
*National Techteam, Inc................................... 164,500 1,485,641
<CAPTION>
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*National Western Life Insurance Co. Class A.............. 24,300 $ 2,731,472
*Natural Wonders, Inc..................................... 89,100 363,361
*Navigators Group, Inc.................................... 2,100 38,588
Nelson (Thomas), Inc...................................... 125,400 1,622,363
*Netmanage, Inc........................................... 376,000 1,239,625
*Netrix Corp.............................................. 111,500 313,594
*Network Computing Devices, Inc........................... 162,300 1,389,694
*Network Equipment Technologies, Inc...................... 223,900 3,512,431
*Network Peripherals, Inc................................. 137,800 598,569
*Neurocrine Biosciences, Inc.............................. 28,000 236,250
*Neuromedical Systems, Inc................................ 278,600 444,019
*New Brunswick Scientific Co., Inc........................ 46,296 444,152
*New Horizons Worldwide, Inc.............................. 55,100 971,138
New Jersey Resources Corp................................. 166,312 5,976,838
*New Mexico & Arizona Land Co............................. 34,816 478,720
Newcor, Inc............................................... 50,142 466,947
Newmil Bancorp, Inc....................................... 41,100 559,988
Newport Corp.............................................. 74,700 1,629,394
*Nexthealth, Inc.......................................... 81,300 157,519
*Niagara Corp............................................. 28,900 282,678
*Nichols Research Corp.................................... 13,650 329,306
*Nitches, Inc............................................. 7,358 19,545
*#Nobel Education Dynamics, Inc........................... 67,500 542,109
*Noel Group, Inc.......................................... 95,400 232,538
Noland Co................................................. 2,000 50,250
*Noodle Kidoodle, Inc..................................... 86,000 502,563
*Nord Resources Corp...................................... 250,500 547,969
*Norland Medical System, Inc.............................. 117,000 255,938
*Nortek, Inc.............................................. 99,300 3,053,475
North Central Bancshares, Inc............................. 38,900 860,663
Northrim Bank............................................. 315 4,883
*Northwestern Steel & Wire Co............................. 312,200 1,419,534
*Norton McNaughton, Inc................................... 105,000 702,188
*Norwood Promotional Products, Inc........................ 41,700 837,909
*Novacare, Inc............................................ 664,400 7,308,400
*Nu Horizons Electronics Corp............................. 108,600 671,963
*Nu-Kote Holding, Inc. Class A............................ 207,800 87,666
*Nuevo Energy Co.......................................... 153,000 4,972,500
*Numerex Corp. Class A.................................... 19,000 98,563
*Nview Corp............................................... 49,000 68,906
O'Sullivan Corp........................................... 173,600 1,692,600
*O'Sullivan Industries Holdings, Inc...................... 219,000 3,285,000
*O.I. Corp................................................ 48,200 227,444
*ODS Networks, Inc........................................ 68,900 475,841
*OHM Corp................................................. 209,900 2,859,888
*OMI Corp................................................. 526,700 4,839,056
*OSI Pharmaceutical, Inc.................................. 61,500 397,828
*OTR Express, Inc......................................... 15,000 95,625
*Oacis Healthcare Holdings Corp........................... 6,000 20,813
*Oak Technology, Inc...................................... 620,500 3,383,664
Ocean Financial Corp...................................... 94,700 1,825,934
*Offshore Logistics, Inc.................................. 351,700 7,187,869
Oglebay Norton Co......................................... 32,000 1,392,000
Ohio Art Co............................................... 3,800 97,375
Oil-Dri Corp. of America.................................. 50,800 762,000
*Old America Stores, Inc.................................. 39,300 0
*Old Dominion Freight Lines, Inc.......................... 133,400 2,226,113
*Olympic Steel, Inc....................................... 186,000 2,621,438
*Omega Environmental, Inc................................. 37,000 13,875
*On Command Corp.......................................... 53,000 730,406
</TABLE>
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*One Price Clothing Stores, Inc........................... 114,500 $ 465,156
Oneida, Ltd............................................... 60,400 1,687,425
*Oneita Industries, Inc................................... 54,200 35,230
*Onyx Acceptance Corp..................................... 10,000 101,563
*Onyx Pharmacueticals, Inc................................ 91,700 727,869
*Opinion Research Corp.................................... 43,900 326,506
*Opta Food Ingredients, Inc............................... 171,600 970,613
*Opti, Inc................................................ 149,200 974,463
Optical Coating Laboratory, Inc........................... 115,200 1,936,800
*Optical Sensors, Inc..................................... 5,400 25,313
*Optika Imaging Systems, Inc.............................. 111,500 327,531
*Option Care, Inc......................................... 120,500 402,922
*Orange Co., Inc.......................................... 108,400 718,150
*Oravax, Inc.............................................. 30,000 37,031
*Orbital Sciences Corp.................................... 259,100 10,606,906
Oregon Steel Mills, Inc................................... 273,761 6,621,594
*Oriole Homes Corp. Class A Convertible................... 20,500 105,703
*Oriole Homes Corp. Class B............................... 29,400 144,244
*Oroamerica, Inc.......................................... 70,400 767,800
*Orthologic Corp.......................................... 281,400 1,486,144
Oshkosh B'Gosh, Inc. Class A.............................. 46,300 1,792,678
Oshkosh Truck Corp. Class B............................... 86,400 2,014,200
*Oshman's Sporting Goods, Inc............................. 65,700 385,988
*Ostex International, Inc................................. 126,100 319,191
*Outlook Group Corp....................................... 45,500 273,000
Overseas Shipholding Group, Inc........................... 171,600 3,324,750
Owosso Corp............................................... 64,000 452,000
Oxford Industries, Inc.................................... 107,400 3,745,575
*PAM Transportation Services, Inc......................... 43,500 447,234
*PC Service Source, Inc................................... 85,800 418,275
*PIA Merchandising Services, Inc.......................... 11,500 76,906
*PICO Holdings, Inc....................................... 235,900 1,054,178
PLM International, Inc.................................... 94,800 817,650
*PPT Vision, Inc.......................................... 89,000 611,875
PS Group Holdings, Inc.................................... 31,500 405,563
*PST Vans, Inc............................................ 44,900 249,756
PXRE Corp................................................. 216,583 6,822,365
*Pages, Inc............................................... 11,800 14,934
*Palmer (Arnold) Golf Co.................................. 9,900 15,778
Pamrapo Bancorp, Inc...................................... 32,300 916,513
Pancho's Mexican Buffet, Inc.............................. 43,800 73,913
*Par Technology Corp...................................... 135,500 889,219
*Paragon Trade Brands, Inc................................ 142,500 676,875
Park Electrochemical Corp................................. 54,100 1,284,875
*Park-Ohio Industries, Inc................................ 127,300 2,402,788
*Parker Drilling Co....................................... 190,000 1,603,125
Parkvale Financial Corp................................... 39,940 1,283,073
*Parlux Fragrances, Inc................................... 189,800 385,531
Patina Oil & Gas Corp..................................... 49,126 353,093
Patrick Industries, Inc................................... 68,800 1,087,900
*Paul Harris Stores, Inc.................................. 68,100 876,788
*Paul-Son Gaming Corp..................................... 14,500 128,688
*Paxson Communications Corp............................... 450,400 5,320,350
*Payless Cashways, Inc.................................... 4,156 13,442
*Paymentech, Inc.......................................... 561,000 9,537,000
Peerless Manufacturing Co................................. 16,000 198,000
Penford Corp.............................................. 50,500 1,578,125
*#Penn Traffic Co......................................... 116,000 471,250
*Penn Treaty American Corp................................ 87,600 2,660,850
Penn Virginia Corp........................................ 147,000 4,152,750
#Penncorp Financial Group, Inc............................ 62,000 1,371,750
<CAPTION>
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Pennfed Financial Services, Inc........................... 112,200 $ 1,956,488
*Pentech International, Inc............................... 66,700 116,725
Peoples Bancshares, Inc. Massachusetts.................... 32,400 842,400
Peoples Bank CT........................................... 9,692 368,902
*#Peoples Choice TV Corp.................................. 212,000 331,250
Peoples Heritage Financial Group, Inc..................... 297,460 6,683,554
*Peoples Telephone Co., Inc............................... 91,000 244,563
*Perfumania, Inc.......................................... 87,200 215,275
*Perini Corp.............................................. 59,300 526,288
*Periphonics Corp......................................... 42,200 429,913
*Petco Animal Supplies, Inc............................... 52,300 1,019,850
*Pete's Brewing Co........................................ 115,500 673,148
*Petrocorp, Inc........................................... 95,200 773,500
*Petroleum Development Corp............................... 54,300 302,044
*Phar-Mor, Inc............................................ 158,200 1,512,788
*Pharmaceutical Marketing Services, Inc................... 10,400 139,100
*Pharmaceutical Resources, Inc............................ 201,400 918,888
*Pharmchem Laboratories, Inc.............................. 64,900 162,250
*Pharmerica, Inc.......................................... 36,000 437,625
*Philip Services Corp..................................... 29,581 114,626
*Phillips (R.H.), Inc..................................... 5,700 18,080
Phillips-Van Heusen Corp.................................. 376,100 4,889,300
Phoenix Investment Partners, Ltd.......................... 446,800 4,188,750
*Photo Control Corp....................................... 4,200 9,450
*Photon Dynamics, Inc..................................... 92,300 403,813
*Phymatrix Corp........................................... 111,800 1,053,366
*Physician Reliance Network, Inc.......................... 513,300 5,662,341
*Physicians Resource Group, Inc........................... 279,250 1,431,156
*Physiometrix, Inc........................................ 67,500 113,906
Piccadilly Cafeterias, Inc................................ 105,400 1,357,025
*Picturetel Corp.......................................... 441,000 4,161,938
*Pilgrim America Capital Corp............................. 64,350 1,673,100
Pilgrim Pride Corp........................................ 431,200 7,384,300
*Pinkertons, Inc.......................................... 42,500 887,188
Pinnacle Bancshares, Inc.................................. 9,800 156,188
*Pinnacle Systems, Inc.................................... 60,300 2,027,588
Pioneer Standard Electronics, Inc......................... 258,400 3,221,925
Pitt-Des Moines, Inc...................................... 34,650 1,845,113
Pittston Co. Burlington Group............................. 333,900 5,864,119
*Planar Systems, Inc...................................... 141,100 1,710,838
*Players International, Inc............................... 448,900 2,426,866
*Polk Audio, Inc.......................................... 5,500 97,625
*Pollo Tropical, Inc...................................... 74,800 745,663
*Polymedica Industries, Inc............................... 81,640 704,145
*Polymer Group, Inc....................................... 492,500 5,879,219
*Pool Energy Services Co.................................. 188,558 3,847,762
Pope & Talbot, Inc........................................ 160,500 2,176,781
*Porta Systems Corp....................................... 5,100 21,675
Portec, Inc............................................... 48,106 766,689
*Powell Industries, Inc................................... 49,000 594,125
*Powercerv Corp........................................... 191,000 937,094
*Powerhouse Technologies, Inc............................. 168,600 1,628,044
*Powertel, Inc............................................ 253,500 4,610,531
*Precision Response, Corp................................. 198,900 1,364,330
*Premiumwear, Inc......................................... 20,100 97,988
*President Casinos, Inc................................... 46,483 110,397
Presidential Life Corp.................................... 331,600 7,315,925
*Presley Companies Class A................................ 83,300 62,475
*Price Communications Corp................................ 159,375 1,733,203
</TABLE>
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Price Enterprises, Inc.................................... 255,400 $ 4,557,294
*Pricesmart, Inc.......................................... 36,850 573,478
Prime Bancorp, Inc........................................ 30,847 1,403,539
Primesource Corp.......................................... 67,254 609,489
*Printronix, Inc.......................................... 76,100 1,217,600
*Procyte Corp............................................. 110,500 132,945
*Proffitts, Inc........................................... 65,700 2,578,725
*Programmers Paradise, Inc................................ 30,900 303,206
Progress Financial Corp................................... 27,300 527,231
*Progress Software Corp................................... 98,500 3,185,859
Progressive Bank, Inc..................................... 38,500 1,597,750
*Proteon, Inc............................................. 152,200 190,250
*Protocol Systems, Inc.................................... 107,500 1,034,688
Providence & Worcester Railroad Co........................ 19,300 277,438
*Provident American Corp.................................. 4,900 31,084
*Provident Financial Holdings, Inc........................ 28,700 663,688
*Proxim, Inc.............................................. 98,400 1,297,650
Pulaski Furniture Corp.................................... 33,200 854,900
*Pulsepoint Communications Corp........................... 6,250 35,938
*Pure World, Inc.......................................... 72,000 1,044,000
*Pyramid Breweries, Inc................................... 86,300 264,294
*QMS, Inc................................................. 119,200 528,950
*Quad Systems Corp........................................ 68,000 261,375
Quaker Chemical Corp...................................... 71,600 1,490,175
*Quaker City Bancorp, Inc................................. 50,850 1,153,659
*Quaker Fabric Corp....................................... 81,400 2,177,450
Quaker State Corp......................................... 498,500 8,443,344
*Quality Dining, Inc...................................... 198,500 809,508
*Quality Semiconductor, Inc............................... 95,400 299,616
*Quality Systems, Inc..................................... 78,500 677,063
Quanex Corp............................................... 205,000 6,367,813
*Quarterdeck Office Systems, Inc.......................... 71,900 99,986
Queens County Bancorp..................................... 69,148 3,077,086
*Quest Medical, Inc....................................... 49,060 438,474
*Quiksilver, Inc.......................................... 11,000 211,406
*Quintel Entertainment, Inc............................... 23,000 125,063
Quixote Corp.............................................. 80,600 1,042,763
*R & B, Inc............................................... 87,100 1,132,300
*RDM Sports Group, Inc.................................... 118,500 2,963
RLI Corp.................................................. 88,650 4,620,881
*RMH Teleservices, Inc.................................... 50,300 187,839
RPC, Inc.................................................. 108,000 1,424,250
*RTW, Inc................................................. 100,600 798,513
*Rag Shops, Inc........................................... 53,100 192,488
*Ragan (Brad), Inc........................................ 21,000 811,125
*Railamerica, Inc......................................... 92,900 598,044
*Railtex, Inc............................................. 105,400 1,630,406
*Rainbow Technologies, Inc................................ 19,100 460,788
*Rainforest Cafe, Inc..................................... 169,400 2,355,719
*#Rally's Hamburgers, Inc................................. 80,300 171,892
*Ramsay Health Care, Inc.................................. 153,800 297,988
*Rare Hospitality International, Inc...................... 133,500 1,664,578
Raritan Bancorp, Inc. DE.................................. 1,575 44,100
*Raster Graphics, Inc..................................... 61,500 65,344
Raven Industries, Inc..................................... 2,100 42,263
*Raytech Corp. DE......................................... 20,700 108,675
*#Read-Rite Corp.......................................... 404,700 3,553,772
*Reading Entertainment, Inc............................... 33,736 453,328
*Recoton Corp............................................. 143,300 4,643,816
*Redhook Ale Brewery, Inc................................. 16,100 103,644
*Redwood Empire Bancorp................................... 28,200 574,575
<CAPTION>
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*Refac Technology Development Corp........................ 41,685 $ 442,903
*Regeneron Pharmaceuticals, Inc........................... 403,200 3,780,000
*Reliability, Inc......................................... 44,500 472,813
Reliance Steel and Aluminum Co............................ 12,250 467,797
*Relm Wireless Corp....................................... 59,254 231,461
*Remington Oil and Gas Corp. Class B...................... 18,200 112,613
*Rentrak Corp............................................. 63,000 371,109
*Repligen Corp............................................ 30,200 59,456
*#Reptron Electronics, Inc................................ 63,000 767,813
*Republic Automotive Parts, Inc........................... 39,800 812,169
Republic Bancorp, Inc..................................... 34,769 659,524
*Republic Engineered Steels, Inc.......................... 340,000 1,136,875
Republic Security Financial Corp.......................... 47,100 554,897
Resource Bancshares Mortgage Group, Inc................... 105,135 1,836,577
*Response Oncology, Inc................................... 183,889 1,166,546
*Rex Stores Corp.......................................... 96,100 1,291,344
*Rexhall Industries, Inc.................................. 12,789 101,912
Richardson Electronics, Ltd............................... 41,400 548,550
*Riddell Sports, Inc...................................... 94,900 492,294
*#Ride, Inc............................................... 131,800 238,888
Riggs National Corp....................................... 298,400 8,187,350
*Right Management Consultants, Inc........................ 78,300 1,071,731
*Rightchoice Managed Care, Inc. Class A................... 47,700 551,531
*Rimage Corp.............................................. 3,300 38,363
*Rio Hotel & Casino, Inc.................................. 127,800 2,779,650
Rival Co.................................................. 94,300 1,376,191
*River Oaks Furniture, Inc................................ 47,600 5,950
*Riverside Group, Inc..................................... 3,200 11,300
Riverview Bancorp, Inc.................................... 11,400 192,375
*Roadhouse Grill, Inc..................................... 55,300 293,781
Roanoke Electric Steel Corp............................... 131,100 2,671,163
*Roberds, Inc............................................. 79,700 224,156
*Roberts Pharmaceutical Corp.............................. 300,200 4,953,300
Robinson Nugent, Inc...................................... 53,900 282,975
*Rock Bottom Restaurants, Inc............................. 109,400 690,588
Rock-Tenn Co. Class A..................................... 324,500 4,766,094
*Rocky Shoes & Boots, Inc................................. 50,000 782,813
*Rodman & Renshaw Capital Group, Inc...................... 19,700 0
Rollins Truck Leasing Corp................................ 824,400 9,892,800
*Rottlund, Inc............................................ 37,800 151,200
Rouge Industries, Inc. Class A............................ 220,200 2,780,025
*Royal Precision, Inc..................................... 14,150 72,077
Ruby Tuesday, Inc......................................... 178,000 2,859,125
*Rush Enterprises, Inc.................................... 25,500 352,219
Russ Berrie & Co., Inc.................................... 171,100 4,320,275
*Ryans Family Steak Houses, Inc........................... 549,400 5,614,181
Ryland Group, Inc......................................... 213,664 4,286,634
*S&K Famous Brands, Inc................................... 57,700 1,045,813
*S3, Inc.................................................. 557,100 3,638,559
*#SABA Petroleum Co....................................... 25,400 44,450
*SBE, Inc................................................. 7,600 31,825
*SBS Technologies, Inc.................................... 40,000 1,117,500
*SED International Holdings, Inc.......................... 84,500 742,016
*SEMX Corp................................................ 99,400 563,784
*SFX Broadcasting, Inc. Class A........................... 24,100 1,812,019
*SGV Bancorp, Inc......................................... 9,300 166,238
*SLH Corp................................................. 67,150 1,567,533
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*SSE Telecom, Inc......................................... 68,100 $ 283,041
*STM Wireless, Inc. Class A............................... 70,000 748,125
*SYNC Research, Inc....................................... 283,400 1,053,894
*Safety 1st, Inc.......................................... 65,400 490,500
*Saint Paul Companies, Inc................................ 20,908 927,793
*Salant Corp. DE.......................................... 153,800 96,125
Salient 3 Communications, Inc. Class A.................... 72,900 726,722
*San Filippo (John B.) & Son, Inc......................... 74,800 486,200
Sanderson Farms, Inc...................................... 154,800 1,828,575
*Sands Regent Casino Hotel................................ 43,282 94,679
Sandwich Bancorp, Inc..................................... 19,400 1,233,719
*Santa Cruz Operation, Inc................................ 119,100 599,222
*Saucony, Inc. Class A.................................... 19,800 112,613
*Saucony, Inc. Class B.................................... 30,000 161,250
*#Savoir Technology Group, Inc............................ 12,300 123,769
*Scan-Optics, Inc......................................... 76,000 415,625
*Schieb (Earl), Inc....................................... 70,500 537,563
Schnitzer Steel Industries, Inc. Class A.................. 13,500 350,156
*Scholastic Corp.......................................... 95,400 3,783,206
*Schuler Homes, Inc....................................... 291,000 2,418,938
*Schulman (A.), Inc....................................... 83,000 1,660,000
Schultz Sav-O Stores, Inc................................. 15,300 240,975
*Scios-Nova, Inc.......................................... 145,300 1,371,269
Scope Industries, Inc..................................... 4,200 289,800
*Scott Technologies, Inc. Class B......................... 17,700 251,672
Seaboard Corp............................................. 100 26,550
*Sealright Co., Inc....................................... 119,300 1,610,550
*Secom General Corp....................................... 57,500 97,031
*Segue Software, Inc...................................... 69,200 897,438
*Seibels Bruce Group, Inc................................. 55,700 410,788
*Seitel, Inc.............................................. 43,000 731,000
Selas Corp. of America.................................... 61,500 580,406
Selective Insurance Group, Inc............................ 286,400 7,500,100
*Seneca Foods Corp. Class B............................... 10,500 171,281
*#Sentry Technology Corp.................................. 16,802 19,952
*Sequa Corp. Class A...................................... 68,600 4,741,975
*Sequa Corp. Class B...................................... 31,400 2,658,206
*Sequent Computer Systems, Inc............................ 398,200 6,632,519
*Service Merchandise Co., Inc............................. 1,081,800 2,298,825
*Servico, Inc............................................. 123,900 2,106,300
*Shaman Pharmaceuticals................................... 35,800 173,966
*Sharper Image Corp....................................... 93,400 577,913
*Shaw Group, Inc.......................................... 67,000 1,641,500
Shelby Williams Industries, Inc........................... 32,000 488,000
*Sheldahl, Inc............................................ 90,000 860,625
*Shiloh Industries, Inc................................... 156,300 3,345,797
*Shoe Carnival, Inc....................................... 127,300 1,774,244
*Sholodge, Inc............................................ 75,000 698,438
*Shoney's, Inc............................................ 594,304 2,637,224
*Shopko Stores, Inc....................................... 260,700 9,091,913
*Show Biz Pizza Time, Inc................................. 24,900 886,284
Showboat, Inc............................................. 262,000 8,023,750
Sifco Industries, Inc..................................... 41,600 1,014,000
*Sight Resource Corp...................................... 96,800 390,225
*Sigma Circuits, Inc...................................... 36,200 317,881
*Sigma Designs, Inc....................................... 11,300 46,613
*Sigmatron International, Inc............................. 9,500 68,578
*Signal Technology Corp................................... 79,400 446,625
*Silicon Storage Technology, Inc.......................... 10,000 28,594
*Silicon Valley Group, Inc................................ 323,000 5,884,656
<CAPTION>
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Simmons First National Corp. Class A...................... 41,600 $ 1,859,000
Simpson Industries, Inc................................... 204,500 2,856,609
*Sizzler International, Inc............................... 212,700 584,925
Skaneateles Bancorp, Inc.................................. 13,950 244,125
Skyline Corp.............................................. 101,600 2,959,100
Skywest, Inc.............................................. 123,900 5,381,906
Smart & Final Food, Inc................................... 22,800 427,500
*Smartflex Systems, Inc................................... 63,900 559,125
Smith (A.O.) Corp......................................... 138,500 6,994,250
Smith (A.O.) Corp. Convertible Class A.................... 46,500 2,348,250
*Smithway Motor Express Corp. Class A..................... 10,500 154,875
Snyder Oil Corp........................................... 20,100 389,438
*Sodak Gaming, Inc........................................ 222,100 1,408,947
*Softech, Inc............................................. 31,300 191,713
*#Software Spectrum, Inc.................................. 51,900 937,444
*Sonosight, Inc........................................... 33,609 222,660
*Sound Advice, Inc........................................ 16,600 53,950
South Jersey Industries, Inc.............................. 110,377 3,014,672
*Southern Energy Homes, Inc............................... 47,300 470,044
*Southwall Technologies, Inc.............................. 83,600 470,250
Southwest Bancshares, Inc. DE............................. 19,500 621,563
Southwest Securities Group, Inc........................... 66,000 1,666,500
Southwestern Energy Co.................................... 357,900 3,780,319
*Spacelabs Medical, Inc................................... 155,400 2,559,244
*Spacetec IMC Corp........................................ 41,900 125,700
*Spaghetti Warehouse, Inc................................. 96,100 660,688
Span-American Medical System, Inc......................... 25,300 208,725
*Spartan Motors, Inc...................................... 130,300 965,034
*Sparton Corp............................................. 100,600 855,100
*Spec's Music, Inc........................................ 36,900 102,628
*Specialty Chemical Resources, Inc........................ 23,000 20,125
*Spectran Corp............................................ 76,300 619,938
*Speizman Industries, Inc................................. 37,400 210,375
*Spiegel, Inc. Class A Non-Voting......................... 240,000 1,282,500
*Sport Chalet, Inc........................................ 42,300 228,684
*Sport Supply Group, Inc.................................. 85,900 810,681
*Sport-Haley, Inc......................................... 33,000 413,531
*Sports Authority, Inc.................................... 128,000 1,928,000
*Sports Club Co., Inc..................................... 69,900 498,038
Springs Industries, Inc. Class A.......................... 800 44,900
St. Francis Capital Corp.................................. 46,300 1,915,663
St. Paul Bancorp, Inc..................................... 255,937 6,446,413
*#Stac, Inc............................................... 89,200 473,875
*Staff Builders, Inc. Class A............................. 233,400 361,041
*Stage II Apparel Corp.................................... 31,600 23,700
*Standard Commercial Corp................................. 168,180 1,871,003
*Standard Management Corp................................. 75,600 562,275
*Standard Microsystems Corp............................... 203,300 2,255,359
Standard Motor Products, Inc. Class A..................... 142,150 3,127,300
Standard Pacific Corp. DE................................. 333,672 5,776,697
Standard Products Co...................................... 265,900 7,810,813
*Stanford Telecommunications, Inc......................... 21,200 302,100
*Stanley Furniture, Inc................................... 118,400 2,405,000
*Star Multi Care Services, Inc............................ 57,100 142,750
*Starcraft Corp........................................... 27,300 61,425
Starrett (L.S.) Co. Class A............................... 58,400 2,259,350
*Starter Corp............................................. 214,800 724,950
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*Station Casinos, Inc..................................... 526,100 $ 7,825,738
*Steel of West Virginia, Inc.............................. 68,000 739,500
Steel Technologies, Inc................................... 130,500 1,468,125
Stepan Co................................................. 107,600 3,402,850
Stephan Co................................................ 49,000 624,750
Sterling Bancorp.......................................... 63,500 1,738,313
*Sterling Financial Corp. WA.............................. 74,080 1,944,600
*Stevens International, Inc. Class A...................... 53,000 152,375
Stewart & Stevenson Services, Inc......................... 109,300 2,264,559
Stewart Information Services Corp......................... 69,000 2,647,875
Stifel Financial Corp..................................... 62,307 973,547
*Stimsonite Corp.......................................... 62,200 476,219
Stone & Webster, Inc...................................... 134,400 5,443,200
*#Stormedia, Inc. Class A................................. 136,200 446,906
*Strategic Diagnostics, Inc............................... 45,000 166,641
*Strategic Distribution, Inc.............................. 243,600 1,316,963
*Stratus Properties, Inc.................................. 150,100 863,075
Strawbridge and Clothier Liquidating Trust................ 71,881 46,813
*Strouds, Inc............................................. 136,000 450,500
*Stuart Entertainment, Inc................................ 60,000 101,250
*Suburban Lodges of America, Inc.......................... 44,000 706,750
*#Sulcus Computer Corp.................................... 180,900 474,863
Sumitomo Bank of California............................... 120,700 4,533,794
*Summa Four, Inc.......................................... 68,300 815,331
*Summit Technology, Inc................................... 12,000 64,688
*Summitt Medical Systems, Inc............................. 169,000 602,063
*Sun Television and Appliances, Inc....................... 206,300 419,047
*Sunbelt Nursery Group, Inc............................... 22,700 0
*Sundance Homes, Inc...................................... 20,500 46,766
*Sunrise Medical, Inc..................................... 284,500 4,409,750
*Sunrise Resources, Inc................................... 82,000 271,625
Superior Surgical Manufacturing Co., Inc.................. 80,900 1,274,175
*Suprema Specialties, Inc................................. 50,500 209,891
*Supreme International Corp............................... 68,550 1,156,781
*Surety Capital Corp...................................... 66,400 315,400
Susquehanna Bancshares, Inc............................... 156,715 5,847,428
*#Swift Energy Corp....................................... 57,500 1,038,594
*Swiss Army Brands, Inc................................... 87,300 995,766
*Sybase, Inc.............................................. 166,800 1,329,188
*Sybron Chemicals, Inc.................................... 1,600 52,700
*Sylvan, Inc.............................................. 104,000 1,547,000
*Symix Systems, Inc....................................... 8,600 168,775
*Symmetricom, Inc......................................... 154,700 981,378
*Syms Corp................................................ 128,700 1,914,413
Synalloy Corp. DE......................................... 27,600 376,050
*Synbiotics Corp.......................................... 84,900 267,966
*Syncor International Corp. DE............................ 117,600 2,058,000
*Syntellect, Inc.......................................... 218,100 565,697
*Synthetic Industries, Inc................................ 87,500 1,785,547
*Sypris Solutions, Inc.................................... 26,250 267,422
*Syquest Technology, Inc.................................. 75,900 136,383
*TBC Corp................................................. 386,900 3,179,834
TCBY Enterprises, Inc..................................... 200,966 1,946,858
*TCC Industries, Inc...................................... 24,800 119,350
*TCI International, Inc................................... 27,600 136,275
*TCSI Corp................................................ 305,600 1,585,300
TF Financial Corp......................................... 11,300 300,863
*TII Industries, Inc...................................... 77,900 335,944
TJ International, Inc..................................... 105,800 3,064,894
TR Financial Corp......................................... 136,400 6,099,638
<CAPTION>
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*TRC Companies, Inc....................................... 71,450 $ 357,250
*TRM Copy Centers Corp.................................... 72,000 931,500
Tab Products Co. DE....................................... 51,800 757,575
*Taco Cabana, Inc......................................... 187,900 1,191,991
Talbots, Inc.............................................. 240,000 6,855,000
*Tandy Brand Accessories, Inc............................. 12,600 222,075
*Tandy Crafts, Inc........................................ 149,700 711,075
Tasty Baking Co........................................... 3,000 56,250
*Team, Inc................................................ 65,300 322,419
*Tech-Sym Corp............................................ 63,400 1,834,638
*Technical Communications Corp............................ 6,300 38,981
Technology Research Corp.................................. 61,000 128,672
*Tegal Corp............................................... 109,000 451,328
*Tei, Inc................................................. 111,600 240,638
*Telco Systems, Inc....................................... 43,500 429,563
Telxon Corp............................................... 130,200 4,321,013
*Temtex Industries, Inc................................... 35,700 149,494
Terra Industries, Inc..................................... 44,300 448,538
*Tesoro Petroleum Corp.................................... 285,700 5,517,581
*#Tesseract Group, Inc.................................... 85,600 449,400
*Tetra Technologies, Inc.................................. 37,900 826,694
Texas Industries, Inc..................................... 34,562 2,052,119
*Texas Micro, Inc......................................... 137,700 542,194
*Texfi Industries, Inc.................................... 27,100 57,588
*Thermo Power Corp........................................ 95,600 1,087,450
Thermo Remediation, Inc................................... 118,100 649,550
*#Thermo Sentron, Inc..................................... 135,500 1,702,219
*Thermo Terratech, Inc.................................... 130,000 617,500
*Thermo Voltek Corp....................................... 49,800 348,600
*Thermospectra Corp....................................... 11,000 121,688
*Thomas Group, Inc........................................ 33,500 341,281
Thomas Industries, Inc.................................... 133,850 3,429,906
Thomaston Mills, Inc...................................... 34,800 269,700
Thor Industries, Inc...................................... 3,900 107,981
*Thorn Apple Valley, Inc.................................. 62,615 986,186
*Tipperary Corp........................................... 129,200 468,350
*Titan Corp............................................... 53,430 340,616
Titan International, Inc.................................. 196,000 3,809,750
Toastmaster, Inc.......................................... 83,600 512,050
*Today's Man, Inc......................................... 86,000 225,750
*Todd Shipyards Corp...................................... 114,200 735,163
Todd-AO Corp. Class A..................................... 3,740 46,984
*Toddhunter International, Inc............................ 76,000 660,250
*Topps, Inc............................................... 68,200 233,372
Toro Co................................................... 24,000 838,500
*Tower Air, Inc........................................... 166,400 715,000
*Tractor Supply Co........................................ 30,100 737,450
*Trak Auto Corp........................................... 40,200 472,350
*#Trans World Airlines, Inc............................... 638,300 6,622,363
*Trans World Entertainment Corp........................... 177,700 6,402,753
*Transcend Services, Inc.................................. 20,100 64,069
*Transfinancial Holdings, Inc............................. 68,700 618,300
Transmedia Network, Inc................................... 11,000 67,375
*TransNet Corp............................................ 59,500 55,781
#Transport Lux Corp....................................... 2,546 33,098
Transtechnology Corp...................................... 54,900 1,482,300
*Transworld Healthcare, Inc............................... 48,800 314,150
*#Travel Ports of America, Inc............................ 66,978 223,958
Treadco, Inc.............................................. 55,500 482,156
*Tremont Corp. DE......................................... 68,133 3,832,481
*Trend-Lines, Inc. Class A................................ 70,900 381,088
Trenwick Group, Inc....................................... 48,000 1,788,000
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*Triangle Pacific Corp.................................... 30,000 $ 1,314,375
*Triathlon Broadcasting Co. Class A....................... 7,200 76,050
*Tricord Systems, Inc..................................... 89,500 88,102
*Trident Microsystems, Inc................................ 149,300 1,049,766
*Tridex Corp.............................................. 71,900 494,313
Trigen Energy Corp........................................ 196,700 2,729,213
*Trimark Holdings, Inc.................................... 30,300 109,838
Trion, Inc................................................ 17,800 104,575
*Triple S Plastics, Inc................................... 30,500 192,531
*Tripos, Inc.............................................. 29,566 328,922
*Trism, Inc............................................... 64,800 155,925
*Truevision, Inc.......................................... 117,800 242,963
*#Trump Hotels & Casino Resorts, Inc...................... 366,800 3,140,725
*Tseng Laboratories, Inc.................................. 180,100 405,225
*Tultex Corp.............................................. 323,307 969,921
*Turner Corp.............................................. 41,732 1,121,548
Twin Disc, Inc............................................ 33,600 1,075,200
Tyler Corp................................................ 213,100 1,997,813
U.S. Bancorp, Inc......................................... 40,300 3,226,519
*#U.S. Diagnostic, Inc.................................... 280,000 1,255,625
*URS Corp................................................. 80,202 1,333,358
*US Can Corp.............................................. 214,100 3,626,319
*US Foodservice, Inc...................................... 174,730 5,787,931
*US Servis, Inc........................................... 18,400 32,775
*US Xpress Enterprises, Inc. Class A...................... 26,100 508,950
*USData Corp.............................................. 6,750 36,703
UST Corp.................................................. 18,310 509,819
*#Ugly Duckling Corp...................................... 40,000 351,250
*Ultimate Electronics, Inc................................ 82,700 273,944
*Ultradata Corp........................................... 25,000 132,813
*#Ultrafem, Inc........................................... 114,000 7,980
*Ultrak, Inc.............................................. 150,500 1,472,078
*#Ultralife Batteries, Inc................................ 50,400 584,325
*#Ultratech Stepper, Inc.................................. 168,300 3,413,334
*#Unapix Entertainment, Inc............................... 3,000 15,188
*Uni-Marts, Inc........................................... 103,200 374,100
Unico American Corp....................................... 44,700 695,644
Unifirst Corp............................................. 98,700 2,541,525
*Unimark Group, Inc....................................... 125,900 613,763
*Union Acceptance Corp. Class A........................... 51,400 375,863
*Unique Casual Restaurants, Inc........................... 98,000 584,938
*Uniroyal Technology Corp................................. 163,600 1,482,625
*Unit Corp................................................ 90,500 707,031
*Unit Instruments, Inc.................................... 66,700 433,550
*United American Healthcare Corp.,........................ 80,200 80,200
United Bankshares, Inc. WV................................ 25,500 635,906
#United Companies Financial Corp.......................... 521,300 9,578,888
United Fire Casualty Co................................... 18,750 728,906
United Industrial Corp.................................... 150,600 1,807,200
United National Bancorp................................... 7,865 233,001
*United Retail Group, Inc................................. 150,600 1,666,013
*United States Energy Corp................................ 15,700 102,050
*United States Home Corp.................................. 129,100 5,220,481
*United States Homecare Corp.............................. 3,400 1,753
United Wisconsin Services, Inc............................ 244,800 7,588,800
*Unitel Video, Inc........................................ 29,500 143,813
Unitog Co................................................. 17,300 400,063
*Unitrode Corp............................................ 55,000 718,438
*Universal American Financial Corp........................ 13,100 34,388
*Universal Electronics, Inc............................... 63,900 642,994
*#Universal International, Inc............................ 34,600 78,931
<CAPTION>
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*Universal Standard Medical Labs, Inc..................... 64,100 $ 136,213
*Uno Restaurant Corp...................................... 103,100 760,363
*Uranuim Resources, Inc................................... 196,000 505,313
*Urocor, Inc.............................................. 112,700 831,163
*Urogen Corp. (Restricted)................................ 14,500 13,141
*Uroquest Medical Corp.................................... 33,900 98,522
*Utilx Corp............................................... 81,600 413,100
*V Band Systems, Inc...................................... 50,700 17,428
*VTEL Corp................................................ 164,500 951,016
*Valence Technology, Inc.................................. 99,700 588,853
*Vallen Corp.............................................. 114,300 2,364,581
Valley Forge Corp......................................... 22,500 334,688
*Value City Department Stores, Inc........................ 399,100 7,108,969
Value Line, Inc........................................... 4,000 174,500
*Valuevision International, Inc. Class A.................. 307,300 1,238,803
*Vans, Inc................................................ 141,700 1,403,716
*Variflex, Inc............................................ 65,500 358,203
Varlen Corp............................................... 100,857 3,422,834
*Vaughn Communications, Inc............................... 54,500 493,906
*Vectra Technologies, Inc................................. 58,100 2,324
*Venture Stores, Inc...................................... 266,179 35,269
*Verity, Inc.............................................. 125,000 960,938
Vermont Financial Services Corp........................... 118,300 3,353,066
*Versar, Inc.............................................. 1,300 6,500
*Versatility, Inc......................................... 3,500 9,188
*Vertex Communications Corp............................... 51,200 1,113,600
*Veterinary Centers of America, Inc....................... 202,500 3,790,547
*Vicorp Restaurants, Inc.................................. 93,600 1,439,100
*Video Display Corp....................................... 44,400 482,850
*Video Services Corp...................................... 10,000 35,625
*Video Update, Inc........................................ 447,875 804,775
*Videonics, Inc........................................... 58,000 159,500
*Viisage Technology, Inc.................................. 11,000 35,063
Virco Manufacturing Corp.................................. 102,396 2,726,294
*Virtualfund.Com, Inc..................................... 27,800 119,019
Vital Signs, Inc.......................................... 194,000 3,425,313
*Vitalink Pharmacy Services, Inc.......................... 238,350 5,169,216
Vulcan International Corp................................. 12,200 497,150
*#WFS Financial, Inc...................................... 231,600 1,990,313
*#WHX Corp................................................ 372,500 5,121,875
WICOR, Inc................................................ 40,500 1,852,875
*WLR Foods, Inc........................................... 176,006 1,254,043
*WPI Group, Inc........................................... 45,800 347,794
Wackenhut Corp. Class A................................... 16,300 359,619
Wackenhut Corp. Class B Non-Voting........................ 26,000 521,625
Walbro Corp............................................... 115,752 1,193,693
*Walker Interactive Systems, Inc.......................... 47,600 752,675
*Wall Data, Inc........................................... 106,700 1,383,766
*Wall Street Deli, Inc.................................... 39,700 138,950
Walshire Assurance Co..................................... 50,527 378,953
*#Wandel & Goltermann Technologies, Inc................... 47,900 718,500
Warren Bancorp, Inc....................................... 72,000 900,000
*Washington Homes, Inc.................................... 104,000 520,000
Washington Savings Bank FSB Waldorf, MD................... 23,500 167,438
Watkins-Johnson Co........................................ 93,000 2,342,438
Watts Industries, Inc. Class A............................ 185,400 4,322,138
Webb (Del) Corp........................................... 311,188 7,546,309
</TABLE>
102
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*Webco Industries, Inc.................................... 50,800 $ 431,800
Webster Financial Corp.................................... 87,425 2,926,005
*Weirton Steel Corp....................................... 468,700 1,904,094
Wellco Enterprises, Inc................................... 4,800 54,600
Wellman, Inc.............................................. 349,900 8,419,469
*Wells-Gardner Electronics Corp........................... 45,700 231,356
Werner Enterprises, Inc................................... 275,625 5,271,328
Wesbanco, Inc............................................. 40,600 1,045,450
*West Coast Entertainment Corp............................ 136,500 260,203
West, Inc................................................. 186,800 5,510,600
*#Westbridge Capital Corp................................. 12,000 4,500
Westco Bancorp, Inc....................................... 11,400 345,563
Westcorp, Inc............................................. 408,356 4,951,317
Westerfed Financial Corp.................................. 69,900 1,721,288
Western Bancorp........................................... 38,412 1,643,313
*Western Beef, Inc........................................ 57,400 473,550
*Weston (Roy F.), Inc. Class A............................ 87,200 332,450
Weyco Group, Inc.......................................... 2,400 61,800
*White Pine Software, Inc................................. 46,100 113,809
Whitney Holdings Corp..................................... 90,171 4,948,134
*Whittaker Corp........................................... 131,900 1,879,575
*Wickes Lumber Co......................................... 96,600 549,413
*Williams Clayton Energy, Inc............................. 122,000 1,288,625
*Wilshire Oil Co. of Texas................................ 108,514 664,648
Windmere Corp............................................. 50,300 1,593,881
Winnebago Industries, Inc................................. 237,800 2,660,388
Wiser Oil Co.............................................. 100,175 1,045,577
Wolf (Howard B.), Inc..................................... 5,000 28,750
Wolohan Lumber Co......................................... 74,478 930,975
*Wolverine Tube, Inc...................................... 21,100 770,150
*Workgroup Technology Corp................................ 82,600 314,913
*#Worldcorp, Inc.......................................... 25,000 15,625
*Worldtex, Inc............................................ 242,700 1,638,225
Worthington Foods, Inc.................................... 23,554 343,005
*Wyant Corp............................................... 800 4,700
*Xetel Corp............................................... 74,400 330,150
*Xicor, Inc............................................... 205,800 443,756
Xtra Corp................................................. 7,350 385,875
Yankee Energy Systems, Inc................................ 108,800 2,611,200
Yardville National Bancorp................................ 47,970 863,460
*Yellow Corp.............................................. 303,000 5,700,188
York Financial Corp....................................... 95,261 2,110,627
*York Research Corp....................................... 3,800 26,006
*Zale Corp................................................ 38,400 1,188,000
*Zaring National Corp..................................... 46,000 462,875
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*Zemex Corp............................................... 106,528 $ 1,058,622
Zenith National Insurance Corp............................ 188,700 5,401,338
Ziegler Co., Inc.......................................... 1,700 40,588
*Zing Technologies, Inc................................... 14,600 119,081
*Zoll Medical Corp........................................ 91,000 557,375
Zurn Industries, Inc...................................... 117,900 4,892,850
*Zygo Corp................................................ 7,500 134,766
--------------
TOTAL COMMON STOCKS
(Cost $2,017,939,659)..................................... 2,566,843,605
--------------
RIGHTS/WARRANTS -- (0.0%)
*Amerus Life Holdings, Inc. Class A Warrants 04/03/02..... 3,620 33,485
*CSF Holdings, Inc. Litigation Rights 12/30/99............ 40,500 0
*Fusion Systems Corp. Contingent Payment Rights
03/31/99................................................ 64,000 3,742
*National Mercantile Bancorp Warrants 06/02/99............ 165 0
*Statesman Group, Inc. Contingent Payment Rights.......... 37,500 0
*Today's Man, Inc. Warrants 10/14/99...................... 43,000 29,563
--------------
TOTAL RIGHTS/WARRANTS
(Cost $37,808)............................................ 66,790
--------------
FACE
AMOUNT
----------
(000)
TEMPORARY CASH INVESTMENTS -- (1.3%)
Repurchase Agreements, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes 5.75%,
10/31/02, valued at $35,482,781) to be repurchased at
$34,969,292. (Cost $34,954,000)......................... $34,954 34,954,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,052,931,467)++................................... $2,601,864,395
--------------
--------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
103
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THE U.S. 6-10 SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (98.8%)
*3-D Systems Corp.................................... 7,700 $ 89,513
*3D0 Co.............................................. 20,000 75,625
*4 Health, Inc....................................... 8,000 52,500
*4Front Software International, Inc.................. 3,100 38,750
*#7Th Level, Inc..................................... 3,400 15,088
*99 Cents Only Stores................................ 8,100 308,813
*AAON, Inc........................................... 3,600 38,250
AAR Corp............................................. 16,200 428,288
ABC Bancorp.......................................... 5,125 85,844
*ABC Rail Products Corp.............................. 5,400 101,250
ABM Industries, Inc.................................. 14,100 390,394
*ABR Information Services, Inc....................... 19,200 493,200
*ABT Building Products Corp.......................... 7,400 106,838
*#ACT Manufacturing, Inc............................. 5,700 50,053
*ACT Networks, Inc................................... 7,400 92,500
*ACX Technologies, Inc............................... 19,900 451,481
*ADE Corp............................................ 7,900 118,253
*AEP Industries, Inc................................. 4,400 120,450
*AER Energy Resources, Inc........................... 14,200 10,872
*AFC Cable Systems, Inc.............................. 7,925 265,983
*AG Associates, Inc.................................. 4,400 12,100
*AG Services America, Inc............................ 2,800 50,050
*#AMBI, Inc.......................................... 12,400 22,281
AMC Entertainment, Inc............................... 9,400 169,200
*AML Communications, Inc............................. 3,600 15,413
*AMX Corp............................................ 6,300 54,731
*APAC Teleservices, Inc.............................. 42,200 381,778
*#APS Holding Corp. Class A.......................... 11,000 9,625
*ARI Network Services, Inc........................... 1,700 4,356
*#ARV Assisted Living, Inc........................... 7,500 83,438
ASB Financial Corp................................... 1,000 14,688
*ASV, Inc............................................ 3,750 73,125
*ATC Communications Group, Inc....................... 5,900 13,367
*ATL Products, Inc. Class A.......................... 330 8,528
*ATL Ultrasound, Inc................................. 10,900 493,566
*ATMI, Inc........................................... 14,700 266,438
*ATS Medical, Inc.................................... 15,700 109,900
Aames Financial Corp................................. 22,975 331,702
Aaron Rents, Inc. Class A............................ 1,500 30,000
Aaron Rents, Inc. Class B............................ 14,400 281,700
*#Aasche Transportation Services, Inc................ 2,000 12,625
*Aavid Thermal Technologies, Inc..................... 5,100 140,888
*Abacus Direct Corp.................................. 6,700 335,419
*#Abaxis, Inc........................................ 7,100 15,975
*Abercrombie & Fitch Co.............................. 5,600 236,600
Abington Bancorp, Inc................................ 2,600 47,450
*Abiomed, Inc........................................ 6,000 94,500
*Able Telcom Holding Corp............................ 6,700 104,269
Abrams Industries, Inc............................... 200 1,450
*Abraxas Petroleum Corp.............................. 4,200 40,163
*#Acacia Research Corp............................... 1,200 20,513
*Accell International Corp........................... 6,000 18,656
*Accelr8 Technology Corp............................. 6,500 88,563
*Acceptance Insurance Companies, Inc................. 10,800 248,400
*Access Health Marketing, Inc........................ 14,000 356,563
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Acclaim Entertainment, Inc.......................... 44,900 $ 287,641
*Accumed Interntational, Inc......................... 333 770
*Ace Cash Express, Inc............................... 6,200 95,519
*Ace Comm Corp....................................... 6,100 39,459
Aceto Corp........................................... 4,700 68,738
Ackerley Group, Inc.................................. 15,600 312,000
*Acme Electric Corp.................................. 2,800 13,825
*Acme Metals, Inc.................................... 11,000 86,625
*Acme United Corp.................................... 1,300 6,175
*Actel Corp.......................................... 14,400 183,150
*#Action Performance Companies, Inc.................. 12,400 344,875
*Active Apparel Group, Inc........................... 1,500 3,234
*Active Voice Corp................................... 3,300 38,363
*Activision, Inc..................................... 12,500 125,391
*#Actrade International, Ltd......................... 5,100 74,906
*Acuson Corp......................................... 20,200 386,325
*Adac Laboratories................................... 16,766 334,272
*Adam Software, Inc.................................. 1,000 4,000
Adams Resources & Energy, Inc........................ 3,100 37,200
*Adelphia Communications Corp. Class A............... 12,900 303,956
*Adept Technology, Inc............................... 6,000 56,625
*Adflex Solutions, Inc............................... 5,200 83,038
*Advance Lighting Technologies, Inc.................. 12,400 307,675
*Advance Paradigm, Inc............................... 5,500 194,906
*Advanced Digital Information Corp................... 7,500 129,844
*Advanced Energy Industries, Inc..................... 6,000 85,688
*#Advanced Health Corp............................... 6,900 86,250
*Advanced Magnetics, Inc............................. 6,000 65,625
*Advanced Marketing Services, Inc.................... 2,700 49,444
*Advanced Photonix, Inc. Class A..................... 5,300 5,963
*Advanced Polymer Systems, Inc....................... 14,700 114,384
*Advanced Promotion Technologies, Inc................ 11,624 215
*Advanced Radio Telecom Corp......................... 12,900 129,806
*#Advanced Tissue Sciences, Inc...................... 28,600 264,103
*Advent Software, Inc................................ 6,000 213,000
Advest Group, Inc.................................... 6,200 162,363
*Advo, Inc........................................... 16,100 403,506
*Advocat, Inc........................................ 5,200 42,250
*#Aerial Communications, Inc......................... 19,000 115,484
*Aeroflex, Inc....................................... 10,000 112,500
*Aerosonic Corp. DE.................................. 2,000 39,250
*Aerovox, Inc........................................ 4,200 13,650
*Aetrium, Inc........................................ 6,800 89,250
Affiliated Community Bancorp......................... 3,200 122,200
*Affinity Technology Group, Inc...................... 16,800 21,000
*Aftermarket Technology Corp......................... 7,700 128,494
*Ag-Chem Equipment Co., Inc.......................... 7,600 116,375
*Agri-Nutrition Group, Ltd........................... 1,600 1,825
*#Agribiotech, Inc................................... 24,800 478,175
*#Agritope, Inc...................................... 2,040 8,798
*Air & Water Technologies Corp. Class A.............. 25,500 51,000
Air Express International Corp....................... 3,975 102,356
*Air Methods Corp.................................... 5,700 23,156
*Airtran Holdings, Inc............................... 38,600 278,041
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Akorn, Inc.......................................... 11,600 $ 93,525
Alabama National Bancorporation...................... 3,900 132,600
Alamo Group, Inc..................................... 5,800 96,063
*Alaris Medical, Inc................................. 44,700 268,200
*#Alarmguard Holdings, Inc........................... 5,000 53,750
*Alba-Waldensian, Inc................................ 600 5,850
Albank Financial Corp................................ 9,040 467,820
Albany International Corp. Class A................... 18,000 522,000
*Alcide Corp......................................... 900 36,309
*Aldila, Inc......................................... 10,900 67,784
Alfa Corp............................................ 28,500 557,173
*Alfin, Inc.......................................... 4,500 4,219
*Algos Pharmaceutical Corp........................... 9,600 350,100
Aliant Communications, Inc........................... 1,200 27,900
Alico, Inc........................................... 4,900 101,981
*Align-Rite International, Inc....................... 2,200 31,625
*Alkermes, Inc....................................... 18,100 397,069
*All American Semiconductor, Inc..................... 7,100 13,645
*Allcity Insurance Co................................ 200 1,800
*Allegheny Teledyne, Inc............................. 12,700 295,275
Allen Organ Co. Class B.............................. 200 8,200
*Allen Telecom, Inc.................................. 18,800 225,600
Alliance Bancorp..................................... 6,438 175,234
*Alliance Entertainment Corp......................... 18,100 566
*Alliance Gaming Corp................................ 24,928 114,513
*Alliance Pharmaceuticals Corp....................... 24,400 116,663
*Alliance Semiconductor Corp......................... 30,900 150,638
*Alliant Techsystems, Inc............................ 7,800 503,100
*Allied Digital Technologies Corp.................... 8,200 38,438
*Allied Healthcare Products, Inc..................... 6,700 35,594
*Allied Holdings, Inc................................ 5,900 106,200
Allied Life Financial Corp........................... 2,000 53,250
Allied Products Corp................................. 8,550 183,825
*Allied Research Corp................................ 3,100 38,556
*#Allin Communications Corp.......................... 5,000 22,813
*Allou Health & Beauty Care, Inc. Class A............ 1,900 22,325
*Allstate Financial Corp............................. 1,600 10,350
*Alltrista Corp...................................... 4,653 118,652
*Aloette Cosmetics, Inc.............................. 1,000 4,906
*#Alpha Beta Technology, Inc......................... 13,400 35,594
*Alpha Industries, Inc............................... 8,400 139,650
*Alpha Microsystems, Inc............................. 3,300 9,694
*Alpha Technologies Group, Inc....................... 5,200 25,025
*Alphanet Solutions, Inc............................. 4,000 47,000
Alpharma, Inc. Class A............................... 9,500 206,625
*Alpine Group, Inc................................... 15,736 312,753
*Alrenco, Inc........................................ 4,900 86,669
*Alta Gold Co........................................ 17,400 35,344
*Alteon, Inc......................................... 12,600 46,856
*#Alternative Resources Corp......................... 12,500 252,734
*Altris Software, Inc................................ 7,200 15,525
*Altron, Inc......................................... 12,100 133,478
*Alyn Corp........................................... 7,500 60,469
*Amax Gold, Inc...................................... 68,200 217,388
Ambanc Holding Co., Inc.............................. 2,200 41,731
Amcast Industrial Corp............................... 7,300 157,406
Amcol International Corp............................. 22,800 312,075
Amcore Financial, Inc................................ 18,775 459,988
*Amedisys, Inc....................................... 1,400 5,688
*America Services Group, Inc......................... 1,600 21,500
American Bancorporation Ohio......................... 400 9,850
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
American Bank of Connecticut......................... 2,200 $ 61,600
*American Banknote Corp.............................. 16,700 64,713
American Biltrite, Inc............................... 1,900 57,594
*#American Biogenetic Sciences, Inc. Class A......... 13,700 17,981
*American Buildings Co............................... 4,500 149,625
*American Business Information, Inc.................. 14,600 183,413
*American Business Information, Inc. Class A......... 14,600 177,938
American Business Products, Inc...................... 14,100 313,725
*American Claims Evaluation, Inc..................... 1,000 1,625
*American Classic Voyages Co......................... 11,100 185,231
*American Coin Merchandising, Inc.................... 3,900 68,981
*American Disposal Services, Inc..................... 13,400 524,694
*American Eagle Group, Inc........................... 4,000 130
*American Eagle Outfitters, Inc...................... 15,675 604,467
*American Ecology Corp............................... 5,250 6,891
*American Freightways Corp........................... 21,800 252,063
*American Healthcorp, Inc............................ 6,400 74,200
American Heritage Life Investment Corp............... 17,600 369,600
*American Homepatient, Inc........................... 11,800 196,913
*American Homestar Corp.............................. 11,530 243,571
American Indemnity Financial Corp.................... 800 9,850
*American International Petroleum Corp............... 35,800 82,228
American Italian Pasta CO............................ 10,100 362,338
*American Media, Inc. Class A........................ 15,300 97,538
*American Medical Electronics, Inc. (Escrow-Bonus)... 4,400 0
*American Medical Electronics, Inc.
(Escrow-Earnings).................................. 4,400 0
*American Mobile Satellite Corp...................... 17,600 201,300
*American Oncology Resources, Inc.................... 20,400 261,375
*American Pacific Corp............................... 4,900 52,522
*American Pad & Paper Co............................. 19,500 129,188
*American Physicians Services Group, Inc............. 2,200 15,813
*American Precision Industries, Inc.................. 7,300 138,700
*American Residential Services, Inc.................. 2,000 23,125
*American Safety Razor Co............................ 8,500 101,203
*American Science & Engineering, Inc................. 6,500 90,188
*American Shared Hospital Services................... 600 1,013
*American Software, Inc. Class A..................... 14,100 108,834
*American Superconductor Corp........................ 10,500 132,563
*American Technical Ceramics Corp.................... 1,500 14,156
*American Telecasting, Inc........................... 11,900 9,111
*#American United Global, Inc........................ 6,600 8,972
*American Waste Services, Inc. Class A............... 12,400 58,125
American Woodmark Corp............................... 4,660 128,733
Americana Bancorp, Inc............................... 1,600 32,300
*Americredit Corp.................................... 21,400 698,175
*Amerihost Properties, Inc........................... 4,200 20,738
*AmeriLink Corp...................................... 2,900 43,138
*Amerin Corp......................................... 17,100 513,534
*Ameripath, Inc...................................... 1,300 18,647
*Ameristar Casinos, Inc.............................. 11,600 62,350
Ameron, Inc.......................................... 2,000 120,250
Amerus Life Holdings, Inc. Class A................... 10,844 347,008
*Ames Department Stores, Inc......................... 17,100 421,622
</TABLE>
105
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Amistar Corp........................................ 1,600 $ 5,675
Ampco-Pittsburgh Corp................................ 8,900 131,275
*Ampex Corp. Class A................................. 36,400 81,900
*Amrep Corp.......................................... 4,600 37,950
*Amsurg Corp. Class A................................ 589 5,559
*Amsurg Corp. Class B................................ 3,800 36,575
*Amtech Corp......................................... 13,800 64,688
*Amtran, Inc......................................... 9,200 177,100
Amwest Insurance Group, Inc.......................... 1,540 23,966
*Amylin Pharmaceuticals, Inc......................... 33,500 142,898
*Anadigics, Inc...................................... 10,250 148,305
Analogic Corp........................................ 10,900 494,247
*Analogy, Inc........................................ 7,300 39,694
Analysis & Technology, Inc........................... 1,200 23,475
Analysts International Corp.......................... 18,600 548,700
*Analytical Surveys, Inc............................. 4,300 120,669
*Anaren Microwave, Inc............................... 3,100 51,828
Anchor Bancorp Wisconsin, Inc........................ 6,600 278,025
*#Andean Development Corp............................ 2,000 8,625
Andover Bancorp, Inc. DE............................. 4,500 153,563
*Andrea Electronics Corp............................. 6,700 101,338
*Anergen, Inc........................................ 15,200 34,675
*Anesta Corp......................................... 9,000 164,813
*#Angeion Corp....................................... 24,200 62,013
Angelica Corp........................................ 9,000 202,500
*Anicom, Inc......................................... 15,900 220,116
*#Ann Taylor Stores Corp............................. 18,800 410,075
*Ansoft Corp......................................... 4,900 63,853
*Antec Corp.......................................... 34,050 652,270
*Apertus Technologies, Inc........................... 5,500 7,047
*#Aphton Corp........................................ 10,100 129,091
Apogee Enterprises, Inc.............................. 21,000 292,031
*Apogee, Inc......................................... 5,900 13,275
Apple South, Inc..................................... 33,200 434,713
Applebees International, Inc......................... 22,000 537,625
*#Appliance Recycling Centers of America, Inc........ 525 1,608
*Applied Digital Access, Inc......................... 10,000 52,500
*Applied Extrusion Technologies, Inc................. 8,400 62,738
*Applied Graphics Technologies, Inc.................. 2,220 106,560
Applied Industrial Technologies, Inc................. 15,350 360,725
*Applied Innovation, Inc............................. 11,500 91,281
*#Applied Magnetics Corp............................. 16,100 90,563
*Applied Microsystems Corp........................... 4,800 19,650
*Applied Science & Technology, Inc................... 6,800 63,538
*Applied Signal Technologies, Inc.................... 5,400 64,125
*Applied Voice Technology, Inc....................... 9,000 169,031
*Applix, Inc......................................... 8,000 33,500
*Apria Healthcare Group, Inc......................... 34,400 262,300
*Aquagenix, Inc...................................... 3,200 4,500
Aquarion Co.......................................... 3,500 116,813
*Aquila Biopharmaceuticals, Inc...................... 3,030 14,771
Aquila Gas Pipeline Corp............................. 24,700 362,781
*Arabian Shield Development Co....................... 200 544
*Aradigm Corp........................................ 7,200 102,600
*Arbor Software Corp................................. 5,000 170,938
*#Arcadia Financial, Ltd............................. 30,400 228,000
Arch Coal, Inc....................................... 7,200 174,150
*Arch Communications Group, Inc...................... 17,600 81,400
*Arch Petroleum, Inc................................. 13,700 31,895
Arctic Cat, Inc...................................... 20,100 182,156
*Ardent Software, Inc................................ 4,238 52,180
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Argonaut Group, Inc.................................. 10,000 $ 323,438
*#Argosy Gaming Corp................................. 20,600 74,675
*Ariad Pharmaceuticals, Inc.......................... 16,300 64,691
*Ariel Corp.......................................... 9,300 75,272
*Ark Restaurants Corp................................ 1,600 18,900
*Arkansas Best Corp.................................. 15,600 151,125
*Arm Financial Group, Inc. Class A................... 12,000 245,250
*Armco, Inc.......................................... 83,000 451,313
Arnold Industries, Inc............................... 21,000 329,438
*Aronex Pharmaceuticals, Inc......................... 15,700 55,931
*Arrhythmia Research Technology, Inc................. 1,800 3,150
*Arrow Automotive Industries, Inc.................... 1,000 2,125
Arrow Financial Corp................................. 3,675 115,763
Arrow International, Inc............................. 200 6,931
*Arthrocare Corp..................................... 5,900 105,463
*Artisoft, Inc....................................... 8,700 25,964
*Artra Group, Inc.................................... 6,000 19,125
*Arts Way Manufacturing Co., Inc..................... 200 1,750
*Asahi/Amer, Inc..................................... 600 3,825
*Asante Technologies, Inc............................ 7,200 18,000
*Ascent Entertainment Group, Inc..................... 17,900 229,344
*Aseco Corp.......................................... 1,400 7,000
*Ashworth, Inc....................................... 10,800 136,688
*Aspen Technology, Inc............................... 9,900 440,859
*Assisted Living Concepts, Inc....................... 13,800 222,525
*Associated Group, Inc. Class A...................... 6,600 231,413
*Astea International, Inc............................ 7,400 21,044
*Astec Industries, Inc............................... 7,200 236,250
Astro-Med, Inc....................................... 4,500 34,313
*Astronics Corp...................................... 2,375 28,648
*Asyst Technologies, Inc............................. 6,400 105,800
Atalanta Sosnoff Capital Corp........................ 7,700 79,647
*Atchison Casting Corp............................... 9,200 166,175
*Athey Products Corp................................. 2,940 13,781
*Atkinson (Guy F.) of California..................... 5,400 422
*Atlantic American Corp.............................. 12,400 55,800
*Atlantic Bank and Trust Co.......................... 2,000 48,250
*#Atlantic Coast Airlines, Inc....................... 12,600 378,394
*Atlantic Gulf Communities Corp...................... 8,100 24,553
*Atlantic Premium Brands, Ltd........................ 2,000 6,125
*Atlantic Tele-Network, Inc.......................... 2,960 44,770
*Atlantis Plastics, Inc.............................. 3,300 26,400
*Atlas Air, Inc...................................... 13,200 466,950
Atmos Energy Corp.................................... 20,200 621,150
Atrion Corp.......................................... 1,950 19,500
*#Atrix Labs, Inc.................................... 6,600 107,250
*Atwood Oceanics, Inc................................ 10,000 517,500
*Au Bon Pain, Inc. Class A........................... 7,100 65,675
*Audiovox Corp. Class A.............................. 13,900 71,238
*Audits & Surveys Worldwide, Inc..................... 5,100 16,256
*Ault, Inc........................................... 3,900 23,278
*Aura Systems, Inc................................... 48,000 136,500
*Aurora Biosciences Corp............................. 6,000 45,750
*Auspex Systems, Inc................................. 20,900 118,216
Authentic Fitness Corp............................... 16,400 298,275
Autocam Corp......................................... 4,343 83,060
*Autoimmune, Inc..................................... 13,100 36,844
*Autoinfo, Inc....................................... 3,900 1,097
*Autologic Information International, Inc............ 2,300 15,525
*Automobile Protection Corp.......................... 8,500 104,922
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Autonomous Technologies Corp........................ 7,500 $ 37,734
*Autote Corp. Class A................................ 21,258 59,788
*Avant Corp.......................................... 16,000 411,000
*Avatar Holdings, Inc................................ 5,500 148,844
*#Avatex Corp........................................ 6,300 13,781
*Avecor Cardiovascular, Inc.......................... 6,200 43,013
Avert, Inc........................................... 1,300 8,288
*Aviall, Inc......................................... 15,700 229,613
*Avid Technology, Inc................................ 4,100 166,178
*Avigen, Inc......................................... 1,000 3,469
*Aviva Petroleum, Inc. Deposit Shares (Representing 5
Shares)............................................ 6,500 6,094
*Avondale Financial Corp............................. 2,800 49,788
*Avondale Industries, Inc............................ 11,600 327,338
*Award Software International, Inc................... 3,500 41,125
*Aware, Inc.......................................... 11,700 126,872
*Axent Technologies, Inc............................. 3,000 73,875
*Axiohm Transaction Solutions, Inc................... 2,732 35,345
*#Axsys Technologies, Inc............................ 2,500 55,625
*Axys Pharmaceuticals, Inc........................... 20,900 161,322
*Aydin Corp.......................................... 3,100 29,450
*Aztar Corp.......................................... 31,800 222,600
Aztec Manufacturing Co............................... 5,000 66,875
*BA Merchant Services, Inc. Class A.................. 15,000 270,938
*BCT International, Inc.............................. 2,700 8,269
BEI Electronics, Inc................................. 6,000 26,813
BEI Technologies, Inc................................ 3,400 63,113
*BFX Hospitality Group, Inc.......................... 4,600 10,638
BHA Group Holdings, Inc. Class A..................... 5,856 99,925
*BI, Inc............................................. 4,900 47,163
BMC Industries, Inc.................................. 18,000 264,375
*BPI Packaging Technologies, Inc..................... 5,300 5,217
*BRC Holdings, Inc................................... 8,500 158,313
BSB Bancorp, Inc..................................... 4,800 150,900
BT Financial Corp.................................... 6,270 172,229
*BT Office Products International, Inc............... 23,100 308,963
*BTG, Inc............................................ 3,700 35,497
*BTU International, Inc.............................. 3,800 18,050
*#BWAY Corp.......................................... 4,800 122,100
*Back Bay Restaurant Group, Inc...................... 2,700 21,263
Badger Meter, Inc.................................... 800 28,900
*Badger Paper Mills, Inc............................. 1,000 8,375
Bairnco Corp......................................... 8,300 78,850
Baker (J.), Inc...................................... 9,700 118,219
*Baker (Michael) Corp................................ 3,900 38,513
Balchem Corp......................................... 1,200 25,050
Baldor Electric Co................................... 8,733 227,604
Baldwin Piano & Organ Co............................. 1,300 20,516
*Baldwin Technology, Inc. Class A.................... 12,100 74,113
*Ballantyne Omaha, Inc............................... 7,700 141,006
Ballard Medical Products............................. 25,000 559,375
*#Bally Total Fitness Holding Corp................... 14,375 463,594
*Baltek Corp......................................... 1,500 15,656
Bancfirst Ohio Corp.................................. 4,800 135,600
*Bancinsurance Corp.................................. 2,900 18,669
Bancorp Connecticut, Inc............................. 3,100 62,388
*BancTec, Inc........................................ 17,896 418,319
*Bangor Hydro-Electric Co............................ 4,400 37,950
Bank of Granite Corp................................. 5,400 218,531
*Bank Plus Corp...................................... 9,000 115,875
*Bank United Financial Corp. Class A................. 13,700 245,316
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Bank West Financial Corp............................. 1,600 $ 22,700
#BankAtlantic Bancorp, Inc. Class A.................. 8,441 111,316
BankAtlantic Bancorp, Inc. Class B................... 7,371 100,891
BankNorth Group, Inc. DE............................. 11,800 426,275
*Banner Aerospace, Inc............................... 18,200 214,988
Banta Corp........................................... 3,000 94,969
*#Banyan System, Inc................................. 12,500 98,828
Barnes Group, Inc.................................... 16,200 481,950
*Barnett, Inc........................................ 9,700 175,813
*Barnwell Industries, Inc............................ 400 6,300
*Barra, Inc.......................................... 8,700 176,719
*Barrett Business Services, Inc...................... 4,100 50,225
*Barringer Technologies, Inc......................... 2,400 25,650
*Barry (R.G.) Corp................................... 8,832 131,376
*#Base Ten Systems, Inc. Class A..................... 3,700 19,425
*Basin Exploration, Inc.............................. 8,000 126,500
Bassett Furniture Industries, Inc.................... 7,800 235,706
Battle Mountain Gold Co.............................. 43,900 233,219
Bay State Gas Co..................................... 7,600 289,275
Bay View Capital Corp................................ 12,300 396,291
*Bayard Drilling Technologies, Inc................... 296 3,275
*Baycorp Holdings, Ltd............................... 4,200 30,450
Bayonne Bancshares, Inc.............................. 4,800 77,550
*Bayou Steel Corp. Class A........................... 6,400 41,200
*Be Aerospace, Inc................................... 17,800 514,531
Beauticontrol Cosmetics, Inc......................... 2,900 26,463
*Beazer Homes USA, Inc............................... 6,000 136,500
*Bel Fuse, Inc....................................... 3,500 92,750
*Belco Oil & Gas Corp................................ 10,000 98,750
*Bell and Howell Co.................................. 19,900 537,300
*Bell Industries, Inc................................ 6,520 82,315
*Bell Microproducts, Inc............................. 6,100 45,178
*Bell Sports Corp.................................... 11,000 103,125
*Bellwether Exploration Co........................... 11,100 99,553
*Ben & Jerry's Homemade, Inc. Class A................ 3,600 70,425
*Benchmark Electronics, Inc.......................... 6,900 139,294
*Benchmarq Microelectron............................. 4,100 60,219
*Benihana, Inc....................................... 1,000 11,688
*#Bentley Pharmaceuticals, Inc....................... 3,160 7,703
*Benton Oil & Gas Co................................. 22,300 232,756
Berkshire Gas Co..................................... 1,000 22,375
*Berlitz International, Inc.......................... 4,700 130,425
Berry Petroleum Corp. Class A........................ 15,300 218,025
*Bertuccis, Inc...................................... 7,000 71,969
*Bet Holdings, Inc. Class A.......................... 6,700 418,331
Beverly Bancorporation, Inc.......................... 3,465 90,307
*Big 4 Ranch, Inc.................................... 3,200 0
*#Big Flower Holdings, Inc........................... 14,100 432,694
*Billing Information Concepts Corp................... 10,800 251,100
Bindley Western Industries, Inc...................... 12,200 433,100
Binks Sames Corp..................................... 1,500 63,000
*Bio Technology General Corp......................... 38,500 327,852
*#Bio Vascular, Inc.................................. 3,000 14,344
*Bio-Logic Systems Corp.............................. 2,100 10,631
*#Bio-Plexus, Inc.................................... 2,700 8,184
*Bio-Rad Laboratories, Inc. Class A.................. 5,800 184,150
*#Biocircuits Corp................................... 370 0
*Biocryst Pharmaceuticals, Inc....................... 11,000 87,656
*Biofield Corp....................................... 3,000 11,625
*#Biomatrix, Inc..................................... 8,200 278,800
*Biosepra, Inc....................................... 5,000 8,281
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Biosite Diagnostics, Inc............................ 10,000 $ 123,125
*Biosource International, Inc........................ 7,200 47,700
*Biospecifics Technologies Corp...................... 2,300 12,219
*#Biospherics, Inc................................... 6,500 26,609
Birmingham Steel Corp................................ 18,600 260,400
*Black Box Corp...................................... 13,200 526,350
*Black Hawk Gaming & Development, Inc................ 1,000 10,031
Black Hills Corp..................................... 13,050 286,284
Blair Corp........................................... 5,600 166,600
Blanch (E.W.) Holdings, Inc.......................... 6,600 248,325
Blimpie International................................ 5,000 16,250
*Blonder Tongue Laboratories, Inc.................... 2,000 19,250
*Bluegreen Corp...................................... 16,195 135,633
*Boca Research, Inc.................................. 5,200 26,813
*Bolder Technologies Corp............................ 5,700 66,263
*Bolle, Inc.......................................... 3,561 18,584
*Bolt Technology Corp................................ 4,500 45,563
*Bombay Co., Inc..................................... 30,500 133,438
*Bon-Ton Stores, Inc................................. 5,700 96,188
*Bonded Motors, Inc.................................. 1,800 17,550
*Bone Care International, Inc........................ 2,250 22,500
*Bontex, Inc......................................... 200 725
*Books-a-Million, Inc................................ 15,400 78,444
*Boole & Babbage, Inc................................ 19,762 491,580
*Borg-Warner Security Corp........................... 20,200 445,663
*#Borland International, Inc......................... 30,100 249,266
Boston Acoustics, Inc................................ 2,500 83,438
*#Boston Chicken, Inc................................ 42,200 86,378
*Boston Communications Group, Inc.................... 6,000 51,375
Bostonfed Bancorp, Inc............................... 1,000 23,500
*#Bowmar Instrument Corp............................. 11,700 25,594
#Bowne & Co., Inc.................................... 10,800 462,375
*Boyd Gaming Corp.................................... 43,000 287,563
*Boyds Wheels, Inc................................... 3,100 806
*Bradley Pharmaceuticals, Inc. Class A............... 1,500 3,445
Brady (W.H.) Co. Class A............................. 12,100 352,034
*Brauns Fashions Corp................................ 2,200 26,400
*Brazos Sportswear, Inc.............................. 230 1,093
#Breed Technologies, Inc............................. 18,500 352,656
Brenton Banks, Inc................................... 11,488 236,589
*Brewer (C.) Homes, Inc. Class A..................... 1,800 4,275
Bridgford Foods Corp................................. 4,075 52,593
*Brilliant Digital Entertainment, Inc................ 7,000 21,875
*Brite Voice Systems, Inc............................ 12,100 130,831
Broad National Bancorporation........................ 2,226 48,833
*Broadband Technologies, Inc......................... 10,600 64,594
*Broadvision, Inc.................................... 13,900 221,531
*Broadway & Seymour, Inc............................. 5,400 32,063
*Broderbund Software, Inc............................ 12,500 198,438
#Brooke Group, Ltd................................... 14,200 142,000
*Brooks Automation, Inc.............................. 8,000 104,000
*Brookstone, Inc..................................... 3,900 55,088
*Brooktrout Technology, Inc.......................... 9,300 169,434
*Brothers Gourmet Coffees, Inc....................... 6,771 7,194
*Brown & Sharpe Manufacturing Co. Class A............ 9,200 121,900
*Brown (Tom), Inc.................................... 22,100 368,794
Brown Group, Inc..................................... 14,400 258,300
Brush Wellman, Inc................................... 10,800 263,250
Bryn Mawr Bank Corp.................................. 400 20,125
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Buckeye Technology, Inc............................. 22,400 $ 505,400
*Buckhead America Corp............................... 900 6,806
*Buckle, Inc......................................... 13,200 673,200
*Buffets, Inc........................................ 33,186 541,347
*Builders Transport, Inc............................. 1,800 366
*Building Materials Holding Corp..................... 10,600 146,413
*Bull Run Corp. GA................................... 21,300 100,509
Burlington Coat Factory Warehouse Corp............... 33,480 671,693
*Burr Brown Corp..................................... 7,862 201,709
*Bush Boake Allen, Inc............................... 11,500 339,250
Bush Industries, Inc. Class A........................ 5,700 153,188
*Business Resource Group............................. 2,400 8,100
*Butler International, Inc........................... 4,100 99,169
Butler Manufacturing Co.............................. 3,800 133,000
*Buttrey Food & Drug Stores Co....................... 5,200 77,513
C & D Technologies, Inc.............................. 4,600 257,600
*C ATS Software, Inc................................. 4,000 22,500
*C-COR Electronics, Inc.............................. 5,800 91,713
*C-Cube Microsystems, Inc............................ 20,900 408,203
*#C-Phone Corp....................................... 2,500 12,930
*C.P. Clare Corp..................................... 5,500 67,719
*#CAI Wireless Systems, Inc.......................... 5,115 1,816
CBT Corp............................................. 200 6,575
*CBT Group P.L.C..................................... 1,003 50,067
*CCA Industries, Inc................................. 4,300 12,027
*CCC Information Services Group, Inc................. 14,000 317,188
*CDI Corp............................................ 3,900 143,569
*CE Software Holdings, Inc........................... 580 1,305
*CEM Corp............................................ 3,800 50,588
*#CET Environmental Services, Inc.................... 3,500 12,578
*CFI Proservices, Inc................................ 3,000 47,531
*CFM Technologies, Inc............................... 4,700 53,756
CFSB Bancorp, Inc.................................... 2,415 67,184
CFW Communications Co................................ 9,100 224,656
*CMC Industries, Inc................................. 3,500 32,156
*#CMG Information Services, Inc...................... 15,200 672,600
CMI Corp. Class A.................................... 17,800 142,400
*CML Group, Inc...................................... 39,800 129,350
CNA Surety Corp...................................... 11,100 179,681
CNB Bancshares, Inc.................................. 3,420 158,175
*CNS Income.......................................... 14,400 59,400
*CPAC, Inc........................................... 3,520 38,500
CPB, Inc............................................. 6,800 130,050
*CPI Aerostructures, Inc............................. 200 450
CPI Corp............................................. 7,000 179,375
*CSP, Inc............................................ 2,530 25,695
*CSS Industries, Inc................................. 7,500 245,625
*#CTC Communications Corp. Class 1................... 5,500 45,461
CTG Resources, Inc................................... 6,400 148,800
CTS Corp............................................. 12,700 396,875
*CUNO, Inc........................................... 9,600 195,300
CVB Financial Corp................................... 10,045 214,712
*Cable Design Techologies Corp....................... 17,425 410,577
Cabot Oil & Gas Corp. Class A........................ 17,300 350,325
*Cache, Inc.......................................... 7,625 35,504
*Caci International, Inc. Class A.................... 8,600 171,194
*#Cade Industries, Inc............................... 12,300 44,780
*Cadiz Land, Inc..................................... 24,600 325,950
Cadmus Communications Corp........................... 5,800 147,175
*Cadus Pharmaceutical Corp........................... 6,500 38,594
</TABLE>
108
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Caere Corp.......................................... 10,600 $ 148,731
Cagle's, Inc. Class A................................ 2,000 25,250
Cal-Maine Foods, Inc................................. 2,000 10,688
*Calcomp Technology, Inc............................. 25,900 84,175
*#Caldor Corp........................................ 9,700 6,014
Calgon Carbon Corp................................... 28,900 308,869
*California Amplifier, Inc........................... 7,000 18,375
*#California Culinary Academy, Inc................... 1,200 9,300
*California Micro Devices Corp....................... 6,300 36,422
*California Microwave, Inc........................... 9,700 207,641
California State Bank................................ 3,100 151,125
California Water Service Group....................... 7,500 166,406
*Callon Petroleum Co................................. 4,600 75,900
*Calloways Nursery, Inc.............................. 1,200 2,738
Calmat Co............................................ 13,900 349,238
*Calumet Bancorp, Inc................................ 1,650 60,844
*Cambex Corp......................................... 5,200 3,068
Cambrex Corp......................................... 7,000 391,563
*Cambridge Heart, Inc................................ 3,000 24,563
Cambridge Neuroscience, Inc.......................... 13,300 11,845
*Cameron Ashley Building Products, Inc............... 5,600 97,300
Cameron Financial Corp............................... 1,300 26,813
*Campo Eletronics, Appliances & Computers, Inc....... 3,200 1,050
*Candela Laser Corp.................................. 2,700 9,155
*Candies, Inc........................................ 9,300 59,578
*Canisco Resources, Inc.............................. 500 1,625
*Cannon Express, Inc. Class A........................ 900 7,706
*#Cannondale Corp.................................... 6,900 97,031
*Cantel Industries, Inc. Class B..................... 2,000 17,375
*Canyon Resources Corp............................... 20,800 19,500
Cape Cod Bank & Trust Co............................. 2,300 92,000
*Capital Pacific Holdings, Inc....................... 9,000 37,125
*Capital Senior Living Corp.......................... 1,500 19,406
Capitol Bancorp, Ltd................................. 2,189 57,735
Capitol Transamerica Corp............................ 6,050 124,592
Caraustar Industries, Inc............................ 2,600 79,869
*Carbide/Graphite Group, Inc......................... 5,000 163,750
Carbo Ceramics, Inc.................................. 4,000 137,125
*Cardiotech International, Inc....................... 2,101 4,333
*Cardiovascular Diagnostics.......................... 4,000 24,500
*Cardiovascular Dynamics, Inc........................ 5,388 35,359
*Care Group, Inc..................................... 3,400 1,009
*#Carematrix, Inc.................................... 12,000 277,500
*Caretenders Healthcorp.............................. 1,600 11,500
*Carlyle Industries, Inc............................. 1,032 1,484
*Carmike Cinemas, Inc. Class A....................... 6,700 175,456
Carnegie Bancorp..................................... 1,155 41,363
*Carnegie Group, Inc................................. 3,800 14,488
Carolina First Corp.................................. 13,410 371,708
*Carr-Gottstein Foods Co............................. 7,654 55,013
*Carrington Laboratories, Inc........................ 7,100 30,064
*Carson, Inc......................................... 500 3,063
Carter-Wallace, Inc.................................. 23,800 423,938
*Carver Corp. WA..................................... 1,400 547
Cascade Corp......................................... 7,100 121,588
Cascade Natural Gas Corp............................. 6,500 101,156
*Casco International, Inc............................ 275 971
Casey's General Stores, Inc.......................... 36,800 522,100
Cash America International, Inc...................... 19,800 334,125
*Casino America, Inc................................. 19,600 78,094
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Casino Data Systems................................. 14,400 $ 49,500
*Casino Magic Corp................................... 19,500 38,391
*Casino Resource Corp................................ 3,000 2,766
*Castelle............................................ 2,200 8,113
*Castle & Cooke, Inc................................. 17,200 324,650
Castle (A.M.) & Co................................... 13,037 293,333
Castle Energy Corp................................... 2,400 48,300
*Catalina Lighting, Inc.............................. 5,100 19,444
*Catalyst International, Inc......................... 5,000 64,375
*Catalyst Semiconductor, Inc......................... 4,000 2,563
*Catalytica, Inc..................................... 31,700 482,434
Cathay Bancorp, Inc.................................. 1,100 43,313
*Catherines Stores Corp.............................. 6,300 62,409
Cato Corp. Class A................................... 21,300 320,831
Cavalier Homes, Inc.................................. 16,360 183,028
*Cayenne Software, Inc............................... 15,000 30,703
*Ceanic Corp......................................... 8,200 120,950
*#Cel-Sci Corp....................................... 2,500 11,875
*Celadon Group, Inc.................................. 6,000 86,250
*Celebrity, Inc...................................... 5,200 7,150
*Celeritek, Inc...................................... 3,400 26,456
*Celestial Seasonings, Inc........................... 1,600 73,100
*Celgene Corp........................................ 14,200 138,894
*#Cell Genesys, Inc.................................. 22,352 189,294
*Cellnet Data Systems, Inc........................... 24,500 247,297
*Cellpro, Inc........................................ 11,600 40,600
*Cellular Technical Services Co., Inc................ 15,900 16,148
*Celtrix Pharmaceuticals, Inc........................ 5,000 14,688
Cenit Bancorp, Inc................................... 2,400 58,500
*Centennial Bancorp.................................. 8,342 142,335
*Centennial Cellular Corp. Class A................... 12,400 433,613
Centex Construction Products, Inc.................... 13,200 504,900
*Centigram Communications Corp....................... 5,200 65,325
Central Co-Operative Bank Somerville, MA............. 700 19,906
*Central Garden & Pet Co............................. 10,600 313,363
Central Hudson Gas & Electric Corp................... 10,500 458,719
Central Maine Power Co............................... 22,700 434,138
*Central Reserve Life Corp........................... 2,100 15,356
*Central Sprinkler Corp.............................. 4,000 37,000
Central Vermont Public Service Corp.................. 8,100 118,463
Centris Group, Inc................................... 11,400 149,625
*Centura Software Corp............................... 8,600 19,081
Century Aluminum Co.................................. 8,000 119,750
Century Bancorp Income Class A....................... 1,000 22,125
*#Century Business Services, Inc..................... 34,800 600,300
*Century Communications Corp. Class A................ 23,900 380,906
*Cephalon, Inc....................................... 20,100 212,306
*Ceradyne, Inc....................................... 6,900 36,225
Cerberonics, Inc. Class A............................ 200 1,863
*Cerion Technologies, Inc............................ 3,500 6,234
*Cerner Corp......................................... 19,700 503,581
*Cerprobe Corp....................................... 4,800 63,900
*Chad Therapeutics................................... 6,000 34,875
Champion Industries, Inc............................. 5,062 64,224
*Charles, JW Financial Services, Inc................. 1,300 13,244
*Charming Shoppes, Inc............................... 82,700 422,545
*Chart House Enterprises, Inc........................ 7,000 58,625
Chart Industries, Inc................................ 10,950 251,850
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Charter Federal Savings Bank (Escrow)............... 2,100 $ 0
Chartwell Re Corp.................................... 5,800 171,463
Chase Corp........................................... 2,300 33,350
*Chase Industries, Inc............................... 6,000 185,625
*Chattem, Inc........................................ 9,200 243,225
*Check Technology Corp............................... 3,100 14,531
*Checkers Drive-In Restaurant, Inc................... 12,000 14,063
*Checkmate Electronics, Inc.......................... 2,500 19,766
*#Checkpoint System, Inc............................. 23,700 417,713
*#Cheesecake Factory, Inc............................ 13,650 275,559
Chemed Corp.......................................... 5,900 217,194
*Chemfab Corp........................................ 5,850 133,453
Chemfirst, Inc....................................... 13,600 349,350
Chemical Financial Corp.............................. 6,486 269,980
*Chemtrak, Inc....................................... 4,400 1,856
*Cherry Corp. Class A................................ 3,000 51,375
*Cherry Corp. Class B................................ 1,800 31,163
*Chesapeake Biological Laboratories, Inc. Class A.... 1,200 8,625
#Chesapeake Energy Corp.............................. 81,770 352,637
Chesapeake Utilities Corp............................ 2,700 47,250
Chester Valley Bancorp............................... 288 9,252
Chic by His, Inc..................................... 9,800 82,075
Chicago Rivet & Machine Co........................... 200 6,550
*Chicos Fas, Inc..................................... 5,700 61,631
*Children's Comprehensive Services, Inc.............. 4,650 79,050
*#Childrens Broadcasting Corp........................ 3,700 11,794
*Childtime Learning Centers, Inc..................... 3,300 67,031
Chiquita Brands International, Inc................... 292 3,924
*Chirex, Inc......................................... 7,100 150,431
Chittenden Corp...................................... 10,666 397,309
*#Chock Full O' Nuts Corp............................ 10,130 76,608
*Cholestech Corp..................................... 6,700 85,634
*Christiana Companies, Inc........................... 9,000 351,563
*Chromcraft Revington, Inc........................... 1,700 64,706
*Chronimed, Inc...................................... 9,400 116,913
*Chrysalis International Corp........................ 9,100 15,498
Church & Dwight Co., Inc............................. 11,700 354,656
*Chyron Corp......................................... 19,600 75,950
*Cidco, Inc.......................................... 10,100 81,431
Cilcorp, Inc......................................... 8,200 361,313
*Cima Laboratories, Inc.............................. 6,500 25,289
*Ciprico, Inc........................................ 3,300 41,456
Circle International, Inc............................ 9,900 268,847
*Circon Corp......................................... 7,390 101,613
*Circuit Systems, Inc................................ 2,600 10,563
*Cirrus Logic, Inc................................... 39,900 397,753
*Citadel Holding Corp................................ 3,200 16,000
*Citation Computer System, Inc....................... 2,200 13,200
*Citation Corp....................................... 12,400 239,475
Citfed Bancorp, Inc.................................. 9,575 467,679
#Citizens Bancshares, Inc............................ 2,500 172,656
Citizens Banking Corp................................ 4,100 142,731
*Citizens, Inc. Class A.............................. 12,400 75,175
City Holding Co...................................... 3,242 141,432
*Civic Bancorp....................................... 2,835 52,625
Clarcor, Inc......................................... 13,350 307,050
*Claremont Technology Group, Inc..................... 9,000 178,875
*Clark (Dick) Productions, Inc....................... 3,360 62,370
*Clean Harbors, Inc.................................. 5,000 13,516
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Cleco Corp........................................... 13,500 $ 404,156
Cleveland Cliffs, Inc................................ 6,800 359,975
*Cliffs Drilling Co.................................. 9,300 383,625
*Clintrials Research, Inc............................ 15,900 86,953
*#Closure Medical Corp............................... 7,900 200,463
Coachmen Industries, Inc............................. 15,100 359,569
*Coast Distribution System........................... 4,000 15,500
Coastal Bancorp, Inc................................. 2,500 97,188
*Coastal Physician Group, Inc........................ 11,900 5,950
*Coastcast Corp...................................... 4,400 81,950
*Cobra Electronic Corp............................... 3,500 18,922
Coca-Cola Bottling Co. Consolidated.................. 5,200 325,813
*Cocensys, Inc....................................... 17,600 54,450
*Code-Alarm, Inc..................................... 800 1,850
*Coeur d'Alene Mines Corp. ID........................ 15,500 136,594
*Coffee People, Inc.................................. 3,000 10,125
*Cognitronics Corp................................... 2,500 35,313
*Coherent Communications Systems Corp................ 9,100 430,544
*#Coherent, Inc...................................... 13,600 313,650
*Coho Energy, Inc.................................... 17,900 148,234
*#Cohr, Inc.......................................... 3,800 27,194
Cohu, Inc............................................ 8,200 251,638
*#Coinmach Laundry Corp.............................. 7,000 171,063
*Cold Metal Products, Inc............................ 3,500 17,281
*Cole (Kenneth) Productions, Inc. Class A............ 5,700 130,744
*Cole National Corp. Class A......................... 9,700 376,481
*Coleman, Inc........................................ 1,400 26,950
Collagen Corp........................................ 4,800 93,900
*Collagenex Pharmaceuticals, Inc..................... 2,000 19,750
*Collins & Aikman Corp............................... 56,300 394,100
#Collins Industries, Inc............................. 6,500 33,922
#Colonial Gas Co..................................... 8,050 228,922
*Columbia Banking System, Inc........................ 4,879 121,378
*#Columbia Laboratories, Inc......................... 22,900 193,219
*Columbus Energy Corp................................ 1,787 13,291
Columbus McKinnon Corp............................... 7,400 215,294
*Comarco, Inc........................................ 3,400 72,781
*Comdial Corp........................................ 6,900 79,781
*Comforce Corp....................................... 13,877 135,301
Commerce Bancorp, Inc................................ 11,512 639,636
Commercial Bancshares, Inc........................... 1,433 35,646
Commercial Bank of New York.......................... 3,200 82,200
Commercial Intertech Corp............................ 8,100 153,900
Commercial Metals Co................................. 9,100 279,256
*#Commodore Applied Technologies, Inc................ 18,600 40,688
Commonwealth Bancorp, Inc............................ 10,300 243,659
Commonwealth Energy System........................... 12,900 490,200
Commonwealth Industries, Inc......................... 11,200 165,200
Communications Systems, Inc.......................... 8,100 142,763
Community Bank System, Inc........................... 4,500 152,719
Community Financial Corp............................. 1,200 24,525
Community First Bankshares, Inc...................... 3,024 73,994
*Community Medical Transport, Inc.................... 2,400 2,625
Community Savings Bankshares, Inc.................... 3,100 110,825
Community Trust Bancorp, Inc......................... 6,940 211,887
*#Comnet Corp........................................ 1,900 25,888
*Compdent Corp....................................... 8,100 118,463
*Competitive Technologies, Inc....................... 4,200 41,738
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Complete Management, Inc........................... 5,033 $ 33,973
*Comprehensive Care Corp............................. 2,500 25,313
*Comptek Research, Inc............................... 3,200 28,800
*Compucom Systems, Inc............................... 40,900 304,194
*#Computer Learning Centers, Inc..................... 9,600 164,700
*Computer Manangement Sciences, Inc.................. 7,900 185,156
*Computer Network Technology Corp.................... 18,300 97,791
*Computer Outsourcing Services, Inc.................. 1,900 18,644
Computer Task Group, Inc............................. 13,800 436,425
*Computrac, Inc...................................... 2,400 2,400
*Comshare, Inc....................................... 5,900 50,058
*Comstock Resources, Inc............................. 16,900 169,000
*Comtech Telecommunications Corp..................... 1,000 9,875
*Concentra Corp...................................... 2,700 11,981
*Concord Camera Corp................................. 7,500 47,109
*Concord Fabrics, Inc. Class A....................... 700 6,825
*Concurrent Computer Corp............................ 28,400 113,156
*Conductus, Inc...................................... 3,400 12,113
*Cone Mills Corp. NC................................. 17,900 172,288
*Congoleum Corp. Class A............................. 1,900 19,119
*Conmed Corp......................................... 11,575 246,330
Connecticut Energy Corp.............................. 6,700 194,719
Connecticut Water Services, Inc...................... 1,100 36,266
*Connitics Corp...................................... 9,100 36,969
*Consep, Inc......................................... 4,300 5,778
*Consilium, Inc...................................... 6,900 21,670
*Conso Products Co................................... 5,000 43,750
*Consolidated Delivery and Logistics, Inc............ 4,000 18,875
*Consolidated Freightways Corp....................... 13,200 195,525
*Consolidated Graphics, Inc.......................... 7,400 378,788
*Consolidated Products, Inc.......................... 13,561 268,677
*Consolidated Stainless, Inc......................... 2,200 722
Consolidated Tokoma Land Co.......................... 3,100 54,638
*#Consumer Portfolio Services, Inc................... 13,100 155,563
Consumers Water Co................................... 5,200 112,125
*Continental Can, Inc. DE............................ 1,200 44,100
*Continucare Corp.................................... 8,200 43,563
*Converse, Inc....................................... 13,900 69,500
Cooker Restaurant Corp............................... 7,200 75,600
*Cooper Companies, Inc............................... 10,300 406,850
*Cooperative Bankshares, Inc......................... 1,400 25,900
*Copart, Inc......................................... 10,500 187,031
*Copley Pharmaceutical, Inc.......................... 15,300 95,147
*Copytele, Inc....................................... 40,400 132,563
*Cor Therapeutics, Inc............................... 16,600 285,831
*Coram Healthcare Corp............................... 35,563 73,349
*Corcom, Inc......................................... 2,700 34,088
*Core Materials Corp................................. 7,700 38,500
*Core, Inc........................................... 4,300 44,209
*Cornell Corrections, Inc............................ 7,400 162,800
*Cornerstone Imaging, Inc............................ 3,600 26,325
*Correctional Services Corp.......................... 3,800 53,438
*Corrpro Companies, Inc.............................. 3,100 47,663
*Cort Business Services Corp......................... 11,400 446,025
*Cortech, Inc........................................ 7,200 3,713
Corus Bankshares, Inc................................ 8,900 374,078
*Corvas International, Inc........................... 9,200 40,538
*Corvel Corp......................................... 1,000 37,906
*Cosmetic Centers, Inc. Class C...................... 451 1,522
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Cost Plus, Inc...................................... 4,300 $ 127,656
*Costilla Energy, Inc................................ 6,200 66,456
*Cotelligent Group, Inc.............................. 8,100 163,013
Cotton States Life Insurance Co...................... 2,530 43,326
Courier Corp......................................... 800 29,400
*Covenant Transport, Inc. Class A.................... 6,100 99,125
*Coventry Health Care, Inc........................... 27,200 392,700
Covest Bancshares, Inc............................... 2,250 41,625
*Coyote Network Systems, Inc......................... 2,069 8,858
Craftmade International, Inc......................... 3,900 62,400
*#Craig (Jenny), Inc................................. 12,900 78,206
*Craig Corp.......................................... 2,400 31,200
*Craig Corp. Class A................................. 1,200 15,300
*Creative Biomolecules, Inc.......................... 25,100 149,423
*Creative Computers, Inc............................. 5,900 47,938
*Credence Systems Corp............................... 15,250 321,203
*#Credit Acceptance Corp............................. 36,900 381,684
*#Cree Research, Inc................................. 7,400 113,313
*Criticare Systems, Inc.............................. 4,500 13,781
Cross (A.T.) Co. Class A............................. 11,800 136,438
Cross Timbers Oil Co................................. 25,950 449,259
*Cross-Continent Auto Retailers, Inc................. 7,600 61,275
*Crossman Communities, Inc........................... 7,650 227,588
*Crowley, Milner & Co................................ 1,000 6,125
*Crown Books Corp.................................... 2,700 6,159
*Crown Central Petroleum Corp. Class A............... 2,200 32,313
*Crown Central Petroleum Corp. Class B............... 2,600 37,538
Crown Crafts, Inc.................................... 6,500 92,219
*Crown Resources Corp................................ 12,400 55,025
*Crown Vantage, Inc.................................. 6,800 69,700
*Crown-Andersen, Inc................................. 1,000 4,375
*Cryolife, Inc....................................... 7,700 127,050
*Crystal Oil Co...................................... 1,200 49,800
Cubic Corp........................................... 5,700 167,438
*#Cubist Pharmaceuticals, Inc........................ 6,300 31,894
*Cuisine Solutions, Inc.............................. 5,400 5,400
Culp, Inc............................................ 13,518 236,565
*Curative Health Services, Inc....................... 8,800 244,750
Curtiss-Wright Corp.................................. 6,000 250,500
*Cyanotech Corp...................................... 10,300 35,728
*#Cybercash, Inc..................................... 6,600 99,413
*#Cyberguard Corp.................................... 4,400 52,525
*Cybermedia, Inc..................................... 7,400 45,094
*#Cyberonics, Inc.................................... 11,200 127,400
*Cyberoptics Corp.................................... 2,700 45,984
*Cybex Corp.......................................... 5,850 134,550
*Cybex International, Inc............................ 5,900 59,738
*Cygnus, Inc......................................... 13,300 123,648
*Cypros Pharmaceutical Corp.......................... 12,400 59,675
*Cyrk, Inc........................................... 8,200 97,119
*Cytel Corp.......................................... 15,000 25,078
*#Cytogen Corp....................................... 40,825 39,549
*Cytotherapeutics, Inc............................... 13,200 25,369
*Cytrx Corp.......................................... 3,800 9,738
*Cytyc Corp.......................................... 12,800 214,800
D&N Financial Corp................................... 7,480 193,078
*DBT Online, Inc..................................... 1,380 30,878
*DDL Electronics, Inc................................ 6,500 4,469
*DII Group, Inc...................................... 20,900 392,528
*DIY Home Warehouse, Inc............................. 5,800 14,681
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*DM Management Co.................................... 3,800 $ 116,375
*DNAP Holding Corp................................... 1,270 5,596
*#DRS Technologies, Inc.............................. 2,500 35,625
*DSP Communications, Inc............................. 30,100 553,088
*DSP Group, Inc...................................... 5,800 113,100
*DSP Technology, Inc................................. 800 6,825
DT Industries, Inc................................... 6,800 199,325
*DVI, Inc............................................ 6,600 140,663
*Dailey International, Inc........................... 3,100 21,313
*Daily Journal Corp.................................. 200 7,950
Dain Rauscher Corp................................... 9,800 556,150
*Dairy Mart Convenience Stores, Inc. Class A......... 1,600 6,800
*Daisytek International Corp......................... 9,600 244,200
*Dakotah, Inc........................................ 1,800 1,547
*Damark International, Inc. Class A.................. 4,200 41,738
Dames & Moore, Inc................................... 12,900 166,894
*Dan River, Inc. (GA) Class A........................ 10,000 191,250
Daniel Industries, Inc............................... 11,660 236,844
*Darling International, Inc.......................... 7,500 54,375
*Data Broadcasting Corp.............................. 27,445 184,396
*#Data Dimensions, Inc............................... 9,600 136,500
*Data I/O Corp....................................... 4,900 23,275
*Data Processing Resources Corp...................... 6,500 189,109
*#Data Race, Inc..................................... 3,400 3,506
Data Research Association, Inc....................... 3,200 58,800
*Data Systems & Software, Inc........................ 3,700 20,581
*Data Systems Network Corp........................... 165 521
*Data Translation, Inc............................... 1,450 2,764
*Data Transmission Network Corp...................... 8,200 314,675
*Dataflex Corp....................................... 2,800 11,156
*Datakey, Inc........................................ 1,000 5,688
*Datamarine International, Inc....................... 200 925
*Datametrics Corp.................................... 4,800 10,800
*Datapoint Corp...................................... 12,400 25,575
*Dataram Corp........................................ 1,400 16,975
*Datascope Corp...................................... 10,000 279,063
*Datastream Systems, Inc............................. 11,300 240,125
*Dataware Technologies, Inc.......................... 7,400 23,819
*Datawatch Corp...................................... 4,600 9,488
*Dataworks Corp...................................... 9,674 177,155
*Datron Systems, Inc................................. 2,100 16,013
*#Datum, Inc......................................... 3,900 57,647
*Dave and Busters, Inc............................... 9,100 205,603
*Davel Communications Group, Inc..................... 2,500 61,563
*Davox Corp.......................................... 6,850 126,297
*#Daw Technologies, Inc.............................. 7,400 21,044
*Dawson Geophysical Co............................... 2,500 39,922
*Dawson Production Services, Inc..................... 1,000 11,188
*Daxor Corp.......................................... 3,400 46,325
*Day Runner, Inc..................................... 6,400 140,800
*Dayton Superior Corp. Class A....................... 5,100 91,800
Deb Shops, Inc....................................... 9,800 77,175
*Deckers Outdoor Corp................................ 4,800 34,500
Decorator Industries, Inc............................ 1,250 15,469
*Deeptech International, Inc......................... 12,200 174,994
Defiance, Inc........................................ 7,600 65,550
*Del Global Technologies Corp........................ 4,483 50,994
Del Laboratories, Inc................................ 16,117 469,408
*Delia's, Inc........................................ 7,800 182,813
*Delphi Financial Group, Inc. Class A................ 1,622 88,095
*#Delta Financial Corp............................... 4,500 79,313
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Delta Natural Gas Co., Inc........................... 1,400 $ 24,063
Delta Woodside Industries, Inc....................... 17,700 105,094
Deltic Timber Corp................................... 10,000 276,875
*Denamerica Corp..................................... 7,200 21,150
*Dendrite International, Inc......................... 8,900 269,225
*Dense-Pac Microsystems, Inc......................... 13,700 30,183
*Department 56, Inc.................................. 12,500 458,594
*Depotech Corp....................................... 9,200 15,381
*Designs, Inc........................................ 14,800 22,663
*Detection Systems, Inc.............................. 3,800 38,713
*Detrex Corp......................................... 500 6,531
*#Detroit Diesel Corp................................ 19,300 472,850
*Devcon International Corp........................... 2,000 6,250
*Devlieg-Bullard, Inc................................ 9,500 24,641
*Dewolfe Companies, Inc.............................. 200 1,425
*Diagnostic Health Services, Inc..................... 8,000 72,500
Diagnostic Products Corp............................. 8,100 251,100
*Dialogic Corp....................................... 10,300 338,613
*Diametrics Medical, Inc............................. 16,600 117,238
*Diamond Home Services, Inc.......................... 7,300 40,492
*Diamond Multimedia Systems, Inc..................... 23,000 176,813
*Dianon Systems, Inc................................. 3,400 31,663
*Diatide, Inc........................................ 6,300 50,400
*Digene Corp......................................... 9,100 75,644
*Digi International, Inc............................. 8,000 182,750
*Digital Biometrics, Inc............................. 6,800 11,581
*Digital Communications Technology Corp.............. 252 79
*Digital Generation Systems, Inc..................... 8,500 33,469
*Digital Link Corp................................... 8,900 78,431
*Digital Microwave Corp.............................. 29,400 284,353
*Digital Power Corp.................................. 1,000 5,000
Dime Community Bancorp, Inc.......................... 7,600 218,738
Dime Financial Corp.................................. 2,300 81,075
Dimon, Inc........................................... 26,800 361,800
*Diodes, Inc......................................... 2,500 20,313
*Dionex Corp......................................... 7,200 373,050
*Discount Auto Parts, Inc............................ 11,300 290,269
*#Diversified Corporate Resources, Inc............... 1,100 13,681
Dixie Group, Inc..................................... 6,700 85,844
*Dixon Ticonderoga Co................................ 1,700 22,525
*Documentum, Inc..................................... 9,900 466,538
*Dominion Bridge Corp................................ 7,300 9,011
*Dominion Homes, Inc................................. 3,100 39,525
Donegal Group, Inc................................... 2,400 63,450
*Donna Karan International, Inc...................... 13,000 182,000
*Donnelley Enterprise Solutions, Inc................. 3,000 62,250
Donnelly Corp. Class A............................... 5,875 129,984
*Donnkenny, Inc...................................... 11,300 38,491
*Dorsey Trailers, Inc................................ 3,000 10,313
#Dover Downs Entertainment, Inc...................... 1,000 29,813
Downey Financial Corp................................ 18,676 618,643
*Dravo Corp.......................................... 11,800 132,750
*Dress Barn, Inc..................................... 16,100 469,919
*Drew Industries, Inc................................ 9,400 138,650
*Drexler Technology Corp............................. 7,100 105,169
Dreyer's Grand Ice Cream, Inc........................ 16,400 415,638
*Drug Emporium, Inc.................................. 10,500 41,016
*Drypers Corp........................................ 2,500 17,969
*DuPont Photomasks, Inc.............................. 9,100 387,603
*Duckwall-Alco Stores, Inc........................... 2,800 50,750
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Ducommun, Inc....................................... 3,600 $ 115,650
Duff & Phelps Credit Rating Co....................... 3,200 184,000
*Dura Automotive Systems, Inc........................ 2,300 84,381
*Durakon Industries, Inc............................. 5,200 54,925
*#Duramed Pharmaceuticals, Inc....................... 11,800 65,822
*Dwyer Group, Inc.................................... 4,100 9,994
*Dycom Industries, Inc............................... 10,800 309,150
Dyersburg Corp....................................... 9,300 65,681
*Dynamic Healthcare Technologies, Inc................ 13,700 22,048
*Dynamic Materials Corp.............................. 700 6,081
*Dynamics Research Corp.............................. 4,977 58,791
*Dynatech Corp....................................... 5,100 20,400
E'town Corp.......................................... 4,000 138,000
*E-Z-Em, Inc. Class A................................ 2,000 14,000
*E-Z-Em, Inc. Class B................................ 4,462 26,214
*#E. Spire Communications, Inc....................... 25,900 418,447
*EA Engineering Science & Technology, Inc............ 5,625 18,633
*#EA Industries, Inc................................. 8,600 31,175
*ECC International Corp.............................. 7,300 25,094
*ECCS, Inc........................................... 1,700 5,472
*EFI Electronics Corp................................ 800 1,338
*EFTC Corp........................................... 9,000 132,750
*EIS International, Inc.............................. 9,100 52,894
*ELXSI Corp.......................................... 1,800 23,288
EMC Insurance Group, Inc............................. 5,900 89,238
*ERLY Industries, Inc................................ 2,791 8,024
*ESCO Electronics Corp. Trust Receipts............... 10,100 181,169
ESELCO, Inc.......................................... 218 9,592
*ESSEF Corp.......................................... 7,744 145,200
*EZ Serve Corp....................................... 17,000 7,438
Eagle Bancshares, Inc................................ 3,400 79,050
*#Eagle Finance Corp................................. 2,100 689
*Eagle Food Centers, Inc............................. 10,300 43,131
*Eagle Hardware & Garden, Inc........................ 19,400 353,444
*Eagle Point Software Corp........................... 4,500 31,219
*Eagle USA Airfreight, Inc........................... 10,000 325,625
Easco, Inc........................................... 8,200 107,625
*East/West Communications, Inc....................... 2,200 4,400
Eastern Co........................................... 3,300 88,069
*Eastern Environment Services, Inc................... 13,400 380,225
Eastern Utilities Associates......................... 12,300 312,113
*Eateries, Inc....................................... 1,500 11,391
Eaton Vance Corp..................................... 11,100 498,806
*Eclipse Surgical Technologies, Inc.................. 3,300 35,372
*Ecogen, Inc......................................... 4,340 11,664
Ecology & Environment, Inc. Class A.................. 900 8,775
*Edelbrock Corp...................................... 3,600 67,050
*Edison Control Corp................................. 1,000 7,625
Edo Corp............................................. 4,200 39,113
*Education Management Corp........................... 8,700 304,228
Educational Development Corp......................... 1,800 8,213
*Educational Insights, Inc........................... 2,700 5,569
*Educational Medical, Inc............................ 4,400 44,275
*Effective Management Systems, Inc................... 1,400 7,875
*Egghead, Inc........................................ 18,400 147,775
*#Einstein/Noah Bagel Corp........................... 19,900 95,147
*Ekco Group, Inc..................................... 13,100 103,163
*El Paso Electric Co................................. 20,000 190,000
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Elantec Semiconductor, Inc.......................... 5,400 $ 37,463
*Elcom International, Inc............................ 14,100 57,722
Elcor Corp........................................... 10,950 290,175
*Elcotel, Inc........................................ 10,500 55,453
*Electric Fuel Corp.................................. 11,400 32,775
*Electro Rent Corp................................... 16,800 403,200
*Electro Scientific Industries, Inc.................. 7,000 234,938
*Electroglas, Inc.................................... 15,600 213,525
*Electromagnetic Sciences, Inc....................... 9,000 193,781
*Electronic Retailing System International, Inc...... 2,300 8,913
Electronic Tele Communications, Inc. Class A......... 1,000 1,688
Ellett Brothers, Inc................................. 4,000 20,500
*Eltron International, Inc........................... 4,000 89,000
*Embrex, Inc......................................... 6,500 39,203
*Emcee Broadcast Products, Inc....................... 2,000 6,313
*Emcon............................................... 6,700 29,731
*Emcor Group, Inc.................................... 5,900 117,078
*Emergent Group, Inc................................. 7,700 38,981
*Emerging Communications, Inc........................ 7,400 66,138
*Emeritus Corp....................................... 12,500 135,938
*Emerson Radio Corp.................................. 16,100 8,050
*#Emisphere Technologies, Inc........................ 8,600 137,600
*Emmis Broadcasting Corp. Class A.................... 4,200 186,244
*Empi, Inc........................................... 4,200 72,975
Empire District Electric Co.......................... 11,900 243,206
*#Empire of Carolina, Inc............................ 4,400 4,675
*Employee Solutions, Inc. Class B.................... 24,100 97,530
*Emulex Corp......................................... 4,250 31,078
*En Pointe Technologies, Inc......................... 3,000 18,797
*#Enamelon, Inc...................................... 6,000 60,563
*Encad, Inc.......................................... 6,700 70,559
*Encore Computer Corp................................ 14,700 4,043
*Encore Wire Corp.................................... 6,550 202,845
*Endosonics Corp..................................... 13,700 82,628
Energen Corp......................................... 18,400 373,750
*#Energy Biosystems Corp............................. 7,100 15,088
*Energy Research Corp................................ 2,000 42,250
Energy West, Inc..................................... 200 1,731
Energynorth, Inc..................................... 3,000 80,250
Energysouth, Inc..................................... 3,000 64,125
Enesco Group, Inc.................................... 10,500 320,906
Engineered Support Systems, Inc...................... 1,200 35,925
*Engineering Measurements Co......................... 1,000 5,313
Engle Homes, Inc..................................... 6,800 97,325
*#Enlighten Software Solutions, Inc.................. 1,100 3,884
Ennis Business Forms, Inc............................ 14,000 154,000
*Enstar, Inc......................................... 1,300 8,938
*#Entremed, Inc...................................... 7,300 209,191
*Envirogen, Inc...................................... 3,700 6,764
*Environmental Elements Corp......................... 4,200 17,063
*Environmental Technologies Corp..................... 3,700 23,934
*Environmental Tectonics Corp........................ 1,500 15,750
*Envirotest Systems Corp. Class A.................... 9,700 157,625
*#Envoy Corp......................................... 11,600 510,400
*Enzo Biochem, Inc................................... 17,440 226,720
*Enzon, Inc.......................................... 23,400 125,044
*Epitope, Inc........................................ 10,200 57,375
*Equalnet Holding Corp............................... 3,800 9,619
*Equimed, Inc........................................ 2,250 25,875
*Equinox Systems, Inc................................ 1,900 45,125
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Equitex, Inc........................................ 1,200 $ 3,750
*Equitrac Corp....................................... 1,300 25,431
*#Equity Corp. International......................... 16,500 391,875
*Equity Marketing, Inc............................... 2,800 58,625
*Equity Oil Co....................................... 10,200 22,313
*Ergo Science Corp................................... 7,800 35,831
Eskimo Pie Corp...................................... 2,000 28,500
Espey Manufacturing & Electronics Corp............... 400 5,825
Essex County Gas Co.................................. 800 35,400
*Esterline Technologies Corp......................... 9,000 193,500
Ethyl Corp........................................... 49,700 351,006
*Evans & Sutherland Computer Corp.................... 5,500 138,359
*Evans Systems, Inc.................................. 1,050 1,641
*Evans, Inc.......................................... 1,000 938
Everen Capital Corp. Class A......................... 4,300 222,256
Evergreen Bancorp, Inc. DE........................... 5,500 143,344
*Evergreen Resources, Inc............................ 5,600 101,150
*Exabyte Corp........................................ 17,900 175,644
*Exar Corp........................................... 5,900 136,622
*Excalibur Technologies Corp......................... 12,500 137,500
Excel Industries, Inc................................ 10,300 204,713
*Excel Technology, Inc............................... 7,300 73,684
Executive Risk, Inc.................................. 6,800 427,975
*Executive Telecard, Ltd............................. 10,800 29,869
*Executone Information Systems, Inc.................. 28,800 62,550
Exide Corp........................................... 14,900 269,131
*#Exogen, Inc........................................ 9,400 37,013
Expeditors International of Washington............... 3,800 152,356
*Expert Software, Inc................................ 5,500 24,063
*Exponent, Inc....................................... 4,300 39,775
*Ezcorp, Inc. Class A Non-Voting..................... 6,300 67,528
F & M Bancorp (MD)................................... 3,590 141,356
F & M Bancorporation, Inc............................ 3,410 139,277
F & M National Corp.................................. 12,200 359,138
FBL Financial Group, Inc. Class A.................... 20,000 561,250
FCB Financial Corp................................... 2,000 64,500
FCNB Corp............................................ 3,508 113,572
FDP Corp............................................. 3,250 40,016
*FEI Co.............................................. 10,800 96,356
FFLC Bancorp......................................... 2,000 40,375
FFY Financial Corp................................... 2,500 82,813
*FLIR Systems, Inc................................... 2,700 50,203
FNB Rochester Corp................................... 1,400 28,613
*FPA Corp............................................ 2,000 4,625
*#FPA Medical Management, Inc........................ 26,848 118,719
*FRP Properties, Inc................................. 2,500 82,500
FSF Financial Corp................................... 1,800 34,875
*FSI International, Inc.............................. 13,500 153,984
*FTP Software, Inc................................... 22,600 60,031
Fab Industries, Inc.................................. 4,500 122,063
*Fabri-Centers of America, Inc. Class A.............. 4,500 132,750
*Fabri-Centers of America, Inc. Class B.............. 3,400 87,763
*Factory Card Outlet Corp............................ 4,300 33,325
*Factset Research Systems, Inc....................... 2,000 64,875
Fair, Isaac & Co., Inc............................... 8,100 294,131
*Fairchild Corp. Class A............................. 13,500 267,469
Falcon Products, Inc................................. 5,800 75,400
*#Family Golf Centers, Inc........................... 10,650 279,563
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Fansteel, Inc....................................... 5,700 $ 50,588
*Farah, Inc.......................................... 9,100 80,763
Farmer Brothers Co................................... 200 39,644
*Farr Co............................................. 4,150 81,963
Farrel Corp.......................................... 3,400 11,263
*#Fastcomm Communications Corp....................... 5,900 9,127
*Faxsav, Inc......................................... 5,900 23,231
*Featherlite Manufacturing, Inc...................... 3,100 35,359
Fed One Bancorp...................................... 600 22,500
Fedders Corp......................................... 13,200 82,500
Fedders Corp. Class A................................ 7,700 46,200
Federal Screw Works.................................. 1,800 96,975
*#Female Health Co................................... 5,200 16,575
*Ferrofluidics Corp.................................. 3,031 13,450
*Fibermark, Inc...................................... 6,100 118,188
*Fiberstars, Inc..................................... 2,000 10,500
Fidelity Bancorp, Inc. Delaware...................... 1,300 31,363
Fidelity Federal Bancorp............................. 1,100 8,250
#Fidelity National Financial, Inc.................... 14,536 485,139
*Filenes Basement Corp............................... 17,400 107,663
*Filenet Corp........................................ 9,100 500,784
Financial Bancorp., Inc.............................. 1,000 27,125
*Financial Federal Corp.............................. 10,725 251,367
*Finish Line, Inc. Class A........................... 12,600 298,463
*Finishmaster, Inc................................... 3,000 31,313
First Albany Companies, Inc.......................... 2,287 33,304
First American Financial Corp........................ 10,350 746,494
*First American Health Concepts, Inc................. 1,100 5,225
First Bancorp........................................ 400 13,400
First Bell Bancorp, Inc.............................. 3,300 67,444
*First Cash, Inc..................................... 3,400 38,569
*First Central Financial Corp........................ 9,300 51
First Charter Corp................................... 4,480 106,960
First Coastal Bankshares, Inc........................ 3,000 52,313
First Colorado Bancorp............................... 10,055 287,196
First Commonwealth Financial Corp.................... 13,300 375,725
First Defiance Financial Corp........................ 4,959 76,710
*#First Enterprise Financial Group, Inc.............. 2,000 94
First Essex Bancorp.................................. 3,700 83,944
First Federal Capital Corp........................... 6,450 222,525
First Federal Savings & Loan Association of East
Hartford, CT....................................... 2,000 73,500
First Financial Bancorp.............................. 4,480 258,580
First Financial Bankshares, Inc...................... 5,012 202,673
First Financial Holdings, Inc........................ 8,600 196,456
First Franklin Corp.................................. 300 5,325
First Georgia Holdings, Inc.......................... 450 6,272
First Home Bancorp, Inc. NJ.......................... 266 8,296
First Indiana Corp................................... 9,657 238,105
*First Investors Financial Services Group, Inc....... 2,500 18,750
First Keystone Financial, Inc........................ 1,000 19,250
First Liberty Financial Corp......................... 7,950 189,806
*#First Merchants Acceptance Corp.................... 3,300 33
First Merchants Corp................................. 3,300 134,063
First Midwest Bancorp, Inc........................... 11,575 531,365
First Midwest Financial, Inc......................... 1,400 33,338
First Mutual Bancorp, Inc............................ 2,200 38,088
First Mutual Savings Bank............................ 2,335 39,695
First Northern Capital Corp.......................... 5,300 72,875
First Oak Brook Bancshares, Inc. Class A............. 700 33,513
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
First Palm Beach Bancorp, Inc........................ 3,000 $ 131,625
*First Republic Bank................................. 7,000 232,750
First Savings Bancorp, Inc. North Carolina........... 2,400 56,850
First Savings Bank................................... 7,400 188,931
First Source Corp.................................... 10,487 379,498
*First Team Sports, Inc.............................. 2,900 7,159
First Western Bancorp, Inc........................... 8,025 248,273
First Years, Inc..................................... 2,200 71,913
Firstbank of Illinois Co............................. 9,300 393,797
*FirstFed Financial Corp. DE......................... 7,400 363,063
FirstFederal Financial Services Corp................. 3,502 108,796
*Firstmerit Corp..................................... 272 7,633
*Firstwave Technologies, Inc......................... 2,500 12,031
*Fischer Imaging Corp................................ 4,400 19,250
*Fisher Scientific, International, Inc............... 12,000 159,750
Flag Financial Corp.................................. 800 18,750
Flamemaster Corp..................................... 247 1,328
*Flander Corp........................................ 19,900 105,097
Fleming Companies, Inc............................... 22,700 432,719
Flexsteel Industries, Inc............................ 6,200 80,213
*Florida Panthers Holdings, Inc. Class A............. 18,000 348,750
Florida Public Utilities Co.......................... 500 12,813
Florida Rock Industries, Inc......................... 11,200 348,600
*Florsheim Group, Inc................................ 4,300 39,775
*Flow International Corp............................. 13,800 166,463
Fluke Corp........................................... 12,600 404,775
*Fluor Daniel/GTI, Inc............................... 1,265 9,250
Flushing Financial Corp.............................. 4,800 128,400
Foamex International, Inc............................ 20,500 316,469
*Foilmark, Inc....................................... 1,600 5,300
*Foodarama Supermarkets, Inc......................... 600 20,625
*Foodmaker, Inc...................................... 29,900 504,563
*Foothill Independent Bancorp........................ 2,947 53,046
*Forcenergy, Inc..................................... 14,716 274,086
Foremost Corp. of America............................ 16,600 408,775
*Forensic Technologies International Corp............ 3,000 50,250
Forest City Enterprises, Inc. Class A................ 3,900 219,863
Forest City Enterprises, Inc. Class B................ 1,950 109,992
*Forest Oil Corp..................................... 25,440 365,700
*Forte Software, Inc................................. 15,500 79,438
*Fortune Natural Resources Corp...................... 6,100 8,769
*Fossil, Inc......................................... 12,000 231,375
*Foster (L.B.) Co. Class A........................... 20,900 109,725
*Fountain Oil, Inc................................... 14,000 12,688
*Fountain Powerboat Industries, Inc.................. 2,800 28,525
*Four Kids Entertainment, Inc........................ 1,100 8,731
*Four Media Co....................................... 4,600 36,944
*Fourth Shift Corp................................... 5,800 19,484
Frankfort First Bancorp, Inc......................... 850 13,919
Franklin Bank National Associaton Southfield, MI..... 1,389 23,439
*Franklin Covey Co................................... 17,000 340,000
Franklin Electric Co., Inc........................... 3,200 218,000
*Franklin Electronic Publishers, Inc................. 6,500 69,875
Freds, Inc. Class A.................................. 9,500 223,250
*Freeport McMoran Sulpher, Inc....................... 1,690 23,449
*French Fragrances, Inc.............................. 8,100 138,966
Frequency Electronics, Inc........................... 6,250 98,438
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Fresh America Corp.................................. 1,400 $ 27,825
*Fresh Choice, Inc................................... 3,900 14,991
*Friedman Billings Ramsey Group, Inc. Class A........ 8,100 127,069
Friedman Industries, Inc............................. 7,162 47,449
*Friedmans, Inc. Class A............................. 10,500 207,375
Frisch's Restaurants, Inc............................ 13,983 166,922
*Fritz Companies, Inc................................ 25,000 325,000
Frontier Adjusters of America, Inc................... 1,000 2,438
#Frontier Insurance Group, Inc....................... 10,900 267,050
*Frontier Oil Corp................................... 22,400 186,200
Frozen Food Express Industries, Inc.................. 11,707 114,875
*#Fuisz Technologies, Ltd............................ 17,700 209,081
Fuller (H.B.) Co..................................... 8,500 533,375
Fulton Financial Corp................................ 3,660 95,961
*Funco, Inc.......................................... 4,200 68,250
Fund American Enterprises Holdings, Inc.............. 3,200 469,000
Furon Co............................................. 12,800 204,000
*Fusion Medical Technologies, Inc.................... 4,200 17,063
G & K Services, Inc. Class A......................... 11,400 442,463
*G-III Apparel Group, Ltd............................ 3,200 19,300
GA Financial, Inc.................................... 4,700 95,763
GBC Bancorp.......................................... 9,200 262,488
*GC Companies, Inc................................... 3,900 194,513
*GKN Holding Corp.................................... 5,600 16,450
*GNI Group, Inc...................................... 2,400 15,825
*GP Strategies Corp.................................. 6,580 101,990
*GRC International, Inc.............................. 9,100 72,800
*GT Bicycles, Inc.................................... 5,900 33,648
*GTI Corp............................................ 5,300 14,658
*GTS Duratek, Inc.................................... 8,900 104,019
*GZA Geoenvironmental Technologies, Inc.............. 1,700 8,819
*Gadzooks, Inc....................................... 5,200 145,113
Gainsco, Inc......................................... 17,700 129,431
*Galey & Lord, Inc................................... 8,300 205,425
*Galileo Corp........................................ 4,400 62,975
Gallagher (Arthur J.) & Co........................... 13,100 564,938
*Galoob Toys, Inc. DE................................ 14,500 160,406
Gamma Biologicals, Inc............................... 5,500 25,438
*Gantos, Inc......................................... 4,550 6,470
Garan, Inc........................................... 3,042 84,035
*Garden Botanika, Inc................................ 5,700 6,234
*Garden Fresh Restaurant Corp........................ 2,500 44,844
*Garden Ridge Corp................................... 10,800 188,325
*#Gardenburger, Inc.................................. 4,300 46,763
*Gardner Denver Machinery, Inc....................... 11,700 316,631
*#Gargoyles, Inc..................................... 4,500 7,453
*Gart Sports Co...................................... 676 10,563
*Gasonics International, Inc......................... 12,150 124,917
*#Gatefield Corp..................................... 11,400 17,991
*Gaylord Container Corp. Class A..................... 42,000 351,750
*#Geerling & Wade, Inc............................... 1,600 7,950
*Gehl Co............................................. 3,100 57,156
*Geltex Pharmaceuticals, Inc......................... 9,900 228,009
Gencor Industries, Inc............................... 3,600 81,900
*Genelabs Technologies, Inc.......................... 31,500 105,328
*Genemedicine, Inc................................... 11,500 40,609
*General Acceptance Corp............................. 1,800 1,406
General Binding Corp................................. 7,900 267,366
General Chemical Group, Inc.......................... 7,800 198,900
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
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<S> <C> <C>
*General Cigar Holdings, Inc. Class A................ 5,400 $ 53,663
*General Cigar Holdings, Inc. Class B................ 9,780 97,189
*General Communications, Inc. Class A................ 42,200 252,541
*#General Datacomm Industries, Inc................... 12,200 55,663
General Employment Enterprises, Inc.................. 1,950 24,375
General Housewares Corp.............................. 2,300 23,072
*#General Magic, Inc................................. 16,100 170,056
General Magnaplate Corp.............................. 400 2,713
*General Scanning, Inc............................... 8,500 130,156
*General Semiconductor, Inc.......................... 22,200 299,700
*General Surgical Innovations, Inc................... 10,600 45,050
*Genesco, Inc........................................ 20,800 267,800
Genesee Corp. Class B................................ 200 6,550
*Geneva Steel Co. Class A............................ 11,900 40,906
*Genicom Corp........................................ 8,800 70,675
*Genlyte Group, Inc.................................. 8,900 235,850
*Genome Therapeutics Corp............................ 16,900 110,378
Genovese Drug Stores, Inc. Class A................... 4,312 85,701
*Genrad, Inc......................................... 18,500 323,750
*Gensia Sicor, Inc................................... 61,400 257,113
*Gensym Corp......................................... 5,300 31,552
*Gentex Corp......................................... 13,700 500,478
*#Genus, Inc......................................... 13,400 18,006
*Genzyme Transgenics Corp............................ 13,900 133,788
Geon Co.............................................. 14,000 302,750
*Geoscience Corp..................................... 3,000 38,250
*#Geotek Communications, Inc......................... 52,800 20,625
*Geotel Communications Corp.......................... 7,900 214,781
*Geoworks............................................ 12,400 56,963
Gerber Scientific, Inc............................... 18,600 468,488
*Geron Corp.......................................... 6,500 71,703
*Getchell Gold Corp.................................. 16,100 305,900
*Getty Petroleum Marketing, Inc...................... 12,100 71,088
Getty Realty Corp. (Holding Co.)..................... 9,400 205,038
*Giant Cement Holding, Inc........................... 7,900 204,166
*Giant Group, Ltd.................................... 2,200 14,988
Giant Industries, Inc................................ 8,200 154,263
*Gibraltar Packaging Group, Inc...................... 3,000 9,000
*Gibraltar Steel Corp................................ 11,100 241,772
*Gibson Greetings, Inc............................... 11,600 278,400
*Giga-Tronics, Inc................................... 1,600 8,925
*Gish Biomedical, Inc................................ 1,300 4,794
Glacier Bancorp, Inc................................. 2,313 63,608
*Glacier Water Services, Inc......................... 1,200 35,400
Glatfelter (P.H.) Co................................. 16,400 267,525
Gleason Corp......................................... 8,000 236,500
*Glenayre Technologies, Inc.......................... 36,300 556,978
*#Gliatech, Inc...................................... 6,700 123,950
*Global Direct Mail Corp............................. 32,900 678,563
*Global Industrial Technologies, Inc................. 16,800 284,550
*Global Motorsport Group, Inc........................ 2,600 55,413
*#Global Payment Technologies, Inc................... 3,300 39,394
*#Global Village Communication, Inc.................. 8,900 8,900
*Globalink, Inc...................................... 5,500 15,813
*Globe Business Resources, Inc....................... 2,700 38,813
*Go Video, Inc....................................... 6,100 17,919
*#Golden Bear Golf, Inc.............................. 1,400 9,800
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Golden Books Family Entertainment, Inc.............. 18,500 $ 149,445
Golden Enterprises, Inc.............................. 7,800 49,238
*Golden State Bancorp, Inc........................... 3,405 130,454
*Good Guys, Inc...................................... 9,700 123,675
GoodMark Foods, Inc.................................. 6,300 144,506
*Goodys Family Clothing.............................. 11,500 553,078
Gorman-Rupp Co....................................... 5,175 98,972
*Gottschalks, Inc.................................... 8,400 69,825
*Government Technology Services, Inc................. 3,200 16,000
Graco, Inc........................................... 15,300 529,763
*Gradall Industries, Inc............................. 5,400 81,338
*Gradco Systems, Inc................................. 5,875 37,270
*Graham Corp......................................... 1,000 16,875
*Graham-Field Health Products, Inc................... 27,760 163,090
*Grand Casinos, Inc.................................. 28,400 498,775
Grand Premier Financial, Inc......................... 12,001 201,017
Granite Construction, Inc............................ 13,050 368,663
Granite State Bankshares, Inc........................ 2,800 71,750
Gray Communications Systems, Inc..................... 1,600 47,600
Great Southern Bancorp, Inc.......................... 4,200 108,413
*Great Train Store Co., Inc.......................... 2,600 8,125
*Greate Bay Casino Corp.............................. 4,467 3,978
Greater Bay Bancorp.................................. 1,758 60,212
Green (A.P.) Industries, Inc......................... 11,100 241,425
*Green Mountain Coffee, Inc.......................... 1,700 10,200
Green Mountain Power Corp............................ 2,500 40,469
*Greenbriar Corp..................................... 3,960 36,135
Greenbrier Companies, Inc............................ 10,000 180,000
Grey Advertising, Inc................................ 200 88,600
*Grey Wolf, Inc...................................... 33,500 129,813
*Greyhound Lines, Inc................................ 47,500 296,875
*Griffin Land & Nurseries, Inc. Class A.............. 2,200 35,888
*Griffon Corp........................................ 51,500 714,563
*Gristede's Sloans, Inc.............................. 1,200 4,800
*Group 1 Software, Inc............................... 3,000 43,875
*Grow Biz International, Inc......................... 3,800 49,875
*Grubb & Ellis Co.................................... 14,300 171,600
*Gryphon Holdings, Inc............................... 5,400 95,513
Guarantee Life Companies, Inc........................ 7,400 199,800
*Guess, Inc.......................................... 31,850 169,203
*Guest Supply, Inc................................... 4,300 65,038
Guilford Mills, Inc.................................. 18,050 487,350
*Guilford Pharmaceuticals, Inc....................... 11,600 210,975
*Gulfmark Offshore, Inc.............................. 5,500 151,938
*Gulfport Energy Corp................................ 1,079 1,619
*Gull Laboratories, Inc.............................. 4,000 22,000
*#Gumtech International, Inc......................... 3,500 19,688
*Gundle/SLT Environmental, Inc....................... 13,700 70,213
*Gymboree Corp....................................... 18,600 291,788
*HCIA, Inc........................................... 9,500 77,188
*HD Vest, Inc........................................ 2,200 19,800
*HEI, Inc............................................ 2,000 12,438
HF Financial Corp.................................... 1,200 42,900
*HMI Industries, Inc................................. 5,400 23,288
*HMN Financial, Inc.................................. 3,300 60,534
*HMT Technology Corp................................. 28,000 326,375
*HPSC, Inc........................................... 2,100 15,881
*HS Resources, Inc................................... 10,200 147,263
#HUBCO, Inc.......................................... 18,665 657,358
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Ha-Lo Industries, Inc............................... 17,100 $ 529,031
Hach Co.............................................. 5,725 54,298
Hach Co. Class A..................................... 5,725 54,745
*Hadco Corp.......................................... 7,800 250,819
*Haemonetics Corp.................................... 21,100 321,775
Haggar Corp.......................................... 4,300 59,663
*Hahn Automotive Warehouse, Inc...................... 2,163 12,437
*Hain Food Group, Inc................................ 6,800 153,213
Halifax Corp......................................... 1,000 8,125
*Hallmark Capital Corp............................... 1,000 14,625
*#Halsey Drug Co., Inc............................... 12,200 30,500
*Halter Marine Group, Inc............................ 17,100 320,625
*Hammons (John Q.) Hotels, Inc. Class A.............. 3,800 28,738
*Hampshire Group, Ltd................................ 1,400 32,200
*Hampton Industries, Inc............................. 2,640 17,490
Hancock Fabrics, Inc................................. 15,700 208,025
Hancock Holding Co................................... 6,805 382,781
*Handleman Co........................................ 25,600 313,600
*Hanger Orthopedic Group, Inc........................ 10,700 207,313
*Hanover Compressor Co............................... 5,000 129,688
*Hanover Direct, Inc................................. 62,000 209,250
Harbor Federal Bancorp, Inc.......................... 700 16,538
*Harding Lawson Associates Group, Inc................ 5,000 49,531
Hardinge Brothers, Inc............................... 3,900 154,050
*#Harken Energy Corp................................. 90,100 484,288
Harland (John H.) Co................................. 26,000 466,375
Harleysville Group, Inc.............................. 17,300 417,903
Harleysville National Corp PA........................ 4,235 173,503
Harman International Industries, Inc................. 11,200 476,700
Harmon Industries, Inc............................... 6,450 151,172
*Harmonic Lightwaves, Inc............................ 9,100 159,250
*Harolds Stores, Inc................................. 2,308 18,464
Harris Financial, Inc................................ 16,300 413,103
*#Harry's Farmers Market, Inc. Class A............... 2,100 3,609
*Hartmarx Corp....................................... 22,600 177,975
*Harvey Entertainment Co............................. 2,700 30,206
Harvey's Casino Resorts.............................. 5,900 160,406
Haskel International, Inc............................ 1,900 19,475
Hastings Manufacturing Co............................ 700 16,188
*Hathaway Corp....................................... 2,900 7,250
*Hauser, Inc......................................... 6,400 48,800
Haven Bancorp, Inc................................... 7,000 187,250
Haverty Furniture Co., Inc........................... 5,500 121,000
Haverty Furniture Co., Inc. Class A.................. 200 4,250
*Hawaiian Airlines, Inc.............................. 26,600 69,825
Hawkins Chemical, Inc................................ 5,145 65,277
*Hawthorne Financial Corp............................ 1,300 25,269
*#Hayes Corp......................................... 100 388
*Health Management Systems, Inc...................... 13,300 147,963
*Health Power, Inc................................... 1,900 10,925
*Health Professionals, Inc........................... 1,250 131
*Health Risk Management, Inc......................... 1,900 27,847
*Health Systems Design Corp.......................... 5,100 44,625
*Healthcare Imaging Services, Inc.................... 1,200 1,669
*Healthcare Services Group, Inc...................... 5,500 78,719
*Healthcor Holdings.................................. 3,000 5,813
*Healthdyne Information Enterprises, Inc............. 12,000 43,875
Healthplan Services Corp............................. 9,598 212,956
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Healthy Planet Products, Inc........................ 700 $ 1,225
*Heartland Express, Inc.............................. 14,976 326,664
*#Heartland Wireless Communications, Inc............. 9,316 7,133
*#Heartport, Inc..................................... 17,300 138,941
*Hecla Mining Co..................................... 38,600 195,413
*#Hector Communications Corp......................... 1,200 13,050
Heico Corp........................................... 5,015 152,331
*Heico Corp. Class A................................. 2,507 68,956
Heilig-Meyers Co..................................... 18,950 227,400
*Hein-Werner Corp.................................... 2,269 28,504
*Heist (C.H.) Corp................................... 2,100 15,225
Helix Technology Corp................................ 29,600 526,325
*Hello Direct, Inc................................... 5,000 34,063
*Hemasure, Inc....................................... 6,600 8,766
Henry Jack & Associates, Inc......................... 13,150 426,553
Herbalife International, Inc. Class A................ 6,100 155,169
Herbalife International, Inc. Class B................ 12,200 285,556
Heritage Financial Services, Inc..................... 8,750 308,164
*Hf Bancorp, Inc..................................... 5,000 85,938
*Hi-Shear Industries, Inc............................ 500 1,422
*Hi-Shear Technology Corp............................ 5,300 42,400
*Hi-Tech Pharmacal, Inc.............................. 3,100 18,309
*Hibbett Sporting Goods, Inc......................... 2,000 67,625
*High Plains Corp.................................... 14,800 38,850
*Highlands Insurance Group, Inc...................... 9,200 192,050
*#Highway Master Communications, Inc................. 19,900 73,381
Hilb Rogal Hamilton Co............................... 7,900 138,250
Hilite Industries, Inc............................... 1,900 17,100
*Hirsch International Corp. Class A.................. 4,300 43,269
*Hoenig Group, Inc................................... 5,400 39,319
*Holiday RV Superstores, Inc......................... 3,000 6,375
Holly Corp........................................... 5,100 139,613
*Hollywood Casino Corp. Class A...................... 18,600 36,328
*Hollywood Entertainment Corp........................ 32,100 335,044
*Hollywood Park, Inc................................. 10,500 135,844
*Hologic, Inc........................................ 9,400 197,694
*Holopak Technologies, Inc........................... 2,500 6,602
*Holophane Corp...................................... 6,050 158,056
Home Bancorp......................................... 600 19,538
Home Federal Bancorp................................. 2,025 64,547
*Home Health Corp. of America........................ 2,500 6,094
Home Port Bancorp, Inc............................... 600 14,813
*Home Products International, Inc.................... 5,100 60,244
*Home State Holdings, Inc............................ 3,700 578
*Homebase, Inc....................................... 25,550 221,966
*Homeowners Group, Inc. Escrow....................... 1,700 0
*Homestead Village, Inc.............................. 15,500 232,500
*#Hondo Oil and Gas Co............................... 10,500 6,563
Hooper Holmes, Inc................................... 9,900 230,175
Horizon Bancorp, Inc................................. 400 16,350
Horizon Financial Corp............................... 3,953 70,907
#Horton (D.R.), Inc.................................. 37,720 678,960
*Hospital Staffing Services, Inc..................... 2,390 971
*Hospitality Worldwide Services, Inc................. 6,800 57,800
*Host Marriott Services Corp......................... 28,700 408,975
*#Hot Topic, Inc..................................... 3,400 79,263
*Housecall Medical Resources, Inc.................... 8,200 10,250
*Hovnanian Enterprises, Inc. Class A................. 15,000 149,063
*Hovnanian Enterprises, Inc. Class B................. 1,150 11,428
Howell Corp.......................................... 2,100 24,938
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Howtek, Inc......................................... 3,600 $ 6,413
*Hub Group, Inc. Class A............................. 5,200 111,800
Hudson Chartered Bancorp, Inc........................ 2,850 66,619
Hudson General Corp.................................. 700 33,688
*Hudson Hotels Corp.................................. 3,100 13,659
*Hudson Technologies, Inc............................ 2,200 8,731
Huffy Corp........................................... 9,100 138,206
Hughes Supply, Inc................................... 15,000 505,313
Hunt (J.B.) Transport Services, Inc.................. 17,100 510,863
Hunt Corp............................................ 6,600 153,450
Huntco, Inc. Class A................................. 3,000 37,875
*Hurco Companies, Inc................................ 3,300 28,566
*Hutchinson Technology, Inc.......................... 13,200 330,825
*Hvide Marine, Inc. Class A.......................... 7,000 105,656
*Hycor Biomedical, Inc............................... 5,600 10,675
Hydron Technologies, Inc............................. 9,000 5,203
*Hyperion Software Corp.............................. 10,500 339,281
*I-Stat Corp......................................... 10,000 96,563
*IA Corp. I.......................................... 2,700 6,919
IBS Financial Corp................................... 6,000 111,000
*ICC Technologies, Inc............................... 14,900 68,447
*ICF Kaiser International, Inc....................... 17,900 51,463
*ICG Communications, Inc............................. 2,904 88,028
*#ICOS Corp.......................................... 32,600 685,619
*ICT Group, Inc...................................... 6,000 28,875
*ICU Medical, Inc.................................... 5,900 86,472
*IDEC Pharmaceuticals Corp........................... 15,100 474,706
*IDEXX Laboratories, Inc............................. 25,700 573,431
*#IDM Environmental Corp............................. 11,400 39,366
*IDT Corp............................................ 16,000 418,000
*IEC Electronics Corp................................ 6,700 48,784
IFR Systems, Inc..................................... 7,200 138,150
*IGEN, Inc........................................... 8,200 263,681
*#IGI, Inc........................................... 6,200 19,375
*IHOP Corp........................................... 5,700 228,000
*II-VI, Inc.......................................... 3,200 48,400
*IMC Mortgage Co..................................... 17,700 229,547
IMCO Recycling, Inc.................................. 11,200 212,100
*IMP, Inc............................................ 13,200 11,963
*IQ Software Corp.................................... 2,300 25,156
ISB Financial Corp. LA............................... 4,100 115,056
*ITC Learning Corp................................... 2,800 18,550
*ITEQ, Inc........................................... 23,254 276,141
*ITI Technologies, Inc............................... 7,500 221,719
*ITLA Capital Corp................................... 4,700 106,925
*ITT Educational Services, Inc....................... 16,050 457,425
*#IVI Publishing, Inc................................ 3,800 22,919
*IXC Communications, Inc............................. 479 20,911
*Ibah, Inc........................................... 17,700 93,478
*#Ibis Technology Corp............................... 3,100 32,550
ICO, Inc............................................. 14,320 68,020
*Identix, Inc........................................ 17,100 121,838
*Ikos Systems, Inc................................... 6,100 35,647
*#Illinois Superconductor Corp....................... 2,300 6,181
*Image Entertainment, Inc............................ 11,700 79,889
*#Imagyn Medical Technologies, Inc................... 19,700 21,239
*Imation Corp........................................ 18,300 332,831
*#Imatron, Inc....................................... 53,300 149,073
*Imclone Systems, Inc................................ 16,900 185,372
*Immucor, Inc........................................ 6,500 54,844
*Immulogic Pharmaceutical Corp....................... 16,200 29,869
*#Immune Response Corp. DE........................... 13,600 154,275
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Immunogen, Inc..................................... 8,500 $ 15,672
*Immunomedics, Inc................................... 25,300 130,058
*#Imnet Systems, Inc................................. 8,300 91,819
*Impath, Inc......................................... 4,500 150,609
*Impco Technologies, Inc............................. 3,400 53,338
*Imperial Credit Industries, Inc..................... 50 1,055
Imperial Holly Corp.................................. 15,651 150,641
*In Focus Systems, Inc............................... 17,200 134,913
*In Home Health, Inc................................. 6,400 6,900
*#Inacom Corp........................................ 10,700 347,081
*Incontrol, Inc...................................... 14,300 49,603
*Indenet, Inc........................................ 14,900 31,197
Independence Holding Co.............................. 2,500 36,563
Independent Bank Corp. MA............................ 12,100 225,363
Independent Bank East................................ 2,735 109,229
Indiana Energy, Inc.................................. 13,500 416,813
*Individual Investor Group, Inc...................... 4,100 21,013
*Industrial Acoustics Co., Inc....................... 200 1,950
Industrial Bancorp, Inc.............................. 3,000 63,000
*Industrial Holdings, Inc............................ 4,300 56,169
Industrial Scientific Corp........................... 700 16,975
*Inference Corp. Class A............................. 6,400 25,200
*Infinium Software, Inc.............................. 7,300 104,025
*Infonautics Corp. Class A........................... 4,700 16,156
*Information Management Resources, Inc............... 10,200 229,819
*Information Resource Engineering, Inc............... 2,700 20,588
*Information Resources, Inc.......................... 24,900 431,859
*Information Storage Devices, Inc.................... 9,500 55,813
*Infu-tech, Inc...................................... 2,000 13,375
Ingles Market, Inc. Class A.......................... 4,900 60,944
*Inhale Therapeutic Systems.......................... 9,300 305,738
*Innerdyne, Inc...................................... 17,300 44,331
*Innodata Corp....................................... 600 2,981
*Innoserv Technologies, Inc.......................... 200 794
*Innovative Gaming Corp. of America.................. 4,500 13,219
Innovex, Inc......................................... 10,300 191,194
*Insight Enterprises, Inc............................ 6,150 192,572
*Insignia Financial Group, Inc. Class A.............. 21,800 535,463
*Insilco Corp........................................ 5,700 248,484
*#Insite Vision, Inc................................. 9,800 32,922
Insituform East, Inc................................. 1,700 3,984
*Insituform Technologies, Inc. Class A............... 17,710 228,016
*Inso Corp........................................... 10,000 137,500
Insteel Industries, Inc.............................. 4,300 30,906
Instron Corp......................................... 9,600 192,000
*Insurance Auto Auctions, Inc........................ 6,800 90,950
*#Integ, Inc......................................... 6,100 18,491
*Integra Lifesciences Corp........................... 8,750 54,688
*Integramed America, Inc............................. 3,600 6,975
*Integrated Circuit Systems, Inc..................... 9,600 132,300
*Integrated Measurement System, Inc.................. 4,600 41,400
*Integrated Orthopedics, Inc......................... 3,700 24,744
*Integrated Packaging Assembly Corp.................. 10,200 7,331
*Integrated Process Equipment Corp................... 9,900 137,672
*Integrated Silicon Solution, Inc.................... 12,400 86,025
</TABLE>
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<TABLE>
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*Integrated Systems Consulting Group, Inc............ 4,700 $ 54,638
*Integrated Systems, Inc............................. 14,900 275,184
*Intellicall, Inc.................................... 5,600 26,600
*Intellidata Technologies Corp....................... 18,700 26,297
*Intelligent Medical Imaging, Inc.................... 6,100 21,159
*Intelligent Systems Corp............................ 2,200 8,388
*Intelligroup, Inc................................... 7,200 137,700
*Intensiva Healthcare Corp........................... 6,000 56,250
Inter-Tel, Inc....................................... 21,600 405,675
Intercargo Corp...................................... 3,800 47,263
Interchange Financial Services Corp. Saddle Brook.... 3,870 79,335
*Interdigital Communications Corp.................... 31,300 172,150
*Interface Systems, Inc.............................. 3,400 10,413
*#Interferon Sciences, Inc........................... 12,175 11,985
*Intergraph Corp..................................... 33,500 294,172
*Interlake Corp...................................... 21,600 90,450
*#Interleaf, Inc..................................... 17,400 50,569
*Interlink Computer Sciences, Inc.................... 4,600 23,719
*Interlink Electronics............................... 4,700 22,619
*Interlinq Software Corp............................. 2,900 17,581
*Interlott Technologies, Inc......................... 1,600 18,200
*Intermagnetics General Corp......................... 11,524 116,681
Intermet Corp........................................ 20,400 390,150
International Aluminum Corp.......................... 2,100 71,269
*International Microcomputer Software, Inc........... 2,600 39,488
International Multifoods Corp........................ 12,700 377,825
*International Rectifier Corp........................ 41,000 433,063
*International Remote Imaging Systems, Inc........... 3,000 9,938
International Shipholding Corp....................... 3,625 59,813
*#International Technology Corp...................... 7,325 76,455
*International Thoroughbred Breeders, Inc............ 5,800 20,300
*Interneuron Pharmaceuticals, Inc.................... 28,800 133,200
*Interphase Corp..................................... 2,700 20,419
Interpool, Inc....................................... 19,650 291,066
*Interpore International............................. 3,500 21,219
*Intersolv, Inc...................................... 14,900 213,722
Interstate Energy Corp............................... 2,664 80,087
Interstate Johnson Lane, Inc......................... 3,700 107,763
*Interstate National Dealers Services, Inc........... 2,000 16,500
*Intertan, Inc....................................... 7,000 42,438
*Intervisual Books, Inc. Class A..................... 1,000 2,094
*Intervoice, Inc..................................... 11,300 150,784
Interwest Bancorp.................................... 4,900 222,031
*Intevac, Inc........................................ 8,000 76,250
Invacare Corp........................................ 18,100 480,216
*Investment Technology Group, Inc.................... 11,500 310,859
Investors Financial Services Corp.................... 3,099 154,659
Investors Title Co................................... 1,400 36,400
*#Invision Technologies, Inc......................... 9,500 81,344
*Invivo Corp......................................... 1,600 18,500
*Ion Laser Technology, Inc........................... 2,900 4,713
*Ionics, Inc......................................... 11,200 501,200
*Iridex Corp......................................... 3,800 35,625
Iroquois Bancorp..................................... 400 10,500
Irwin Financial Corp................................. 16,000 431,500
Isco, Inc............................................ 38,935 335,814
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Isis Pharmaceuticals, Inc.......................... 21,500 $ 300,328
*Isolyser Co., Inc................................... 34,010 79,711
*#Itron, Inc......................................... 8,100 125,550
*Iwerks Entertainment, Inc........................... 9,824 20,262
*J & J Snack Foods Corp.............................. 4,400 86,075
J & L Specialty Steel, Inc........................... 28,500 199,500
*J. Alexander's Corp................................. 3,000 14,813
*JDA Software Group, Inc............................. 9,100 410,922
JLG Industries, Inc.................................. 39,300 692,663
*JLK Direct Distribution, Inc. Class A............... 2,000 47,000
*#JMAR Industries, Inc............................... 10,100 25,723
*JPE, Inc............................................ 2,800 9,450
*JPM Co.............................................. 4,000 41,750
JSB Financial, Inc................................... 5,000 290,625
*Jackpot Enterprises, Inc............................ 4,700 57,575
Jacksonville Bancorp, Inc............................ 1,600 33,500
*Jaclyn, Inc......................................... 1,300 7,556
*Jaco Electronics, Inc............................... 1,973 12,331
*Jacobs Engineering Group, Inc....................... 15,400 494,725
*Jacobson Stores, Inc................................ 4,100 57,656
*#Jakks Pacific, Inc................................. 3,000 27,563
*Jalate, Ltd......................................... 1,000 1,625
*Jan Bell Marketing, Inc............................. 19,400 99,425
*Jason, Inc.......................................... 12,087 113,316
*Jayhawk Acceptance Corp............................. 1,000 656
*Jean Philippe Fragrances, Inc....................... 7,150 59,434
Jeffbanks, Inc....................................... 1,706 90,845
Jefferies Group, Inc................................. 12,000 552,000
Jefferson Savings Bancorp, Inc....................... 3,200 101,200
*Jennifer Convertibles, Inc.......................... 1,300 2,620
*Jerry's Famous Deli, Inc............................ 11,400 22,266
John Alden Financial Corp............................ 15,400 340,725
*Johnson Worldwide Associates, Inc. Class A.......... 6,700 85,425
Johnston Industries, Inc............................. 8,100 42,272
*Johnstown American Industries, Inc.................. 8,800 159,500
*Jones Intercable, Inc............................... 2,300 48,156
*Jones Intercable, Inc. Class A...................... 24,900 536,906
*Jos. A. Bank Clothiers, Inc......................... 5,400 40,500
*Joule, Inc.......................................... 1,500 5,906
*Jumbosports, Inc.................................... 18,000 23,625
Juno Lighting, Inc................................... 11,100 234,834
*#Just for Feet, Inc................................. 19,200 421,200
*Just Toys, Inc...................................... 1,600 1,900
Justin Industries, Inc............................... 20,200 320,675
*K & G Men's Center, Inc............................. 6,000 151,500
K Swiss, Inc. Class A................................ 2,400 47,250
*#K-Tel International, Inc........................... 3,800 59,613
*K-Tron International, Inc........................... 6,200 115,863
*K-V Pharmaceutical Co. Class A...................... 6,600 136,950
*K-V Pharmaceutical Co. Class B...................... 2,700 55,688
K2, Inc.............................................. 11,300 226,000
KCS Energy, Inc...................................... 22,800 270,750
*#KFX, Inc........................................... 8,000 25,000
*KLLM Transport Services, Inc........................ 2,500 31,406
*#KTI, Inc........................................... 4,100 91,481
*KVH Industries, Inc................................. 4,300 14,781
*Kaiser Ventures, Inc................................ 9,700 108,519
Kaman Corp. Class A.................................. 14,500 265,984
*Kaneb Services, Inc................................. 25,300 150,219
*Karrington Health, Inc.............................. 3,500 37,844
Katy Industries, Inc................................. 4,100 75,850
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Katz Digital Technologies, Inc...................... 1,800 $ 12,825
Kaye Group, Inc...................................... 3,000 20,250
Keithley Instruments, Inc............................ 1,000 7,750
*Kelley Oil & Gas Corp............................... 69,600 157,688
Kellwood Co.......................................... 12,900 426,506
*Kemet Corp.......................................... 59,000 949,531
*Kensey Nash Corp.................................... 4,100 76,363
*Kent Electronics Corp............................... 16,300 342,300
Kentek Information Systems, Inc...................... 800 6,800
*Kentucky Electric Steel, Inc........................ 1,800 10,013
Kentucky First Bancorp, Inc.......................... 200 3,150
*Keravision, Inc..................................... 7,500 64,922
*Kevco, Inc.......................................... 4,100 88,150
Kewaunee Scientific Corp............................. 2,000 19,375
*Key Energy Group, Inc............................... 13,800 226,838
*Key Production Co., Inc............................. 6,900 84,094
*Key Technology, Inc................................. 2,300 26,019
*Key Tronic Corp..................................... 13,000 38,594
*Keystone Automotive Industries, Inc................. 7,600 194,750
*Keystone Consolidated Industries, Inc............... 6,873 84,409
Kimball International, Inc. Class B.................. 16,200 394,875
*Kimmins Corp........................................ 3,400 11,900
*Kinark Corp......................................... 3,700 12,488
*Kinnard Investment, Inc............................. 3,100 19,956
*Kirby Corp.......................................... 14,600 313,900
*Kit Manufacturing Co................................ 300 2,100
*Kitty Hawk, Inc..................................... 10,200 181,050
Klamath First Bancorp, Inc........................... 7,100 141,556
Knape & Vogt Manufacturing Co........................ 2,900 65,975
*Knickerbocker (L.L.) Co., Inc....................... 5,000 19,063
*Knight Transportation, Inc.......................... 9,000 171,281
*Koala Corp.......................................... 1,200 22,425
*Koll Real Estate Group, Inc......................... 7,100 68,781
Kollmorgen Corp...................................... 5,900 114,313
*Komag, Inc.......................................... 31,700 312,047
*#Koo Koo Roo, Inc................................... 21,564 51,551
*Kopin Corp.......................................... 8,100 153,141
*Koss Corp........................................... 2,100 21,000
*Kronos, Inc......................................... 4,100 146,063
*Krug International Corp............................. 1,048 5,830
Kuhlman Corp......................................... 9,699 409,783
*Kulicke & Soffa Industries, Inc..................... 14,000 241,500
*#L.A. Gear, Inc..................................... 12,600 1,197
*#LCA-Vision, Inc.................................... 3,536 12,155
*LCC International, Inc. Class A..................... 3,300 53,109
LCS Industries, Inc.................................. 2,600 38,025
LSB Bancshares, Inc. NC.............................. 5,156 108,276
LSB Industries, Inc.................................. 10,700 46,144
LSI Industries, Inc.................................. 7,267 146,930
*LTX Corp............................................ 25,800 99,572
*LXR Biotechnology, Inc.............................. 14,600 40,150
*La Jolla Pharmceutical Co........................... 13,800 53,906
La-Z-Boy, Inc........................................ 13,100 670,556
*LaBarge, Inc........................................ 14,500 51,656
LaCrosse Footwear, Inc............................... 3,000 35,250
Lab Holdings, Inc.................................... 3,500 76,563
#Labone, Inc......................................... 7,900 140,472
*Labor Ready, Inc.................................... 12,850 434,491
*Laboratory Corp. of America Holdings, Inc........... 42,500 90,313
Laclede Gas Co....................................... 10,500 259,875
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Laclede Steel Co.................................... 2,700 $ 11,306
*Ladd Furniture, Inc................................. 4,666 122,483
*Laidlaw Environmental Services, Inc................. 61,900 239,863
*Lakeland Industries, Inc............................ 2,000 22,875
Lakeview Financial Corp.............................. 2,500 58,125
*Lamson & Sessions Co................................ 10,200 70,125
Lance, Inc........................................... 28,400 597,288
*Lancer Corp......................................... 8,100 138,713
*Lancit Media Productions, Ltd....................... 3,300 3,094
*Landair Services, Inc............................... 4,100 127,613
Landamerica Financial Group, Inc..................... 9,000 429,750
Landauer, Inc........................................ 5,200 148,200
*Landec Corp......................................... 6,900 48,300
*#Landrys Seafood Restaurants, Inc................... 14,877 337,057
*Landstar Systems, Inc............................... 7,600 258,638
*Lanvision Systems, Inc.............................. 7,300 27,375
*Larscom, Inc........................................ 3,500 32,484
*Larson Davis, Inc................................... 6,800 17,638
*#Laser Vision Centers, Inc.......................... 3,500 46,813
*Laserscope.......................................... 9,700 26,372
*LaserSight Corporation.............................. 6,800 30,919
*Lason, Inc.......................................... 6,900 282,900
Lawson Products, Inc................................. 8,800 238,975
Lawter International, Inc............................ 26,800 257,950
*Layne Christensen Co................................ 9,100 126,263
*Lazare Kaplan International, Inc.................... 6,800 79,050
*Leap Group, Inc..................................... 8,200 22,934
*Learning Co., Inc................................... 25,100 715,350
*#Learning Tree International, Inc................... 15,400 247,363
Learonal, Inc........................................ 8,950 265,144
*Leasing Solutions, Inc.............................. 5,700 159,600
*Lechters, Inc....................................... 12,600 73,238
*Lecroy Corp......................................... 5,100 103,594
*Lectec Corp......................................... 1,902 8,262
*Legato Systems, Inc................................. 10,600 303,425
Lesco, Inc........................................... 6,725 150,892
*Leslie Building Products, Inc....................... 3,200 9,200
*Level 8 Systems, Inc................................ 5,600 63,700
*#Level One Communications, Inc...................... 18,225 486,380
*#Levitz Furniture, Inc.............................. 14,200 7,810
*Lexford Residential Trust........................... 5,400 115,425
*Lexington Global Asset Managers, Inc................ 1,700 12,113
Libbey, Inc.......................................... 9,500 374,063
Liberty Homes, Inc. Class A.......................... 200 2,325
*Liberty Technologies, Inc........................... 3,000 9,563
*Lidak Pharmaceuticals Class A....................... 25,300 38,345
*#Life Medical Sciences, Inc......................... 8,900 11,681
*Life Quest Medical, Inc............................. 1,000 3,188
Life Technologies, Inc............................... 14,000 477,313
Life USA Holdings, Inc............................... 17,700 285,966
*Lifecore Biomedical, Inc............................ 7,300 135,278
*Lifeline Systems, Inc............................... 2,800 52,150
Lifetime Hoan Corp................................... 7,462 83,015
*Ligand Pharmaceuticals, Inc. Class B................ 23,079 322,385
*Lightbridge, Inc.................................... 8,800 103,125
Lillian Vernon Corp.................................. 4,900 85,138
Lilly Industry, Inc. Class A......................... 13,500 263,250
*Lindal Cedar Homes, Inc............................. 4,482 14,006
Lindberg Corp........................................ 8,200 187,575
Lindsay Manufacturer Co.............................. 4,800 223,200
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Liposome Co., Inc................................... 26,100 $ 160,270
Liqui Box Corp....................................... 2,500 107,500
Litchfield Financial Corp............................ 2,600 58,500
*Lithia Motors, Inc. Class A......................... 1,700 23,906
*Littlefield, Adams & Co............................. 900 1,997
*Littlefuse, Inc..................................... 16,000 365,000
*Liuski International, Inc........................... 1,800 1,463
*Lodgenet Entertainment Corp......................... 8,200 89,688
*Loehmanns, Inc...................................... 7,100 39,494
*Logans Roadhouse, Inc............................... 6,100 126,575
*Logic Devices, Inc.................................. 5,600 16,538
*Logic Works, Inc.................................... 4,500 69,469
*Lojack Corp......................................... 14,200 178,831
Lomak Petroleum, Inc................................. 16,100 195,213
#Lone Star Industries, Inc........................... 6,000 451,125
*Lone Star Technologies, Inc......................... 13,800 262,200
*Loronix Information Systems, Inc.................... 2,200 5,775
*Louis Dreyfus Natural Gas Corp...................... 24,052 420,910
Luby's Cafeterias, Inc............................... 16,400 303,400
Lufkin Industries, Inc............................... 3,300 111,788
Lukens, Inc. DE...................................... 13,400 429,638
*Lumen Technologies, Inc............................. 10,410 85,883
*Lumisy, Inc......................................... 6,100 25,544
*Lunar Corp.......................................... 8,150 148,992
*Lund International Holdings, Inc.................... 2,200 28,188
*#Luria (L.) & Son, Inc.............................. 2,500 26
*Lycos, Inc.......................................... 8,600 456,069
*Lydall, Inc. DE..................................... 9,300 162,750
*Lynch Corp.......................................... 2,200 200,750
*M-Wave, Inc......................................... 1,500 3,563
*M.H. Meyerson & Co., Inc............................ 2,500 4,375
M/A/R/C, Inc......................................... 3,027 54,108
MAF Bancorp, Inc..................................... 14,700 553,088
*#MAI Systems Corp................................... 8,100 36,450
MDC Holdings, Inc.................................... 15,000 226,875
*#MEMC Electronic Materials, Inc..................... 7,500 101,719
MFB Corp............................................. 1,000 26,750
*MFRI, Inc........................................... 3,000 25,688
*MGI Pharma, Inc..................................... 11,400 95,119
MI Schottenstein Homes, Inc.......................... 4,500 90,563
*#MIM Corp........................................... 9,000 40,219
*MK Gold Corp........................................ 7,800 7,678
MMI Companies, Inc................................... 11,800 261,075
*MRS Technology, Inc................................. 3,300 5,105
*MRV Communications, Inc............................. 16,000 372,500
*MS Carriers, Inc.................................... 8,900 265,331
*MTI Technology Corp................................. 5,900 79,281
MTS Systems Corp..................................... 11,000 205,219
*MVSI, Inc........................................... 9,900 68,372
MYR Group, Inc....................................... 3,110 38,875
MacDermid, Inc....................................... 15,100 619,100
*Macheezmo Mouse Restaurants, Inc.................... 1,500 938
*#Mackie Designs, Inc................................ 6,500 44,688
*MacNeal-Schwendler Corp............................. 9,600 101,400
*Macromedia, Inc..................................... 24,600 389,756
*Madden (Steven), Ltd................................ 5,000 48,594
Madison Gas & Electric Co............................ 11,250 240,469
*Magainin Pharmaceuticals, Inc....................... 19,400 112,763
*Magellan Health Services, Inc....................... 14,500 391,500
Magna Group, Inc..................................... 1,437 79,843
*Magnetek, Inc....................................... 18,800 318,425
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Magnum Hunter Resources, Inc........................ 19,400 $ 138,225
*#Mail-Well, Inc..................................... 2,100 96,600
*Main Street & Main, Inc............................. 5,450 18,905
Maine Public Service Co.............................. 700 9,975
Mainstreet Bankgroup, Inc............................ 8,000 241,000
*Malibu Entertainment Worldwide, Inc................. 1,000 2,625
*Mallon Resources Corp............................... 2,200 23,788
*Managed Care Solutions, Inc......................... 2,366 18,189
*Manatron, Inc....................................... 1,102 5,097
*Manchester Equipment Co., Inc....................... 1,500 5,906
*Manhattan Bagel Co., Inc............................ 3,700 4,278
Manitowoc Co., Inc................................... 13,900 569,900
*Mapics, Inc......................................... 11,100 194,944
*Mapinfo Corp........................................ 4,800 57,000
*Marcam Solutions, Inc............................... 2,700 40,331
Marcus Corp.......................................... 17,175 303,783
*Mariner Health Group, Inc........................... 21,300 318,169
*Marisa Christina, Inc............................... 6,700 20,309
Maritrans, Inc....................................... 7,700 69,300
*Mark VII, Inc....................................... 4,800 82,800
*Markel Corp......................................... 2,700 466,594
*Marker International................................ 10,900 39,342
*Marlton Technologies, Inc........................... 2,800 18,550
*Marquette Medical Systems, Inc...................... 12,400 346,813
Marsh Supermarkets, Inc. Class A..................... 1,600 22,400
#Marsh Supermarkets, Inc. Class B.................... 1,900 27,075
Marshall & Isley Corp................................ 1,500 80,859
*Marshall Industries................................. 10,100 312,469
*#Martek Biosciences Corp............................ 10,200 127,181
*Marten Transport, Ltd............................... 4,200 72,975
Maryland Federal Bancorp............................. 3,920 151,900
Massbank Corp. Reading, MA........................... 1,333 67,816
*#Mastec, Inc........................................ 12,000 247,500
Matec Corp. DE....................................... 1,100 4,125
*Material Sciences Corp.............................. 13,500 135,844
*Mathsoft, Inc....................................... 6,300 24,216
*Matlack Systems, Inc................................ 7,500 63,750
*Matria Healthcare, Inc.............................. 28,200 114,122
*Matritech, Inc...................................... 21,800 65,400
*Matrix Pharmaceutical, Inc.......................... 16,600 81,963
*Matrix Service Co................................... 7,500 59,063
Matthews International Corp. Class A................. 3,400 168,088
*Matthews Studio Equipment Group..................... 6,200 33,131
*Mattson Technology, Inc............................. 10,300 68,077
*Maverick Tube Corp.................................. 10,900 165,544
*Max & Ermas Restaurants, Inc........................ 2,037 15,023
*Maxco, Inc.......................................... 1,900 16,981
*Maxicare Health Plans, Inc.......................... 11,800 112,100
*Maxim Group, Inc.................................... 11,700 197,438
*Maxim Pharmaceuticals, Inc.......................... 4,600 84,238
*Maxwell Technologies, Inc........................... 5,400 144,113
*Maxxam, Inc......................................... 5,200 306,475
*Maxxim Medical, Inc................................. 8,500 198,688
*#May & Speh, Inc.................................... 17,600 293,150
*Maynard Oil Co...................................... 3,100 33,519
*Mays (J.W.), Inc.................................... 200 2,475
*Mazel Stores, Inc................................... 4,600 77,050
*McClain Industries, Inc............................. 266 1,338
McDonald & Co. Investment, Inc....................... 17,900 537,000
McGrath Rent Corp.................................... 12,100 248,050
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*McMoran Oil & Gas Co................................ 27,700 $ 112,964
*McWhorter Technologies, Inc......................... 5,200 143,650
*Meade Instruments Corp.............................. 3,800 40,256
*#Meadow Valley Corp................................. 2,200 13,063
Meadowbrook Insurance Group, Inc..................... 4,300 132,494
*Measurement Specialties, Inc........................ 1,400 5,600
*Mechanical Dynamics, Inc............................ 3,000 40,969
*Mecklermedia Corp................................... 4,200 87,544
*Mecon, Inc.......................................... 5,400 52,481
Medalliance, Inc. Escrow............................. 3,800 0
*Medaphis Corp....................................... 57,800 431,694
*Medar, Inc.......................................... 5,400 15,019
*Medarex, Inc........................................ 19,400 136,406
*Medcath, Inc........................................ 6,700 119,763
*Medco Research, Inc................................. 7,000 140,000
Medford Bancorp, Inc................................. 2,900 122,344
*Media 100, Inc...................................... 7,000 25,813
*Media Arts Group, Inc............................... 8,800 169,950
*Media Logic, Inc.................................... 2,400 2,550
*Medical Action Industries, Inc...................... 4,200 17,063
*Medical Alliance, Inc............................... 4,200 15,881
*Medical Assurance, Inc.............................. 12,943 357,550
*Medical Graphics Corp............................... 1,000 4,563
*#Medical Manager Corp............................... 11,800 299,794
*Medical Resources, Inc.............................. 15,850 44,083
*Medicalcontrol, Inc................................. 1,500 7,781
*#Medicis Pharmaceutical Corp. Class A............... 9,900 404,044
*Medicore, Inc....................................... 3,800 10,569
*Medicus Systems Corp................................ 4,500 34,594
*Mediq, Inc.......................................... 11,600 163,125
*Medplus, Inc........................................ 4,500 31,781
*Medquist Inc........................................ 8,850 387,188
*Medstone International, Inc......................... 4,800 46,800
Medusa Corp.......................................... 8,100 466,763
*Mego Financial Corp................................. 4,100 15,503
*Mego Mortgage Corp.................................. 7,413 14,015
*#Melita International Corp.......................... 1,000 14,500
*Memberworks, Inc.................................... 8,800 238,150
*Mens Warehouse, Inc................................. 13,200 560,175
Mentor Corp. MN...................................... 15,000 397,031
*#Mentor Graphics Corp............................... 47,100 519,572
Merchants Bancorp, Inc............................... 2,100 70,481
Merchants Bancshares, Inc............................ 2,700 92,138
Merchants Group, Inc................................. 1,300 32,094
Merchants New York Bancorp, Inc...................... 800 31,900
#Mercury Air Group, Inc.............................. 3,700 27,519
*Mercury Interactive Corp............................ 14,000 464,188
*Meridian Data, Inc.................................. 7,100 36,831
Meridian Diagnostics, Inc............................ 10,500 138,797
Meridian Insurance Group, Inc........................ 2,700 52,313
*Meridian Medical Technology, Inc.................... 2,400 26,250
*Meridian Resource Corp.............................. 28,172 202,486
*Merisel, Inc........................................ 11,900 35,514
*Merit Medical Systems, Inc.......................... 3,500 26,688
*Merix Corp.......................................... 5,200 60,775
Merrill Corp......................................... 13,200 300,300
Merrimac Industries, Inc............................. 660 9,653
*Mesa Air Group, Inc................................. 22,100 176,800
*Mesa Labs, Inc...................................... 2,200 11,963
*Mesaba Holdings, Inc................................ 16,350 354,591
*Mestek, Inc......................................... 4,200 80,325
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Met-Coil Systems Corp............................... 1,000 $ 3,563
Met-Pro Corp......................................... 11,175 165,530
*Metacreations Corp.................................. 17,000 142,906
*#Metal Management, Inc.............................. 18,421 185,361
*Metatec Corp. Class A............................... 5,300 29,150
Methode Electronics, Inc. Class A.................... 20,600 258,788
Methode Electronics, Inc. Class B.................... 500 6,313
*Metra Biosystems, Inc............................... 10,100 24,303
*#Metricom, Inc...................................... 10,900 109,341
#Metris Companies, Inc............................... 1,100 62,700
*Metro Networks, Inc................................. 9,900 389,503
*Metro One Telecommunications, Inc................... 6,500 76,781
*Metrocall, Inc...................................... 26,654 160,757
*Metrologic Instruments, Inc......................... 3,300 50,738
*Metrotrans Corp..................................... 1,600 16,000
Metrowest Bank MA.................................... 9,900 76,106
*Metzler Group, Inc.................................. 13,200 365,888
*Michael Anthony Jewelers, Inc....................... 5,800 14,138
Michael Foods, Inc................................... 13,958 388,643
*#Micrel, Inc........................................ 12,600 394,144
*Micrion Corp........................................ 2,000 19,563
*#Micro Component Technology, Inc.................... 3,000 4,125
*Micro Linear Corp................................... 9,600 44,700
*Micro Warehouse, Inc................................ 27,700 484,750
*Micro-Therapeutics, Inc............................. 3,900 42,656
*Microage, Inc....................................... 11,750 158,258
*Microcide Pharmaceuticals, Inc...................... 2,000 17,938
*Microdyne Corp...................................... 10,300 49,247
*Microfluidics International Corp.................... 2,600 6,256
*Micrografx, Inc..................................... 8,200 88,663
*Microlog Corp....................................... 1,500 3,844
*Micronics Computers, Inc............................ 11,300 26,661
*Microprose, Inc. New................................ 3,740 19,752
*Micros Systems, Inc................................. 5,600 327,950
*Micros to Mainframes, Inc........................... 1,800 5,513
*Microsemi Corp...................................... 5,500 75,453
*Microtest, Inc...................................... 7,900 38,513
*Microtouch Systems, Inc............................. 7,300 116,116
*#Microware Systems Corp............................. 11,600 53,650
*Microwave Power Dynamics, Inc....................... 10,100 67,859
Mid Am, Inc.......................................... 19,640 500,206
Mid America Banccorp................................. 6,592 224,128
*Mid Atlantic Medical Services, Inc.................. 47,800 618,413
*Midcom Communications, Inc.......................... 13,000 423
*Middleby Corp....................................... 10,300 74,031
Middlesex Water Co................................... 2,300 46,934
*Midisoft Corp....................................... 1,800 900
Midland Co........................................... 3,300 99,206
*Midway Games, Inc................................... 15,570 210,195
*Midwest Express Holdings, Inc....................... 1,575 45,183
*Midwest Grain Products, Inc......................... 5,800 77,213
Mikasa, Inc.......................................... 10,700 131,744
*Mikohn Gaming Corp.................................. 6,400 42,000
*#Milestone Scientific, Inc.......................... 6,900 109,106
*Millennia, Inc...................................... 1,100 413
*Millennium Pharmaceuticals, Inc..................... 24,100 426,269
*Miller Building Systems, Inc........................ 1,600 15,900
*Miller Industries, Inc.............................. 40,200 286,425
*Miltope Group, Inc.................................. 11,000 30,594
*Mindspring Enterprises, Inc......................... 4,500 238,641
Mine Safety Appliances Co............................ 1,900 136,384
*Minimed, Inc........................................ 1,000 49,500
</TABLE>
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Minntech Corp........................................ 3,700 $ 50,413
Minuteman International, Inc......................... 1,000 11,313
*#Miravant Medical Technologies...................... 8,400 230,475
Mississippi Chemical Corp............................ 18,242 305,554
*Mitcham Industries, Inc............................. 6,200 67,813
*Mity-Lite, Inc...................................... 2,200 40,013
Mobile America Corp.................................. 4,900 50,531
*Mobile Mini, Inc.................................... 4,000 42,750
*Modacad, Inc........................................ 3,600 64,125
Modern Controls, Inc................................. 6,450 50,794
*Modtech, Inc........................................ 9,000 176,625
*Molecular Biosystems, Inc........................... 14,200 126,025
*Molecular Devices Corp.............................. 5,600 85,400
*Molecular Dynamics, Inc............................. 6,200 78,275
*#Molten Metal Technology, Inc....................... 15,800 3,239
*Monaco Coach Corp................................... 4,950 133,341
*Monaco Finance, Inc. Class A........................ 2,300 1,330
*Monarch Casino and Resort, Inc...................... 6,300 38,588
Monarch Machine Tool Co.............................. 1,700 14,875
*#Mondavi (Robert) Corp. Class A..................... 3,700 131,581
*Moneygram Payment Systems, Inc...................... 14,500 244,688
*Monro Muffler Brake, Inc............................ 3,944 64,830
*Monroc, Inc......................................... 2,600 27,706
Monterey Bay Bancorp, Inc............................ 1,000 22,125
*#Monterey Pasta Co.................................. 3,400 4,197
*Moog, Inc. Class A.................................. 2,700 105,638
*Moog, Inc. Class B.................................. 600 23,700
*Moore Medical Corp.................................. 2,700 35,438
Moore Products Co.................................... 2,200 72,325
Morgan Keegan, Inc................................... 18,900 433,519
*Morgan Products, Ltd................................ 9,100 48,913
Morrison Health Care, Inc............................ 4,033 69,065
*Morrison Knudsen Corp............................... 43,400 515,375
Morrison Restaurants, Inc............................ 3,025 15,125
*Morrow Snowboards, Inc.............................. 1,000 1,594
*Morton Industrial Group, Inc. Class A............... 1,000 17,813
*Morton's Restaurant Group, Inc...................... 4,000 96,250
*Mosaix, Inc......................................... 9,200 101,200
*Moscom Corp......................................... 5,900 37,244
*#Mossimo, Inc....................................... 13,500 65,813
*Mother's Work, Inc.................................. 2,200 21,175
*Motivepower Industries, Inc......................... 11,500 318,406
*Motor Car Parts & Accessories, Inc.................. 5,100 90,844
*Motor Club of America............................... 700 10,894
Movado Group, Inc.................................... 5,550 162,338
*#Movie Gallery, Inc................................. 11,500 81,219
*Moviefone, Inc. Class A............................. 3,400 32,513
Mueller (Paul) Co.................................... 2,200 84,150
*Multi Color Corp.................................... 1,000 6,375
*Multiple Zones International, Inc................... 11,000 36,781
*Musicland Stores Corp............................... 23,100 333,506
*Mutual Savings Bank FSB Bay City, MI................ 1,700 20,719
*Mycogen Corp........................................ 20,700 485,803
Myers Industries, Inc................................ 12,561 265,351
*Mylex Corp.......................................... 14,600 101,744
*Myriad Genetics, Inc................................ 5,600 113,050
*Mysoftware Co....................................... 1,000 4,563
*N & F Worldwide Corp................................ 12,400 120,900
*NAB Asset Corp. Liquidating Trust................... 200 60
*NABI, Inc........................................... 29,100 104,578
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*NAI Technologies, Inc............................... 6,387 $ 15,169
NBT Bancorp.......................................... 5,628 182,382
*NBTY, Inc........................................... 21,200 369,675
NCH Corp............................................. 3,900 248,381
*NCI Building Systems, Inc........................... 4,800 253,950
*#NCS Healthcare, Inc................................ 7,000 200,813
*NL Industries, Inc.................................. 25,600 512,000
NN Ball & Roller, Inc................................ 12,300 144,525
*NPC International, Inc.............................. 16,300 198,147
*NPS Pharmaceuticals, Inc............................ 7,200 58,500
*NS Group, Inc....................................... 19,200 244,800
*NSA International, Inc.............................. 2,400 3,900
NSC Corp............................................. 8,422 17,239
*NTN Communications, Inc............................. 12,400 15,500
NUI Corp............................................. 10,100 248,713
NYMAGIC, Inc......................................... 7,600 222,300
*Nanometrics, Inc.................................... 4,900 42,416
*Nantucket Industries, Inc........................... 1,200 600
*Napco Security Systems, Inc......................... 4,850 25,766
*#Napro Biotherapeutics, Inc......................... 9,500 11,281
Nash Finch Co........................................ 6,800 115,388
*Nashua Corp......................................... 4,800 75,900
*Nastech Pharmaceutical Co., Inc..................... 4,500 44,719
*Nathans Famous, Inc................................. 1,900 7,303
*National Auto Credit, Inc........................... 21,560 26,950
*National Beverage Corp.............................. 14,800 152,625
*National City Bancorp............................... 4,389 147,306
National City Bankshares, Inc........................ 4,254 169,229
National Computer Systems, Inc....................... 18,400 443,900
*National Dentex Corp................................ 3,000 71,438
*National Discount Brokers Group, Inc................ 6,500 73,125
*National Energy Group, Inc.......................... 33,470 58,050
National Gas & Oil Co................................ 6,785 84,388
*National Home Centers, Inc.......................... 3,000 5,063
*National Home Health Care Corp...................... 3,115 13,628
National Insurance Group............................. 3,600 33,975
*National Media Corp................................. 15,500 20,344
National Penn Bancshares, Inc........................ 5,983 202,300
National Presto Industries, Inc...................... 3,700 149,619
*National Processing, Inc............................ 30,300 299,213
*National Record Mart, Inc........................... 2,900 34,438
*National RV Holdings, Inc........................... 5,600 222,075
*National Standard Co................................ 6,500 36,156
National Steel Corp. Class B......................... 14,800 233,100
*National Surgery Centers, Inc....................... 11,100 309,066
National Technical Systems, Inc...................... 3,400 26,244
*National Techteam, Inc.............................. 12,100 109,278
*National Vision Association, Ltd.................... 12,400 71,688
*National Western Life Insurance Co. Class A......... 1,000 112,406
*Natural Alternatives International, Inc............. 4,500 79,734
*Natural Microsystems Corp........................... 6,200 132,719
*Natural Wonders, Inc................................ 4,000 16,313
Natures Sunshine Products, Inc....................... 11,259 259,309
*#Navarre Corp....................................... 5,200 21,450
*Navigators Group, Inc............................... 3,200 58,800
Nelson (Thomas), Inc................................. 8,900 115,144
*Neogen Corp......................................... 3,700 33,069
*Neopath, Inc........................................ 8,600 109,381
*Neopharm, Inc....................................... 2,000 7,125
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Neoprobe Corp....................................... 13,600 $ 58,650
*Neorx Corp.......................................... 17,225 99,313
*Neose Technologies, Inc............................. 7,300 112,238
*#Neotherapeutics, Inc............................... 3,300 42,900
*#Neoware Systems, Inc............................... 3,100 9,155
*Netmanage, Inc...................................... 30,300 99,895
*Netopia, Inc........................................ 7,000 59,719
*Netrix Corp......................................... 4,700 13,219
*Netvantage, Inc. Class A............................ 8,000 59,250
*Network Appliance Corp.............................. 4,300 149,559
*Network Computing Devices, Inc...................... 13,900 119,019
*Network Equipment Technologies, Inc................. 15,800 247,863
*Network Peripherals, Inc............................ 9,700 42,134
*Network Six, Inc.................................... 275 1,272
*Neurex Co........................................... 19,800 555,638
*Neurobiological Technologies, Inc................... 2,700 4,050
*Neurocrine Biosciences, Inc......................... 1,500 12,656
*Neurogen Corp....................................... 8,600 147,813
*Neuromedical Systems, Inc........................... 25,800 41,119
*New Brunswick Scientific Co., Inc................... 3,158 30,297
New England Business Services, Inc................... 8,100 263,756
#New England Community Bancorp, Inc. Class A......... 2,370 55,547
New Hampsire Thrift BancShares, Inc.................. 200 3,975
*New Horizons Worldwide, Inc......................... 4,400 77,550
New Jersey Resources Corp............................ 11,900 427,656
*New Mexico & Arizona Land Co........................ 2,310 31,763
Newcor, Inc.......................................... 2,940 27,379
Newmil Bancorp, Inc.................................. 3,500 47,688
Newport Corp......................................... 6,800 148,325
*Newsedge Corp....................................... 11,550 136,073
*#Nexstar Pharmaceuticals, Inc....................... 18,496 187,272
*Nexthealth, Inc..................................... 3,400 6,588
*#Niagara Corp....................................... 2,400 23,475
*Nichols Research Corp............................... 9,750 235,219
*Nimbus CD International, Inc........................ 11,800 124,638
*Nitches, Inc........................................ 1,570 4,170
*Nitinol Medical Technologies, Inc................... 7,000 48,563
*Nobel Education Dynamics, Inc....................... 3,600 28,913
*Nobility Homes...................................... 2,250 41,766
*Noel Group, Inc..................................... 8,000 19,500
Noland Co............................................ 200 5,025
*Noodle Kidoodle, Inc................................ 4,900 28,634
*Nord Resources Corp................................. 17,500 38,281
*Nordson Corp........................................ 4,800 219,000
*Norland Medical System, Inc......................... 6,400 14,000
Norrell Corp......................................... 20,300 458,019
*Norstan, Inc........................................ 6,200 151,900
*Nortek, Inc......................................... 5,000 153,750
North Carolina Natural Gas Corp...................... 6,000 138,750
North Central Bancshares, Inc........................ 2,700 59,738
*#North Face, Inc.................................... 6,800 168,725
Northeast Bancorp.................................... 900 15,300
Northern Technologies International.................. 1,700 12,750
*#Northfield Laboratories, Inc....................... 9,800 150,369
#Northland Cranberries, Inc. Class A................. 9,100 144,463
Northrim Bank........................................ 1,615 25,033
Northwest Bancorp, Inc............................... 9,900 161,184
Northwest Natural Gas Co............................. 14,250 392,320
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Northwest Pipe Co................................... 4,200 $ 97,125
*Northwest Teleproductions, Inc...................... 200 247
Northwestern Corp.................................... 14,900 359,463
*Northwestern Steel & Wire Co........................ 18,500 84,117
*Norton McNaughton, Inc.............................. 6,000 40,125
*Norwood Promotional Products, Inc................... 2,200 44,206
*Novacare, Inc....................................... 26,000 286,000
*Novadigm, Inc....................................... 14,000 53,375
*Novametrix Medical Systems, Inc..................... 6,100 45,178
*#Novavax, Inc....................................... 8,700 34,800
*Noven Pharmaceuticals, Inc.......................... 13,400 80,400
*Novitron International, Inc......................... 1,430 4,424
*Nu Horizons Electronics Corp........................ 7,900 48,881
*Nu-Kote Holding, Inc. Class A....................... 17,600 7,425
*Nuevo Energy Co..................................... 11,800 383,500
*#Nuko Information Systems, Inc...................... 3,300 149
*Numerex Corp. Class A............................... 3,000 15,563
*Nutramax Products, Inc.............................. 3,300 33,413
*Nview Corp.......................................... 3,000 4,219
*O'Charleys, Inc..................................... 8,100 167,822
*O'Reilly Automotive, Inc............................ 12,400 402,225
O'Sullivan Corp...................................... 10,100 98,475
*O'Sullivan Industries Holdings, Inc................. 11,300 169,500
*O.I. Corp........................................... 1,600 7,550
*ODS Networks, Inc................................... 11,500 79,422
OEA, Inc............................................. 12,800 219,200
*OEC Medical Systems, Inc............................ 9,400 209,150
*OHM Corp............................................ 19,200 261,600
OM Group, Inc........................................ 9,300 385,950
*OMI Corp............................................ 35,400 325,238
*OSI Pharmaceutical, Inc............................. 13,800 89,269
*OTR Express, Inc.................................... 200 1,275
*Oacis Healthcare Holdings Corp...................... 3,500 12,141
*#Oak Industries, Inc................................ 12,500 435,938
*Oak Technology, Inc................................. 35,700 194,677
*Object Design, Inc.................................. 16,400 89,175
*Objectshare, Inc.................................... 7,300 22,356
*Ocal, Inc........................................... 2,300 5,175
Ocean Financial Corp................................. 8,200 158,106
*Oceaneering International, Inc...................... 17,000 365,500
*Odetics, Inc. Class A............................... 300 3,900
*#Odwalla, Inc....................................... 2,500 23,281
*Offshore Logistics, Inc............................. 17,300 353,569
Oglebay Norton Co.................................... 4,400 191,400
Oil-Dri Corp. of America............................. 4,000 60,000
*Old America Stores, Inc............................. 1,800 0
*Old Dominion Freight Lines, Inc..................... 7,200 120,150
*Olympic Steel, Inc.................................. 10,000 140,938
*Omega Environmental, Inc............................ 18,065 6,774
Omega Financial Corp................................. 4,450 163,816
*Omega Health System, Inc............................ 1,900 12,647
*Omni Doors, Inc..................................... 275 10
*Omni Multimedia Group, Inc.......................... 1,500 563
*On Assignment, Inc.................................. 6,000 201,000
*On Command Corp..................................... 5,900 81,309
*On Technology Corp.................................. 1,700 6,216
*On-Point Technology Systems, Inc.................... 7,900 17,528
*#Oncor, Inc......................................... 20,800 18,200
*Oncormed, Inc....................................... 4,700 13,219
*One Price Clothing Stores, Inc...................... 5,200 21,125
One Valley Bancorp of West Virginia.................. 2,835 99,225
Oneida, Ltd.......................................... 13,050 364,584
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Oneita Industries, Inc.............................. 2,700 $ 1,755
*Ontrack Data International, Inc..................... 7,900 107,391
*Onyx Acceptance Corp................................ 200 2,031
*Onyx Pharmacueticals, Inc........................... 5,600 44,450
*#Open Market, Inc................................... 12,000 194,250
*Opinion Research Corp............................... 1,700 12,644
*Opta Food Ingredients, Inc.......................... 9,000 50,906
*Optek Technology, Inc............................... 2,600 54,600
*Opti, Inc........................................... 9,200 60,088
Optical Coating Laboratory, Inc...................... 6,900 116,006
*Optical Sensors, Inc................................ 5,000 23,438
*Optika Imaging Systems, Inc......................... 5,900 17,331
*Option Care, Inc.................................... 5,300 17,722
Orange & Rockland Utilities, Inc..................... 8,700 464,906
*Orange Co., Inc..................................... 9,400 62,275
*Oravax, Inc......................................... 3,600 4,444
*Oravax, Inc. (Private Placement).................... 5,500 6,110
*Orbit International Corp............................ 2,900 9,516
*Orcad, Inc.......................................... 300 3,281
Oregon Steel Mills, Inc.............................. 18,000 435,375
*#Organogenesis, Inc................................. 23,776 603,316
*Oriole Homes Corp. Class A Convertible.............. 800 4,125
*Oriole Homes Corp. Class B.......................... 2,000 9,813
*Oroamerica, Inc..................................... 2,500 27,266
*Orphan Medical, Inc................................. 4,585 49,289
*Ortel Corp.......................................... 10,100 147,081
*Orthologic Corp..................................... 17,500 92,422
Oshkosh B'Gosh, Inc. Class A......................... 8,100 313,622
Oshkosh Truck Corp. Class B.......................... 3,800 88,588
*Oshman's Sporting Goods, Inc........................ 2,900 17,038
*Osmonics, Inc....................................... 8,800 130,350
*Osteotech, Inc...................................... 5,100 93,872
*Ostex International, Inc............................ 10,000 25,313
Ottawa Financial Corp................................ 2,750 79,234
Otter Tail Power Co.................................. 6,300 201,206
*Outlook Group Corp.................................. 1,800 10,800
Overseas Shipholding Group, Inc...................... 11,200 217,000
Owens & Minor, Inc................................... 22,500 264,375
Owosso Corp.......................................... 3,600 25,425
Oxford Industries, Inc............................... 5,300 184,838
*#Oxigene, Inc....................................... 6,900 89,269
*Oxis International, Inc............................. 8,400 8,531
*P&F Industries, Inc. Class A........................ 1,300 12,919
*P-Com, Inc.......................................... 25,000 375,781
*PAM Transportation Services, Inc.................... 6,600 67,856
*PC Quote, Inc....................................... 3,600 9,000
*PC Service Source, Inc.............................. 4,900 23,888
PCA International, Inc............................... 4,700 121,172
*#PHP Healthcare Corp................................ 11,000 100,375
*PIA Merchandising Services, Inc..................... 500 3,344
*PICO Holdings, Inc.................................. 22,809 101,928
*PJ America, Inc..................................... 3,500 70,438
PLM International, Inc............................... 5,100 43,988
*PMR Corp............................................ 6,700 68,675
*PMT Services, Inc................................... 27,600 536,475
*PPT Vision, Inc..................................... 4,200 28,875
*PRI Automation, Inc................................. 11,700 237,291
PS Group Holdings, Inc............................... 3,000 38,625
*PSC, Inc............................................ 8,900 95,675
*PSS World Medical, Inc.............................. 6,550 82,080
*PST Vans, Inc....................................... 1,300 7,231
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*PSW Technologies, Inc............................... 8,000 $ 50,500
PXRE Corp............................................ 12,120 381,780
*#Pacific Aerospace and Electroncis, Inc............. 9,300 57,253
*Pacific Crest Capital, Inc.......................... 1,060 20,538
*Pacific Pharmaceuticals, Inc........................ 3,200 2,000
*#Pacific Sunwear of California, Inc................. 9,600 429,900
*Pagasus Systems, Inc................................ 5,000 128,750
*Pagemart Wireless, Inc. Class A..................... 27,500 250,078
*Pages, Inc.......................................... 1,700 2,152
*#Palatin Technologies, Inc.......................... 62 407
*Palm Harbor Homes, Inc.............................. 4,375 180,332
*Palmer (Arnold) Golf Co............................. 1,600 2,550
*Pamida Holdings Corp................................ 4,000 27,000
Pamrapo Bancorp, Inc................................. 1,300 36,888
*Panaco, Inc......................................... 5,000 20,313
Pancho's Mexican Buffet, Inc......................... 5,000 8,438
*#Panda Project, Inc................................. 9,800 40,119
*Par Technology Corp................................. 7,500 49,219
*Paracelsus Healthcare Corp.......................... 33,100 101,369
*Paragon Health Networks, Inc........................ 13,260 203,873
*Paragon Trade Brands, Inc........................... 7,100 33,725
*Parallel Petroleum Corp............................. 12,800 61,600
*Parexel International Corp.......................... 16,800 500,850
*Paris Corp.......................................... 200 363
Park Electrochemical Corp............................ 6,800 161,500
Park National Corp................................... 4,300 409,575
*Park-Ohio Industries, Inc........................... 7,934 149,754
*Parker Drilling Co.................................. 10,000 84,375
*#Parkervision, Inc.................................. 6,800 165,325
Parkvale Financial Corp.............................. 2,440 78,385
*Parlux Fragrances, Inc.............................. 8,100 16,453
*Pathogenesis Corp................................... 10,500 375,375
Patina Oil & Gas Corp................................ 3,134 22,526
Patrick Industries, Inc.............................. 4,700 74,319
*Patterson Energy, Inc............................... 27,280 306,048
*Paul Harris Stores, Inc............................. 8,300 106,863
*Paul-Son Gaming Corp................................ 2,000 17,750
*Paxar Corp.......................................... 44,015 544,686
*Paxson Communications Corp.......................... 40,300 476,044
*Payless Cashways, Inc............................... 159 514
*Paymentech, Inc..................................... 31,200 530,400
*Pediatric Services of America, Inc.................. 4,800 87,600
*Pediatrix Medical Group, Inc........................ 9,000 325,688
*Peerless Group, Inc................................. 1,900 9,619
Peerless Manufacturing Co............................ 200 2,475
*Pegasus Communications Corp. Class A................ 3,400 81,175
*Penederm, Inc....................................... 6,900 86,466
Penford Corp......................................... 4,400 137,500
Penn Engineering & Manufacturing Corp. Class A....... 600 13,650
Penn Engineering & Manufacturing Corp. Non-voting.... 7,500 187,500
*Penn National Gaming, Inc........................... 12,600 111,038
*#Penn Traffic Co.................................... 9,300 37,781
*Penn Treaty American Corp........................... 3,800 115,425
Penn Virginia Corp................................... 8,200 231,650
Penn-America Group, Inc.............................. 6,950 118,367
#Penncorp Financial Group, Inc....................... 6,000 132,750
Pennfed Financial Services, Inc...................... 5,800 101,138
Pennsylvania Enterprises, Inc........................ 5,800 150,800
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Penske Motorsports, Inc............................ 8,500 $ 272,531
*Pentech International, Inc.......................... 7,000 12,250
Peoples Bancorp...................................... 300 6,666
Peoples Bancshares, Inc. Massachusetts............... 2,500 65,000
*Peoples Choice TV Corp.............................. 6,350 9,922
Peoples Heritage Financial Group, Inc................ 16,240 364,893
*Peoples Telephone Co., Inc.......................... 13,950 37,491
*Perceptron, Inc..................................... 6,550 81,466
*Peregrine Systems, Inc.............................. 3,500 71,969
*Performance Food Group Co........................... 9,800 184,669
*Performance Technologies, Inc....................... 5,800 80,113
*Perfumania, Inc..................................... 3,900 9,628
*Perini Corp......................................... 3,700 32,838
*Periphonics Corp.................................... 11,900 121,231
*Personnel Group of America, Inc..................... 21,600 437,400
*Personnel Management, Inc........................... 500 6,469
*Petco Animal Supplies, Inc.......................... 13,456 262,392
*Pete's Brewing Co................................... 7,600 44,294
*Petersen Companies, Inc. Class A.................... 15,700 386,613
*Petrocorp, Inc...................................... 6,900 56,063
*Petroleum Development Corp.......................... 13,600 75,650
Petroleum Heat & Power Co., Inc. Class A............. 13,500 24,469
*PetSmart, Inc....................................... 12,600 124,819
*Phar-Mor, Inc....................................... 8,900 85,106
*Pharmaceutical Marketing Services, Inc.............. 12,600 168,525
*Pharmaceutical Products Development Service Co...... 16,570 350,559
*Pharmaceutical Resources, Inc....................... 10,800 49,275
*Pharmacopeia, Inc................................... 9,100 156,975
*Pharmacyclics....................................... 7,300 183,413
*Pharmchem Laboratories, Inc......................... 4,400 11,000
*Pharmerica, Inc..................................... 24,800 301,475
*#Pharmos Corp....................................... 6,200 18,406
Philadelphia Suburban Corp........................... 17,865 351,737
*#Philadelphia Consolidated Holding Corp............. 7,000 161,875
*Philip Services Corp................................ 3,144 12,183
*Phillips (R.H.), Inc................................ 3,900 12,370
Phillips-Van Heusen Corp............................. 21,900 284,700
*Phoenix Gold International, Inc..................... 1,000 2,875
*#Phoenix International, Ltd......................... 4,650 80,794
Phoenix Investment Partners, Ltd..................... 34,100 319,688
*Phoenix Network, Inc. Escrow........................ 10,200 0
*Phoenix Technologies, Ltd........................... 12,700 128,984
*Phonetel Technologies, Inc.......................... 2,100 3,938
*Photo Control Corp.................................. 1,000 2,250
*Photon Dynamics, Inc................................ 5,500 24,063
*Photran Corp........................................ 1,100 3,231
*Photronics, Inc..................................... 16,900 445,209
*Phymatrix Corp...................................... 19,000 179,016
*Physician Computer Network, Inc..................... 46,100 72,751
*Physician Reliance Network, Inc..................... 33,000 364,031
*Physicians Resource Group, Inc...................... 20,700 106,088
*Physio-Control International Corp................... 10,400 219,375
*Physiometrix, Inc................................... 3,300 5,569
Piccadilly Cafeterias, Inc........................... 6,300 81,113
*Picturetel Corp..................................... 26,400 249,150
*Piercing Pagoda, Inc................................ 4,200 145,950
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Pilgrim America Capital Corp........................ 3,600 $ 93,600
Pilgrim Pride Corp................................... 24,000 411,000
Pillowtex Corp....................................... 7,017 328,045
*Pinkertons, Inc..................................... 7,550 157,606
*#Pinnacle Micro, Inc................................ 3,800 760
*Pinnacle Systems, Inc............................... 6,700 225,288
Pioneer Group, Inc................................... 15,100 428,934
Pioneer Standard Electronics, Inc.................... 21,900 273,066
Pitt-Des Moines, Inc................................. 3,600 191,700
Pittston Co. Burlington Group........................ 18,300 321,394
Pittston Co. Minerals Group.......................... 7,700 48,606
*Plains Resources, Inc............................... 13,700 262,013
*Planar Systems, Inc................................. 8,600 104,275
*Plantronics, Inc.................................... 12,400 567,300
*Plasma-Therm, Inc................................... 9,800 81,463
*Platinum Software Corp.............................. 17,600 337,150
*Platinum Technology, Inc............................ 5,650 154,316
*Play By Play Toys and Novelties, Inc................ 3,800 63,175
*Playboy Enterprises, Inc. Class A................... 2,800 45,675
*Playboy Enterprises, Inc. Class B................... 9,800 175,175
*Playcore, Inc....................................... 3,936 17,466
*Players International, Inc.......................... 27,550 148,942
*Playtex Products, Inc............................... 41,300 593,688
Plenum Publishing Corp............................... 1,500 102,000
*Plexus Corp......................................... 11,300 242,597
Poe & Brown, Inc..................................... 8,250 308,344
*Polk Audio, Inc..................................... 500 8,875
*Pollo Tropical, Inc................................. 6,100 60,809
*Polycom, Inc........................................ 17,400 240,338
*Polymedica Industries, Inc.......................... 7,100 61,238
*Polymer Group, Inc.................................. 27,000 322,313
*Polyphase Corp...................................... 6,600 5,363
*Pomeroy Computer Resource, Inc...................... 10,375 232,789
*Pool Energy Services Co............................. 13,600 277,525
Pope & Talbot, Inc................................... 7,600 103,075
*Porta Systems Corp.................................. 5,180 22,015
Portec, Inc.......................................... 7,610 121,284
*Positive Response Television, Inc. Escrow........... 1,400 0
*Positron Corp....................................... 1,400 723
*#Possis Medical, Inc................................ 8,600 93,525
*Powell Industries, Inc.............................. 5,300 64,263
*Powercerv Corp...................................... 10,600 52,006
*Powerhouse Technologies, Inc........................ 8,700 84,009
*Powertel, Inc....................................... 16,500 300,094
*Powerwave Technologies, Inc......................... 10,300 198,275
*Praegitzer Industries, Inc.......................... 9,000 76,781
*Pre-Paid Legal Services, Inc........................ 16,000 568,000
*Precision Response, Corp............................ 15,900 109,064
*Precision Standard, Inc............................. 950 3,295
Premier Bancshares, Inc.............................. 2,100 57,225
*#Premier Laser Systems, Inc. Class A................ 9,900 41,147
*Premiumwear, Inc.................................... 800 3,900
*President Casinos, Inc.............................. 3,000 7,125
Presidential Life Corp............................... 23,100 509,644
*Presley Companies Class A........................... 5,600 4,200
*Presstek, Inc....................................... 19,100 284,113
*Price Communications Corp........................... 8,983 97,690
Price Enterprises, Inc............................... 14,000 249,813
*Pricellular Corp. Class A........................... 17,500 237,344
</TABLE>
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<S> <C> <C>
*Pricesmart, Inc..................................... 3,500 $ 54,469
*Prima Energy Corp................................... 3,500 62,563
*Primadonna Resorts, Inc............................. 20,200 349,713
Prime Bancorp, Inc................................... 2,365 107,608
*Prime Medical Services, Inc......................... 14,000 145,688
Primesource Corp..................................... 2,581 23,390
*Primus Telecommunications Group, Inc................ 13,500 248,063
*Printrak International, Inc......................... 5,000 33,750
*Printronix, Inc..................................... 5,425 86,800
*Prism Solutions, Inc................................ 11,800 82,600
*#Procept, Inc....................................... 714 491
*Procom Technology, Inc.............................. 6,000 46,125
*Procyte Corp........................................ 5,200 6,256
*Proffitts, Inc...................................... 16,800 659,400
*Profit Recovery Group International, Inc............ 11,000 268,813
*Programmers Paradise, Inc........................... 2,400 23,550
Progress Financial Corp.............................. 2,350 45,384
*Progress Software Corp.............................. 10,300 333,141
Progressive Bank, Inc................................ 1,500 62,250
*Project Software & Development, Inc................. 8,800 198,550
*Protein Design Labs, Inc............................ 10,900 274,884
*Proteon, Inc........................................ 7,700 9,625
*Protocol Systems, Inc............................... 8,500 81,813
Providence & Worcester Railroad Co................... 800 11,500
Providence Energy Corp............................... 5,300 108,650
*Provident American Corp............................. 8,500 53,922
Provident Bankshares Corp............................ 15,218 477,465
*Provident Financial Holdings, Inc................... 1,700 39,313
*Proxim, Inc......................................... 7,000 92,313
*#Proxymed, Inc...................................... 9,900 121,894
*Psinet, Inc......................................... 30,600 329,906
Psychemedics Corp.................................... 12,800 72,000
Public Service Co. of North Carolina................. 11,900 252,875
Pulaski Furniture Corp............................... 1,300 33,475
*Pulsepoint Communications Corp...................... 1,975 11,356
*Puma Technology, Inc................................ 7,300 43,572
*Pure World, Inc..................................... 4,600 66,700
*Pyramid Breweries, Inc.............................. 4,300 13,169
*Q Logic Corp........................................ 5,200 211,900
*QC Optics, Inc...................................... 1,900 5,938
*QEP Co., Inc........................................ 1,300 12,838
*QMS, Inc............................................ 7,500 33,281
*Quad Systems Corp................................... 3,600 13,838
Quaker Chemical Corp................................. 4,300 89,494
*Quaker City Bancorp, Inc............................ 1,750 39,703
*Quaker Fabric Corp.................................. 4,900 131,075
Quaker State Corp.................................... 26,600 450,538
*Quality Dining, Inc................................. 14,000 57,094
*Quality Semiconductor, Inc.......................... 5,200 16,331
*Quality Systems, Inc................................ 2,700 23,288
Quanex Corp.......................................... 8,000 248,500
*Quarterdeck Office Systems, Inc..................... 32,300 44,917
Queens County Bancorp................................ 9,900 440,550
*Quest Medical, Inc.................................. 6,700 59,881
*Quickresponse Services, Inc......................... 5,200 185,575
*Quickturn Design Systems, Inc....................... 11,700 89,395
*Quidel Corp......................................... 20,800 72,475
*Quiksilver, Inc..................................... 9,600 184,500
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Quintel Entertainment, Inc.......................... 14,900 $ 81,019
*Quipp, Inc.......................................... 1,400 22,138
Quixote Corp......................................... 5,900 76,331
*R & B, Inc.......................................... 5,700 74,100
*RCM Technologies, Inc............................... 6,000 124,875
*RDM Sports Group, Inc............................... 16,900 423
*RDO Equipment Co. Class A........................... 5,000 86,250
*RF Monolithics, Inc................................. 3,400 39,950
RLI Corp............................................. 5,300 276,263
*RMH Teleservices, Inc............................... 4,400 16,431
*#RMI Titanium Co.................................... 17,100 366,581
RPC, Inc............................................. 45,400 598,713
*RTW, Inc............................................ 7,100 56,356
*Racotek, Inc........................................ 15,800 49,375
*Rag Shops, Inc...................................... 2,300 8,338
*Ragan (Brad), Inc................................... 3,800 146,775
*Railamerica, Inc.................................... 6,800 43,775
*Railtex, Inc........................................ 6,600 102,094
*Rainbow Technologies, Inc........................... 3,700 89,263
*Rainforest Cafe, Inc................................ 18,300 254,484
*Ralcorp Holdings, Inc............................... 22,000 468,875
*#Rally's Hamburgers, Inc............................ 18,300 39,173
Ramapo Financial Corp................................ 6,500 48,750
*Ramsay Health Care, Inc............................. 8,700 16,856
*Ramtron International Corp.......................... 28,800 117,000
*Rare Hospitality International, Inc................. 8,381 104,501
Raritan Bancorp, Inc. DE............................. 300 8,400
*Raster Graphics, Inc................................ 3,500 3,719
Raven Industries, Inc................................ 2,600 52,325
*Rawlings Sporting Goods, Inc........................ 4,900 75,950
*#Raytech Corp. DE................................... 1,300 6,825
*Read-Rite Corp...................................... 32,000 281,000
*Reading Entertainment, Inc.......................... 2,000 26,875
*Recoton Corp........................................ 8,966 290,554
*Recovery Engineering, Inc........................... 2,700 70,791
*Recycling Industries, Inc........................... 11,600 69,963
*#Red Brick Systems, Inc............................. 1,600 9,050
*#Redhook Ale Brewery, Inc........................... 2,000 12,875
*Redwood Empire Bancorp.............................. 900 18,338
*Reeds Jewelers, Inc................................. 440 1,719
*Refac Technology Development Corp................... 7,000 74,375
Regal Beloit Corp.................................... 14,600 476,325
*Regeneron Pharmaceuticals, Inc...................... 23,300 218,438
Regis Corp........................................... 14,250 397,219
*Rehabcare Group, Inc................................ 3,450 89,377
*Rehabilicare, Inc................................... 2,900 8,428
*Reliability, Inc.................................... 4,800 51,000
Reliance Bancorp, Inc................................ 5,800 221,306
Reliance Steel and Aluminum Co....................... 10,600 404,788
Reliv International, Inc............................. 7,750 29,789
*Relm Wireless Corp.................................. 4,100 16,016
*Remec, Inc.......................................... 14,800 212,288
*Remedy Corp......................................... 16,900 273,041
*Remington Oil & Gas Corp. Class A................... 400 2,388
*Remington Oil and Gas Corp. Class B................. 14,000 86,625
*#Reno Air, Inc...................................... 10,400 81,738
*Rent-Way, Inc....................................... 5,000 147,969
*Rental Service Corp................................. 11,900 308,656
*Renters Choice, Inc................................. 15,200 407,075
*Rentrak Corp........................................ 9,300 54,783
</TABLE>
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<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Repligen Corp....................................... 6,100 $ 12,009
*#Reptron Electronics, Inc........................... 4,600 56,063
*Republic Automotive Parts, Inc...................... 1,300 26,528
Republic Bancorp, Inc................................ 15,313 290,468
*Republic Engineered Steels, Inc..................... 7,900 26,416
*Republic First Bancorp, Inc......................... 2,440 27,603
Republic Group, Inc.................................. 7,370 140,491
#Republic Security Financial Corp.................... 13,700 161,403
*#Res-Care, Inc...................................... 9,700 305,853
*Resound Corp........................................ 12,600 80,719
Resource America, Inc................................ 3,000 199,875
Resource Bancshares Mortgage Group, Inc.............. 15,808 276,146
*Respironics, Inc.................................... 26,148 427,356
*Response Oncology, Inc.............................. 10,456 66,330
*Restrac, Inc........................................ 5,100 25,181
*Retirement Care Association, Inc.................... 6,700 52,763
*Rex Stores Corp..................................... 6,600 88,688
*Rexhall Industries, Inc............................. 1,102 8,782
*Rexx Environmental Corp............................. 800 3,100
*Ribi Immunochem Research, Inc....................... 16,400 85,588
*Ribozyme Pharmaceuticals............................ 6,700 35,384
*Richey Electronics, Inc............................. 7,800 75,075
*Riddell Sports, Inc................................. 7,255 37,635
*Ride, Inc........................................... 5,400 9,788
Riggs National Corp.................................. 17,900 491,131
*Right Management Consultants, Inc................... 5,300 72,544
*Right Start, Inc.................................... 5,200 7,475
*Rightchoice Managed Care, Inc. Class A.............. 2,400 27,750
*Rimage Corp......................................... 2,000 23,250
*Ringer Corp......................................... 6,500 14,219
*Rio Hotel & Casino, Inc............................. 14,100 306,675
Rival Co............................................. 4,900 71,509
*River Oaks Furniture, Inc........................... 2,400 300
*Riverside Group, Inc................................ 1,000 3,531
Riverview Bancorp, Inc............................... 4,900 82,688
Rivianna Foods, Inc.................................. 9,400 207,681
*Riviera Holdings Corporation........................ 2,500 19,375
*Roadhouse Grill, Inc................................ 5,600 29,750
*Roadway Express, Inc................................ 11,400 213,750
Roanoke Electric Steel Corp.......................... 6,900 140,588
Robbins & Myers, Inc................................. 6,800 201,875
*Roberds, Inc........................................ 3,500 9,844
*Roberts Pharmaceutical Corp......................... 17,600 290,400
*Robertson-Ceco Corp................................. 9,618 92,573
Robinson Nugent, Inc................................. 2,400 12,600
*Robotic Vision Systems, Inc......................... 14,700 93,253
*Rochester Medical Corp.............................. 4,600 68,138
*Rock Bottom Restaurants, Inc........................ 6,500 41,031
Rock-Tenn Co. Class A................................ 20,100 295,219
*Rockford Industries, Inc............................ 3,500 35,219
*Rockshox, Inc....................................... 6,400 31,400
*Rocky Mountain Chocolate Factory.................... 1,900 13,300
*Rocky Shoes & Boots, Inc............................ 3,500 54,797
*Rodman & Renshaw Capital Group, Inc................. 1,300 0
*Rofin-Sinar Technologies, Inc....................... 6,900 129,159
*Rogers Corp......................................... 10,000 386,250
*Rogue Wave Software, Inc............................ 4,200 33,731
Rohn Industries, Inc................................. 44,400 196,331
Rollins Truck Leasing Corp........................... 48,300 579,600
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Rollins, Inc......................................... 20,200 $ 416,625
*Romac International, Inc............................ 17,300 486,022
*Ross Systems, Inc................................... 14,600 68,894
Rotonics Manufacturing, Inc.......................... 2,500 2,969
*Rottlund, Inc....................................... 2,300 9,200
Rouge Industries, Inc. Class A....................... 12,100 152,763
Rowe Furniture Corp.................................. 12,200 111,325
*Royal Appliance Manufacturing Co.................... 19,500 101,156
Royal Bancshares of Pennsylvania Class A............. 2,649 53,146
*Royal Energy, Inc................................... 2,300 10,063
*Royal Precision, Inc................................ 550 2,802
Ruby Tuesday, Inc.................................... 24,000 385,500
Ruddick Corp......................................... 23,300 416,488
*Rural Cellular Corp. Class A........................ 5,100 87,656
*Rural/Metro Corp.................................... 9,800 232,444
*Rush Enterprises, Inc............................... 1,400 19,338
Russ Berrie & Co., Inc............................... 15,500 391,375
Ryan Beck & Co....................................... 210 2,048
*Ryans Family Steak Houses, Inc...................... 33,100 338,241
*#Ryerson Tull, Inc. Class A......................... 1,600 33,600
Ryland Group, Inc.................................... 11,600 232,725
*S&K Famous Brands, Inc.............................. 2,500 45,313
S&T Bancorp, Inc..................................... 8,100 438,413
*S3, Inc............................................. 42,500 277,578
*#SABA Petroleum Co.................................. 9,100 15,925
*SBE, Inc............................................ 900 3,769
*SBS Technologies, Inc............................... 3,500 97,781
*SDL, Inc............................................ 8,100 180,225
*SED International Holdings, Inc..................... 6,150 54,005
SEI Investments Co................................... 10,100 672,597
SEMCO Energy, Inc.................................... 10,102 172,997
*SEMX Corp........................................... 5,200 29,494
*SFX Broadcasting, Inc. Class A...................... 5,200 390,975
*SFX Entertainment, Inc. Class A..................... 5,200 229,775
*SGV Bancorp, Inc.................................... 1,400 25,025
*SI Handling, Inc.................................... 2,025 27,338
SIS Bancorp, Inc..................................... 2,800 116,900
SJNB Financial Corp.................................. 1,300 52,975
SJW Corp............................................. 1,600 103,600
SL Industries, Inc................................... 9,200 118,450
*#SLH Corp........................................... 5,250 122,555
*SMC Corp............................................ 5,600 41,650
*SOS Staffing Services, Inc.......................... 8,900 173,550
*SPS Technologies, Inc............................... 7,200 422,100
*SPS Transaction Service, Inc........................ 17,500 542,500
*SPSS, Inc........................................... 5,200 117,813
*SRS Labs, Inc....................................... 4,800 32,700
*SSE Telecom, Inc.................................... 3,500 14,547
*#STB Systems, Inc................................... 7,975 81,993
*STM Wireless, Inc. Class A.......................... 2,900 30,994
*SYNC Research, Inc.................................. 15,400 57,269
*Safeguard Health Enterprises, Inc................... 4,400 33,413
*Safety 1st, Inc..................................... 5,900 44,250
*Safety Components International, Inc................ 3,100 51,538
*Saga Communications, Inc. Class A................... 5,608 116,366
*Salant Corp. DE..................................... 11,000 6,875
Salient 3 Communications, Inc. Class A............... 2,400 23,925
*Salton/Maxim Housewares, Inc........................ 9,600 115,800
*#Samsonite Corp..................................... 12,200 350,369
</TABLE>
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<TABLE>
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<S> <C> <C>
*San Filippo (John B.) & Son, Inc.................... 5,000 $ 32,500
Sanderson Farms, Inc................................. 9,200 108,675
*Sandisk Corp........................................ 22,900 373,556
*Sands Regent Casino Hotel........................... 2,000 4,375
Sandwich Bancorp, Inc................................ 900 57,234
*Sangstat Medical Corp............................... 9,000 235,688
*Santa Cruz Operation, Inc........................... 25,600 128,800
*Santa Fe Gaming Corp................................ 3,700 4,163
*Satcon Technology Corp.............................. 8,100 75,431
*Saucony, Inc. Class A............................... 1,000 5,688
*Saucony, Inc. Class B............................... 1,500 8,063
*#Savoir Technology Group, Inc....................... 5,400 54,338
*Sawtek, Inc......................................... 12,500 320,703
Sbarro, Inc.......................................... 18,700 546,975
*Scan-Optics, Inc.................................... 14,900 81,484
*ScanSource, Inc..................................... 2,900 56,550
Schawk, Inc. Class A................................. 6,200 93,000
*Schieb (Earl), Inc.................................. 2,200 16,775
*Schlotzskys, Inc.................................... 3,500 56,219
*Schmitt Industries, Inc............................. 5,700 35,269
Schnitzer Steel Industries, Inc. Class A............. 3,400 88,188
*Scholastic Corp..................................... 9,200 364,838
*Schuler Homes, Inc.................................. 16,100 133,831
*Schulman (A.), Inc.................................. 12,000 240,000
Schultz Sav-O Stores, Inc............................ 2,550 40,163
*Sciclone Pharmaceuticals, Inc....................... 13,700 55,228
*#Scientific Games Holdings Corp..................... 8,600 181,675
Scientific Technologies, Inc......................... 6,700 78,725
*Scios-Nova, Inc..................................... 27,287 257,521
Scope Industries, Inc................................ 3,500 241,500
Scotsman Industries, Inc............................. 8,900 254,206
*Scott Technologies, Inc. Class A.................... 9,100 134,509
*Scott Technologies, Inc. Class B.................... 2,500 35,547
Scott's Liquid Gold, Inc............................. 7,100 19,303
*Scotts Co. Class A.................................. 11,200 390,600
*Seachange International, Inc........................ 11,000 103,125
Seacoast Banking Corp. Class A....................... 1,500 57,281
*Sealright Co., Inc.................................. 6,600 89,100
*Seattle Filmworks, Inc.............................. 14,300 121,997
Seaway Food Town, Inc................................ 600 8,888
*Secom General Corp.................................. 700 1,181
Second Bancorp, Inc.................................. 600 18,019
*Secure Computing Corp............................... 11,000 111,719
Security First Corp.................................. 3,600 87,975
*Seeq Technology, Inc. DE............................ 24,400 51,088
*Segue Software, Inc................................. 3,500 45,391
*Seibels Bruce Group, Inc............................ 4,200 30,975
*Seitel, Inc......................................... 15,500 263,500
Selas Corp. of America............................... 5,500 51,906
Selective Insurance Group, Inc....................... 14,600 382,338
*#Selfcare, Inc...................................... 6,800 67,150
*Semitool, Inc....................................... 11,600 125,425
*Semtech Corp........................................ 8,500 178,766
*Seneca Foods Corp. Class A.......................... 200 3,150
*Seneca Foods Corp. Class B.......................... 1,100 17,944
*#Sentry Technology Corp............................. 1,829 2,172
*Sepracor, Inc....................................... 4,000 172,125
*Sequa Corp. Class A................................. 2,600 179,725
*Sequa Corp. Class B................................. 1,700 143,916
*Sequent Computer Systems, Inc....................... 26,100 434,728
*Sequus Pharmaceuticals, Inc......................... 25,600 289,600
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Seragen, Inc........................................ 8,300 $ 5,748
*Serologicals Corp................................... 7,300 215,350
*Service Experts, Inc................................ 9,500 298,063
*Service Merchandise Co., Inc........................ 67,800 144,075
*Servico, Inc........................................ 15,900 270,300
*Servotronics, Inc................................... 900 10,519
Sevenson Environmental Services, Inc................. 2,080 18,525
*#Shaman Pharmaceuticals............................. 14,000 68,031
*Sharper Image Corp.................................. 7,600 47,025
*Shaw Group, Inc..................................... 13,700 335,650
*Sheffield Medical Technologies, Inc................. 7,000 8,750
Shelby Williams Industries, Inc...................... 5,400 82,350
*Sheldahl, Inc....................................... 6,900 65,981
*Sheridan Healthcare, Inc............................ 4,000 51,500
*Shiloh Industries, Inc.............................. 6,500 139,141
*Shiva Corp.......................................... 19,300 181,541
*Shoe Carnival, Inc.................................. 7,800 108,713
*Sholodge, Inc....................................... 3,600 33,525
*Shoney's, Inc....................................... 45,000 199,688
*Shopko Stores, Inc.................................. 19,400 676,575
Shoreline Financial Corp............................. 2,646 81,365
*Shorewood Packaging Corp............................ 19,050 263,128
*Show Biz Pizza Time, Inc............................ 7,200 256,275
Showboat, Inc........................................ 14,300 437,938
*Showscan Entertainment, Inc......................... 2,800 1,619
*Shuffle Master, Inc................................. 6,300 58,275
*Siebel Systems, Inc................................. 9,829 224,531
*Sierra Health Services, Inc......................... 10,818 401,618
Sierrawest Bancorp................................... 2,270 81,933
Sifco Industries, Inc................................ 7,000 170,625
Sigcorp, Inc......................................... 12,250 382,047
*Sight Resource Corp................................. 5,000 20,156
*Sigma Circuits, Inc................................. 2,500 21,953
*Sigma Designs, Inc.................................. 7,900 32,588
*Sigmatron International, Inc........................ 1,400 10,106
*Signal Apparel Co., Inc. Class A.................... 6,200 13,175
*Signal Technology Corp.............................. 4,100 23,063
*#Silicon Gaming, Inc................................ 7,300 69,236
*Silicon Storage Technology, Inc..................... 3,500 10,008
*Silicon Valley Bancshares........................... 11,400 377,625
*Silicon Valley Group, Inc........................... 19,400 353,444
*Siliconix, Inc...................................... 4,000 108,250
*#Silverado Foods, Inc............................... 2,400 900
Simmons First National Corp. Class A................. 3,450 154,172
Simpson Industries, Inc.............................. 10,950 152,958
*#Simula, Inc........................................ 6,100 86,163
*Sipex Corp.......................................... 10,700 232,056
*Sirena Apparel Group, Inc........................... 2,100 14,569
*Sitel Corp.......................................... 54,800 342,500
*Sizzler International, Inc.......................... 11,500 31,625
Skaneateles Bancorp, Inc............................. 900 15,750
Skyline Corp......................................... 5,100 148,538
*Skytel Communications, Inc.......................... 9,000 204,188
Skywest, Inc......................................... 6,200 269,313
Smart & Final Food, Inc.............................. 13,400 251,250
*#Smartalk Teleservices, Inc......................... 9,900 181,603
*Smartflex Systems, Inc.............................. 3,800 33,250
Smith (A.O.) Corp.................................... 8,500 429,250
Smith (A.O.) Corp. Convertible Class A............... 2,500 126,250
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Smithway Motor Express Corp. Class A................ 500 $ 7,375
Smucker (J.M.) Co. Class A........................... 7,800 185,738
Smucker (J.M.) Co. Class B........................... 13,000 312,000
Snyder Oil Corp...................................... 37,600 728,500
*Sodak Gaming, Inc................................... 17,400 110,381
*Softech, Inc........................................ 3,500 21,438
*Softnet Systems, Inc................................ 3,236 49,754
*#Software Spectrum, Inc............................. 2,400 43,350
Somerset Group, Inc.................................. 312 6,747
*Sonic Corp.......................................... 14,850 303,961
*Sonic Solutions..................................... 6,100 21,541
*Sonics & Materials, Inc............................. 300 450
*Sonosight, Inc...................................... 3,633 24,069
*#Sonus Pharmaceuticals, Inc......................... 7,800 108,956
*Sound Advice, Inc................................... 1,422 4,622
South Jersey Industries, Inc......................... 6,448 176,111
Southern California Water Co......................... 4,500 98,156
*Southern Energy Homes, Inc.......................... 10,625 105,586
*Southern Mineral Corp............................... 7,300 26,006
*#Southern Pacific Funding Corp...................... 18,500 284,438
*Southern Union Co................................... 10,866 290,666
*Southwall Technologies, Inc......................... 5,400 30,375
Southwest Bancorp, Inc............................... 1,500 47,250
Southwest Bancshares, Inc. DE........................ 1,350 43,031
Southwest Gas Corp................................... 16,200 354,375
Southwest National Corp.............................. 200 10,100
Southwest Securities Group, Inc...................... 8,340 210,585
Southwest Water Co................................... 2,184 36,446
Southwestern Energy Co............................... 17,300 182,731
*Spacehab, Inc....................................... 1,000 11,625
*Spacelabs Medical, Inc.............................. 8,500 139,984
*Spacetec IMC Corp................................... 5,700 17,100
*Spaghetti Warehouse, Inc............................ 5,000 34,375
Span-American Medical System, Inc.................... 2,400 19,800
*Spartan Motors, Inc................................. 11,500 85,172
Spartech Corp........................................ 23,200 519,100
*Sparton Corp........................................ 7,200 61,200
*Special Devices, Inc................................ 3,800 142,975
*Specialty Chemical Resources, Inc................... 1,500 1,313
*Specialty Equipment Co., Inc........................ 11,700 258,863
*#Specialty Teleconstructors, Inc.................... 4,700 224,425
*Spectran Corp....................................... 3,300 26,813
*Spectranetics Corp.................................. 14,602 44,719
*Spectrian Corp...................................... 6,400 105,600
*Spectrum Control, Inc............................... 8,600 52,406
*Speedfam International, Inc......................... 15,300 299,784
*Speizman Industries, Inc............................ 1,200 6,750
*Spelling Entertainment Group, Inc................... 12,500 117,188
*Spice Entertainment Companies, Inc.................. 6,500 40,219
*Spiegel, Inc. Class A Non-Voting.................... 12,500 66,797
*Spire Corp.......................................... 3,200 20,800
*Sport Chalet, Inc................................... 2,700 14,597
*Sport Supply Group, Inc............................. 5,800 54,738
*Sport-Haley, Inc.................................... 2,200 27,569
*Sports Authority, Inc............................... 18,600 280,163
*Sports Club Co., Inc................................ 6,700 47,738
Springs Industries, Inc. Class A..................... 3,600 202,050
*Spyglass, Inc....................................... 2,000 19,375
St. Francis Capital Corp............................. 2,900 119,988
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#St. John Knits, Inc................................. 10,000 $ 384,375
St. Joseph Light & Power Co.......................... 54,400 1,023,400
St. Mary Land & Exploration Co....................... 7,600 207,100
St. Paul Bancorp, Inc................................ 8,637 217,544
*Staar Surgical Co................................... 9,200 113,563
*#Stac, Inc.......................................... 21,500 114,219
*Staff Builders, Inc. Class A........................ 15,300 23,667
*Staffmark, Inc...................................... 10,100 370,544
*Stage II Apparel Corp............................... 1,700 1,275
*Standard Commercial Corp............................ 10,329 114,910
*Standard Management Corp............................ 3,000 22,313
*Standard Microsystems Corp.......................... 11,100 123,141
Standard Motor Products, Inc. Class A................ 9,200 202,400
Standard Pacific Corp. DE............................ 25,500 441,469
Standard Products Co................................. 11,800 346,625
Standex International Corp........................... 7,900 237,988
*Stanford Telecommunications, Inc.................... 13,800 196,650
*Stanley Furniture, Inc.............................. 6,600 134,063
*Star Multi Care Services, Inc....................... 4,085 10,213
*Starcraft Corp...................................... 2,500 5,625
*Starmet Corp........................................ 13,000 380,250
Starrett (L.S.) Co. Class A.......................... 3,500 135,406
*Starter Corp........................................ 19,300 65,138
State Auto Financial Corp............................ 12,800 408,000
State Financial Services Corp. Class A............... 1,872 47,034
*Station Casinos, Inc................................ 27,100 403,113
*Steel of West Virginia, Inc......................... 5,800 63,075
Steel Technologies, Inc.............................. 7,200 81,000
*Stein Mart, Inc..................................... 37,000 585,063
*Steinway Musical Instruments, Inc................... 5,400 161,663
Stepan Co............................................ 5,100 161,288
Stephan Co........................................... 2,700 34,425
*Stericycle, Inc..................................... 6,200 70,138
*Sterigenics Intl, Inc............................... 800 16,350
Sterling Bancorp..................................... 4,600 125,925
Sterling Bancshares.................................. 12,437 211,818
*Sterling Financial Corp. WA......................... 4,520 118,650
*#Sterling Vision, Inc............................... 9,300 49,116
*Stevens International, Inc. Class A................. 4,000 11,500
Stewart & Stevenson Services, Inc.................... 19,900 412,303
Stewart Information Services Corp.................... 3,800 145,825
Stifel Financial Corp................................ 2,482 38,781
*Stillwater Mining Co................................ 14,300 346,775
*Stimsonite Corp..................................... 6,400 49,000
Stone & Webster, Inc................................. 7,600 307,800
*Stone Energy Corp................................... 10,500 372,094
*Storage Computer Corp............................... 8,400 39,900
*#Storm Technology, Inc.............................. 6,300 11,025
*Stormedia, Inc. Class A............................. 8,200 26,906
*#Stratasys, Inc..................................... 3,400 33,575
*Strategic Diagnostics, Inc.......................... 1,000 3,703
*Strategic Distribution, Inc......................... 26,792 144,844
*Strattec Security Corp.............................. 2,800 89,250
*Stratus Properties, Inc............................. 10,300 59,225
Strawbridge and Clothier Liquidating Trust........... 4,200 2,735
Stride Rite Corp..................................... 27,600 367,425
*Strouds, Inc........................................ 7,200 23,850
*#Structural Dynamics Research Corp.................. 23,600 597,375
*Stuart Entertainment, Inc........................... 2,700 4,556
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sturm Ruger & Co., Inc............................... 17,500 $ 325,938
*#Submicron Systems Corp............................. 8,400 11,550
*Substance Abuse Technologies, Inc................... 17,700 124
*Suburban Lodges of America, Inc..................... 10,300 165,444
*Successories, Inc................................... 5,400 28,013
Suffolk Bancorp...................................... 3,000 95,063
*Sugen, Inc.......................................... 8,500 128,031
*Sulcus Computer Corp................................ 10,085 26,473
Sumitomo Bank of California.......................... 10,300 386,894
*Summa Four, Inc..................................... 4,300 51,331
Summit Bancshares, Inc............................... 2,000 44,000
*Summit Design, Inc.................................. 9,400 141,000
*Summit Technology, Inc.............................. 12,300 66,305
*Summitt Medical Systems, Inc........................ 9,400 33,488
Sun Hydraulics, Inc.................................. 400 6,625
*Sun Television and Appliances, Inc.................. 15,300 31,078
*Sunair Electronics, Inc............................. 3,000 8,813
*Sunbelt Nursery Group, Inc.......................... 2,600 0
*Sundance Homes, Inc................................. 3,000 6,844
*Sunglass Hut International, Inc..................... 38,800 474,088
*Sunquest Information Systems, Inc................... 6,800 60,350
*Sunrise Medical, Inc................................ 16,000 248,000
*Sunrise Resources, Inc.............................. 3,900 12,919
*Superconductor Technologies, Inc.................... 5,400 27,000
*Supergen, Inc....................................... 12,200 160,125
*Superior Consultant Holdings Corp................... 5,200 221,000
*Superior Energy Services, Inc....................... 24,000 234,000
Superior Industries International, Inc............... 16,700 486,388
*Superior National Insurance Group, Inc.............. 3,500 80,500
Superior Surgical Manufacturing Co., Inc............. 9,900 155,925
Superior Telecom, Inc................................ 9,700 384,363
*Supertex, Inc....................................... 26,500 286,531
*Suprema Specialties, Inc............................ 4,600 19,119
*Supreme Industries, Inc............................. 5,578 78,101
*Supreme International Corp.......................... 3,300 55,688
*Surety Capital Corp................................. 2,900 13,775
*Surgical Laser Technologies, Inc.................... 3,800 3,681
Susquehanna Bancshares, Inc.......................... 19,662 733,638
*#Swift Energy Corp.................................. 12,980 234,451
*Swisher International, Inc.......................... 700 2,100
*Swiss Army Brands, Inc.............................. 5,300 60,453
*Sybase, Inc......................................... 20,900 166,547
*Sybron Chemicals, Inc............................... 1,100 36,231
*Sykes Enterprises, Inc.............................. 31,000 649,063
*Sylvan, Inc......................................... 5,700 84,788
*Symix Systems, Inc.................................. 4,800 94,200
*Symmetricom, Inc.................................... 14,300 90,716
*Symons International Group, Inc..................... 6,300 114,188
*Syms Corp........................................... 9,900 147,263
Synalloy Corp. DE.................................... 11,500 156,688
*Synaptic Pharmaceutical Corp........................ 6,600 99,413
*Synbiotics Corp..................................... 5,200 16,413
*Syncor International Corp. DE....................... 5,500 96,250
*#Synetic, Inc....................................... 10,500 622,781
*Syntellect, Inc..................................... 12,000 31,125
*Synthetech, Inc..................................... 11,100 73,884
*Synthetic Industries, Inc........................... 5,000 102,031
*Sypris Solutions, Inc............................... 2,250 22,922
*#Syquest Technology, Inc............................ 60,000 107,813
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*System Software Associates, Inc..................... 32,700 $ 242,184
*Systems & Computer Technology Corp.................. 27,800 709,769
*Systemsoft Corp..................................... 21,800 41,216
*#T Cell Sciences, Inc............................... 15,000 46,172
*T-HQ, Inc........................................... 200 4,763
*T-Netix, Inc........................................ 7,200 67,950
*TBC Corp............................................ 21,250 174,648
TCBY Enterprises, Inc................................ 16,700 161,781
*TCC Industries, Inc................................. 1,100 5,294
*TCI International, Inc.............................. 1,200 5,925
*TCI Music, Inc. Class A............................. 3,250 25,441
*TCSI Corp........................................... 19,500 101,156
*TESSCO Technologies, Inc............................ 3,700 75,619
TF Financial Corp.................................... 2,600 69,225
*TFC Enterprises, Inc................................ 4,500 13,078
*TII Industries, Inc................................. 4,060 17,509
TJ International, Inc................................ 10,200 295,481
*TMBR/Sharp Drilling, Inc............................ 4,300 44,881
*TMP Worldwide, Inc.................................. 7,500 196,406
TNP Enterprises, Inc................................. 10,900 354,931
TR Financial Corp.................................... 10,500 469,547
*TRC Companies, Inc.................................. 5,600 28,000
*TRM Copy Centers Corp............................... 4,800 62,100
*TRO Learning, Inc................................... 3,800 38,475
TSI, Inc. MN......................................... 8,600 70,413
*TSR, Inc............................................ 4,800 55,800
*TST/Impreso, Inc.................................... 3,200 14,600
Tab Products Co. DE.................................. 3,100 45,338
*Taco Cabana, Inc.................................... 13,800 87,544
Talbots, Inc......................................... 21,300 608,381
*Tandy Brand Accessories, Inc........................ 3,700 65,213
*Tandy Crafts, Inc................................... 11,500 54,625
*#Targeted Genetics Corp............................. 16,200 47,081
Tasty Baking Co...................................... 5,375 100,781
*#Tatham Off-Shore, Inc.............................. 8,300 28,013
*Team, Inc........................................... 2,800 13,825
*Tech-Sym Corp....................................... 3,200 92,600
Tech/Ops Sevcon, Inc................................. 1,700 28,900
*Techdyne, Inc....................................... 2,800 13,825
*Techforce Corp...................................... 4,900 38,281
*Techne Corp......................................... 16,600 287,388
*#Technical Chemicals & Products, Inc................ 6,000 58,875
*Technical Communications Corp....................... 400 2,475
Technitrol, Inc...................................... 9,700 391,638
Technology Research Corp............................. 4,100 8,648
*Technology Solutions Corp........................... 15,700 479,341
*Tegal Corp.......................................... 8,300 34,367
*Tei, Inc............................................ 5,600 12,075
Tejon Ranch Co....................................... 10,700 285,556
*Telco Systems, Inc.................................. 10,700 105,663
*Telcom Semiconductor, Inc........................... 13,200 98,175
*Telemundo Group, Inc. Class A....................... 3,200 135,000
*#Teleport Communications Group, Inc. Class A........ 2,771 155,058
*#Teletech Holdings, Inc............................. 33,800 458,413
*Teltrend, Inc....................................... 3,200 57,200
*#Telular Corp....................................... 22,800 48,806
Telxon Corp.......................................... 10,800 358,425
*Temtex Industries, Inc.............................. 2,000 8,375
Tennant Co........................................... 4,000 173,500
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*#Tera Computer Co................................... 4,800 $ 54,750
*Terex Corp.......................................... 16,000 493,000
Terra Industries, Inc................................ 12,000 121,500
*Tesoro Petroleum Corp............................... 16,100 310,931
*Tesseract Group, Inc................................ 5,000 26,250
*Tetra Tech, Inc..................................... 13,396 293,038
*Tetra Technologies, Inc............................. 11,700 255,206
*Texas Biotechnology Corp............................ 22,600 113,000
*Texas Micro, Inc.................................... 10,800 42,525
Texas Regional Banchshares, Inc. Class A............. 7,900 247,863
*Texfi Industries, Inc............................... 7,900 16,788
*Thackeray Corp...................................... 3,600 13,500
*Theragenics Corp.................................... 8,700 241,153
*Theratech, Inc. UT.................................. 18,650 177,758
*Thermatrix, Inc..................................... 4,600 25,947
*Thermedics, Inc..................................... 29,000 413,250
*Thermo Bioanalysis Corp............................. 2,600 54,275
*#Thermo Ecotek Corp................................. 17,200 273,050
*Thermo Fibergen, Inc................................ 1,500 14,625
*#Thermo Fibertek, Inc............................... 36,900 424,350
*Thermo Power Corp................................... 9,000 102,375
Thermo Remediation, Inc.............................. 8,100 44,550
*Thermo Sentron, Inc................................. 7,900 99,244
*Thermo Terratech, Inc............................... 12,000 57,000
*Thermo Voltek Corp.................................. 5,850 40,950
*#Thermolase Corp.................................... 32,700 202,331
*Thermospectra Corp.................................. 2,200 24,338
*Thermotrex Corp..................................... 11,200 222,600
*Thermwood Corp...................................... 200 1,550
*Thomas Group, Inc................................... 5,300 53,994
Thomas Industries, Inc............................... 12,850 329,281
Thomaston Mills, Inc................................. 1,900 14,725
Thor Industries, Inc................................. 6,450 178,584
*Thoratec Laboratories Corp.......................... 12,100 112,681
*Thorn Apple Valley, Inc............................. 4,600 72,450
*Three-Five Systems, Inc............................. 4,100 68,931
*Thrustmaster, Inc................................... 2,600 28,438
Timberline Software Corp............................. 5,550 110,480
*Tipperary Corp...................................... 10,500 38,063
*Titan Corp.......................................... 16,790 107,036
Titan International, Inc............................. 8,800 171,050
Toastmaster, Inc..................................... 4,500 27,563
*Today's Man, Inc.................................... 4,300 11,288
*Todd Shipyards Corp................................. 7,900 50,856
Todd-AO Corp. Class A................................ 220 2,764
*Toddhunter International, Inc....................... 3,900 33,881
*Tokheim Corp........................................ 7,200 114,750
*Tollgrade Communications, Inc....................... 1,500 38,250
Tompkins County Trustco, Inc......................... 330 12,004
*#Top Source Technologies, Inc....................... 14,200 14,200
*Topps, Inc.......................................... 36,300 124,214
*#Tops Appliance City, Inc........................... 4,400 20,625
*Toreador Royalty Corp............................... 2,500 9,844
Toro Co.............................................. 7,700 269,019
*Total-Telephone USA Communications, Inc............. 1,500 61,313
*Touchstone Software Corp............................ 4,700 12,191
*Tower Air, Inc...................................... 13,300 57,148
*Toy Biz, Inc. Class A............................... 10,200 99,450
*Tracor, Inc......................................... 17,600 696,300
*Tractor Supply Co................................... 7,000 171,500
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Trak Auto Corp...................................... 4,300 $ 50,525
Trans Financial, Inc................................. 6,100 325,016
*#Trans World Airlines, Inc.......................... 39,000 404,625
*Trans World Entertainment Corp...................... 14,200 511,644
*Transact Technologies, Inc.......................... 1,507 14,317
*Transaction Network Services, Inc................... 10,600 213,988
*Transcend Services, Inc............................. 15,000 47,813
*#Transcrypt International, Inc...................... 7,800 25,350
*Transfinancial Holdings, Inc........................ 3,300 29,700
*Transition Analysis Component Technology............ 299 1,925
*#Transition Systems, Inc............................ 10,700 212,663
*Transkaryotic Therapies, Inc........................ 11,000 327,250
*Transmation, Inc.................................... 3,400 23,694
Transmedia Network, Inc.............................. 6,200 37,975
*Transmontaigne Oil Co............................... 23,000 372,313
*TransNet Corp....................................... 2,000 1,875
Transpro, Inc........................................ 3,800 32,775
Transtechnology Corp................................. 3,800 102,600
*Transtexas Gas Corp................................. 30,000 275,625
*Transwitch Corp..................................... 10,000 137,500
*Transworld Healthcare, Inc.......................... 9,100 58,581
*Travel Ports of America, Inc........................ 3,718 12,432
Treadco, Inc......................................... 3,600 31,275
Tredegar Industries, Inc............................. 7,050 609,825
*#Treev, Inc......................................... 11,600 10,331
*Trega Biosciences, Inc.............................. 8,100 30,881
*Tremont Corp. DE.................................... 3,900 219,375
*Trend-Lines, Inc. Class A........................... 3,300 17,738
Trenwick Group, Inc.................................. 3,900 145,275
*Trescom International, Inc.......................... 2,000 21,125
*Tri-Lite, Inc....................................... 29 0
*Triad Guaranty, Inc................................. 9,300 301,959
*Triad Park L.L.C.................................... 8,800 16,456
Triangle Bancorp, Inc................................ 7,800 227,663
*Triangle Pacific Corp............................... 9,000 394,313
*Triangle Pharmaceuticals, Inc....................... 12,000 188,625
*Triarc Companies, Inc. Class A...................... 14,400 351,000
*Triathlon Broadcasting Co. Class A.................. 1,600 16,900
Trico Bancshares..................................... 2,200 64,625
*Tricord Systems, Inc................................ 5,300 5,217
*Trident International, Inc.......................... 4,000 65,500
*Trident Microsystems, Inc........................... 10,800 75,938
*Tridex Corp......................................... 4,200 28,875
Trigen Energy Corp................................... 10,500 145,688
*#Trikon Technologies, Inc........................... 1,000 641
*Trimark Holdings, Inc............................... 1,700 6,163
*Trimble Navigation, Ltd............................. 13,500 264,516
*Trimedyne, Inc...................................... 5,400 9,956
*Trinitec Systems, Inc. Class A...................... 4,300 28,219
Trion, Inc........................................... 3,600 21,150
*Triple S Plastics, Inc.............................. 700 4,419
*Tripos, Inc......................................... 1,600 17,800
*Triquint Semiconductor, Inc......................... 5,100 115,866
*Trism, Inc.......................................... 2,900 6,978
*Tristar Corp........................................ 1,000 10,500
*Triumph Group....................................... 4,900 240,100
*Truevision, Inc..................................... 12,600 25,988
*#Trump Hotels & Casino Resorts, Inc................. 19,500 166,969
Trust Co. of New Jersey.............................. 15,500 419,469
Trustco Bank Corp. NY................................ 13,732 387,071
*Tseng Laboratories, Inc............................. 13,300 29,925
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Tultex Corp......................................... 19,100 $ 57,300
*Turner Corp......................................... 3,100 83,313
Tuscarora, Inc....................................... 5,700 90,309
Twin Disc, Inc....................................... 1,400 44,800
Tyler Corp........................................... 20,400 191,250
Tyson Foods, Inc. Class A............................ 80 1,690
U.S. Bancorp, Inc.................................... 2,400 192,150
*U.S. Bioscience, Inc................................ 14,500 135,938
*U.S. China Industrial Exchange, Inc................. 2,400 4,425
*#U.S. Diagnostic, Inc............................... 18,000 80,719
U.S. Freightways Corp................................ 4,400 138,325
*U.S. Satellite Broadcasting Co., Inc. Class A....... 9,200 87,113
*UFP Technologies, Inc............................... 2,300 10,063
*URS Corp............................................ 6,900 114,713
*US Can Corp......................................... 11,500 194,781
*US Foodservice, Inc................................. 22,127 732,957
*#US Servis, Inc..................................... 2,500 4,453
*US Xpress Enterprises, Inc. Class A................. 8,400 163,800
*#USA Detergents, Inc................................ 9,700 134,588
*USA Truck, Inc...................................... 1,900 27,788
*USCI, Inc........................................... 7,700 38,741
*USCS International, Inc............................. 13,900 261,059
*USData Corp......................................... 5,650 30,722
#UST Corp............................................ 20,170 561,608
*UTI Energy Corp..................................... 9,600 154,800
*#Ugly Duckling Corp................................. 11,100 97,472
*Ultimate Electronics, Inc........................... 4,900 16,231
*Ultradata Corp...................................... 1,000 5,313
*Ultradata Systems, Inc.............................. 2,000 7,125
*#Ultrafem, Inc...................................... 6,400 448
*Ultrak, Inc......................................... 8,400 82,163
*Ultralife Batteries, Inc............................ 5,600 64,925
*#Ultratech Stepper, Inc............................. 12,500 253,516
*#Unapix Entertainment, Inc.......................... 3,600 18,225
*Uni-Marts, Inc...................................... 6,500 23,563
Unico American Corp.................................. 3,500 54,469
*UniComp, Inc........................................ 4,000 19,563
Unifirst Corp........................................ 10,300 265,225
*Uniflex, Inc........................................ 1,700 9,350
*Unify Corp.......................................... 3,300 10,209
*Unigene Laboratories, Inc........................... 25,900 59,489
*Unilab Corp......................................... 24,200 65,038
*Unimark Group, Inc.................................. 6,200 30,225
*Unimed Pharmaceuticals, Inc......................... 3,900 21,816
*Union Acceptance Corp. Class A...................... 1,600 11,700
*Unique Casual Restaurants, Inc...................... 6,700 39,991
*#Unique Mobility, Inc............................... 9,900 69,300
*Uniroyal Technology Corp............................ 11,600 105,125
*Unisource Energy Corp............................... 19,280 304,865
*Unit Corp........................................... 17,900 139,844
*Unit Instruments, Inc............................... 4,200 27,300
*United American Healthcare Corp.,................... 5,300 5,300
United Bankshares, Inc. WV........................... 22,250 554,859
#United Companies Financial Corp..................... 16,500 303,188
*United Dental Care, Inc............................. 1,500 28,219
United Financial Corp. MN............................ 400 11,325
United Fire Casualty Co.............................. 5,400 209,925
*United Foods, Inc. Class A.......................... 54 196
United Guardian, Inc................................. 1,900 12,588
United Illuminating Co............................... 8,600 407,425
United Industrial Corp............................... 10,700 128,400
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*United International Holdings Class A............... 18,500 $ 304,094
United National Bancorp.............................. 6,484 192,089
*United Natural Foods, Inc........................... 6,300 165,769
*United Payors & United Providors, Inc............... 10,200 209,738
*United Retail Group, Inc............................ 8,300 91,819
*United States Energy Corp........................... 5,600 36,400
*United States Home Corp............................. 6,800 274,975
*United Stationers, Inc.............................. 222 13,230
*United Video Satellite Group, Inc. Class A.......... 9,000 349,594
United Water Resources, Inc.......................... 21,600 346,950
United Wisconsin Services, Inc....................... 13,600 421,600
*Unitel Video, Inc................................... 700 3,413
Unitil Corp.......................................... 2,700 61,256
Unitog Co............................................ 5,800 134,125
*Unitrode Corp....................................... 15,500 202,469
*Universal American Financial Corp................... 2,600 6,825
*Universal Electronics, Inc.......................... 3,800 38,238
Universal Forest Products, Inc....................... 14,500 247,859
*#Universal International, Inc....................... 2,000 4,563
*Universal Seismic Association, Inc.................. 1,600 2,025
*Universal Stainless & Alloy Products, Inc........... 3,100 30,806
*Universal Standard Medical Labs, Inc................ 2,500 5,313
*Uno Restaurant Corp................................. 8,700 64,163
Upper Peninsula Energy Corp.......................... 1,000 26,156
*Uranuim Resources, Inc.............................. 10,400 26,813
*Urban Outfitters, Inc............................... 12,600 206,325
*Urocor, Inc......................................... 6,800 50,150
*Urogen Corp. (Restricted)........................... 2,100 1,903
*#Urologix, Inc...................................... 9,100 102,944
*#Uromed Corp. New................................... 4,720 37,539
*Uroquest Medical Corp............................... 8,000 23,250
*Utah Medical, Inc................................... 4,400 33,000
*Utilx Corp.......................................... 3,500 17,719
*V Band Systems, Inc................................. 2,100 722
*#V-ONE Corp......................................... 7,800 26,081
*VTEL Corp........................................... 12,048 69,653
*VWR Scientific Products Corp........................ 14,500 415,063
*Valence Technology, Inc............................. 15,300 90,366
*Vallen Corp......................................... 6,200 128,263
Valley Forge Corp.................................... 1,275 18,966
Valley Resources, Inc................................ 2,600 30,225
Valmont Industries, Inc.............................. 18,100 359,738
*Value City Department Stores, Inc................... 23,200 413,250
Value Line, Inc...................................... 4,000 174,500
*Valuevision International, Inc. Class A............. 19,600 79,013
*Vanguard Cellular System, Inc. Class A.............. 24,200 434,844
*Vans, Inc........................................... 9,500 94,109
*Vanstar Corp........................................ 26,000 378,625
*Vantive Corp........................................ 15,100 408,644
*#Vari L Co., Inc.................................... 3,100 39,331
*Variflex, Inc....................................... 5,100 27,891
Varlen Corp.......................................... 7,665 260,131
*Vaughn Communications, Inc.......................... 2,800 25,375
*Vectra Technologies, Inc............................ 2,700 108
*Ventana Medical Systems, Inc........................ 8,000 207,500
</TABLE>
133
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Venture Stores, Inc................................. 13,300 $ 1,762
*Venturian Corp...................................... 300 1,875
*Verilink Corp....................................... 10,100 79,853
*Verity, Inc......................................... 8,500 65,344
Vermont Financial Services Corp...................... 8,100 229,584
*Vermont Teddy Bear, Inc............................. 2,000 2,625
*Versant Object Technology Corp...................... 4,500 25,594
*Versar, Inc......................................... 2,000 10,000
*Vertel Corp......................................... 15,700 65,744
*Vertex Communications Corp.......................... 3,100 67,425
*#Vertex Pharmaceuticals, Inc........................ 12,500 359,766
*Veterinary Centers of America, Inc.................. 11,600 217,138
*Viasoft, Inc........................................ 11,600 178,713
*Viatel, Inc......................................... 8,500 66,406
*Vical, Inc.......................................... 11,800 191,750
*Vicon Industries, Inc............................... 1,400 10,413
*Vicorp Restaurants, Inc............................. 4,600 70,725
*Vidamed, Inc........................................ 9,100 47,491
*Video Display Corp.................................. 2,300 25,013
*Video Services Corp................................. 1,000 3,563
*Video Update, Inc................................... 24,300 43,664
*Videonics, Inc...................................... 3,600 9,900
*Vidioserver, Inc.................................... 11,600 97,513
*View Technology, Inc................................ 3,900 11,456
*Viisage Technology, Inc............................. 2,000 6,375
*Vimrx Pharmaceuticals, Inc.......................... 7,500 10,195
Virco Manufacturing Corp............................. 5,580 148,568
*Virtualfund.Com, Inc................................ 13,020 55,742
*Virus Research Institute, Inc....................... 4,500 17,789
*#Vision Sciences, Inc............................... 5,100 11,953
*#Visioneer, Inc..................................... 11,700 33,089
*Vista Medical Technologies, Inc..................... 131,400 718,594
*Visx, Inc. DE....................................... 12,500 615,625
Vital Signs, Inc..................................... 11,100 195,984
*Vitalcom, Inc....................................... 6,000 24,188
*Vitalink Pharmacy Services, Inc..................... 20,130 436,569
*#Vitech America, Inc................................ 5,900 109,150
*#Vivid Technologies, Inc............................ 8,500 102,000
*#Vivus, Inc......................................... 29,900 279,378
*Vodavi Technology, Inc.............................. 2,600 7,638
*Voice Control Systems, Inc.......................... 6,800 27,625
*Volt Information Sciences, Inc...................... 13,400 407,863
*Voxware, Inc........................................ 7,100 16,086
Vulcan International Corp............................ 700 28,525
*WCI Steel, Inc. (Escrow)............................ 11,600 0
WD-40 Co............................................. 9,100 251,103
*WFS Financial, Inc.................................. 18,300 157,266
*#WHX Corp........................................... 16,700 229,625
WICOR, Inc........................................... 8,500 388,875
*WLR Foods, Inc...................................... 10,898 77,648
*WMS Industries, Inc................................. 16,000 71,000
*WPI Group, Inc...................................... 3,600 27,338
WPS Resources Corp................................... 11,300 353,831
*WTD Industries, Inc................................. 4,400 5,225
Wabash National Corp................................. 12,000 311,250
Wackenhut Corp. Class A.............................. 1,400 30,888
Wackenhut Corp. Class B Non-Voting................... 6,950 139,434
*Wackenhut Corrections Corp.......................... 12,500 303,125
Walbro Corp.......................................... 5,300 54,656
*Walker Interactive Systems, Inc..................... 12,500 197,656
*Wall Data, Inc...................................... 8,300 107,641
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Wall Street Deli, Inc............................... 1,500 $ 5,250
*Walsh International, Inc............................ 6,400 96,800
Walshire Assurance Co................................ 2,370 17,775
*Wandel & Goltermann Technologies, Inc............... 2,600 39,000
*Warrantech Corp..................................... 10,300 69,203
Warren Bancorp, Inc.................................. 3,800 47,500
*Washington Homes, Inc............................... 6,500 32,500
Washington Savings Bank FSB Waldorf, MD.............. 1,600 11,400
Waters Instruments, Inc.............................. 200 1,150
Watkins-Johnson Co................................... 4,200 105,788
Watsco, Inc. Class A................................. 8,200 240,875
Watsco, Inc. Class B................................. 900 26,100
Watts Industries, Inc. Class A....................... 13,100 305,394
*Wave Technologies International, Inc................ 2,500 10,938
*#Wavephore, Inc..................................... 9,800 125,563
*Waxman Industries, Inc.............................. 5,300 16,894
Webb (Del) Corp...................................... 15,800 383,150
*Webco Industries, Inc............................... 3,800 32,300
Webster Financial Corp............................... 5,120 171,360
*Weirton Steel Corp.................................. 31,500 127,969
*Wellcare Management Group, Inc...................... 1,900 4,928
Wellman, Inc......................................... 18,700 449,969
*Wells-Gardner Electronics Corp...................... 2,000 10,125
Werner Enterprises, Inc.............................. 3,062 58,561
Wesbanco, Inc........................................ 10,350 266,513
*Wesley Jessen Vision Care, Inc...................... 9,500 257,094
West Coast Bancorp................................... 6,093 148,517
*West Coast Entertainment Corp....................... 7,000 13,344
*#West Marine, Inc................................... 10,000 191,563
West, Inc............................................ 11,100 327,450
*#Westbridge Capital Corp............................ 5,900 2,213
Westco Bancorp, Inc.................................. 1,100 33,344
Westcorp, Inc........................................ 22,996 278,827
*#Westell Technologies, Inc.......................... 10,600 105,006
Westerfed Financial Corp............................. 3,900 96,038
Western Bancorp...................................... 4,848 207,404
*Western Beef, Inc................................... 3,800 31,350
Western Gas Resources, Inc........................... 19,300 312,419
Western Ohio Financial Corp.......................... 900 23,175
*Western Staff Services, Inc......................... 5,600 145,950
*Western Water Co.................................... 4,900 53,594
Westinghouse Air Brake Co............................ 14,900 411,613
*Weston (Roy F.), Inc. Class A....................... 5,400 20,588
*Westwood One, Inc................................... 8,100 216,169
*Wet Seal, Inc. Class A.............................. 7,500 224,063
*White Pine Software, Inc............................ 4,300 10,616
*Whitehall Corp...................................... 4,000 76,000
*Whitman Education Group, Inc........................ 12,200 68,625
*Whittaker Corp...................................... 7,500 106,875
*Wickes Lumber Co.................................... 5,500 31,281
Wiley (John) & Sons, Inc. Class A.................... 400 21,600
*Williams Clayton Energy, Inc........................ 7,100 74,994
*Williams Controls, Inc.............................. 12,400 36,619
*Willis Lease Finance Corp........................... 4,300 94,063
*Wilmar Industries, Inc.............................. 8,000 193,000
*Wilshire Financial Services Group, Inc.............. 6,600 155,513
*Wilshire Oil Co. of Texas........................... 7,107 43,530
*Wilshire Technologies, Inc.......................... 816 357
</TABLE>
134
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Windmere Corp........................................ 14,200 $ 449,963
Winnebago Industries, Inc............................ 19,300 215,919
*Winsloew Furniture, Inc............................. 4,500 108,281
Wireless Telecom Group, Inc.......................... 15,600 54,600
Wiser Oil Co......................................... 5,500 57,406
Wolohan Lumber Co.................................... 4,100 51,250
*Wolverine Tube, Inc................................. 7,800 284,700
Woodhead Industries, Inc............................. 6,200 110,631
*Workgroup Technology Corp........................... 5,800 22,113
*World Acceptance Corp............................... 15,400 89,994
*World Access, Inc................................... 11,600 363,225
*#World Airways, Inc................................. 4,800 24,300
World Fuel Services Corp............................. 8,500 149,813
*#Worldcorp, Inc..................................... 9,400 5,875
*Worldtalk Communications Corp....................... 6,300 31,106
*Worldtex, Inc....................................... 13,200 89,100
Worthington Foods, Inc............................... 9,644 140,441
*Wyant Corp.......................................... 266 1,567
*#Wyman-Gordon Co.................................... 21,300 424,669
Wynns International, Inc............................. 11,850 248,850
X-Rite, Inc.......................................... 12,700 170,656
*XCL, Ltd............................................ 10,900 43,600
*Xcellent, Inc....................................... 5,000 98,906
*Xeta Corp........................................... 1,000 21,906
*Xetel Corp.......................................... 4,300 19,081
*Xicor, Inc.......................................... 14,700 31,697
*Xionics Document Technologies, Inc.................. 7,700 36,094
*Xircom, Inc......................................... 13,700 214,491
*Xoma Corp........................................... 33,200 160,813
Xtra Corp............................................ 5,000 262,500
Yankee Energy Systems, Inc........................... 6,300 151,200
Yardville National Bancorp........................... 2,255 40,590
*Yellow Corp......................................... 16,900 317,931
*#Yes Entertainment Corp............................. 5,600 4,200
York Financial Corp.................................. 5,251 116,342
*York Research Corp.................................. 10,400 71,175
*Young Broadcasting, Inc. Class A.................... 7,100 368,313
*#Youth Services International, Inc.................. 9,500 68,578
*Yurie Systems, Inc.................................. 14,900 521,500
*Zale Corp........................................... 17,600 544,500
*Zaring National Corp................................ 1,900 19,119
*Zebra Technologies Corp. Class A.................... 7,300 279,681
Zeigler Coal Holding Co.............................. 21,600 392,850
*Zemex Corp.......................................... 4,995 49,638
*#Zenith Electronics Corp............................ 40,200 18,693
Zenith National Insurance Corp....................... 8,800 251,900
Zero Corp............................................ 10,200 294,525
*Zevex International, Inc............................ 2,000 18,000
*Zila, Inc........................................... 2,557 19,817
*Zing Technologies, Inc.............................. 1,500 12,234
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Zitel Corp......................................... 10,700 $ 84,931
*Zoll Medical Corp................................... 5,200 31,850
*#Zoltek Companies, Inc.............................. 9,700 294,031
*#Zonagen, Inc....................................... 8,100 295,650
*Zoran Corp.......................................... 5,500 64,109
Zurn Industries, Inc................................. 7,800 323,700
*Zydeco Energy, Inc.................................. 2,200 4,469
*Zygo Corp........................................... 6,500 116,797
------------
TOTAL COMMON STOCKS
(Cost $403,815,588).................................. 486,759,921
------------
RIGHTS/WARRANTS -- (0.0%)
*American Satellite Network, Inc. Warrants
06/30/99........................................... 2,525 0
*Amerus Life Holdings, Inc. Class A Warrants
04/03/02........................................... 391 3,617
*Baxter International, Inc. Contingent Payment Rights
03/15/08........................................... 15,800 0
*CSF Holdings, Inc. Litigation Rights 12/30/99....... 3,250 0
*Millicom, Inc. Contingent Value Rights.............. 10,100 0
*Playcore, Inc. Rights 06/09/98...................... 2,672 0
*Statesman Group, Inc. Contingent Payment Rights..... 9,765 0
*Today's Man, Inc. Warrants 10/14/99................. 2,150 1,478
------------
TOTAL RIGHTS/WARRANTS
(Cost $11,936)....................................... 5,095
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.2%)
Repurchase Agreements, PNC Capital Markets Inc.
5.25%, 06/01/98 (Collateralized by U.S. Treasury
Notes 5.75%, 10/31/02, valued at $6,052,500) to be
repurchased at $5,960,607. (Cost $5,958,000)....... $5,958 5,958,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $409,785,524)++.... $492,723,016
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++The cost for federal income tax purposes is $410,971,505.
</TABLE>
See accompanying Notes to Financial Statements.
135
<PAGE>
THE U.S. 9-10 SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
COMMON STOCKS -- (97.9%)
*3-D Systems Corp......................................... 85,200 $ 990,450
*3D0 Co................................................... 122,800 464,338
*4 Health, Inc............................................ 98,300 645,094
*4Front Software International, Inc....................... 29,700 371,250
*#7Th Level, Inc.......................................... 24,600 109,163
*AAON, Inc................................................ 41,290 438,706
ABC Bancorp............................................... 34,625 579,969
*ABC Rail Products Corp................................... 68,000 1,275,000
*ABT Building Products Corp............................... 22,200 320,513
*ACT Manufacturing, Inc................................... 37,800 331,931
*ACT Networks, Inc........................................ 44,600 557,500
*ADE Corp................................................. 66,400 993,925
*AEP Industries, Inc...................................... 33,950 929,381
*AER Energy Resources, Inc................................ 120,200 92,028
*AFC Cable Systems, Inc................................... 36,725 1,232,583
*AG Associates, Inc....................................... 27,800 76,450
*AG Services America, Inc................................. 24,650 440,619
*#AMBI, Inc............................................... 124,200 223,172
*AML Communications, Inc.................................. 28,900 123,728
*AMX Corp................................................. 37,800 328,388
*#APS Holding Corp. Class A............................... 76,900 67,288
*ARI Network Services, Inc................................ 23,875 61,180
*ARV Assisted Living, Inc................................. 67,800 754,275
ASB Financial Corp........................................ 2,900 42,594
*ASV, Inc................................................. 25,050 488,475
*ATC Communications Group, Inc............................ 9,100 20,617
*ATS Medical, Inc......................................... 154,900 1,084,300
Aaron Rents, Inc. Class A................................. 38,500 770,000
Aaron Rents, Inc. Class B................................. 137,200 2,683,975
*#Aasche Transportation Services, Inc..................... 20,900 131,931
*Aavid Thermal Technologies, Inc.......................... 35,500 980,688
*#Abaxis, Inc............................................. 77,200 173,700
Abington Bancorp, Inc..................................... 36,800 671,600
*Abiomed, Inc............................................. 39,400 620,550
*Able Telcom Holding Corp................................. 47,200 734,550
Abrams Industries, Inc.................................... 12,900 93,525
*Abraxas Petroleum Corp................................... 50,000 478,125
*#Acacia Research Corp.................................... 11,600 198,288
*Accell International Corp................................ 97,293 302,520
*Accelr8 Technology Corp.................................. 65,900 897,888
*Acclaim Entertainment, Inc............................... 69,000 442,031
*Accumed Interntational, Inc.............................. 3,166 7,321
*Ace Cash Express, Inc.................................... 53,625 826,160
*Ace Comm Corp............................................ 16,400 106,088
Aceto Corp................................................ 32,566 476,278
*Acme Electric Corp....................................... 29,584 146,071
*Acme Metals, Inc......................................... 108,500 854,438
*Acme United Corp......................................... 28,707 136,358
*Active Apparel Group, Inc................................ 5,600 12,075
*Active Voice Corp........................................ 20,700 240,638
*Activision, Inc.......................................... 107,500 1,078,359
*#Actrade International, Ltd.............................. 37,200 546,375
*Adam Software, Inc....................................... 3,000 12,000
Adams Resources & Energy, Inc............................. 74,150 889,800
*Adept Technology, Inc.................................... 79,000 745,563
*Adflex Solutions, Inc.................................... 42,800 683,463
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*Advance Paradigm, Inc.................................... 6,400 $ 226,800
*Advanced Digital Information Corp........................ 74,100 1,282,856
*#Advanced Health Corp.................................... 51,700 646,250
*Advanced Magnetics, Inc.................................. 57,550 629,453
*Advanced Marketing Services, Inc......................... 38,000 695,875
*Advanced Photonix, Inc. Class A.......................... 90,950 102,319
*Advanced Polymer Systems, Inc............................ 144,000 1,120,500
*Advanced Promotion Technologies, Inc..................... 159,451 2,950
*Advanced Radio Telecom Corp.............................. 12,000 120,750
*Advent Software, Inc..................................... 24,000 852,000
Advest Group, Inc......................................... 43,700 1,144,394
*Advocat, Inc............................................. 50,700 411,938
*#Aerial Communications, Inc.............................. 10,200 61,997
*Aeroflex, Inc............................................ 104,452 1,175,085
*Aerosonic Corp. DE....................................... 17,700 347,363
*Aerovox, Inc............................................. 41,800 135,850
*Aetrium, Inc............................................. 40,100 526,313
Affiliated Community Bancorp.............................. 17,000 649,188
*Affinity Technology Group, Inc........................... 146,900 183,625
*Ag-Chem Equipment Co., Inc............................... 48,700 745,719
*Agri-Nutrition Group, Ltd................................ 16,800 19,163
*#Agritope, Inc........................................... 16,500 71,156
*Air & Water Technologies Corp. Class A................... 272,000 544,000
*Air Methods Corp......................................... 40,500 164,531
*Akorn, Inc............................................... 72,400 583,725
Alabama National Bancorporation........................... 14,100 479,400
Alamo Group, Inc.......................................... 52,000 861,250
*Alaris Medical, Inc...................................... 82,600 495,600
*#Alarmguard Holdings, Inc................................ 41,106 441,890
*Alba-Waldensian, Inc..................................... 21,000 204,750
*Alcide Corp.............................................. 11,700 472,022
*Aldila, Inc.............................................. 80,500 500,609
*Alfin, Inc............................................... 402 377
Alico, Inc................................................ 55,700 1,159,256
*Align-Rite International, Inc............................ 20,000 287,500
*All American Semiconductor, Inc.......................... 38,400 73,800
*Allcity Insurance Co..................................... 200 1,800
Allen Organ Co. Class B................................... 4,200 172,200
Alliance Bancorp.......................................... 41,551 1,130,966
Alliance Bancorp of New England, Inc...................... 399 6,384
*Alliance Entertainment Corp.............................. 113,000 3,531
*Alliance Gaming Corp..................................... 274,189 1,259,556
*Alliance Pharmaceuticals Corp............................ 64,100 306,478
*Alliance Semiconductor Corp.............................. 22,700 110,663
*Allied Digital Technologies Corp......................... 6,900 32,344
*Allied Healthcare Products, Inc.......................... 66,800 354,875
*Allied Holdings, Inc..................................... 66,435 1,195,830
Allied Life Financial Corp................................ 20,300 540,488
Allied Products Corp...................................... 79,141 1,701,532
*Allied Research Corp..................................... 41,040 510,435
*Allin Communications Corp................................ 45,000 205,313
*Allou Health & Beauty Care, Inc. Class A................. 30,000 352,500
*Allstars Systems, Inc.................................... 35,000 146,563
</TABLE>
136
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THE U.S. 9-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*Allstate Financial Corp.................................. 12,100 $ 78,272
*Alltrista Corp........................................... 40,474 1,032,087
*Aloette Cosmetics, Inc................................... 7,200 35,325
*#Alpha Beta Technology, Inc.............................. 109,000 289,531
*Alpha Industries, Inc.................................... 89,700 1,491,263
*Alpha Microsystems, Inc.................................. 48,600 142,763
*Alpha Technologies Group, Inc............................ 107,200 515,900
*Alphanet Solutions, Inc.................................. 21,000 246,750
*Alpine Group, Inc........................................ 109,044 2,167,250
*Alrenco, Inc............................................. 16,100 284,769
*Alta Gold Co............................................. 127,043 258,056
*Alteon, Inc.............................................. 120,600 448,481
*Altris Software, Inc..................................... 54,700 117,947
*Altron, Inc.............................................. 94,950 1,047,417
*Alyn Corp................................................ 9,000 72,563
Ambanc Holding Co., Inc................................... 6,500 123,297
Amcast Industrial Corp.................................... 41,400 892,688
*Amedisys, Inc............................................ 13,700 55,656
*America Services Group, Inc.............................. 29,000 389,688
American Bancorporation Ohio.............................. 400 9,850
American Bank of Connecticut.............................. 15,300 428,400
*American Banknote Corp................................... 104,400 404,550
American Biltrite, Inc.................................... 57,850 1,753,578
*#American Biogenetic Sciences, Inc. Class A.............. 130,700 171,544
*American Buildings Co.................................... 50,000 1,662,500
*American Claims Evaluation, Inc.......................... 3,100 5,038
*American Classic Voyages Co.............................. 103,000 1,718,813
*American Coin Merchandising, Inc......................... 20,300 359,056
*American Eagle Group, Inc................................ 54,500 1,771
*American Ecology Corp.................................... 62,800 82,425
*American Educational Products, Inc....................... 2,760 25,185
*American Healthcorp, Inc................................. 68,700 796,491
*American Homestar Corp................................... 130,218 2,750,855
American Indemnity Financial Corp......................... 16,700 205,619
*American International Petroleum Corp.................... 100,100 229,917
*American Locker Group, Inc............................... 8,800 629,200
*American Media, Inc. Class A............................. 169,800 1,082,475
*American Medical Electronics, Inc. (Escrow-Bonus)........ 102,100 0
*American Medical Electronics, Inc. (Escrow-Earnings)..... 102,100 0
*American Mobile Satellite Corp........................... 34,000 388,875
*American Pacific Corp.................................... 73,500 787,828
*American Pad & Paper Co.................................. 84,600 560,475
*American Physicians Services Group, Inc.................. 46,800 336,375
*American Precision Industries, Inc....................... 160,375 3,047,125
*American Residential Services, Inc....................... 11,000 127,188
*American Safety Razor Co................................. 53,300 634,603
*American Science & Engineering, Inc...................... 75,000 1,040,625
*American Shared Hospital Services........................ 14,800 24,975
*American Software, Inc. Class A.......................... 140,800 1,086,800
*American Superconductor Corp............................. 69,200 873,650
*American Technical Ceramics Corp......................... 17,200 162,325
*American Telecasting, Inc................................ 22,000 16,844
*#American United Global, Inc............................. 46,900 63,755
*American Wagering, Inc................................... 3,000 15,375
*American Waste Services, Inc. Class A.................... 123,800 580,313
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
American Woodmark Corp.................................... 44,829 $ 1,238,401
Americana Bancorp, Inc.................................... 18,500 373,469
*Amerihost Properties, Inc................................ 63,600 314,025
*AmeriLink Corp........................................... 19,000 282,625
*Ameristar Casinos, Inc................................... 132,250 710,844
Ameron, Inc............................................... 15,500 931,938
*Ames Department Stores, Inc.............................. 33,800 833,381
*Amistar Corp............................................. 28,300 100,377
Ampco-Pittsburgh Corp..................................... 72,100 1,063,475
*Ampex Corp. Class A...................................... 117,800 265,050
Amplicon, Inc............................................. 58,000 1,145,500
*Amrep Corp............................................... 63,610 524,783
*Amsurg Corp. Class A..................................... 6,331 59,749
*Amsurg Corp. Class B..................................... 40,795 392,652
*Amtech Corp.............................................. 119,400 559,688
*Amtran, Inc.............................................. 88,200 1,697,850
Amwest Insurance Group, Inc............................... 51,535 802,013
*Amylin Pharmaceuticals, Inc.............................. 44,900 191,527
*Anadigics, Inc........................................... 29,000 419,594
*Analogy, Inc............................................. 28,100 152,794
Analysis & Technology, Inc................................ 40,200 786,413
*Analytical Surveys, Inc.................................. 27,900 782,944
*Anaren Microwave, Inc.................................... 41,700 697,172
*#Andean Development Corp................................. 5,500 23,719
*Andersen Group, Inc...................................... 15,000 115,313
Andover Bancorp, Inc. DE.................................. 34,025 1,161,103
*Andrea Electronics Corp.................................. 37,700 570,213
*Anergen, Inc............................................. 142,000 323,938
*Anesta Corp.............................................. 86,700 1,587,694
*#Angeion Corp............................................ 132,600 339,788
Angelica Corp............................................. 85,700 1,928,250
*Anicom, Inc.............................................. 60,500 837,547
*Ansaldo Signal N.V....................................... 41,000 164,000
*Ansoft Corp.............................................. 14,000 182,438
*Apertus Technologies, Inc................................ 126,300 161,822
*#Aphton Corp............................................. 63,400 810,331
*Apogee, Inc.............................................. 41,400 93,150
*Appliance Recycling Centers of America, Inc.............. 3,500 10,719
*Applied Digital Access, Inc.............................. 86,000 451,500
*Applied Extrusion Technologies, Inc...................... 71,500 534,016
*Applied Innovation, Inc.................................. 92,800 736,600
*Applied Microsystems Corp................................ 33,500 137,141
*Applied Science & Technology, Inc........................ 38,100 355,997
*Applied Signal Technologies, Inc......................... 75,000 890,625
*Applied Voice Technology, Inc............................ 57,400 1,078,044
*Applix, Inc.............................................. 46,300 193,881
*Aquagenix, Inc........................................... 23,100 32,484
Aquarion Co............................................... 30,200 1,007,925
*Aquila Biopharmaceuticals, Inc........................... 10,044 48,965
*Arabian Shield Development Co............................ 66,200 179,981
*Aradigm Corp............................................. 23,400 333,450
*Arch Communications Group, Inc........................... 139,900 647,038
*Arch Petroleum, Inc...................................... 89,226 207,729
*Ardent Software, Inc..................................... 50,064 616,413
*#Argosy Gaming Corp...................................... 199,300 722,463
*Ariad Pharmaceuticals, Inc............................... 168,500 668,734
*Ariel Corp............................................... 89,400 723,581
*Ark Restaurants Corp..................................... 17,600 207,900
*Arkansas Best Corp....................................... 151,500 1,467,656
*Aronex Pharmaceuticals, Inc.............................. 133,550 475,772
</TABLE>
137
<PAGE>
THE U.S. 9-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*Arrhythmia Research Technology, Inc...................... 11,375 $ 19,906
*Arrow Automotive Industries, Inc......................... 31,300 66,513
Arrow Financial Corp...................................... 27,450 864,675
*Arthrocare Corp.......................................... 39,700 709,638
*Artisoft, Inc............................................ 66,900 199,655
*Artra Group, Inc......................................... 65,200 207,825
*Arts Way Manufacturing Co., Inc.......................... 100 875
*Asahi/Amer, Inc.......................................... 4,000 25,500
*Asante Technologies, Inc................................. 45,600 114,000
*Aseco Corp............................................... 21,100 105,500
*Ashworth, Inc............................................ 102,200 1,293,469
*Assisted Living Concepts, Inc............................ 78,800 1,270,650
*Astea International, Inc................................. 34,000 96,688
*Astec Industries, Inc.................................... 98,100 3,218,906
Astro-Med, Inc............................................ 58,175 443,584
*Astronics Corp........................................... 23,725 286,183
*Asyst Technologies, Inc.................................. 32,600 538,919
Atalanta Sosnoff Capital Corp............................. 22,500 232,734
*Atchison Casting Corp.................................... 77,700 1,403,456
*Athey Products Corp...................................... 31,085 145,711
*Atkinson (Guy F.) of California.......................... 33,200 2,594
*Atlantic American Corp................................... 116,725 525,263
*Atlantic Bank and Trust Co............................... 13,800 332,925
*Atlantic Coast Airlines, Inc............................. 130,000 3,904,063
*Atlantic Gulf Communities Corp........................... 76,200 230,981
*Atlantic Premium Brands, Ltd............................. 20,000 61,250
*Atlantis Plastics, Inc................................... 32,800 262,400
Atrion Corp............................................... 59,850 598,500
*#Atrix Labs, Inc......................................... 53,006 861,348
*Au Bon Pain, Inc. Class A................................ 66,900 618,825
*Audiovox Corp. Class A................................... 125,600 643,700
*Audits & Surveys Worldwide, Inc.......................... 52,922 168,689
*Ault, Inc................................................ 34,500 205,922
*Aura Systems, Inc........................................ 32,000 91,000
*Aurora Biosciences Corp.................................. 55,000 419,375
*Auspex Systems, Inc...................................... 153,100 865,972
Autocam Corp.............................................. 58,448 1,117,818
*Autoimmune, Inc.......................................... 87,600 246,375
*Autoinfo, Inc............................................ 73,413 20,647
*Autologic Information International, Inc................. 27,500 185,625
*Automobile Protection Corp............................... 51,900 640,641
*Autonomous Technologies Corp............................. 62,000 311,938
*Autote Corp. Class A..................................... 255,300 718,031
*#Avatex Corp............................................. 26,200 57,313
*Avecor Cardiovascular, Inc............................... 65,700 455,794
Avert, Inc................................................ 17,400 110,925
*Aviall, Inc.............................................. 41,700 609,863
*Avigen, Inc.............................................. 58,000 201,188
*Aviva Petroleum, Inc. Deposit Shares (Representing 5
Shares)................................................. 5,000 4,688
*Avondale Financial Corp.................................. 13,600 241,825
*Award Software International, Inc........................ 18,800 220,900
*Aware, Inc............................................... 10,000 108,438
*Axiohm Transaction Solutions, Inc........................ 7,122 92,141
*Axsys Technologies, Inc.................................. 17,100 380,475
*Axys Pharmaceuticals, Inc................................ 202,830 1,565,594
*Aydin Corp............................................... 43,250 410,875
Aztec Manufacturing Co.................................... 55,826 746,673
*BCT International, Inc................................... 16,300 49,919
BEI Electronics, Inc...................................... 42,800 191,263
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
BEI Technologies, Inc..................................... 42,100 $ 781,481
*BFX Hospitality Group, Inc............................... 34,000 78,625
BHA Group Holdings, Inc. Class A.......................... 84,954 1,449,529
*BI, Inc.................................................. 85,900 826,788
*#BPI Packaging Technologies, Inc......................... 19,800 19,491
*BRC Holdings, Inc........................................ 16,600 309,175
BSB Bancorp, Inc.......................................... 111,562 3,507,230
BT Financial Corp......................................... 26,608 730,889
*BTG, Inc................................................. 33,000 316,594
*BTU International, Inc................................... 44,700 212,325
*BWAY Corp................................................ 83,550 2,125,303
*Back Bay Restaurant Group, Inc........................... 26,600 209,475
Badger Meter, Inc......................................... 48,100 1,737,613
Badger Meter, Inc. Class B................................ 16,500 596,063
*Badger Paper Mills, Inc.................................. 200 1,675
Bairnco Corp.............................................. 105,400 1,001,300
Baker (J.), Inc........................................... 114,000 1,389,375
*Baker (Michael) Corp..................................... 72,214 713,113
*Baker (Michael) Corp. Class B............................ 15,400 152,075
Balchem Corp.............................................. 5,200 108,550
Baldwin Piano & Organ Co.................................. 37,900 598,109
*Baldwin Technology, Inc. Class A......................... 135,000 826,875
*Ballantyne Omaha, Inc.................................... 81,600 1,494,300
*Baltek Corp.............................................. 21,562 225,053
Bancfirst Ohio Corp....................................... 26,600 751,450
*Bancinsurance Corp....................................... 31,400 202,138
Bancorp Connecticut, Inc.................................. 22,880 460,460
*Bangor Hydro-Electric Co................................. 54,000 465,750
*Bank Plus Corp........................................... 103,000 1,326,125
*Bank United Financial Corp. Class A...................... 44,400 795,038
Bank West Financial Corp.................................. 2,500 35,469
*Banner Aerospace, Inc.................................... 178,100 2,103,806
*Banyan System, Inc....................................... 155,000 1,225,469
*Barnwell Industries, Inc................................. 11,800 185,850
*Barra, Inc............................................... 60,100 1,220,781
*Barrett Business Services, Inc........................... 49,800 610,050
*Barringer Technologies, Inc.............................. 30,600 327,038
*Barrister Information Systems Corp....................... 7,866 9,341
*Barry (R.G.) Corp........................................ 178,235 2,651,246
*Barrys Jewelers, Inc..................................... 192 66
*#Base Ten Systems, Inc. Class A.......................... 37,500 196,875
*Basin Exploration, Inc................................... 98,700 1,560,694
*Bayard Drilling Technologies, Inc........................ 1,730 19,144
*Baycorp Holdings, Ltd.................................... 4,200 30,450
Bayonne Bancshares, Inc................................... 12,100 195,491
*Bayou Steel Corp. Class A................................ 48,850 314,472
*Beard Co................................................. 26,533 126,032
Beauticontrol Cosmetics, Inc.............................. 33,000 301,125
*Beazer Homes USA, Inc.................................... 61,800 1,405,950
*Bel Fuse, Inc............................................ 86,500 2,292,250
*Bell Industries, Inc..................................... 76,472 965,459
*Bell Microproducts, Inc.................................. 54,500 403,641
*Bell Sports Corp......................................... 119,112 1,116,675
*Bellwether Exploration Co................................ 106,500 955,172
*Ben & Jerry's Homemade, Inc. Class A..................... 30,600 598,613
*Benchmark Electronics, Inc............................... 44,000 888,250
*Benchmarq Microelectron.................................. 34,300 503,781
*Benihana, Inc............................................ 9,500 111,031
*Benihana, Inc. Class A................................... 1,400 16,013
*Bentley Pharmaceuticals, Inc............................. 24,350 59,353
Berkshire Gas Co.......................................... 8,300 185,713
</TABLE>
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*Berlitz International, Inc............................... 68,300 $ 1,895,325
*Bertuccis, Inc........................................... 53,200 546,963
*Bethlehem Corp........................................... 200 519
Beverly Bancorporation, Inc............................... 2,310 60,204
*Big 4 Ranch, Inc......................................... 35,000 0
Binks Sames Corp.......................................... 61,300 2,574,600
*Bio Vascular, Inc........................................ 5,000 23,906
*Bio-Logic Systems Corp................................... 23,400 118,463
*#Bio-Plexus, Inc......................................... 13,200 40,013
*Bio-Response, Inc........................................ 60,000 1,350
*#Biocircuits Corp........................................ 10,100 0
*Biocryst Pharmaceuticals, Inc............................ 79,200 631,125
*Biofield Corp............................................ 2,300 8,913
*Biomatrix, Inc........................................... 83,600 2,842,400
*Biomerica, Inc........................................... 26,100 50,569
*Biosepra, Inc............................................ 37,900 62,772
*Biosite Diagnostics, Inc................................. 99,000 1,218,938
*Biosource International, Inc............................. 70,000 463,750
*Biospecifics Technologies Corp........................... 21,700 115,281
*#Biospherics, Inc........................................ 39,500 161,703
*Black Hawk Gaming & Development, Inc..................... 14,500 145,453
Blair Corp................................................ 56,000 1,666,000
Blimpie International..................................... 43,450 141,213
*Blonder Tongue Laboratories, Inc......................... 2,600 25,025
*Bluegreen Corp........................................... 93,229 780,793
*Boca Research, Inc....................................... 45,300 233,578
*Bolder Technologies Corp................................. 23,200 269,700
*Bolle, Inc............................................... 36,966 192,916
*Bolt Technology Corp..................................... 32,950 333,619
*Bombay Co., Inc.......................................... 125,800 550,375
*Bon-Ton Stores, Inc...................................... 64,300 1,085,063
*Bonded Motors, Inc....................................... 14,000 136,500
*Bone Care International, Inc............................. 40,500 405,000
*Bontex, Inc.............................................. 2,200 7,975
*Books-a-Million, Inc..................................... 140,000 713,125
Boston Acoustics, Inc..................................... 37,300 1,244,888
*Boston Chicken, Inc...................................... 5,000 10,234
*Boston Communications Group, Inc......................... 67,000 573,688
Bostonfed Bancorp, Inc.................................... 8,000 188,000
Bowl America, Inc. Class A................................ 56,160 505,440
*#Bowmar Instrument Corp.................................. 55,800 122,063
*Boyds Wheels, Inc........................................ 5,300 1,378
*Bradley Pharmaceuticals, Inc. Class A.................... 8,400 19,294
*Brauns Fashions Corp..................................... 20,800 249,600
*Brazos Sportswear, Inc................................... 5,630 26,743
Brenton Banks, Inc........................................ 10,102 208,046
*Brewer (C.) Homes, Inc. Class A.......................... 39,300 93,338
Bridgford Foods Corp...................................... 69,190 892,983
*Brilliant Digital Entertainment, Inc..................... 55,000 171,875
*Brite Voice Systems, Inc................................. 104,000 1,124,500
Broad National Bancorporation............................. 22,611 496,029
*Broadband Technologies, Inc.............................. 61,500 374,766
*Broadway & Seymour, Inc.................................. 68,100 404,344
#Brooke Group, Ltd........................................ 111,900 1,119,000
*Brooks Automation, Inc................................... 84,200 1,094,600
*Brookstone, Inc.......................................... 58,600 827,725
*Brooktrout Technology, Inc............................... 90,150 1,642,420
*Brothers Gourmet Coffees, Inc............................ 58,669 62,336
*Brown & Sharpe Manufacturing Co. Class A................. 95,675 1,267,694
<CAPTION>
SHARES VALUE+
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Brown Group, Inc.......................................... 1,000 $ 17,938
Bryn Mawr Bank Corp....................................... 1,000 50,313
*Buckhead America Corp.................................... 3,500 26,469
*Builders Transport, Inc.................................. 52,100 10,583
*Building Materials Holding Corp.......................... 104,900 1,448,931
*Bull Run Corp. GA........................................ 171,700 810,209
*Business Resource Group.................................. 29,000 97,875
*Butler International, Inc................................ 42,627 1,031,041
Butler Manufacturing Co................................... 8,000 280,000
*Buttrey Food & Drug Stores Co............................ 52,700 785,559
C & D Technologies, Inc................................... 13,400 750,400
*C ATS Software, Inc...................................... 29,500 165,938
*C-COR Electronics, Inc................................... 45,600 721,050
*#C-Phone Corp............................................ 37,300 192,911
*C.P. Clare Corp.......................................... 42,000 517,125
CB Bancshares, Inc. HI.................................... 818 33,027
*CBT Group P.L.C.......................................... 8,595 428,695
*CCA Industries, Inc...................................... 34,700 97,052
*CE Software Holdings, Inc................................ 2,180 4,905
*CEM Corp................................................. 41,500 552,469
*#CET Environmental Services, Inc......................... 23,700 84,431
*CFI Proservices, Inc..................................... 36,600 579,881
*CFM Technologies, Inc.................................... 21,600 247,050
CFSB Bancorp, Inc......................................... 10,719 298,136
*CMC Industries, Inc...................................... 41,800 384,038
CMI Corp. Class A......................................... 264,699 2,117,592
*CML Group, Inc........................................... 292,100 949,325
*CNS Income............................................... 85,400 352,275
*CPAC, Inc................................................ 38,578 421,947
CPB, Inc.................................................. 27,700 529,763
*CPI Aerostructures, Inc.................................. 2,500 5,625
*CSP, Inc................................................. 65,230 662,492
*#CTC Communications Corp. Class 1........................ 59,500 491,805
CTG Resources, Inc........................................ 20,600 478,950
CVB Financial Corp........................................ 24,387 521,272
*Cache, Inc............................................... 80,125 373,082
*Caci International, Inc. Class A......................... 33,900 674,822
*#Cade Industries, Inc.................................... 41,800 152,178
*Cadiz Land, Inc.......................................... 134,400 1,780,800
Cadmus Communications Corp................................ 58,900 1,494,588
*Cadus Pharmaceutical Corp................................ 11,400 67,688
*Caere Corp............................................... 105,000 1,473,281
Cagle's, Inc. Class A..................................... 104,900 1,324,363
Cal-Maine Foods, Inc...................................... 4,000 21,375
*Calcomp Technology, Inc.................................. 39,200 127,400
*#California Amplifier, Inc............................... 66,100 173,513
*#California Culinary Academy, Inc........................ 17,300 134,075
*California Micro Devices Corp............................ 50,100 289,641
California State Bank..................................... 21,959 1,070,501
*Callon Petroleum Co...................................... 46,700 770,550
*Calloways Nursery, Inc................................... 1,700 3,878
*Calumet Bancorp, Inc..................................... 5,925 218,484
*Cambex Corp.............................................. 82,300 48,557
*Cambridge Heart, Inc..................................... 32,000 262,000
Cambridge Neuroscience, Inc............................... 84,500 75,258
*Cameron Ashley Building Products, Inc.................... 43,000 747,125
Cameron Financial Corp.................................... 11,500 237,188
*Campo Eletronics, Appliances & Computers, Inc............ 49,700 16,308
*Candela Laser Corp....................................... 28,900 97,989
*Candies, Inc............................................. 59,300 379,891
</TABLE>
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*Canisco Resources, Inc................................... 8,600 $ 27,950
*Cannon Express, Inc. Class A............................. 3,250 27,828
*#Cannondale Corp......................................... 73,200 1,029,375
*Cantel Industries, Inc. Class B.......................... 26,800 232,825
*Canyon Resources Corp.................................... 226,000 211,875
Cape Cod Bank & Trust Co.................................. 30,100 1,204,000
*Capital Associates, Inc.................................. 21,050 82,884
*Capital Pacific Holdings, Inc............................ 65,800 271,425
*Capital Senior Living Corp............................... 18,000 232,875
Capitol Bancorp, Ltd...................................... 22,904 604,093
Capitol Transamerica Corp................................. 35,545 732,005
*Cardiotech International, Inc............................ 12,957 26,724
*Cardiovascular Diagnostics............................... 31,200 191,100
*Cardiovascular Dynamics, Inc............................. 65,036 426,799
*Care Group, Inc.......................................... 77,100 22,889
*Caretenders Healthcorp................................... 11,500 82,656
*Carlyle Industries, Inc.................................. 4,675 6,720
Carnegie Bancorp.......................................... 6,160 220,605
*Carnegie Group, Inc...................................... 29,700 113,231
*Carr-Gottstein Foods Co.................................. 71,766 515,818
*Carrington Laboratories, Inc............................. 76,300 323,083
*Carson, Inc.............................................. 10,500 64,313
*Carver Corp. WA.......................................... 60,803 23,751
Cascade Corp.............................................. 54,400 931,600
Cascade Natural Gas Corp.................................. 52,700 820,144
*Casco International, Inc................................. 5,022 17,734
Cash America International, Inc........................... 27,700 467,438
*Casino America, Inc...................................... 200,500 798,867
*Casino Data Systems...................................... 93,800 322,438
*Casino Magic Corp........................................ 71,300 140,372
*Casino Resource Corp..................................... 10,700 9,864
*Castelle................................................. 19,800 73,013
Castle Energy Corp........................................ 7,300 146,913
*Catalina Lighting, Inc................................... 60,600 231,038
*Catalyst International, Inc.............................. 40,400 520,150
*Catalyst Semiconductor, Inc.............................. 58,300 37,348
*Catherines Stores Corp................................... 59,900 593,384
Cato Corp. Class A........................................ 194,900 2,935,681
Cavalier Homes, Inc....................................... 149,981 1,677,912
*Cayenne Software, Inc.................................... 95,100 194,658
*Ceanic Corp.............................................. 58,000 855,500
*#Cel-Sci Corp............................................ 23,700 112,575
*Celadon Group, Inc....................................... 69,000 991,875
*Celebrity, Inc........................................... 54,000 74,250
*Celeritek, Inc........................................... 44,000 342,375
*Celestial Seasonings, Inc................................ 19,000 868,063
*Celgene Corp............................................. 115,300 1,127,778
*#Cell Genesys, Inc....................................... 216,005 1,829,292
*Cellegy Pharmaceuticals, Inc............................. 10,200 55,463
*Cellpro, Inc............................................. 74,200 259,700
*Cellular Technical Services Co., Inc..................... 90,600 92,016
*Celtrix Pharmaceuticals, Inc............................. 91,800 269,663
Cenit Bancorp, Inc........................................ 12,600 307,125
*Centennial Bancorp....................................... 68,484 1,168,508
*Centigram Communications Corp............................ 51,900 651,994
Central Co-Operative Bank Somerville, MA.................. 8,800 250,250
*Central Reserve Life Corp................................ 33,700 246,431
*Central Sprinkler Corp................................... 41,600 384,800
Central Vermont Public Service Corp....................... 52,500 767,813
Centris Group, Inc........................................ 108,200 1,420,125
<CAPTION>
SHARES VALUE+
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*Centura Software Corp.................................... 63,100 $ 140,003
Century Bancorp Income Class A............................ 1,000 22,125
*Ceradyne, Inc............................................ 115,100 604,275
Cerberonics, Inc. Class A................................. 3,500 32,594
*Cerion Technologies, Inc................................. 31,000 55,219
*Cerprobe Corp............................................ 36,300 483,244
*Chad Therapeutics........................................ 71,466 415,396
Champion Industries, Inc.................................. 42,000 532,875
*Charles, JW Financial Services, Inc...................... 15,100 153,831
*Chart House Enterprises, Inc............................. 74,500 623,938
Chart Industries, Inc..................................... 15,600 358,800
*Charter Federal Savings Bank (Escrow).................... 43,340 0
Chase Corp................................................ 19,700 285,650
*Chase Industries, Inc.................................... 60,500 1,871,719
*Chattem, Inc............................................. 69,500 1,837,406
*Chaus (Bernard), Inc..................................... 5,360 25,460
*Check Technology Corp.................................... 31,900 149,531
*Checkmate Electronics, Inc............................... 27,400 216,631
*Chemfab Corp............................................. 141,300 3,223,406
*Chemtrak, Inc............................................ 31,250 13,184
*Cherry Corp. Class A..................................... 3,600 61,650
*Cherry Corp. Class B..................................... 10,400 180,050
*Chesapeake Biological Laboratories, Inc. Class A......... 3,000 21,563
Chesapeake Energy Corp.................................... 136,699 589,515
Chesapeake Utilities Corp................................. 22,275 389,813
Chester Valley Bancorp.................................... 957 30,744
Chic by His, Inc.......................................... 80,000 670,000
Chicago Rivet & Machine Co................................ 20,000 655,000
*Chicos Fas, Inc.......................................... 66,900 723,356
*Children's Comprehensive Services, Inc................... 34,250 582,250
*#Childrens Broadcasting Corp............................. 29,500 94,031
*Childtime Learning Centers, Inc.......................... 23,500 477,344
*Chirex, Inc.............................................. 26,400 559,350
*#Chock Full O' Nuts Corp................................. 92,330 698,246
*Cholestech Corp.......................................... 72,900 931,753
*Christiana Companies, Inc................................ 22,400 875,000
*Chromcraft Revington, Inc................................ 56,000 2,131,500
*Chronimed, Inc........................................... 66,200 823,363
*Chrysalis International Corp............................. 90,000 153,281
*Chyron Corp.............................................. 23,853 92,430
*Cidco, Inc............................................... 85,700 690,956
*Cima Laboratories, Inc................................... 45,500 177,023
*Ciprico, Inc............................................. 41,895 526,306
*Circon Corp.............................................. 42,322 581,928
*Circuit City Stores, Inc. - Carmax Group................. 142,000 1,375,625
*Circuit Systems, Inc..................................... 26,200 106,438
*Citadel Holding Corp..................................... 35,700 178,500
*Citation Computer System, Inc............................ 30,000 180,000
*Citation Corp............................................ 12,000 231,750
Citfed Bancorp, Inc....................................... 31,350 1,531,252
*Citizens, Inc. Class A................................... 64,850 393,153
City Holding Co........................................... 2,142 93,445
*Civic Bancorp............................................ 39,690 736,746
*Claremont Technology Group, Inc.......................... 90,000 1,788,750
*Clark (Dick) Productions, Inc............................ 12,180 226,091
*Clean Harbors, Inc....................................... 82,400 222,738
*Clintrials Research, Inc................................. 150,600 823,594
*Coast Distribution System................................ 43,600 168,950
</TABLE>
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<TABLE>
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Coastal Bancorp, Inc...................................... 30,400 $ 1,181,800
*Coastal Physician Group, Inc............................. 58,400 29,200
*Coastcast Corp........................................... 59,300 1,104,463
*Cobra Electronic Corp.................................... 125,100 676,322
*Cocensys, Inc............................................ 171,800 531,506
*Code-Alarm, Inc.......................................... 20,300 46,944
*#Coeur d'Alene Mines Corp. ID............................ 77,000 678,563
*Coffee People, Inc....................................... 28,000 94,500
*Cognitronics Corp........................................ 57,450 811,481
*Coho Energy, Inc......................................... 141,300 1,170,141
*#Cohr, Inc............................................... 36,900 264,066
*Cold Metal Products, Inc................................. 51,800 255,763
*Cole (Kenneth) Productions, Inc. Class A................. 62,400 1,431,300
Collagen Corp............................................. 52,300 1,023,119
*Collagenex Pharmaceuticals, Inc.......................... 20,000 197,500
Collins Industries, Inc................................... 86,325 450,509
#Colonial Gas Co.......................................... 26,650 757,859
*Columbia Banking System, Inc............................. 42,143 1,048,320
*Columbia Laboratories, Inc............................... 8,000 67,500
*Columbus Energy Corp..................................... 16,857 125,374
*Comarco, Inc............................................. 47,200 1,010,375
*Comdial Corp............................................. 151,433 1,750,944
*Comforce Corp............................................ 120,866 1,178,444
Commercial Bancshares, Inc................................ 19,624 488,147
Commercial Bank of New York............................... 15,650 402,009
Commercial Intertech Corp................................. 53,400 1,014,600
*#Commodore Applied Technologies, Inc..................... 177,700 388,719
Commonwealth Industries, Inc.............................. 102,800 1,516,300
Communications Systems, Inc............................... 118,500 2,088,563
Community Bank System, Inc................................ 53,700 1,822,444
Community Banks, Inc...................................... 346 8,737
Community Financial Corp.................................. 10,200 208,463
*Community Medical Transport, Inc......................... 15,300 16,734
Community Savings Bankshares, Inc......................... 7,500 268,125
*#Comnet Corp............................................. 30,300 412,838
*Compdent Corp............................................ 82,200 1,202,175
*Competitive Technologies, Inc............................ 109,100 1,084,181
*#Complete Management, Inc................................ 68,099 459,668
*Comprehensive Care Corp.................................. 23,320 236,115
*Comptek Research, Inc.................................... 59,300 533,700
*#Computer Learning Centers, Inc.......................... 12,000 205,875
*Computer Manangement Sciences, Inc....................... 17,700 414,844
*Computer Network Technology Corp......................... 168,800 902,025
*Computer Outsourcing Services, Inc....................... 18,100 177,606
*Computrac, Inc........................................... 59,900 59,900
*Comshare, Inc............................................ 64,800 549,788
*Comstock Resources, Inc.................................. 127,900 1,279,000
*Comtech Telecommunications Corp.......................... 11,900 117,513
*Concentra Corp........................................... 31,300 138,894
*Concord Camera Corp...................................... 43,200 271,350
*Concord Fabrics, Inc. Class A............................ 45,500 443,625
*Concord Fabrics, Inc. Class B............................ 25,700 250,575
*Concurrent Computer Corp................................. 84,280 335,803
*Conductus, Inc........................................... 35,500 126,469
*Cone Mills Corp. NC...................................... 76,100 732,463
*Congoleum Corp. Class A.................................. 22,700 228,419
*Conmed Corp.............................................. 15,099 321,326
<CAPTION>
SHARES VALUE+
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Connecticut Energy Corp................................... 22,650 $ 658,266
Connecticut Water Services, Inc........................... 42,350 1,396,227
*Connitics Corp........................................... 46,900 190,531
*Consep, Inc.............................................. 49,700 66,784
*Consilium, Inc........................................... 68,700 215,761
*Conso Products Co........................................ 59,000 516,250
*Consolidated Delivery and Logistics, Inc................. 20,700 97,678
*Consolidated Stainless, Inc.............................. 16,150 5,299
Consolidated Tokoma Land Co............................... 6,800 119,850
*Consumer Portfolio Services, Inc......................... 112,000 1,330,000
*Consumers Financial Corp................................. 26,000 17,875
Consumers Water Co........................................ 41,400 892,688
*Continental Can, Inc. DE................................. 21,100 775,425
*Continental Materials Corp............................... 9,700 357,688
*Continucare Corp......................................... 10,400 55,250
*Converse, Inc............................................ 79,700 398,500
Cooker Restaurant Corp.................................... 82,600 867,300
*Cooper Development Co.................................... 13 0
*Cooperative Bankshares, Inc.............................. 3,000 55,500
*Copart, Inc.............................................. 41,350 736,547
*Copley Pharmaceutical, Inc............................... 77,600 482,575
*Copytele, Inc............................................ 73,100 239,859
*Coram Healthcare Corp.................................... 228,000 470,250
*Corcom, Inc.............................................. 63,400 800,425
*Core Materials Corp...................................... 14,800 74,000
*Core, Inc................................................ 33,500 344,422
*Cornell Corrections, Inc................................. 67,200 1,478,400
*Cornerstone Imaging, Inc................................. 56,300 411,694
*Correctional Services Corp............................... 54,000 759,375
*Corrpro Companies, Inc................................... 33,400 513,525
*Cortech, Inc............................................. 114,300 58,936
*Corvas International, Inc................................ 97,900 431,372
*Corvel Corp.............................................. 6,200 235,019
*Cosmetic Centers, Inc. Class C........................... 8,645 29,177
*Cost Plus, Inc........................................... 23,900 709,531
*Costilla Energy, Inc..................................... 28,100 301,197
*Cotelligent Group, Inc................................... 78,700 1,583,838
Cotton States Life Insurance Co........................... 12,000 205,500
Courier Corp.............................................. 31,700 1,164,975
*Covenant Transport, Inc. Class A......................... 94,000 1,527,500
*Cover-All Technologies, Inc.............................. 83,445 222,955
Covest Bancshares, Inc.................................... 45,000 832,500
*Coyote Network Systems, Inc.............................. 11,930 51,075
Craftmade International, Inc.............................. 45,000 720,000
*#Craig (Jenny), Inc...................................... 64,650 391,941
*Craig Corp............................................... 43,900 570,700
*Craig Corp. Class A...................................... 43,900 559,725
*Creative Biomolecules, Inc............................... 280,000 1,666,875
*Creative Computers, Inc.................................. 46,400 377,000
*#Cree Research, Inc...................................... 91,500 1,401,094
*Criticare Systems, Inc................................... 46,700 143,019
Cross (A.T.) Co. Class A.................................. 84,700 979,344
*Cross-Continent Auto Retailers, Inc...................... 29,000 233,813
*Crossman Communities, Inc................................ 90,000 2,677,500
*Crowley, Milner & Co..................................... 12,200 74,725
*Crown Books Corp......................................... 11,900 27,147
*Crown Central Petroleum Corp. Class A.................... 22,300 327,531
*Crown Central Petroleum Corp. Class B.................... 23,800 343,613
Crown Crafts, Inc......................................... 37,200 527,775
</TABLE>
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*Crown Resources Corp..................................... 117,700 $ 522,294
*Crown Vantage, Inc....................................... 59,200 606,800
*Crown-Andersen, Inc...................................... 10,500 45,938
*Cryolife, Inc............................................ 73,400 1,211,100
*Crystal Oil Co........................................... 5,000 207,500
Cubic Corp................................................ 29,850 876,844
*#Cubist Pharmaceuticals, Inc............................. 3,500 17,719
*Cuisine Solutions, Inc................................... 211,800 211,800
Culp, Inc................................................. 178,580 3,125,150
*Cyanotech Corp........................................... 59,150 205,177
*#Cybercash, Inc.......................................... 39,600 596,475
*Cyberguard Corp.......................................... 37,800 451,238
*Cybermedia, Inc.......................................... 29,600 180,375
*Cyberonics, Inc.......................................... 85,700 974,838
*Cyberoptics Corp......................................... 30,400 517,750
*Cybex Corp............................................... 40,650 934,950
*Cybex International, Inc................................. 72,300 732,038
*Cygnus, Inc.............................................. 24,000 223,125
*Cypros Pharmaceutical Corp............................... 102,900 495,206
*Cyrk, Inc................................................ 102,300 1,211,616
*Cytel Corp............................................... 170,500 285,055
*#Cytogen Corp............................................ 145,700 141,147
*Cytotherapeutics, Inc.................................... 134,400 258,300
*Cytrx Corp............................................... 44,400 113,775
D&N Financial Corp........................................ 64,350 1,661,034
*DDL Electronics, Inc..................................... 171,500 117,906
*DIY Home Warehouse, Inc.................................. 70,000 177,188
*DM Management Co......................................... 28,900 885,063
*DNAP Holding Corp........................................ 5,400 23,794
*#DRS Technologies, Inc................................... 31,500 448,875
*DSP Group, Inc........................................... 47,600 928,200
*DSP Technology, Inc...................................... 10,100 86,166
*DVI, Inc................................................. 74,400 1,585,650
*Dailey International, Inc................................ 30,400 209,000
*Daily Journal Corp....................................... 200 7,950
*Dakotah, Inc............................................. 8,700 7,477
*Daktronics, Inc.......................................... 12,200 95,313
*Damark International, Inc. Class A....................... 37,000 367,688
Dames & Moore, Inc........................................ 88,400 1,143,675
Daniel Industries, Inc.................................... 76,369 1,551,245
*Danielson Holding Corp................................... 153 1,128
*Darling International, Inc............................... 53,400 387,150
*Data Broadcasting Corp................................... 128,236 861,586
*#Data Dimensions, Inc.................................... 55,100 783,453
*Data I/O Corp............................................ 65,600 311,600
*Data Processing Resources Corp........................... 5,900 171,653
*#Data Race, Inc.......................................... 25,600 26,400
Data Research Association, Inc............................ 44,950 825,956
*Data Systems & Software, Inc............................. 47,800 265,888
*Data Systems Network Corp................................ 3,641 11,492
*Data Translation, Inc.................................... 20,650 39,364
*Data Transmission Network Corp........................... 21,300 817,388
*Dataflex Corp............................................ 39,125 155,889
*Datakey, Inc............................................. 11,700 66,544
*Datamarine International, Inc............................ 200 925
*Datametrics Corp......................................... 57,900 130,275
*Datapoint Corp........................................... 134,400 277,200
*Dataram Corp............................................. 14,900 180,663
*Datastream Systems, Inc.................................. 11,700 248,625
*Dataware Technologies, Inc............................... 47,300 152,247
*Datawatch Corp........................................... 60,000 123,750
*Dataworks Corp........................................... 33,697 617,076
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*Datron Systems, Inc...................................... 23,200 $ 176,900
*Datum, Inc............................................... 72,600 1,073,119
*Dave and Busters, Inc.................................... 21,150 477,858
*Davel Communications Group, Inc.......................... 28,100 691,963
*#Daw Technologies, Inc................................... 100,600 286,081
*Dawson Geophysical Co.................................... 44,700 713,803
*Dawson Production Services, Inc.......................... 70,200 785,363
*Daxor Corp............................................... 46,000 626,750
*Day Runner, Inc.......................................... 53,700 1,181,400
*Dayton Superior Corp. Class A............................ 56,100 1,009,800
Deb Shops, Inc............................................ 69,000 543,375
*Deckers Outdoor Corp..................................... 46,700 335,656
Decorator Industries, Inc................................. 12,050 149,119
*Deeptech International, Inc.............................. 93,000 1,333,969
Defiance, Inc............................................. 65,200 562,350
*Del Global Technologies Corp............................. 59,016 671,307
Del Laboratories, Inc..................................... 164,920 4,803,015
Delta Natural Gas Co., Inc................................ 18,800 323,125
Delta Woodside Industries, Inc............................ 146,700 871,031
*Denamerica Corp.......................................... 57,800 169,788
*Dendrite International, Inc.............................. 37,200 1,125,300
*Dense-Pac Microsystems, Inc.............................. 59,500 131,086
*Depotech Corp............................................ 65,200 109,006
*Designs, Inc............................................. 129,600 198,450
*Detection Systems, Inc................................... 66,186 674,270
*Detrex Corp.............................................. 9,500 124,094
*Devcon International Corp................................ 26,000 81,250
*Devlieg-Bullard, Inc..................................... 105,000 272,344
*Dewolfe Companies, Inc................................... 4,400 31,350
*Diagnostic Health Services, Inc.......................... 76,900 696,906
*Diametrics Medical, Inc.................................. 133,300 941,431
*Diamond Home Services, Inc............................... 78,500 435,430
*Diamond Multimedia Systems, Inc.......................... 37,000 284,438
*Dianon Systems, Inc...................................... 34,900 325,006
*Diatide, Inc............................................. 26,700 213,600
*Digene Corp.............................................. 63,900 531,169
*Digi International, Inc.................................. 52,100 1,190,159
*Digital Biometrics, Inc.................................. 72,000 122,625
*Digital Communications Technology Corp................... 368 115
*Digital Generation Systems, Inc.......................... 102,300 402,806
*Digital Link Corp........................................ 72,700 640,669
*Digital Power Corp....................................... 16,500 82,500
Dime Financial Corp....................................... 22,700 800,175
*Diodes, Inc.............................................. 32,300 262,438
*#Diversified Corporate Resources, Inc.................... 5,500 68,406
Dixie Group, Inc.......................................... 48,819 625,493
*Dixon Ticonderoga Co..................................... 27,450 363,713
*Dominion Bridge Corp..................................... 74,600 92,084
*Dominion Homes, Inc...................................... 28,800 367,200
Donegal Group, Inc........................................ 18,533 489,966
*Donnelley Enterprise Solutions, Inc...................... 8,800 182,600
Donnelly Corp. Class A.................................... 59,750 1,321,969
*Donnkenny, Inc........................................... 63,300 215,616
*Dorsey Trailers, Inc..................................... 39,000 134,063
*Dotronix, Inc............................................ 87,000 126,422
*Dravo Corp............................................... 66,500 748,125
*Drew Industries, Inc..................................... 84,200 1,241,950
*#Drexler Technology Corp................................. 112,550 1,667,147
*Driver-Harris Co......................................... 23,498 240,855
*Drug Emporium, Inc....................................... 92,600 361,719
</TABLE>
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<CAPTION>
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*Drypers Corp............................................. 46,300 $ 332,781
*Duckwall-Alco Stores, Inc................................ 41,200 746,750
*Ducommun, Inc............................................ 53,000 1,702,625
Duff & Phelps Credit Rating Co............................ 18,000 1,035,000
*Dura Automotive Systems, Inc............................. 2,300 84,381
*Durakon Industries, Inc.................................. 54,500 575,656
*#Duramed Pharmaceuticals, Inc............................ 101,000 563,391
*Dwyer Group, Inc......................................... 22,000 53,625
*Dycom Industries, Inc.................................... 14,700 420,788
Dyersburg Corp............................................ 107,300 757,806
*Dynamic Healthcare Technologies, Inc..................... 45,900 73,870
*Dynamic Materials Corp................................... 8,000 69,500
*Dynamics Research Corp................................... 71,258 841,735
*E-Z-Em, Inc. Class A..................................... 37,000 259,000
*E-Z-Em, Inc. Class B..................................... 55,424 325,616
*EA Engineering Science & Technology, Inc................. 78,975 261,605
*#EA Industries, Inc...................................... 78,150 283,294
*ECC International Corp................................... 139,750 480,391
*ECCS, Inc................................................ 6,900 22,209
*EFI Electronics Corp..................................... 65,400 109,341
*EFTC Corp................................................ 52,000 767,000
*EIP Microwave, Inc....................................... 3,140 2,159
*EIS International, Inc................................... 85,100 494,644
*ELXSI Corp............................................... 8,300 107,381
EMC Insurance Group, Inc.................................. 26,900 406,863
*ERLY Industries, Inc..................................... 28,944 83,214
ESB Financial Corp........................................ 242 4,598
*ESCO Electronics Corp. Trust Receipts.................... 101,076 1,813,051
*ESSEF Corp............................................... 117,854 2,209,763
*EXX, Inc. Class A........................................ 300 863
*EXX, Inc. Class B........................................ 100 275
Eagle Bancshares, Inc..................................... 38,400 892,800
*Eagle Finance Corp....................................... 24,200 7,941
*Eagle Food Centers, Inc.................................. 82,600 345,888
*Eagle Point Software Corp................................ 40,500 280,969
Easco, Inc................................................ 70,400 924,000
*East/West Communications, Inc............................ 29,600 59,200
Eastern Co................................................ 26,000 693,875
*Eateries, Inc............................................ 17,000 129,094
*Echelon International Corp............................... 1,100 29,769
*Eclipse Surgical Technologies, Inc....................... 35,000 375,156
*Ecogen, Inc.............................................. 36,800 98,900
Ecology & Environment, Inc. Class A....................... 11,900 116,025
*Edelbrock Corp........................................... 47,200 879,100
*Edison Control Corp...................................... 7,000 53,375
Edo Corp.................................................. 51,200 476,800
Educational Development Corp.............................. 2,800 12,775
*Educational Insights, Inc................................ 52,300 107,869
*Educational Medical, Inc................................. 15,500 155,969
*Egghead, Inc............................................. 138,200 1,109,919
*#Einstein/Noah Bagel Corp................................ 32,700 156,347
*Ekco Group, Inc.......................................... 138,500 1,090,688
*Elantec Semiconductor, Inc............................... 42,300 293,456
*Elcom International, Inc................................. 28,000 114,625
*Elcotel, Inc............................................. 88,389 466,804
*Electric Fuel Corp....................................... 90,100 259,038
*Electro Rent Corp........................................ 114,450 2,746,800
Electro Sensors, Inc...................................... 2,300 8,194
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*Electromagnetic Sciences, Inc............................ 142,199 $ 3,061,722
*#Electronic Retailing System International, Inc.......... 16,400 63,550
Electronic Tele Communications, Inc. Class A.............. 15,500 26,156
Ellett Brothers, Inc...................................... 44,000 225,500
*Eltron International, Inc................................ 44,700 994,575
*Embrex, Inc.............................................. 123,200 743,050
*Emcee Broadcast Products, Inc............................ 30,000 94,688
*Emcon.................................................... 71,450 317,059
*Emcor Group, Inc......................................... 44,100 875,109
*Emergent Group, Inc...................................... 26,100 132,131
*Emeritus Corp............................................ 123,500 1,343,063
*Emerson Radio Corp....................................... 77,100 38,550
*Emisphere Technologies, Inc.............................. 49,300 788,800
*Empi, Inc................................................ 36,000 625,500
*#Empire of Carolina, Inc................................. 42,500 45,156
*Employee Solutions, Inc. Class B......................... 198,500 803,305
*Emulex Corp.............................................. 53,800 393,413
*En Pointe Technologies, Inc.............................. 28,000 175,438
*#Enamelon, Inc........................................... 46,900 473,397
*Encad, Inc............................................... 18,400 193,775
*Encore Computer Corp..................................... 318,300 87,533
*Encore Wire Corp......................................... 65,050 2,014,517
*Endosonics Corp.......................................... 118,300 713,497
*Energy Biosystems Corp................................... 91,300 194,013
*Energy Conversion Devices, Inc........................... 61,400 719,531
*Energy Research Corp..................................... 18,700 395,038
Energynorth, Inc.......................................... 32,526 870,071
Energysouth, Inc.......................................... 51,150 1,093,331
Engineered Support Systems, Inc........................... 22,300 667,606
*Engineering Measurements Co.............................. 28,400 150,875
Engle Homes, Inc.......................................... 61,400 878,788
*#Enlighten Software Solutions, Inc....................... 9,500 33,547
Ennis Business Forms, Inc................................. 139,200 1,531,200
*Enstar, Inc.............................................. 9,266 63,704
*#Entremed, Inc........................................... 21,500 616,109
*Envirogen, Inc........................................... 13,900 25,411
*Environmental Elements Corp.............................. 48,600 197,438
*Environmental Technologies Corp.......................... 39,700 256,809
*Environmental Tectonics Corp............................. 13,300 139,650
*Envirosource, Inc........................................ 345,100 787,259
*Envirotest Systems Corp. Class A......................... 76,500 1,243,125
*Enzon, Inc............................................... 136,200 727,819
*#Epitope, Inc............................................ 82,500 464,063
*Equalnet Holding Corp.................................... 2,300 5,822
*Equimed, Inc............................................. 6,533 75,130
*Equinox Systems, Inc..................................... 15,000 356,250
*Equitex, Inc............................................. 1,300 4,063
*Equitrac Corp............................................ 15,700 307,131
*Equity Marketing, Inc.................................... 27,500 575,781
*Equity Oil Co............................................ 109,700 239,969
*Ergo Science Corp........................................ 61,400 282,056
Eskimo Pie Corp........................................... 27,000 384,750
Espey Manufacturing & Electronics Corp.................... 21,000 305,813
Essex County Gas Co....................................... 1,400 61,950
*Evans & Sutherland Computer Corp......................... 34,300 862,859
*Evans Systems, Inc....................................... 10,185 15,914
*Evans, Inc............................................... 102,900 96,469
Evergreen Bancorp, Inc. DE................................ 44,800 1,167,600
*Evergreen Resources, Inc................................. 68,100 1,230,056
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Exabyte Corp............................................. 83,100 $ 815,419
*Exar Corp................................................ 79,400 1,838,606
*Excalibur Technologies Corp.............................. 115,500 1,270,500
Excel Industries, Inc..................................... 91,500 1,818,563
*Excel Technology, Inc.................................... 49,922 503,900
*Executive Telecard, Ltd.................................. 89,600 247,800
*Executone Information Systems, Inc....................... 195,200 423,950
*Exogen, Inc.............................................. 48,100 189,394
*Expert Software, Inc..................................... 60,500 264,688
*Exponent, Inc............................................ 73,000 675,250
*Ezcorp, Inc. Class A Non-Voting.......................... 72,000 771,750
F & M Bancorp (MD)........................................ 16,175 636,891
FCB Financial Corp........................................ 18,000 580,500
FCNB Corp................................................. 10,600 343,175
FDP Corp.................................................. 84,300 1,037,944
*FEI Co................................................... 71,500 637,914
FFLC Bancorp.............................................. 14,233 287,329
FFY Financial Corp........................................ 20,100 665,813
*FLIR Systems, Inc........................................ 33,450 621,961
FNB Rochester Corp........................................ 17,100 349,481
*FPA Corp................................................. 101,400 234,488
*FRP Properties, Inc...................................... 31,700 1,046,100
FSF Financial Corp........................................ 12,900 249,938
*FTP Software, Inc........................................ 148,800 395,250
Fab Industries, Inc....................................... 30,700 832,738
*Factory Card Outlet Corp................................. 25,100 194,525
*Factset Research Systems, Inc............................ 10,000 324,375
Falcon Products, Inc...................................... 63,560 826,280
*Fansteel, Inc............................................ 73,951 656,315
*Farah, Inc............................................... 87,100 773,013
*Farr Co.................................................. 48,975 967,256
Farrel Corp............................................... 26,200 86,788
*#Fastcomm Communications Corp............................ 52,200 80,747
*Faxsav, Inc.............................................. 10,100 39,769
*Featherlite Manufacturing, Inc........................... 30,100 343,328
Fed One Bancorp........................................... 2,500 93,750
Fedders Corp.............................................. 77,200 482,500
Fedders Corp. Class A..................................... 23,712 142,272
Federal Screw Works....................................... 21,600 1,163,700
*#Female Health Co........................................ 44,000 140,250
*Ferrofluidics Corp....................................... 37,800 167,738
*Fibermark, Inc........................................... 57,525 1,114,547
*Fiberstars, Inc.......................................... 15,300 80,325
Fidelity Bancorp, Inc..................................... 302 7,701
Fidelity Bancorp, Inc. Delaware........................... 13,700 330,513
Fidelity Federal Bancorp.................................. 16,940 127,050
*Filenes Basement Corp.................................... 176,050 1,089,309
Financial Bancorp., Inc................................... 15,000 406,875
*Finishmaster, Inc........................................ 27,600 288,075
First Albany Companies, Inc............................... 2,933 42,712
*First American Health Concepts, Inc...................... 4,200 19,950
First Bancorp............................................. 400 13,400
*First Banks America, Inc................................. 4,879 118,316
First Bell Bancorp, Inc................................... 2,900 59,269
*First Cash, Inc.......................................... 37,200 421,988
*First Central Financial Corp............................. 78,000 429
First Charter Corp........................................ 6,960 166,170
First Coastal Bankshares, Inc............................. 87,950 1,533,628
First Defiance Financial Corp............................. 39,492 610,892
*#First Enterprise Financial Group, Inc................... 25,000 1,172
First Essex Bancorp....................................... 33,900 769,106
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*First Federal Bancshares of Arkansas, Inc................ 4,900 $ 134,138
First Federal Capital Corp................................ 74,850 2,582,325
First Federal Savings & Loan Association of East Hartford,
CT...................................................... 24,100 885,675
First Financial Holdings, Inc............................. 84,400 1,928,013
First Home Bancorp, Inc. NJ............................... 266 8,296
First Indiana Corp........................................ 110,940 2,735,364
*First Investors Financial Services Group, Inc............ 28,200 211,500
First Keystone Financial, Inc............................. 9,700 186,725
First Liberty Financial Corp.............................. 74,550 1,779,881
*#First Merchants Acceptance Corp......................... 39,100 391
First Merchants Corp...................................... 25,950 1,054,219
First Midwest Financial, Inc.............................. 12,100 288,131
First Mutual Bancorp, Inc................................. 16,100 278,731
First Mutual Savings Bank................................. 19,585 332,945
First Northern Capital Corp............................... 41,000 563,750
First Oak Brook Bancshares, Inc. Class A.................. 10,000 478,750
First Palm Beach Bancorp, Inc............................. 22,700 995,963
*First Republic Bank...................................... 68,049 2,262,629
First Savings Bancorp, Inc. North Carolina................ 19,700 466,644
First Savings Bank........................................ 16,000 408,500
*First Team Sports, Inc................................... 42,650 105,292
First Western Bancorp, Inc................................ 47,075 1,456,383
First Years, Inc.......................................... 34,300 1,121,181
FirstFederal Financial Services Corp...................... 30,040 933,118
*Firstwave Technologies, Inc.............................. 35,700 171,806
*Fischer Imaging Corp..................................... 51,900 227,063
Flag Financial Corp....................................... 8,800 206,250
Flamemaster Corp.......................................... 247 1,328
*Flander Corp............................................. 212,600 1,122,794
*Flanigan's Enterprises, Inc.............................. 10,300 123,600
Flexsteel Industries, Inc................................. 61,800 799,538
Florida Public Utilities Co............................... 6,200 158,875
*Florsheim Group, Inc..................................... 42,300 391,275
*Flow International Corp.................................. 158,200 1,908,288
*Fluor Daniel/GTI, Inc.................................... 4,008 29,309
Flushing Financial Corp................................... 30,700 821,225
*Foilmark, Inc............................................ 20,500 67,906
Fonar Corp................................................ 8,280 20,829
*Foodarama Supermarkets, Inc.............................. 22,000 756,250
*Foothill Independent Bancorp............................. 22,937 412,866
*Forensic Technologies International Corp................. 27,000 452,250
*Forte Software, Inc...................................... 64,200 329,025
*Fortune Natural Resources Corp........................... 49,107 70,591
*Foster (L.B.) Co. Class A................................ 126,600 664,650
*Fountain Oil, Inc........................................ 98,300 89,084
*Fountain Powerboat Industries, Inc....................... 23,200 236,350
*Four Kids Entertainment, Inc............................. 19,900 157,956
*Four Media Co............................................ 46,000 369,438
*Fourth Shift Corp........................................ 49,500 166,289
Frankfort First Bancorp, Inc.............................. 4,150 67,956
Franklin Bank National Associaton Southfield, MI.......... 16,669 281,289
*Franklin Electronic Publishers, Inc...................... 39,900 428,925
Freds, Inc. Class A....................................... 77,375 1,818,313
*French Fragrances, Inc................................... 62,500 1,072,266
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Frequency Electronics, Inc................................ 62,539 $ 984,989
*Fresh America Corp....................................... 20,500 407,438
*Fresh Choice, Inc........................................ 50,000 192,188
*Fresh Foods, Inc......................................... 2,375 39,781
*Friedman Billings Ramsey Group, Inc. Class A............. 30,000 470,625
Friedman Industries, Inc.................................. 142,226 942,252
*Friedmans, Inc. Class A.................................. 55,000 1,086,250
Frisch's Restaurants, Inc................................. 64,568 770,781
Frontier Adjusters of America, Inc........................ 1,000 2,438
*Frontier Oil Corp........................................ 209,300 1,739,806
Frozen Food Express Industries, Inc....................... 101,900 999,894
*#Fuisz Technologies, Ltd................................. 74,400 878,850
Fulton Financial Corp..................................... 49,646 1,301,663
*Funco, Inc............................................... 50,500 820,625
*Fusion Medical Technologies, Inc......................... 16,400 66,625
*G-III Apparel Group, Ltd................................. 44,770 270,019
GA Financial, Inc......................................... 6,600 134,475
GBC Bancorp............................................... 43,600 1,243,963
*GKN Holding Corp......................................... 17,400 51,113
*GNI Group, Inc........................................... 76,800 506,400
*GP Strategies Corp....................................... 71,050 1,101,275
*GRC International, Inc................................... 131,600 1,052,800
*GT Bicycles, Inc......................................... 45,100 257,211
*GTI Corp................................................. 55,400 153,216
*GTS Duratek, Inc......................................... 104,800 1,224,850
*GZA Geoenvironmental Technologies, Inc................... 15,800 81,963
*Gadzooks, Inc............................................ 40,000 1,116,250
Gainsco, Inc.............................................. 141,205 1,032,562
*Galey & Lord, Inc........................................ 95,000 2,351,250
*Galileo Corp............................................. 69,300 991,856
*Galoob Toys, Inc. DE..................................... 92,500 1,023,281
Gamma Biologicals, Inc.................................... 39,200 181,300
*Gantos, Inc.............................................. 27,300 38,817
Garan, Inc................................................ 33,600 928,200
*Garden Botanika, Inc..................................... 58,200 63,656
*Garden Fresh Restaurant Corp............................. 20,400 365,925
*Garden Ridge Corp........................................ 18,000 313,875
*#Gardenburger, Inc....................................... 57,200 622,050
*#Gargoyles, Inc.......................................... 34,800 57,638
*Garnet Resources Corp.................................... 44,200 774
*Gart Sports Co........................................... 9,306 145,406
*Gasonics International, Inc.............................. 112,000 1,151,500
*Gatefield Corp........................................... 170,800 269,544
*Gateway Industries, Inc.................................. 11,120 24,325
*#Geerling & Wade, Inc.................................... 18,700 92,916
*Gehl Co.................................................. 27,900 514,406
Gencor Industries, Inc.................................... 31,600 718,900
*Genelabs Technologies, Inc............................... 263,300 880,409
*Genemedicine, Inc........................................ 131,400 464,006
*General Acceptance Corp.................................. 12,500 9,766
*General Cigar Holdings, Inc. Class A..................... 9,000 89,438
*#General Datacomm Industries, Inc........................ 92,400 421,575
General Employment Enterprises, Inc....................... 19,221 240,263
General Housewares Corp................................... 34,830 349,388
*#General Magic, Inc...................................... 31,500 332,719
General Magnaplate Corp................................... 8,400 56,963
*General Microwave Corp................................... 8,600 88,150
*General Scanning, Inc.................................... 57,400 878,938
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*General Surgical Innovations, Inc........................ 72,400 $ 307,700
Genesee Corp. Class B..................................... 200 6,550
*Geneva Steel Co. Class A................................. 108,300 372,281
*Genicom Corp............................................. 109,900 882,634
*Genlyte Group, Inc....................................... 69,700 1,847,050
*Genome Therapeutics Corp................................. 138,600 905,231
Genovese Drug Stores, Inc. Class A........................ 128,584 2,555,607
*Gensia Sicor, Inc........................................ 169,000 707,688
*Gensym Corp.............................................. 39,500 235,148
*#Genus, Inc.............................................. 107,100 143,916
*#Genzyme Transgenics Corp................................ 74,900 720,913
*Geoscience Corp.......................................... 25,000 318,750
*#Geotek Communications, Inc.............................. 11,200 4,375
*Geoworks................................................. 93,900 431,353
*Geron Corp............................................... 32,400 357,413
*Getty Petroleum Marketing, Inc........................... 104,500 613,938
Getty Realty Corp. (Holding Co.).......................... 28,900 630,381
*Giant Cement Holding, Inc................................ 63,000 1,628,156
*Giant Group, Ltd......................................... 53,300 363,106
Giant Industries, Inc..................................... 87,500 1,646,094
*Gibraltar Packaging Group, Inc........................... 33,500 100,500
*Gibraltar Steel Corp..................................... 10,000 217,813
*Giga-Tronics, Inc........................................ 35,000 195,234
*Gish Biomedical, Inc..................................... 74,750 275,641
Glacier Bancorp, Inc...................................... 15,880 436,700
*Glacier Water Services, Inc.............................. 30,600 902,700
Gleason Corp.............................................. 217,700 6,435,756
*#Gliatech, Inc........................................... 63,100 1,167,350
*Global Motorsport Group, Inc............................. 37,300 794,956
*Global Payment Technologies, Inc......................... 25,300 302,019
*Global Village Communication, Inc........................ 97,000 97,000
*Globalink, Inc........................................... 37,500 107,813
*Globe Business Resources, Inc............................ 20,900 300,438
*Go Video, Inc............................................ 86,400 253,800
*#Golden Bear Golf, Inc................................... 5,400 37,800
*Golden Books Family Entertainment, Inc................... 12,000 96,938
Golden Enterprises, Inc................................... 48,600 306,788
*Golden Oil Co. DE........................................ 69 30
*Golden State Bancorp, Inc................................ 28,859 1,105,660
*Good Guys, Inc........................................... 114,500 1,459,875
GoodMark Foods, Inc....................................... 90,400 2,073,550
Gorman-Rupp Co............................................ 38,700 740,138
*Gottschalks, Inc......................................... 59,800 497,088
*Government Technology Services, Inc...................... 41,800 209,000
*Gradall Industries, Inc.................................. 8,300 125,019
*Gradco Systems, Inc...................................... 150,186 952,742
*Graham Corp.............................................. 13,450 226,969
*Graham-Field Health Products, Inc........................ 267,950 1,574,206
Grand Premier Financial, Inc.............................. 1,450 24,288
Granite State Bankshares, Inc............................. 24,300 622,688
Gray Communications Systems, Inc.......................... 17,600 523,600
Great Southern Bancorp, Inc............................... 19,100 493,019
*Great Train Store Co., Inc............................... 19,800 61,875
*Greate Bay Casino Corp................................... 50,819 45,261
Greater Bay Bancorp....................................... 8,558 293,112
Green (A.P.) Industries, Inc.............................. 123,100 2,677,425
*Green Mountain Coffee, Inc............................... 9,900 59,400
Green Mountain Power Corp................................. 39,100 632,931
*Greenbriar Corp.......................................... 31,100 283,788
Greenbrier Companies, Inc................................. 111,000 1,998,000
</TABLE>
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*Greyhound Lines, Inc..................................... 175,400 $ 1,096,250
*Gristede's Sloans, Inc................................... 33,339 133,356
*Group 1 Software, Inc.................................... 31,400 459,225
*Grow Biz International, Inc.............................. 53,600 703,500
*Grubb & Ellis Co......................................... 76,152 913,824
*Gryphon Holdings, Inc.................................... 54,000 955,125
Guarantee Life Companies, Inc............................. 18,900 510,300
*Guess, Inc............................................... 280,200 1,488,563
*Guest Supply, Inc........................................ 107,100 1,619,888
*Gulfmark Offshore, Inc................................... 51,600 1,425,450
*Gulfport Energy Corp..................................... 6,309 9,464
*Gull Laboratories, Inc................................... 34,400 189,200
*#Gumtech International, Inc.............................. 18,000 101,250
*Gundle/SLT Environmental, Inc............................ 149,600 766,700
*HCIA, Inc................................................ 54,500 442,813
*HD Vest, Inc............................................. 10,500 94,500
*HEI, Inc................................................. 19,300 120,022
HF Financial Corp......................................... 13,400 479,050
*HMI Industries, Inc...................................... 84,200 363,113
*HMN Financial, Inc....................................... 29,400 539,306
*HPSC, Inc................................................ 74,800 565,675
*HS Resources, Inc........................................ 47,428 684,742
Hach Co................................................... 6,900 65,442
Hach Co. Class A.......................................... 300 2,869
Haggar Corp............................................... 54,500 756,188
*Hahn Automotive Warehouse, Inc........................... 36,341 208,961
*Hain Food Group, Inc..................................... 59,100 1,331,597
Halifax Corp.............................................. 8,450 68,656
*Hallmark Capital Corp.................................... 10,600 155,025
*Hallwood Group, Inc...................................... 969 33,431
*#Halsey Drug Co., Inc.................................... 114,422 286,055
*Hammons (John Q.) Hotels, Inc. Class A................... 55,700 421,231
*Hampshire Group, Ltd..................................... 4,900 112,700
*Hampton Industries, Inc.................................. 43,384 287,419
Hancock Fabrics, Inc...................................... 58,100 769,825
*Handleman Co............................................. 257,000 3,148,250
*Hanger Orthopedic Group, Inc............................. 56,200 1,088,875
Harbor Federal Bancorp, Inc............................... 100 2,363
*Harding Lawson Associates Group, Inc..................... 41,700 413,091
Hardinge Brothers, Inc.................................... 17,200 679,400
Harleysville National Corp PA............................. 2,215 90,746
Harmon Industries, Inc.................................... 81,450 1,908,984
*Harmonic Lightwaves, Inc................................. 86,000 1,505,000
*Harolds Stores, Inc...................................... 40,937 327,496
Harris & Harris Group, Inc................................ 31,600 81,963
*#Harry's Farmers Market, Inc. Class A.................... 20,200 34,719
*Hartmarx Corp............................................ 162,500 1,279,688
*Harvey Entertainment Co.................................. 30,000 335,625
Harvey's Casino Resorts................................... 68,900 1,873,219
Haskel International, Inc................................. 22,700 232,675
Hastings Manufacturing Co................................. 13,700 316,813
*Hathaway Corp............................................ 34,580 86,450
*Hauser, Inc.............................................. 53,900 410,988
Haven Bancorp, Inc........................................ 48,000 1,284,000
Haverty Furniture Co., Inc................................ 74,200 1,632,400
Haverty Furniture Co., Inc. Class A....................... 13,550 287,938
*Hawaiian Airlines, Inc................................... 87,800 230,475
Hawkins Chemical, Inc..................................... 41,284 523,791
*Hawthorne Financial Corp................................. 14,100 274,069
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*#Hayes Corp.............................................. 29,677 $ 114,998
*Health Management Systems, Inc........................... 79,400 883,325
*Health Power, Inc........................................ 13,700 78,775
*Health Professionals, Inc................................ 4,923 517
*Health Risk Management, Inc.............................. 34,700 508,572
*Health Systems Design Corp............................... 48,000 420,000
*Healthcare Services Group, Inc........................... 78,800 1,127,825
*Healthcor Holdings....................................... 30,000 58,125
*Healthdyne Information Enterprises, Inc.................. 33,800 123,581
*Healthy Planet Products, Inc............................. 6,000 10,500
*#Heartland Wireless Communications, Inc.................. 27,700 21,208
*Heartport, Inc........................................... 40,000 321,250
*Hector Communications Corp............................... 21,300 231,638
Heico Corp................................................ 126,498 3,842,377
*Heico Corp. Class A...................................... 72,649 1,997,848
*Hein-Werner Corp......................................... 40,849 513,166
*Heist (C.H.) Corp........................................ 10,600 76,850
*Hello Direct, Inc........................................ 43,500 296,344
*Hemasure, Inc............................................ 56,400 74,906
Heritage Financial Services, Inc.......................... 20,100 707,897
*Herley Industries, Inc................................... 15,333 204,121
*Hf Bancorp, Inc.......................................... 21,450 368,672
*Hi-Shear Technology Corp................................. 24,600 196,800
*Hi-Tech Pharmacal, Inc................................... 37,500 221,484
*Hibbett Sporting Goods, Inc.............................. 16,000 541,000
*High Plains Corp......................................... 137,576 361,137
*Highway Master Communications, Inc....................... 193,100 712,056
Hilb Rogal Hamilton Co.................................... 55,635 971,874
Hilite Industries, Inc.................................... 11,200 100,800
Hingham Institution for Savings MA........................ 1,900 68,163
*Hirsch International Corp. Class A....................... 53,900 542,369
*Hoenig Group, Inc........................................ 34,700 252,659
*Holiday RV Superstores, Inc.............................. 9,600 20,400
Holly Corp................................................ 46,100 1,261,988
*Hollywood Casino Corp. Class A........................... 213,400 416,797
*Holopak Technologies, Inc................................ 32,000 84,500
*Holophane Corp........................................... 12,800 334,400
Home Bancorp.............................................. 2,400 78,150
Home Federal Bancorp...................................... 33,300 1,061,438
*Home Health Corp. of America............................. 23,800 58,013
Home Port Bancorp, Inc.................................... 4,500 111,094
*Home Products International, Inc......................... 32,700 386,269
*Home State Holdings, Inc................................. 60,000 9,375
*Homeowners Group, Inc. Escrow............................ 47,800 0
*#Hondo Oil and Gas Co.................................... 56,900 35,563
Hooper Holmes, Inc........................................ 125,600 2,920,200
Horizon Financial Corp.................................... 33,503 600,960
#Horton (D.R.), Inc....................................... 112,725 2,029,050
*Hospital Staffing Services, Inc.......................... 54,789 22,258
*Hospitality Worldwide Services, Inc...................... 27,700 235,450
*#Hot Topic, Inc.......................................... 20,600 480,238
*Housecall Medical Resources, Inc......................... 41,600 52,000
*Hovnanian Enterprises, Inc. Class A...................... 109,800 1,091,138
#Howell Corp.............................................. 108,200 1,284,875
*Howtek, Inc.............................................. 37,500 66,797
*Hub Group, Inc. Class A.................................. 55,700 1,197,550
Hudson Chartered Bancorp, Inc............................. 12,100 282,838
Hudson General Corp....................................... 25,300 1,217,563
*Hudson Hotels Corp....................................... 4,300 18,947
</TABLE>
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*Hudson Technologies, Inc................................. 22,500 $ 89,297
Huffy Corp................................................ 105,800 1,606,838
Hunt Corp................................................. 60,500 1,406,625
Huntco, Inc. Class A...................................... 41,200 520,150
*Hurco Companies, Inc..................................... 47,600 412,038
*Hvide Marine, Inc. Class A............................... 45,000 679,219
*Hycor Biomedical, Inc.................................... 69,316 132,134
Hydron Technologies, Inc.................................. 97,500 56,367
*I-Stat Corp.............................................. 69,900 674,972
*IA Corp. I............................................... 4,300 11,019
IBS Financial Corp........................................ 24,100 445,850
*ICC Technologies, Inc.................................... 49,300 226,472
*ICF Kaiser International, Inc............................ 199,000 572,125
*ICT Group, Inc........................................... 5,800 27,913
*ICU Medical, Inc......................................... 72,550 1,063,311
*#IDM Environmental Corp.................................. 66,700 230,323
*IDT Corp................................................. 165,000 4,310,625
*IEC Electronics Corp..................................... 59,800 435,419
IFR Systems, Inc.......................................... 94,402 1,811,338
*IGEN, Inc................................................ 66,800 2,148,038
*IGI, Inc................................................. 67,300 210,313
*II-VI, Inc............................................... 39,600 598,950
IMCO Recycling, Inc....................................... 61,200 1,158,975
*IMP, Inc................................................. 250,800 227,288
*IQ Software Corp......................................... 24,000 262,500
ISB Financial Corp. LA.................................... 29,700 833,456
*ITC Learning Corp........................................ 26,300 174,238
*ITEQ, Inc................................................ 44,555 529,091
*ITI Technologies, Inc.................................... 60,400 1,785,575
*ITLA Capital Corp........................................ 36,100 821,275
*#IVI Publishing, Inc..................................... 65,000 392,031
*Ibah, Inc................................................ 190,200 1,004,494
*Ibis Technology Corp..................................... 29,800 312,900
ICO, Inc.................................................. 171,518 814,711
*Identix, Inc............................................. 107,300 764,513
*Ikos Systems, Inc........................................ 52,150 304,752
*#Illinois Superconductor Corp............................ 32,300 86,806
*Image Entertainment, Inc................................. 107,600 734,706
*#Imagyn Medical Technologies, Inc........................ 124,200 133,903
*Imatron, Inc............................................. 274,100 766,623
*Imclone Systems, Inc..................................... 144,000 1,579,500
*Immucor, Inc............................................. 55,500 468,281
*Immulogic Pharmaceutical Corp............................ 143,900 265,316
*#Immune Response Corp. DE................................ 153,400 1,740,131
*#Immunogen, Inc.......................................... 58,200 107,306
*Immunomedics, Inc........................................ 160,900 827,127
*#Imnet Systems, Inc...................................... 73,100 808,669
*Impath, Inc.............................................. 22,700 759,741
*Impco Technologies, Inc.................................. 32,400 508,275
Imperial Holly Corp....................................... 96,900 932,663
*In Focus Systems, Inc.................................... 17,000 133,344
*In Home Health, Inc...................................... 27,500 29,648
*Incontrol, Inc........................................... 123,700 429,084
*Indenet, Inc............................................. 150,350 314,795
Independence Holding Co................................... 11,119 162,615
Independent Bank Corp. MA................................. 118,100 2,199,613
Independent Bank East..................................... 15,867 633,688
Independent Bankshares, Inc............................... 982 15,835
*Individual Investor Group, Inc........................... 2,800 14,350
*Industrial Acoustics Co., Inc............................ 900 8,775
Industrial Bancorp, Inc................................... 7,600 159,600
*Industrial Holdings, Inc................................. 35,800 467,638
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
Industrial Scientific Corp................................ 10,000 $ 242,500
*Inference Corp. Class A.................................. 60,000 236,250
*Infinium Software, Inc................................... 56,300 802,275
*Infonautics Corp. Class A................................ 43,200 148,500
*Information Resource Engineering, Inc.................... 26,100 199,013
*Information Storage Devices, Inc......................... 85,900 504,663
*Infu-tech, Inc........................................... 14,600 97,638
Ingles Market, Inc. Class A............................... 500 6,219
*Innerdyne, Inc........................................... 142,500 365,156
*Innodata Corp............................................ 2,783 13,828
*Innoserv Technologies, Inc............................... 13,640 54,134
*Innovative Gaming Corp. of America....................... 34,050 100,022
*#Insite Vision, Inc...................................... 85,900 288,570
Insituform East, Inc...................................... 20,200 47,344
*Insituform Technologies, Inc. Class A.................... 119,455 1,537,983
*Inso Corp................................................ 70,000 962,500
Insteel Industries, Inc................................... 61,644 443,066
Instron Corp.............................................. 118,200 2,364,000
*Insurance Auto Auctions, Inc............................. 62,000 829,250
*Integ, Inc............................................... 29,600 89,725
*Integra Lifesciences Corp................................ 25,750 160,938
*Integramed America, Inc.................................. 62,200 120,513
*Integrated Circuit Systems, Inc.......................... 42,800 589,838
*Integrated Measurement System, Inc....................... 34,700 312,300
*Integrated Orthopedics, Inc.............................. 45,000 300,938
*Integrated Packaging Assembly Corp....................... 23,500 16,891
*Integrated Process Equipment Corp........................ 5,000 69,531
*Integrated Silicon Solution, Inc......................... 97,200 674,325
*Integrated Systems Consulting Group, Inc................. 25,200 292,950
*Intellicall, Inc......................................... 70,407 334,433
*Intellicorp, Inc......................................... 6,900 25,659
*Intellidata Technologies Corp............................ 22,900 32,203
*Intelligent Medical Imaging, Inc......................... 13,100 45,441
*Intelligent Systems Corp................................. 21,300 81,206
*Intelligroup, Inc........................................ 20,100 384,413
*Intensiva Healthcare Corp................................ 25,000 234,375
Intercargo Corp........................................... 38,300 476,356
Interchange Financial Services Corp. Saddle Brook......... 33,180 680,190
*Interdigital Communications Corp......................... 48,700 267,850
*Interface Systems, Inc................................... 30,500 93,406
*#Interferon Sciences, Inc................................ 68,400 67,331
*Interlake Corp........................................... 196,200 821,588
*Interleaf, Inc........................................... 143,100 415,884
*Interlink Computer Sciences, Inc......................... 19,100 98,484
*Interlink Electronics.................................... 44,600 214,638
*Interlinq Software Corp.................................. 35,000 212,188
*Interlott Technologies, Inc.............................. 14,900 169,488
*Intermagnetics General Corp.............................. 162,119 1,641,455
International Aluminum Corp............................... 7,300 247,744
*#International Lottery & Totalizer Systems, Inc.......... 34,700 15,181
*International Microcomputer Software, Inc................ 25,000 379,688
*International Remote Imaging Systems, Inc................ 35,350 117,097
International Shipholding Corp............................ 53,950 890,175
</TABLE>
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<TABLE>
<CAPTION>
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*#International Technology Corp........................... 76,175 $ 795,077
*International Thoroughbred Breeders, Inc................. 56,650 198,275
*Interneuron Pharmaceuticals, Inc......................... 12,000 55,500
*Interphase Corp.......................................... 34,300 259,394
*Interpore International.................................. 51,400 311,613
*Intersolv, Inc........................................... 43,200 619,650
Interstate Johnson Lane, Inc.............................. 28,350 825,694
*Interstate National Dealers Services, Inc................ 21,300 175,725
*Intersystems, Inc........................................ 52,700 111,988
*Intertan, Inc............................................ 73,900 448,019
*Intervisual Books, Inc. Class A.......................... 2,500 5,234
*Intervoice, Inc.......................................... 67,000 894,031
Interwest Bancorp......................................... 14,700 666,094
*Intevac, Inc............................................. 61,200 583,313
Investors Title Co........................................ 24,000 624,000
*#Invision Technologies, Inc.............................. 54,700 468,369
*Invivo Corp.............................................. 14,300 165,344
*#Ion Laser Technology, Inc............................... 37,500 60,938
*Iridex Corp.............................................. 33,300 312,188
Iroquois Bancorp.......................................... 400 10,500
Isco, Inc................................................. 101,341 874,066
*Isolyser Co., Inc........................................ 301,025 705,527
*Itron, Inc............................................... 3,900 60,450
*Iwerks Entertainment, Inc................................ 100,924 208,156
*J & J Snack Foods Corp................................... 41,000 802,063
*J. Alexander's Corp...................................... 120,200 593,488
*#JMAR Industries, Inc.................................... 85,800 218,522
*JPE, Inc................................................. 30,400 102,600
*JPM Co................................................... 50,000 521,875
*Jackpot Enterprises, Inc................................. 51,875 635,469
Jacksonville Bancorp, Inc................................. 11,800 247,063
*Jaclyn, Inc.............................................. 23,227 135,007
*Jaco Electronics, Inc.................................... 19,673 122,956
*Jacobson Stores, Inc..................................... 49,700 698,906
*Jakks Pacific, Inc....................................... 20,600 189,263
*Jalate, Ltd.............................................. 11,000 17,875
*Jan Bell Marketing, Inc.................................. 224,900 1,152,613
*Jason, Inc............................................... 98,100 919,688
*Jean Philippe Fragrances, Inc............................ 69,000 573,563
Jeffbanks, Inc............................................ 13,587 723,508
Jefferson Savings Bancorp, Inc............................ 80,000 2,530,000
*Jennifer Convertibles, Inc............................... 41,000 82,641
*Jerry's Famous Deli, Inc................................. 26,800 52,344
*Johnson Worldwide Associates, Inc. Class A............... 64,000 816,000
Johnston Industries, Inc.................................. 197,813 1,032,337
*Johnstown American Industries, Inc....................... 86,700 1,571,438
*Jos. A. Bank Clothiers, Inc.............................. 57,900 434,250
*Joule, Inc............................................... 42,100 165,769
*Jumbosports, Inc......................................... 174,400 228,900
*Just Toys, Inc........................................... 28,300 33,606
*K & G Men's Center, Inc.................................. 56,500 1,426,625
K Swiss, Inc. Class A..................................... 31,200 614,250
*#K-Tel International, Inc................................ 32,800 514,550
*K-Tron International, Inc................................ 63,400 1,184,788
*K-V Pharmaceutical Co. Class A........................... 44,625 925,969
*K-V Pharmaceutical Co. Class B........................... 29,850 615,656
*KBK Capital Corp......................................... 5,000 61,875
*#KFX, Inc................................................ 73,000 228,125
*KLLM Transport Services, Inc............................. 37,400 469,838
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*#KTI, Inc................................................ 38,519 $ 859,455
*KVH Industries, Inc...................................... 8,200 28,188
*Kaiser Ventures, Inc..................................... 78,900 882,694
*Kaneb Services, Inc...................................... 162,300 963,656
*Karrington Health, Inc................................... 35,000 378,438
Katy Industries, Inc...................................... 49,300 912,050
*Katz Digital Technologies, Inc........................... 35,300 251,513
Kaye Group, Inc........................................... 42,000 283,500
Keithley Instruments, Inc................................. 17,600 136,400
*Kelley Oil & Gas Corp.................................... 68,100 154,289
Kenan Transport Co........................................ 200 6,950
*Kensey Nash Corp......................................... 32,400 603,450
*Kent Financial Services, Inc............................. 14,278 98,161
Kentek Information Systems, Inc........................... 1,400 11,900
*Kentucky Electric Steel, Inc............................. 15,700 87,331
Kentucky First Bancorp, Inc............................... 4,000 63,000
*Keravision, Inc.......................................... 36,800 318,550
*Kevco, Inc............................................... 8,100 174,150
Kewaunee Scientific Corp.................................. 20,400 197,625
*Key Energy Group, Inc.................................... 658 10,816
*Key Production Co., Inc.................................. 52,861 644,243
*Key Technology, Inc...................................... 27,000 305,438
*Key Tronic Corp.......................................... 129,100 383,266
*Keystone Consolidated Industries, Inc.................... 88,600 1,088,119
*Kimmins Corp............................................. 19,333 67,666
*Kinark Corp.............................................. 52,800 178,200
*Kinnard Investment, Inc.................................. 30,400 195,700
*Kit Manufacturing Co..................................... 12,000 84,000
Klamath First Bancorp, Inc................................ 53,800 1,072,638
Knape & Vogt Manufacturing Co............................. 54,599 1,242,127
*Knickerbocker (L.L.) Co., Inc............................ 60,700 231,419
*Knight Transportation, Inc............................... 24,000 456,750
*Koala Corp............................................... 11,300 211,169
*Koll Real Estate Group, Inc.............................. 15,500 150,156
Kollmorgen Corp........................................... 46,100 893,188
*#Koo Koo Roo, Inc........................................ 216,111 516,640
*Kopin Corp............................................... 85,900 1,624,047
*Koss Corp................................................ 52,000 520,000
*Krauses Furniture, Inc................................... 2,933 10,449
*Kronos, Inc.............................................. 30,500 1,086,563
*Krug International Corp.................................. 33,465 186,149
*#L.A. Gear, Inc.......................................... 45,600 4,332
*LCC International, Inc. Class A.......................... 6,600 106,219
LCS Industries, Inc....................................... 21,760 318,240
LSB Bancshares, Inc. NC................................... 23,890 501,690
LSB Industries, Inc....................................... 108,900 469,631
LSI Industries, Inc....................................... 143,403 2,899,429
*LTX Corp................................................. 124,300 479,720
*LXR Biotechnology, Inc................................... 68,300 187,825
*La Jolla Pharmceutical Co................................ 139,300 544,141
*LaBarge, Inc............................................. 221,650 789,628
LaCrosse Footwear, Inc.................................... 13,300 156,275
Lab Holdings, Inc......................................... 1,800 39,375
Labone, Inc............................................... 15,200 270,275
*Laclede Steel Co......................................... 25,450 106,572
*Ladd Furniture, Inc...................................... 47,533 1,247,741
*Lakeland Industries, Inc................................. 19,900 227,606
Lakeview Financial Corp................................... 16,200 376,650
*Lamson & Sessions Co..................................... 143,800 988,625
*Lancer Corp.............................................. 99,225 1,699,228
*Lancit Media Productions, Ltd............................ 53,200 49,875
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Landair Services, Inc.................................... 50,100 $ 1,559,363
Landauer, Inc............................................. 71,000 2,023,500
*Landec Corp.............................................. 58,500 409,500
*Lanvision Systems, Inc................................... 61,600 231,000
*Larscom, Inc............................................. 34,000 315,563
*Larson Davis, Inc........................................ 28,200 73,144
*Laser Vision Centers, Inc................................ 43,300 579,138
*Laserscope............................................... 69,000 187,594
*Laserscope (Private Placement)........................... 6,000 14,681
*LaserSight Corporation................................... 52,400 238,256
*Lawrence Savings Bank MA................................. 7,700 124,163
*Layne Christensen Co..................................... 86,800 1,204,350
*Lazare Kaplan International, Inc......................... 72,800 846,300
*Leap Group, Inc.......................................... 18,200 50,903
*Leasing Solutions, Inc................................... 66,100 1,850,800
*Leather Factory, Inc..................................... 200 106
*Lechters, Inc............................................ 128,400 746,325
*Lecroy Corp.............................................. 31,400 637,813
*Lectec Corp.............................................. 19,180 83,313
Lesco, Inc................................................ 87,100 1,954,306
*Leslie Building Products, Inc............................ 27,800 79,925
*Level 8 Systems, Inc..................................... 49,900 567,613
*Levitz Furniture, Inc.................................... 122,200 67,210
*Lexford Residential Trust................................ 46,000 983,250
*Lexington Global Asset Managers, Inc..................... 12,500 89,063
Liberty Homes, Inc. Class A............................... 200 2,325
*Liberty Technologies, Inc................................ 23,100 73,631
*Lidak Pharmaceuticals Class A............................ 212,000 321,313
*Life Medical Sciences, Inc............................... 70,100 92,006
*Life Quest Medical, Inc.................................. 8,100 25,819
*Lifecore Biomedical, Inc................................. 56,400 1,045,163
*Lifeline Systems, Inc.................................... 26,600 495,425
Lifetime Hoan Corp........................................ 82,302 915,610
*Lightbridge, Inc......................................... 35,000 410,156
Lillian Vernon Corp....................................... 50,100 870,488
*Lindal Cedar Homes, Inc.................................. 40,777 127,428
Lindberg Corp............................................. 53,200 1,216,950
*Liposome Co., Inc........................................ 63,700 391,158
Liqui-Box Corp............................................ 12,400 533,200
Litchfield Financial Corp................................. 26,003 585,068
*Lithia Motors, Inc. Class A.............................. 2,900 40,781
*Littlefield, Adams & Co.................................. 16,577 36,780
*Liuski International, Inc................................ 7,700 6,256
*Lodgenet Entertainment Corp.............................. 87,300 954,844
*Loehmanns, Inc........................................... 66,000 367,125
*Logans Roadhouse, Inc.................................... 61,000 1,265,750
*#Logic Devices, Inc...................................... 49,300 145,589
*Logic Works, Inc......................................... 94,000 1,451,125
*Lojack Corp.............................................. 18,600 234,244
*Loronix Information Systems, Inc......................... 20,000 52,500
Lufkin Industries, Inc.................................... 30,300 1,026,413
Lukens, Inc. DE........................................... 6,000 192,375
*Lumen Technologies, Inc.................................. 175,799 1,450,342
*Lumisy, Inc.............................................. 46,700 195,556
*Lunar Corp............................................... 83,100 1,519,172
*Lund International Holdings, Inc......................... 15,800 202,438
*#Luria (L.) & Son, Inc................................... 79,297 833
*Lynch Corp............................................... 29,600 2,701,000
*M-Wave, Inc.............................................. 12,200 28,975
*M.H. Meyerson & Co., Inc................................. 25,150 44,013
M/A/R/C, Inc.............................................. 32,757 585,531
<CAPTION>
SHARES VALUE+
---------- --------------
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*#MAI Systems Corp........................................ 45,707 $ 205,682
MDC Holdings, Inc......................................... 141,400 2,138,675
MFB Corp.................................................. 3,700 98,975
*MFRI, Inc................................................ 22,900 196,081
*MGI Pharma, Inc.......................................... 137,700 1,148,934
*MHM Services, Inc........................................ 75 38
MI Schottenstein Homes, Inc............................... 45,600 917,700
*#MIM Corp................................................ 53,900 240,866
*MK Gold Corp............................................. 58,500 57,586
*MRS Technology, Inc...................................... 47,500 73,477
*MS Carriers, Inc......................................... 42,600 1,270,013
MSB Bancorp, Inc.......................................... 9,000 324,000
MTS Systems Corp.......................................... 54,800 1,022,363
*MVSI, Inc................................................ 63,400 437,856
MYR Group, Inc............................................ 65,333 816,663
*Macheezmo Mouse Restaurants, Inc......................... 10,800 6,750
*Mackie Designs, Inc...................................... 63,000 433,125
*MacNeal-Schwendler Corp.................................. 123,500 1,304,469
*Madden (Steven), Ltd..................................... 22,300 216,728
*Magainin Pharmaceuticals, Inc............................ 185,800 1,079,963
Magna Group, Inc.......................................... 10,581 587,907
*Magnum Hunter Resources, Inc............................. 182,500 1,300,313
*Main Street & Main, Inc.................................. 34,375 119,238
Maine Public Service Co................................... 32,700 465,975
Mainstreet Bankgroup, Inc................................. 20,600 620,575
*Malibu Entertainment Worldwide, Inc...................... 2,100 5,513
*Mallon Resources Corp.................................... 21,675 234,361
*Managed Care Solutions, Inc.............................. 20,133 154,772
*Manatron, Inc............................................ 115 532
*Manchester Equipment Co., Inc............................ 13,500 53,156
*#Manhattan Bagel Co., Inc................................ 33,100 38,272
*Mapics, Inc.............................................. 75,200 1,320,700
*Mapinfo Corp............................................. 46,000 546,250
*Marcam Solutions, Inc.................................... 34,550 516,091
*Marisa Christina, Inc.................................... 72,200 218,856
Maritrans, Inc............................................ 68,000 612,000
*Mark VII, Inc............................................ 95,600 1,649,100
*Marker International..................................... 83,900 302,827
*Marlton Technologies, Inc................................ 62,300 412,738
Marsh Supermarkets, Inc. Class A.......................... 17,700 247,800
#Marsh Supermarkets, Inc. Class B......................... 20,900 297,825
Marshall & Isley Corp..................................... 13,470 726,117
*#Martek Biosciences Corp................................. 63,600 793,013
*Marten Transport, Ltd.................................... 52,800 917,400
Maryland Federal Bancorp.................................. 35,090 1,359,738
Mason Dixon Bancshares, Inc............................... 8,400 273,000
Massbank Corp. Reading, MA................................ 14,800 752,950
Matec Corp. DE............................................ 23,800 89,250
*Material Sciences Corp................................... 39,167 394,118
*Mathsoft, Inc............................................ 40,100 154,134
*Matlack Systems, Inc..................................... 75,650 643,025
*Matria Healthcare, Inc................................... 204,200 826,372
*Matritech, Inc........................................... 159,500 478,500
*Matrix Pharmaceutical, Inc............................... 154,100 760,869
*Matrix Service Co........................................ 83,600 658,350
*Matthews Studio Equipment Group.......................... 50,600 270,394
*Mattson Technology, Inc.................................. 123,000 812,953
*Maverick Tube Corp....................................... 18,000 273,375
*Max & Ermas Restaurants, Inc............................. 19,257 142,020
*Maxco, Inc............................................... 18,000 160,875
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*Maxicare Health Plans, Inc............................... 64,300 $ 610,850
*Maxim Group, Inc......................................... 71,000 1,198,125
*Maxim Pharmaceuticals, Inc............................... 14,200 260,038
*Maxwell Technologies, Inc................................ 58,492 1,561,005
*Maxxim Medical, Inc...................................... 69,479 1,624,072
Mayflower Co-Operative Bank Middleboro.................... 200 4,900
*Maynard Oil Co........................................... 103,200 1,115,850
*Mays (J.W.), Inc......................................... 2,100 25,988
*Mazel Stores, Inc........................................ 24,600 412,050
*McClain Industries, Inc.................................. 91,066 458,176
McGrath Rent Corp......................................... 52,800 1,082,400
*McMoran Oil & Gas Co..................................... 140,700 573,792
*McWhorter Technologies, Inc.............................. 16,700 461,338
*Meade Instruments Corp................................... 5,600 59,325
*#Meadow Valley Corp...................................... 9,500 56,406
Meadowbrook Insurance Group, Inc.......................... 35,800 1,103,088
*Measurement Specialties, Inc............................. 14,550 58,200
*Mechanical Dynamics, Inc................................. 8,400 114,713
*Mecklermedia Corp........................................ 37,400 779,556
*Mecon, Inc............................................... 58,000 563,688
Medalliance, Inc. Escrow.................................. 25,000 0
*Medar, Inc............................................... 105,500 293,422
*Medarex, Inc............................................. 185,400 1,303,594
*Medcath, Inc............................................. 53,700 959,888
*Medco Research, Inc...................................... 55,800 1,116,000
Medford Bancorp, Inc...................................... 37,900 1,598,906
*Media 100, Inc........................................... 82,600 304,588
*Media Arts Group, Inc.................................... 54,100 1,044,806
*Media Logic, Inc......................................... 21,800 23,163
*Medical Action Industries, Inc........................... 37,100 150,719
*Medical Alliance, Inc.................................... 21,300 80,541
*Medical Graphics Corp.................................... 12,700 57,944
*Medical Resources, Inc................................... 95,025 264,288
*Medicalcontrol, Inc...................................... 16,700 86,631
*Medicore, Inc............................................ 47,500 132,109
*Medicus Systems Corp..................................... 42,000 322,875
*Mediq, Inc............................................... 72,000 1,012,500
*Medplus, Inc............................................. 47,000 331,938
*Medquist Inc............................................. 59,500 2,603,125
*Medstone International, Inc.............................. 43,700 426,075
*Mego Financial Corp...................................... 5,500 20,797
*Mego Mortgage Corp....................................... 47,000 88,859
*#Melita International Corp............................... 9,500 137,750
Merchants Bancorp, Inc.................................... 20,000 671,250
Merchants Bancshares, Inc................................. 14,600 498,225
Merchants Group, Inc...................................... 11,800 291,313
Merchants New York Bancorp, Inc........................... 800 31,900
#Mercury Air Group, Inc................................... 31,565 234,765
*Meridian Data, Inc....................................... 70,600 366,238
Meridian Diagnostics, Inc................................. 118,854 1,571,101
Meridian Insurance Group, Inc............................. 20,700 401,063
*Meridian Medical Technology, Inc......................... 18,000 196,875
*Meridian Resource Corp................................... 129,272 929,143
*Merisel, Inc............................................. 240,800 718,638
*Merit Medical Systems, Inc............................... 37,750 287,844
*Merix Corp............................................... 48,000 561,000
Merrill Corp.............................................. 53,200 1,210,300
Merrimac Industries, Inc.................................. 13,565 198,391
*Mesa Air Group, Inc...................................... 202,500 1,620,000
*Mesa Labs, Inc........................................... 19,800 107,663
*Mesaba Holdings, Inc..................................... 154,050 3,340,959
<CAPTION>
SHARES VALUE+
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*Mestek, Inc.............................................. 118,750 $ 2,271,094
*Met-Coil Systems Corp.................................... 27,500 97,969
Met-Pro Corp.............................................. 151,665 2,246,538
*Metacreations Corp....................................... 60,400 507,738
*Metal Management, Inc.................................... 48,906 492,117
*Metatec Corp. Class A.................................... 65,100 358,050
*Metra Biosystems, Inc.................................... 72,100 173,491
*#Metricom, Inc........................................... 71,100 713,222
*Metro One Telecommunications, Inc........................ 30,900 365,006
*Metrocall, Inc........................................... 205,609 1,240,079
*Metrologic Instruments, Inc.............................. 57,300 880,988
*Metrotrans Corp.......................................... 7,000 70,000
Metrowest Bank MA......................................... 67,400 518,138
*Michael Anthony Jewelers, Inc............................ 74,300 181,106
*Micrion Corp............................................. 20,300 198,559
*#Micro Component Technology, Inc......................... 22,000 30,250
*Micro Linear Corp........................................ 98,000 456,313
*Micro-Therapeutics, Inc.................................. 14,300 156,406
*Microage, Inc............................................ 87,600 1,179,863
*Microcide Pharmaceuticals, Inc........................... 18,000 161,438
*Microdyne Corp........................................... 66,000 315,563
*Microfluidics International Corp......................... 17,400 41,869
*Micrografx, Inc.......................................... 80,900 874,731
*Microlog Corp............................................ 26,000 66,625
*Micronics Computers, Inc................................. 108,600 256,228
*Microprose, Inc. New..................................... 19,120 100,978
*Micros to Mainframes, Inc................................ 11,100 33,994
*Microsemi Corp........................................... 135,875 1,864,035
*Microtest, Inc........................................... 64,200 312,975
*Microtouch Systems, Inc.................................. 71,200 1,132,525
*#Microware Systems Corp.................................. 48,100 222,463
*Microwave Power Dynamics, Inc............................ 80,000 537,500
Mid America Banccorp...................................... 32,004 1,088,136
*#Midcom Communications, Inc.............................. 129,000 4,193
*Middleby Corp............................................ 93,600 672,750
Middlesex Water Co........................................ 19,800 404,044
*#Midisoft Corp........................................... 58,300 29,150
Midland Co................................................ 44,100 1,325,756
*Midwest Grain Products, Inc.............................. 40,700 541,819
Mikasa, Inc............................................... 6,100 75,106
*Mikohn Gaming Corp....................................... 69,150 453,797
*#Milestone Scientific, Inc............................... 8,300 131,244
*Miller Building Systems, Inc............................. 72,800 723,450
*Miltope Group, Inc....................................... 50,500 140,453
*Mindspring Enterprises, Inc.............................. 32,400 1,718,213
Minntech Corp............................................. 31,230 425,516
Minuteman International, Inc.............................. 15,400 174,213
*Mitcham Industries, Inc.................................. 45,700 499,844
*Mity-Lite, Inc........................................... 28,100 511,069
Mobile America Corp....................................... 21,300 219,656
*Mobile Mini, Inc......................................... 32,600 348,413
*#Modacad, Inc............................................ 6,100 108,656
Modern Controls, Inc...................................... 84,975 669,178
*Modtech, Inc............................................. 87,500 1,717,188
*Molecular Biosystems, Inc................................ 142,100 1,261,138
*Molecular Devices Corp................................... 41,100 626,775
*Molecular Dynamics, Inc.................................. 51,800 653,975
*#Molten Metal Technology, Inc............................ 103,000 21,115
*Monaco Coach Corp........................................ 39,000 1,050,563
*Monaco Finance, Inc. Class A............................. 16,300 9,423
*Monarch Casino and Resort, Inc........................... 82,100 502,863
Monarch Machine Tool Co................................... 39,761 347,909
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*Moneygram Payment Systems, Inc........................... 33,500 $ 565,313
*Monro Muffler Brake, Inc................................. 35,032 575,839
*Monroc, Inc.............................................. 24,400 260,013
Monterey Bay Bancorp, Inc................................. 14,900 329,663
*#Monterey Pasta Co....................................... 32,400 39,994
*Moog, Inc. Class A....................................... 25,850 1,011,381
*Moog, Inc. Class B....................................... 1,500 59,250
*Moore Handley, Inc....................................... 1,500 3,797
*Moore Medical Corp....................................... 25,100 329,438
Moore Products Co......................................... 21,900 719,963
*Morgan Products, Ltd..................................... 84,000 451,500
*Morrow Snowboards, Inc................................... 12,000 19,125
*Morton Industrial Group, Inc. Class A.................... 22,645 403,364
*Morton's Restaurant Group, Inc........................... 54,900 1,321,031
*Mosaix, Inc.............................................. 96,900 1,065,900
*Moscom Corp.............................................. 37,500 236,719
*#Mossimo, Inc............................................ 128,750 627,656
*Mother's Work, Inc....................................... 33,500 322,438
*Motor Car Parts & Accessories, Inc....................... 40,500 721,406
*Motor Club of America.................................... 20,500 319,031
Movado Group, Inc......................................... 33,575 982,069
*Movie Gallery, Inc....................................... 110,000 776,875
*Moviefone, Inc. Class A.................................. 29,100 278,269
Mueller (Paul) Co......................................... 26,700 1,021,275
*Multi Color Corp......................................... 9,600 61,200
*Multigraphics, Inc....................................... 3,400 20,400
*Multiple Zones International, Inc........................ 101,000 337,719
*Musicland Stores Corp.................................... 104,800 1,513,050
*Mutual Savings Bank FSB Bay City, MI..................... 20,600 251,063
*Mylex Corp............................................... 87,800 611,856
*Myriad Genetics, Inc..................................... 28,800 581,400
*Mysoftware Co............................................ 14,000 63,875
*N & F Worldwide Corp..................................... 88,100 858,975
*NABI, Inc................................................ 214,686 771,528
*NAI Technologies, Inc.................................... 82,813 196,681
NBT Bancorp............................................... 38,655 1,252,664
NN Ball & Roller, Inc..................................... 124,300 1,460,525
*NPC International, Inc................................... 2,500 30,391
*NPS Pharmaceuticals, Inc................................. 76,800 624,000
*NSA International, Inc................................... 30,500 49,563
NSC Corp.................................................. 87,824 179,765
*NTN Communications, Inc.................................. 167,500 209,375
NYMAGIC, Inc.............................................. 62,700 1,833,975
*Nanometrics, Inc......................................... 36,400 315,088
*Nantucket Industries, Inc................................ 28,135 14,068
*Napco Security Systems, Inc.............................. 64,100 340,531
*#Napro Biotherapeutics, Inc.............................. 91,100 108,181
Nash Finch Co............................................. 50,800 862,013
*Nashua Corp.............................................. 44,500 703,656
*Nastech Pharmaceutical Co., Inc.......................... 47,700 474,019
*Nathans Famous, Inc...................................... 21,700 83,409
*National Auto Credit, Inc................................ 35,800 44,750
*National Beverage Corp................................... 57,500 592,969
*National City Bancorp.................................... 30,349 1,018,588
*National Dentex Corp..................................... 32,900 783,431
*National Discount Brokers Group, Inc..................... 57,300 644,625
*National Energy Group, Inc............................... 323,820 561,625
National Gas & Oil Co..................................... 137,489 1,710,019
*National Home Centers, Inc............................... 60,000 101,250
<CAPTION>
SHARES VALUE+
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*National Home Health Care Corp........................... 22,283 $ 97,488
National Insurance Group.................................. 45,200 426,575
*National Media Corp...................................... 129,800 170,363
*National Record Mart, Inc................................ 21,300 252,938
*National RV Holdings, Inc................................ 53,700 2,129,541
National Security Group, Inc.............................. 10,500 197,531
*National Standard Co..................................... 96,500 536,781
National Technical Systems, Inc........................... 47,884 369,605
*National Techteam, Inc................................... 90,000 812,813
*National Vision Association, Ltd......................... 127,900 739,422
*Natural Alternatives International, Inc.................. 47,000 832,781
*Natural Microsystems Corp................................ 5,800 124,156
*Natural Wonders, Inc..................................... 36,800 150,075
*#Navarre Corp............................................ 54,200 223,575
*Navigators Group, Inc.................................... 21,620 397,268
Nelson (Thomas), Inc...................................... 55,100 711,134
*Neogen Corp.............................................. 28,500 254,719
*Neopath, Inc............................................. 63,300 805,097
*Neopharm, Inc............................................ 18,000 64,125
*Neoprobe Corp............................................ 85,900 370,444
*Neorx Corp............................................... 142,700 822,755
*Neose Technologies, Inc.................................. 62,100 954,788
*#Neotherapeutics, Inc.................................... 9,100 118,300
*#Neoware Systems, Inc.................................... 28,300 83,573
*Netmanage, Inc........................................... 144,200 475,409
*Netopia, Inc............................................. 11,600 98,963
*Netrix Corp.............................................. 83,200 234,000
*Netvantage, Inc. Class A................................. 40,000 296,250
*Network Computing Devices, Inc........................... 133,500 1,143,094
*Network Peripherals, Inc................................. 59,800 259,756
*Network Six, Inc......................................... 775 3,584
*Neurobiological Technologies, Inc........................ 14,600 21,900
*Neurocrine Biosciences, Inc.............................. 14,500 122,344
*Neurogen Corp............................................ 29,200 501,875
*Neuromedical Systems, Inc................................ 145,300 231,572
*New Brunswick Scientific Co., Inc........................ 41,290 396,126
#New England Community Bancorp, Inc. Class A.............. 23,760 556,875
New Hampsire Thrift BancShares, Inc....................... 200 3,975
*New Horizons Worldwide, Inc.............................. 57,400 1,011,675
*New Mexico & Arizona Land Co............................. 33,046 454,383
Newcor, Inc............................................... 86,126 802,048
Newmil Bancorp, Inc....................................... 44,200 602,225
Newport Corp.............................................. 74,600 1,627,213
*Newsedge Corp............................................ 100,000 1,178,125
*Nexthealth, Inc.......................................... 26,700 51,731
*#Niagara Corp............................................ 17,100 167,259
*Nichols Research Corp.................................... 55,250 1,332,906
*Nimbus CD International, Inc............................. 64,000 676,000
*Nitches, Inc............................................. 20,388 54,156
*Nitinol Medical Technologies, Inc........................ 76,000 527,250
*Nobel Education Dynamics, Inc............................ 27,850 223,670
*Nobility Homes........................................... 20,075 372,642
*Noel Group, Inc.......................................... 43,600 106,275
Noland Co................................................. 500 12,563
*Noodle Kidoodle, Inc..................................... 65,000 379,844
*Nord Resources Corp...................................... 138,700 303,406
*Norland Medical System, Inc.............................. 61,500 134,531
*Norstan, Inc............................................. 90,400 2,214,800
North Carolina Natural Gas Corp........................... 31,175 720,922
</TABLE>
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North Central Bancshares, Inc............................. 15,100 $ 334,088
Northeast Bancorp......................................... 2,300 39,100
Northern Technologies International....................... 18,400 138,000
*#Northfield Laboratories, Inc............................ 64,800 994,275
#Northland Cranberries, Inc. Class A...................... 60,700 963,613
Northrim Bank............................................. 10,915 169,183
*Northwest Pipe Co........................................ 33,500 774,688
*Northwest Teleproductions, Inc........................... 15,800 19,503
*Northwestern Steel & Wire Co............................. 161,600 734,775
*Norton McNaughton, Inc................................... 62,500 417,969
*Norwood Promotional Products, Inc........................ 32,900 661,084
*Novadigm, Inc............................................ 54,200 206,638
*Novametrix Medical Systems, Inc.......................... 60,900 451,041
*#Novavax, Inc............................................ 66,700 266,800
*Noven Pharmaceuticals, Inc............................... 94,200 565,200
*Novitron International, Inc.............................. 4,712 14,578
*Nu Horizons Electronics Corp............................. 71,054 439,647
*Nu-Kote Holding, Inc. Class A............................ 101,700 42,905
*#Nuko Information Systems, Inc........................... 29,200 1,314
*Numerex Corp. Class A.................................... 19,500 101,156
*Nutramax Products, Inc................................... 44,000 445,500
*Nview Corp............................................... 20,650 29,039
*O'Charleys, Inc.......................................... 62,050 1,285,598
O'Sullivan Corp........................................... 80,400 783,900
*O'Sullivan Industries Holdings, Inc...................... 133,400 2,001,000
*O.I. Corp................................................ 15,900 75,028
*ODS Networks, Inc........................................ 70,900 489,653
*OEC Medical Systems, Inc................................. 48,800 1,085,800
*OHM Corp................................................. 56,600 771,175
*OSI Pharmaceutical, Inc.................................. 136,700 884,278
*OTR Express, Inc......................................... 16,600 105,825
*Oacis Healthcare Holdings Corp........................... 35,000 121,406
*Object Design, Inc....................................... 30,400 165,300
*Objectshare, Inc......................................... 52,300 160,169
*Ocal, Inc................................................ 11,000 24,750
*#Odwalla, Inc............................................ 21,800 203,013
Oglebay Norton Co......................................... 50,000 2,175,000
Ohio Art Co............................................... 2,500 64,063
Oil-Dri Corp. of America.................................. 60,900 913,500
*Old America Stores, Inc.................................. 14,700 0
*Old Dominion Freight Lines, Inc.......................... 71,600 1,194,825
*Olympic Steel, Inc....................................... 94,000 1,324,813
*Omega Environmental, Inc................................. 88,600 33,225
*Omega Health System, Inc................................. 11,900 79,209
*Omni Multimedia Group, Inc............................... 6,700 2,513
*On Assignment, Inc....................................... 40,800 1,366,800
*On Technology Corp....................................... 25,000 91,406
*On-Point Technology Systems, Inc......................... 76,800 170,400
*#Oncor, Inc.............................................. 187,200 163,800
*Oncormed, Inc............................................ 44,600 125,438
*One Price Clothing Stores, Inc........................... 65,600 266,500
One Valley Bancorp of West Virginia....................... 1 35
*Oneita Industries, Inc................................... 59,020 38,363
*Ontrack Data International, Inc.......................... 68,800 935,250
*Onyx Acceptance Corp..................................... 8,600 87,344
*Onyx Pharmacueticals, Inc................................ 35,400 280,988
*Opinion Research Corp.................................... 15,500 115,281
*Opta Food Ingredients, Inc............................... 93,600 529,425
*Optek Technology, Inc.................................... 5,500 115,500
*Opti, Inc................................................ 62,500 408,203
Optical Coating Laboratory, Inc........................... 68,392 1,149,841
*Optical Sensors, Inc..................................... 11,100 52,031
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*Optika Imaging Systems, Inc.............................. 58,500 $ 171,844
*Option Care, Inc......................................... 46,900 156,822
*Orange Co., Inc.......................................... 91,747 607,824
*Oravax, Inc.............................................. 27,400 33,822
*Oravax, Inc. (Private Placement)......................... 59,400 65,990
*Orbit International Corp................................. 28,000 91,875
*Orcad, Inc............................................... 6,200 67,813
*Oriole Homes Corp. Class A Convertible................... 66,300 341,859
*Oriole Homes Corp. Class B............................... 23,000 112,844
*Oroamerica, Inc.......................................... 46,800 510,413
*Orphan Medical, Inc...................................... 40,500 435,375
*Ortel Corp............................................... 91,000 1,325,188
*Orthologic Corp.......................................... 131,000 691,844
Oshkosh Truck Corp. Class B............................... 44,800 1,044,400
*Oshman's Sporting Goods, Inc............................. 50,200 294,925
*Osmonics, Inc............................................ 30,500 451,781
*Osteotech, Inc........................................... 55,500 1,021,547
*Ostex International, Inc................................. 104,500 264,516
Ottawa Financial Corp..................................... 17,240 496,728
*Outlook Group Corp....................................... 37,900 227,400
Owosso Corp............................................... 33,200 234,475
Oxford Industries, Inc.................................... 53,100 1,851,863
*#Oxigene, Inc............................................ 44,400 574,425
*Oxis International, Inc.................................. 89,800 91,203
*P&F Industries, Inc. Class A............................. 600 5,963
*PAM Transportation Services, Inc......................... 37,250 382,977
*PC Quote, Inc............................................ 54,100 135,250
*PC Service Source, Inc................................... 43,400 211,575
PCA International, Inc.................................... 34,100 879,141
*#PHP Healthcare Corp..................................... 104,190 950,734
*PICO Holdings, Inc....................................... 68,659 306,820
*PJ America, Inc.......................................... 11,700 235,463
PLM International, Inc.................................... 43,100 371,738
*PMR Corp................................................. 63,400 649,850
*PPT Vision, Inc.......................................... 46,200 317,625
PS Group Holdings, Inc.................................... 2,000 25,750
*PSC, Inc................................................. 55,200 593,400
*PST Vans, Inc............................................ 18,100 100,681
*PSW Technologies, Inc.................................... 76,000 479,750
*Pacific Aerospace and Electroncis, Inc................... 48,100 296,116
*Pacific Pharmaceuticals, Inc............................. 28,200 17,625
*#Pages, Inc.............................................. 31,000 39,234
*#Palatin Technologies, Inc............................... 875 5,742
*Palmer (Arnold) Golf Co.................................. 33,700 53,709
*Pamida Holdings Corp..................................... 52,000 351,000
Pamrapo Bancorp, Inc...................................... 12,200 346,175
*Panaco, Inc.............................................. 9,800 39,813
Pancho's Mexican Buffet, Inc.............................. 47,600 80,325
*#Panda Project, Inc...................................... 53,800 220,244
*Par Technology Corp...................................... 81,800 536,813
*Paracelsus Healthcare Corp............................... 25,800 79,013
*Paragon Trade Brands, Inc................................ 42,400 201,400
*Parallel Petroleum Corp.................................. 81,800 393,663
*Paris Corp............................................... 200 363
*Park-Ohio Industries, Inc................................ 141,225 2,665,622
*#Parkervision, Inc....................................... 49,400 1,201,038
Parkvale Financial Corp................................... 55,356 1,778,312
*Parlex Corp.............................................. 29,850 561,553
*Parlux Fragrances, Inc................................... 108,200 219,781
Patina Oil & Gas Corp..................................... 53,989 388,046
</TABLE>
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Patrick Industries, Inc................................... 46,050 $ 728,166
*Paul Harris Stores, Inc.................................. 88,075 1,133,966
*#Paul-Son Gaming Corp.................................... 32,500 288,438
*Payless Cashways, Inc.................................... 2,121 6,860
*Pediatric Services of America, Inc....................... 51,200 934,400
*Peerless Group, Inc...................................... 5,300 26,831
Peerless Manufacturing Co................................. 9,250 114,469
*Pegasus Communications Corp. Class A..................... 2,900 69,238
*Penederm, Inc............................................ 70,000 877,188
Penford Corp.............................................. 32,100 1,003,125
Penn Engineering & Manufacturing Corp. Class A............ 33,600 764,400
Penn Engineering & Manufacturing Corp. Non-voting......... 100,800 2,520,000
*Penn National Gaming, Inc................................ 85,000 749,063
*#Penn Traffic Co......................................... 87,800 356,688
*Penn Treaty American Corp................................ 44,900 1,363,838
Penn Virginia Corp........................................ 74,200 2,096,150
Penn-America Group, Inc................................... 49,500 843,047
Pennfed Financial Services, Inc........................... 42,200 735,863
Pennsylvania Enterprises, Inc............................. 9,100 236,600
Penobscot Shoe Co......................................... 32,000 206,000
*Pentech International, Inc............................... 31,200 54,600
Peoples Bancorp........................................... 300 6,666
Peoples Bancshares, Inc. Massachusetts.................... 25,245 656,370
*Peoples Choice TV Corp................................... 110,596 172,806
*Peoples Telephone Co., Inc............................... 113,000 303,688
*Perceptron, Inc.......................................... 36,850 458,322
*Peregrine Systems, Inc................................... 17,000 349,563
*Performance Food Group Co................................ 107,150 2,019,108
*Performance Technologies, Inc............................ 37,650 520,041
*Perfumania, Inc.......................................... 45,000 111,094
*Perini Corp.............................................. 40,000 355,000
*Periphonics Corp......................................... 124,900 1,272,419
*Personnel Management, Inc................................ 9,000 116,438
*Pete's Brewing Co........................................ 47,600 277,419
*Petrocorp, Inc........................................... 37,000 300,625
*Petroleum Development Corp............................... 126,300 702,544
Petroleum Heat & Power Co., Inc. Class A.................. 151,000 273,688
*Phar-Mor, Inc............................................ 45,700 437,006
*Pharmaceutical Marketing Services, Inc................... 117,600 1,572,900
*Pharmaceutical Resources, Inc............................ 84,055 383,501
*Pharmacopeia, Inc........................................ 70,000 1,207,500
*Pharmchem Laboratories, Inc.............................. 47,800 119,500
*#Pharmos Corp............................................ 88,000 261,250
*#Philadelphia Consolidated Holding Corp.................. 55,000 1,271,875
*Phillips (R.H.), Inc..................................... 11,900 37,745
*Phoenix Gold International, Inc.......................... 13,500 38,813
*Phoenix International, Ltd............................... 23,850 414,394
*Phoenix Network, Inc. Escrow............................. 64,200 0
*#Phoenix Technologies, Ltd............................... 61,700 626,641
*Photo Control Corp....................................... 1,000 2,250
*Photon Dynamics, Inc..................................... 51,000 223,125
*Photran Corp............................................. 3,300 9,694
*Physician Computer Network, Inc.......................... 15,200 23,987
*Physicians Resource Group, Inc........................... 51,200 262,400
*Physiometrix, Inc........................................ 31,500 53,156
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
Piccadilly Cafeterias, Inc................................ 61,500 $ 791,813
*Pico Products, Inc....................................... 34,400 17,200
#Piedmont Bancorp, Inc.................................... 250 2,500
*Piercing Pagoda, Inc..................................... 41,400 1,438,650
*Pilgrim America Capital Corp............................. 63,000 1,638,000
*Pinkertons, Inc.......................................... 19,350 403,931
Pinnacle Bancshares, Inc.................................. 400 6,375
*#Pinnacle Micro, Inc..................................... 32,700 6,540
*Pinnacle Systems, Inc.................................... 66,400 2,232,700
Pitt-Des Moines, Inc...................................... 36,450 1,940,963
Pittston Co. Minerals Group............................... 72,200 455,763
*Plains Resources, Inc.................................... 70,700 1,352,138
*Planar Systems, Inc...................................... 86,100 1,043,963
*Plasma-Therm, Inc........................................ 89,900 747,294
*Platinum Software Corp................................... 124,400 2,383,038
*Play By Play Toys and Novelties, Inc..................... 29,300 487,113
*Playboy Enterprises, Inc. Class B........................ 78,900 1,410,338
*Playcore, Inc............................................ 41,357 183,522
*Players International, Inc............................... 225,200 1,217,488
Plenum Publishing Corp.................................... 15,100 1,026,800
*Plexus Corp.............................................. 23,300 500,222
*Plymouth Rubber, Inc. Class A............................ 100 716
*Plymouth Rubber, Inc. Class B non-voting................. 5 35
*Polk Audio, Inc.......................................... 5,000 88,750
*Pollo Tropical, Inc...................................... 69,300 690,834
*Polycom, Inc............................................. 92,800 1,281,800
*Polymedica Industries, Inc............................... 43,650 376,481
*Polyphase Corp........................................... 46,000 37,375
*Pomeroy Computer Resource, Inc........................... 101,242 2,271,617
Pope & Talbot, Inc........................................ 38,200 518,088
*Porta Systems Corp....................................... 21,830 92,778
Portec, Inc............................................... 37,237 593,465
*Positive Response Television, Inc. Escrow................ 9,750 0
*Positron Corp............................................ 12,600 6,505
*#Possis Medical, Inc..................................... 97,800 1,063,575
*Powell Industries, Inc................................... 46,100 558,963
*Powercerv Corp........................................... 101,400 497,494
*Powerhouse Technologies, Inc............................. 88,500 854,578
*Praegitzer Industries, Inc............................... 87,100 743,072
*Precision Response, Corp................................. 102,400 702,400
*Precision Standard, Inc.................................. 250 867
*#Premier Laser Systems, Inc. Class A..................... 47,300 196,591
*Premiumwear, Inc......................................... 10,145 49,457
*President Casinos, Inc................................... 21,666 51,457
*Presley Companies Class A................................ 8,900 6,675
*Price Communications Corp................................ 139,172 1,513,496
*Prima Energy Corp........................................ 24,700 441,513
Prime Bancorp, Inc........................................ 21,042 957,411
*Prime Medical Services, Inc.............................. 106,700 1,110,347
Primesource Corp.......................................... 24,843 225,140
*Primus Telecommunications Group, Inc..................... 130,000 2,388,750
*Printrak International, Inc.............................. 88,000 594,000
*Printronix, Inc.......................................... 67,050 1,072,800
*Prism Solutions, Inc..................................... 29,300 205,100
*#Procept, Inc............................................ 10,114 6,953
*Procom Technology, Inc................................... 57,500 442,031
*Procyte Corp............................................. 45,700 54,983
</TABLE>
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Professional Bancorp, Inc................................. 10,720 $ 207,700
*Profit Recovery Group International, Inc................. 19,300 471,644
*Programmers Paradise, Inc................................ 20,700 203,119
Progress Financial Corp................................... 17,495 337,872
*Progress Software Corp................................... 59,400 1,921,219
Progressive Bank, Inc..................................... 43,650 1,811,475
*Project Software & Development, Inc...................... 95,700 2,159,231
*Proteon, Inc............................................. 58,150 72,688
*Protocol Systems, Inc.................................... 72,600 698,775
Provena Foods, Inc........................................ 200 925
Providence & Worcester Railroad Co........................ 5,000 71,875
Providence Energy Corp.................................... 61,950 1,269,975
*Provident American Corp.................................. 83,600 530,338
*Provident Financial Holdings, Inc........................ 5,100 117,938
*Proxim, Inc.............................................. 54,100 713,444
*#Proxymed, Inc........................................... 94,000 1,157,375
Psychemedics Corp......................................... 108,394 609,716
Pulaski Furniture Corp.................................... 15,400 396,550
*Pulsepoint Communications Corp........................... 4,475 25,731
*Puma Technology, Inc..................................... 54,700 326,491
*Pure World, Inc.......................................... 66,300 961,350
*Pyramid Breweries, Inc................................... 35,500 108,719
*Q Logic Corp............................................. 54,900 2,237,175
*QC Optics, Inc........................................... 6,400 20,000
*QEP Co., Inc............................................. 2,700 26,663
*QMS, Inc................................................. 73,500 326,156
*Quad Systems Corp........................................ 35,700 137,222
Quaker Chemical Corp...................................... 34,600 720,113
*Quaker City Bancorp, Inc................................. 18,125 411,211
*Quaker Fabric Corp....................................... 72,300 1,934,025
*Quality Dining, Inc...................................... 100,100 408,220
*Quality Semiconductor, Inc............................... 52,200 163,941
*Quality Systems, Inc..................................... 44,900 387,263
*Quarterdeck Office Systems, Inc.......................... 298,000 414,406
*Quest Medical, Inc....................................... 98,928 884,169
*Quickturn Design Systems, Inc............................ 116,450 889,751
*Quidel Corp.............................................. 189,500 660,289
*Quiksilver, Inc.......................................... 126,800 2,436,938
*Quintel Entertainment, Inc............................... 69,100 375,731
*Quipp, Inc............................................... 13,800 218,213
Quixote Corp.............................................. 67,600 874,575
*R & B, Inc............................................... 68,600 891,800
*RCM Technologies, Inc.................................... 33,600 699,300
*RDM Sports Group, Inc.................................... 301,000 7,525
*RDO Equipment Co. Class A................................ 45,000 776,250
*RF Monolithics, Inc...................................... 27,100 318,425
*RMH Teleservices, Inc.................................... 14,100 52,655
RPC, Inc.................................................. 39,000 514,313
*RTI, Inc................................................. 5,890 14,357
*RTW, Inc................................................. 42,600 338,138
*Racotek, Inc............................................. 130,500 407,813
*Rag Shops, Inc........................................... 33,000 119,625
*Ragan (Brad), Inc........................................ 40,900 1,579,763
*Railamerica, Inc......................................... 57,200 368,225
*Railtex, Inc............................................. 41,000 634,219
*Rainbow Technologies, Inc................................ 49,900 1,203,838
*#Rally's Hamburgers, Inc................................. 171,800 367,759
Ramapo Financial Corp..................................... 35,700 267,750
*Ramsay Health Care, Inc.................................. 74,866 145,053
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*Ramtron International Corp............................... 294,850 $ 1,197,828
*Rare Hospitality International, Inc...................... 68,424 853,162
Raritan Bancorp, Inc. DE.................................. 1,125 31,500
*Raster Graphics, Inc..................................... 35,000 37,188
Raven Industries, Inc..................................... 99,150 1,995,394
*Rawlings Sporting Goods, Inc............................. 64,700 1,002,850
*#Raytech Corp. DE........................................ 27,795 145,924
*Reading Entertainment, Inc............................... 17,300 232,469
*Recoton Corp............................................. 91,916 2,978,653
*Recovery Engineering, Inc................................ 20,500 537,484
*Recycling Industries, Inc................................ 74,400 448,725
*#Red Brick Systems, Inc.................................. 17,000 96,156
*#Redhook Ale Brewery, Inc................................ 45,200 290,975
*Redwood Empire Bancorp................................... 12,300 250,613
*Reeds Jewelers, Inc...................................... 22,990 89,805
*Refac Technology Development Corp........................ 45,597 484,468
*Regeneron Pharmaceuticals, Inc........................... 243,300 2,280,938
*Rehabcare Group, Inc..................................... 28,800 746,100
*Rehabilicare, Inc........................................ 21,400 62,194
*Reliability, Inc......................................... 120,000 1,275,000
Reliv International, Inc.................................. 46,960 180,503
*Relm Wireless Corp....................................... 50,941 198,988
*Remington Oil and Gas Corp. Class B...................... 129,100 798,806
*#Reno Air, Inc........................................... 79,700 626,392
*Rent-Way, Inc............................................ 57,500 1,701,641
*Rentrak Corp............................................. 58,700 345,780
*Repligen Corp............................................ 54,000 106,313
*Reptron Electronics, Inc................................. 42,800 521,625
*Republic Automotive Parts, Inc........................... 39,200 799,925
Republic Bancorp, Inc..................................... 46,652 884,930
*Republic Bankshares, Inc................................. 1,740 48,503
*Republic Engineered Steels, Inc.......................... 173,000 578,469
*Republic First Bancorp, Inc.............................. 9,980 112,899
Republic Group, Inc....................................... 111,804 2,131,264
#Republic Security Financial Corp......................... 62,932 741,418
*Res-Care, Inc............................................ 64,000 2,018,000
Research, Inc............................................. 25,250 113,625
*Resound Corp............................................. 127,800 818,719
Resource America, Inc..................................... 17,360 1,156,610
*Respironics, Inc......................................... 10,628 173,701
*Response Oncology, Inc................................... 92,740 588,319
*Restrac, Inc............................................. 34,700 171,331
*Retirement Care Association, Inc......................... 43,035 338,901
*Rex Stores Corp.......................................... 72,600 975,563
*Rexhall Industries, Inc.................................. 11,025 87,855
*Rexx Environmental Corp.................................. 21,600 83,700
*Rheometric Scientific, Inc............................... 110 93
*Ribi Immunochem Research, Inc............................ 158,200 825,606
*Ribozyme Pharmaceuticals................................. 48,500 256,141
Richardson Electronics, Ltd............................... 43,200 572,400
*Richey Electronics, Inc.................................. 42,300 407,138
*Richton International Corp............................... 1,500 12,563
*Riddell Sports, Inc...................................... 39,182 203,257
*Ride, Inc................................................ 46,700 84,644
*Right Management Consultants, Inc........................ 49,950 683,691
*Right Start, Inc......................................... 48,600 69,863
*Rightchoice Managed Care, Inc. Class A................... 28,100 324,906
*Rimage Corp.............................................. 29,000 337,125
*Ringer Corp.............................................. 76,600 167,563
</TABLE>
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<TABLE>
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SHARES VALUE+
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Rival Co.................................................. 36,100 $ 526,834
*River Oaks Furniture, Inc................................ 41,500 5,188
*Riverside Group, Inc..................................... 1,300 4,591
Riverview Bancorp, Inc.................................... 19,600 330,750
*Riviera Holdings Corporation............................. 6,200 48,050
*Roadhouse Grill, Inc..................................... 16,700 88,719
Roanoke Electric Steel Corp............................... 63,450 1,292,794
*Roberds, Inc............................................. 32,600 91,688
*Robertson-Ceco Corp...................................... 65,757 632,911
Robinson Nugent, Inc...................................... 42,100 221,025
*Robotic Vision Systems, Inc.............................. 38,845 246,423
*Rochester Medical Corp................................... 43,600 645,825
*Rock Bottom Restaurants, Inc............................. 56,900 359,181
*Rockford Industries, Inc................................. 33,500 337,094
*Rockshox, Inc............................................ 7,900 38,759
*Rocky Mountain Chocolate Factory......................... 25,000 175,000
*Rocky Shoes & Boots, Inc................................. 28,300 443,072
*Rodman & Renshaw Capital Group, Inc...................... 19,000 0
*Rogers Corp.............................................. 122,100 4,716,113
*Rogue Wave Software, Inc................................. 8,600 69,069
Rohn Industries, Inc...................................... 373,000 1,649,359
*Ross Systems, Inc........................................ 132,137 623,521
Rotonics Manufacturing, Inc............................... 11,300 13,419
*Rottlund, Inc............................................ 19,250 77,000
Rowe Furniture Corp....................................... 115,062 1,049,941
*Royal Appliance Manufacturing Co......................... 197,500 1,024,531
Royal Bancshares of Pennsylvania Class A.................. 1,616 32,421
*Royal Energy, Inc........................................ 16,200 70,875
*Royal Gold, Inc.......................................... 114,700 623,681
*Royal Precision, Inc..................................... 5,600 28,525
*Rural Cellular Corp. Class A............................. 24,800 426,250
*Rush Enterprises, Inc.................................... 2,400 33,150
Ryan Beck & Co............................................ 210 2,048
*S&K Famous Brands, Inc................................... 32,200 583,625
*#SABA Petroleum Co....................................... 79,500 139,125
*SBE, Inc................................................. 12,000 50,250
*SBM Industries, Inc...................................... 500 2,000
*SBS Technologies, Inc.................................... 31,300 874,444
*SDL, Inc................................................. 50,900 1,132,525
*SED International Holdings, Inc.......................... 45,900 403,059
SEMCO Energy, Inc......................................... 57,320 981,605
*SEMX Corp................................................ 49,100 278,489
*SGV Bancorp, Inc......................................... 2,300 41,113
*SI Handling, Inc......................................... 41,625 561,938
SIS Bancorp, Inc.......................................... 24,600 1,027,050
SJNB Financial Corp....................................... 7,500 305,625
SJW Corp.................................................. 16,600 1,074,850
SL Industries, Inc........................................ 96,685 1,244,819
*SMC Corp................................................. 52,200 388,238
*SOS Staffing Services, Inc............................... 38,200 744,900
*SPSS, Inc................................................ 40,700 922,109
*SRS Labs, Inc............................................ 4,500 30,656
*SSE Telecom, Inc......................................... 31,600 131,338
*STB Systems, Inc......................................... 55,650 572,152
*STM Wireless, Inc. Class A............................... 40,600 433,913
*#STV Group, Inc.......................................... 35,000 264,688
*SYNC Research, Inc....................................... 148,800 553,350
*Safeguard Health Enterprises, Inc........................ 84,600 642,431
*Safety 1st, Inc.......................................... 54,500 408,750
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*Safety Components International, Inc..................... 41,100 $ 683,288
*Saga Communications, Inc. Class A........................ 67,577 1,402,223
*Salant Corp. DE.......................................... 80,500 50,313
Salient 3 Communications, Inc. Class A.................... 45,000 448,594
*Salton/Maxim Housewares, Inc............................. 68,100 821,456
*San Filippo (John B.) & Son, Inc......................... 67,400 438,100
Sanderson Farms, Inc...................................... 58,800 694,575
*Sands Regent Casino Hotel................................ 42,210 92,334
Sandwich Bancorp, Inc..................................... 15,400 979,344
*Santa Cruz Operation, Inc................................ 139,400 701,356
*Santa Fe Gaming Corp..................................... 22,450 25,256
*Satcon Technology Corp................................... 51,700 481,456
*Saucony, Inc. Class A.................................... 56,700 322,481
*Saucony, Inc. Class B.................................... 63,800 342,925
*#Savoir Technology Group, Inc............................ 64,000 644,000
*Scan-Optics, Inc......................................... 56,200 307,344
*ScanSource, Inc.......................................... 20,800 405,600
Schawk, Inc. Class A...................................... 27,800 417,000
*Scherer Healthcare, Inc.................................. 200 850
*Schieb (Earl), Inc....................................... 74,400 567,300
*Schlotzskys, Inc......................................... 33,600 539,700
*Schmitt Industries, Inc.................................. 27,700 171,394
Schnitzer Steel Industries, Inc. Class A.................. 8,000 207,500
*Schuler Homes, Inc....................................... 147,700 1,227,756
Schultz Sav-O Stores, Inc................................. 60,000 945,000
*Sciclone Pharmaceuticals, Inc............................ 129,200 520,838
*Scientific Games Holdings Corp........................... 4,500 95,063
Scientific Technologies, Inc.............................. 25,700 301,975
*Scios-Nova, Inc.......................................... 180,700 1,705,356
Scope Industries, Inc..................................... 18,650 1,286,850
*Scott Technologies, Inc. Class A......................... 76,000 1,123,375
Scott's Liquid Gold, Inc.................................. 84,000 228,375
*Seachange International, Inc............................. 106,000 993,750
Seacoast Banking Corp. Class A............................ 22,100 843,944
*Sealright Co., Inc....................................... 38,500 519,750
*Seattle Filmworks, Inc................................... 145,575 1,241,937
Seaway Food Town, Inc..................................... 24,000 355,500
*Secom General Corp....................................... 25,000 42,188
Second Bancorp, Inc....................................... 600 18,019
*Secure Computing Corp.................................... 70,700 718,047
*Security Capital Corp.................................... 5 23
Security First Corp....................................... 21,200 518,075
*Seeq Technology, Inc. DE................................. 184,900 387,134
*Segue Software, Inc...................................... 37,300 483,734
*Seibels Bruce Group, Inc................................. 6,100 44,988
Selas Corp. of America.................................... 44,700 421,856
*#Selfcare, Inc........................................... 28,000 276,500
*Semitool, Inc............................................ 86,000 929,875
*Semtech Corp............................................. 95,400 2,006,381
*Seneca Foods Corp. Class A............................... 200 3,150
*Seneca Foods Corp. Class B............................... 6,800 110,925
*#Sentry Technology Corp.................................. 60,555 71,909
*Sequus Pharmaceuticals, Inc.............................. 180,800 2,045,300
*Seragen, Inc............................................. 51,600 35,733
*Servotronics, Inc........................................ 24,804 289,897
Sevenson Environmental Services, Inc...................... 13,280 118,275
*#Shaman Pharmaceuticals.................................. 141,100 685,658
*Sharper Image Corp....................................... 67,300 416,419
</TABLE>
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<TABLE>
<CAPTION>
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*Shaw Group, Inc.......................................... 34,950 $ 856,275
*Sheffield Medical Technologies, Inc...................... 68,300 85,375
Shelby Williams Industries, Inc........................... 74,600 1,137,650
*Sheldahl, Inc............................................ 84,650 809,466
*Sheridan Healthcare, Inc................................. 30,000 386,250
*Shiloh Industries, Inc................................... 111,500 2,386,797
*Shoe Carnival, Inc....................................... 86,000 1,198,625
*Sholodge, Inc............................................ 52,300 487,044
*Shoney's, Inc............................................ 419,000 1,859,313
Shoreline Financial Corp.................................. 12,537 385,513
*Showscan Entertainment, Inc.............................. 44,350 25,640
*Shuffle Master, Inc...................................... 53,900 498,575
*Siebel Systems, Inc...................................... 31,599 721,840
Sierrawest Bancorp........................................ 15,135 546,279
Sifco Industries, Inc..................................... 46,275 1,127,953
*Sight Resource Corp...................................... 46,500 187,453
*Sigma Circuits, Inc...................................... 18,600 163,331
*Sigma Designs, Inc....................................... 55,500 228,938
*Sigmatron International, Inc............................. 13,000 93,844
*Signal Apparel Co., Inc. Class A......................... 73,600 156,400
*Signal Technology Corp................................... 62,000 348,750
*#Silicon Gaming, Inc..................................... 12,000 113,813
*Silicon Storage Technology, Inc.......................... 99,500 284,508
*#Silverado Foods, Inc.................................... 12,800 4,800
Simmons First National Corp. Class A...................... 13,650 609,984
Simpson Industries, Inc................................... 128,900 1,800,572
*Simula, Inc.............................................. 77,250 1,091,156
*Sirena Apparel Group, Inc................................ 20,500 142,219
*Sizzler International, Inc............................... 218,400 600,600
Skaneateles Bancorp, Inc.................................. 25,200 441,000
Skyline Corp.............................................. 1,200 34,950
Skywest, Inc.............................................. 87,300 3,792,094
*Smartflex Systems, Inc................................... 28,000 245,000
*Smith Environmental Technologies Corp.................... 700 12
*Smithway Motor Express Corp. Class A..................... 4,000 59,000
*Sodak Gaming, Inc........................................ 100,100 635,009
*Softech, Inc............................................. 36,100 221,113
*Softnet Systems, Inc..................................... 36,136 555,591
*#Software Spectrum, Inc.................................. 36,100 652,056
Somerset Group, Inc....................................... 312 6,747
*Somerset Savings Bank.................................... 440 2,262
Sonesta International Hotels Corp. Class A................ 200 2,350
*Sonic Solutions.......................................... 34,450 121,652
*Sonics & Materials, Inc.................................. 1,000 1,500
*#Sonus Pharmaceuticals, Inc.............................. 86,100 1,202,709
*Sound Advice, Inc........................................ 60,425 196,381
Southern California Water Co.............................. 50,900 1,110,256
*Southern Energy Homes, Inc............................... 127,125 1,263,305
*Southern Mineral Corp.................................... 11,800 42,038
*Southwall Technologies, Inc.............................. 74,600 419,625
Southwest Bancorp, Inc.................................... 12,000 378,000
Southwest Bancshares, Inc. DE............................. 5,550 176,906
Southwest National Corp................................... 6,000 303,000
Southwest Securities Group, Inc........................... 80,600 2,035,150
Southwest Water Co........................................ 15,865 264,747
*Spacehab, Inc............................................ 19,000 220,875
*Spacelabs Medical, Inc................................... 41,600 685,100
*Spacetec IMC Corp........................................ 31,600 94,800
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Spaghetti Warehouse, Inc................................. 51,900 $ 356,813
Span-American Medical System, Inc......................... 40,500 334,125
*Spartan Motors, Inc...................................... 119,300 883,566
*Sparton Corp............................................. 69,200 588,200
*Spec's Music, Inc........................................ 44,866 124,784
*Special Devices, Inc..................................... 34,300 1,290,538
*Specialty Chemical Resources, Inc........................ 37,800 33,075
*#Specialty Teleconstructors, Inc......................... 34,900 1,666,475
*Spectran Corp............................................ 52,000 422,500
*Spectranetics Corp....................................... 117,302 359,237
*Spectrian Corp........................................... 48,400 798,600
*Spectrum Control, Inc.................................... 69,900 425,953
*Speizman Industries, Inc................................. 28,900 162,563
*Spice Entertainment Companies, Inc....................... 71,600 443,025
*Spire Corp............................................... 56,200 365,300
*Sport Chalet, Inc........................................ 55,000 297,344
*Sport Supply Group, Inc.................................. 42,000 396,375
*Sport-Haley, Inc......................................... 20,500 256,891
*Sports Club Co., Inc..................................... 41,700 297,113
*Spyglass, Inc............................................ 20,500 198,594
St. Francis Capital Corp.................................. 24,400 1,009,550
St. Joseph Light & Power Co............................... 53,600 1,008,350
*Staar Surgical Co........................................ 80,675 995,832
*#Stac, Inc............................................... 41,400 219,938
*Stacey's Buffet, Inc..................................... 13,900 5,213
*Staff Builders, Inc. Class A............................. 208,800 322,988
*Stage II Apparel Corp.................................... 14,600 10,950
*Standard Commercial Corp................................. 89,908 1,000,227
*Standard Management Corp................................. 27,415 203,899
*Standard Microsystems Corp............................... 87,700 972,922
Standard Motor Products, Inc. Class A..................... 45,600 1,003,200
*Stanford Telecommunications, Inc......................... 108,100 1,540,425
*Stanley Furniture, Inc................................... 62,400 1,267,500
*Star Multi Care Services, Inc............................ 37,229 93,073
*Starcraft Corp........................................... 16,500 37,125
*Starmet Corp............................................. 126,100 3,688,425
Starrett (L.S.) Co. Class A............................... 14,200 549,363
*Starter Corp............................................. 109,300 368,888
State Financial Services Corp. Class A.................... 16,280 409,035
*Steel of West Virginia, Inc.............................. 50,700 551,363
Steel Technologies, Inc................................... 52,800 594,000
*Steinway Musical Instruments, Inc........................ 5,400 161,663
Stepan Co................................................. 51,700 1,635,013
Stephan Co................................................ 24,700 314,925
*Stericycle, Inc.......................................... 17,700 200,231
*Sterigenics Intl, Inc.................................... 1,300 26,569
Sterling Bancorp.......................................... 150,400 4,117,200
Sterling Bancshares....................................... 92,062 1,567,931
*Sterling Financial Corp. WA.............................. 33,250 872,813
*#Sterling Vision, Inc.................................... 63,700 336,416
*Stevens International, Inc. Class A...................... 59,800 171,925
Stewart Information Services Corp......................... 26,350 1,011,181
Stifel Financial Corp..................................... 24,288 379,500
*Stimsonite Corp.......................................... 50,300 385,109
*Storage Computer Corp.................................... 71,792 341,012
*#Storm Technology, Inc................................... 200 350
*Stormedia, Inc. Class A.................................. 40,500 132,891
*#Stratasys, Inc.......................................... 25,700 253,788
</TABLE>
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*Strategic Diagnostics, Inc............................... 48,000 $ 177,750
*Strategic Distribution, Inc.............................. 254,048 1,373,447
*Strattec Security Corp................................... 24,100 768,188
*Stratus Properties, Inc.................................. 59,600 342,700
Strawbridge and Clothier Liquidating Trust................ 5,200 3,387
*Strouds, Inc............................................. 72,800 241,150
*Stuart Entertainment, Inc................................ 20,100 33,919
*Submicron Systems Corp................................... 105,700 145,338
*Substance Abuse Technologies, Inc........................ 91,400 640
*Suburban Lodges of America, Inc.......................... 24,000 385,500
*Successories, Inc........................................ 26,900 139,544
Suffolk Bancorp........................................... 20,700 655,931
*Sugen, Inc............................................... 74,800 1,126,675
*Sulcus Computer Corp..................................... 81,500 213,938
*Summa Four, Inc.......................................... 43,300 516,894
*Summa Industries, Inc.................................... 200 2,350
Summit Bancshares, Inc.................................... 23,000 506,000
*Summit Design, Inc....................................... 62,800 942,000
*Summitt Medical Systems, Inc............................. 89,300 318,131
*Sun City Industries, Inc................................. 150 20
*Sun Television and Appliances, Inc....................... 147,300 299,203
*Sunair Electronics, Inc.................................. 33,900 99,581
*Sunbelt Nursery Group, Inc............................... 6,800 0
*Sundance Homes, Inc...................................... 50,000 114,063
*Sunquest Information Systems, Inc........................ 3,400 30,175
*Sunrise Resources, Inc................................... 35,700 118,256
*Superconductor Technologies, Inc......................... 35,450 177,250
*#Supergen, Inc........................................... 12,400 162,750
*Superior Energy Services, Inc............................ 78,000 760,500
*Superior National Insurance Group, Inc................... 11,900 273,700
Superior Surgical Manufacturing Co., Inc.................. 90,100 1,419,075
*Supertex, Inc............................................ 177,300 1,917,056
*Suprema Specialties, Inc................................. 37,300 155,028
*Supreme Industries, Inc.................................. 67,753 948,547
*Supreme International Corp............................... 29,100 491,063
*Surety Capital Corp...................................... 24,350 115,663
*Surgical Laser Technologies, Inc......................... 54,500 52,797
*Swisher International, Inc............................... 8,500 25,500
*Swiss Army Brands, Inc................................... 65,500 747,109
*Sybron Chemicals, Inc.................................... 34,300 1,129,756
*Sylvan, Inc.............................................. 54,800 815,150
*Symix Systems, Inc....................................... 48,200 945,925
*Symmetricom, Inc......................................... 136,600 866,556
*Symons International Group, Inc.......................... 10,500 190,313
*Syms Corp................................................ 76,900 1,143,888
Synalloy Corp. DE......................................... 89,158 1,214,778
*Synaptic Pharmaceutical Corp............................. 65,700 989,606
*Synbiotics Corp.......................................... 49,400 155,919
*Syncor International Corp. DE............................ 62,800 1,099,000
*Syntellect, Inc.......................................... 114,200 296,206
*Synthetech, Inc.......................................... 48,500 322,828
*Synthetic Industries, Inc................................ 46,000 938,688
*Sypris Solutions, Inc.................................... 27,000 275,063
*#Syquest Technology, Inc................................. 548,800 986,125
*Systemsoft Corp.......................................... 165,200 312,331
*T Cell Sciences, Inc..................................... 145,700 448,483
*T-Netix, Inc............................................. 65,100 614,381
*TBC Corp................................................. 201,700 1,657,722
TCBY Enterprises, Inc..................................... 96,000 930,000
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*TCC Industries, Inc...................................... 23,800 $ 114,538
*TCI International, Inc................................... 32,060 158,296
*TCI Music, Inc. Class A.................................. 51,450 402,757
*TCSI Corp................................................ 186,900 969,544
*TESSCO Technologies, Inc................................. 37,400 764,363
TF Financial Corp......................................... 7,300 194,363
*TFC Enterprises, Inc..................................... 101,000 293,531
*TII Industries, Inc...................................... 36,520 157,493
*TII Industries, Inc. Class B............................. 13,440 57,960
*TMBR/Sharp Drilling, Inc................................. 40,500 422,719
*TRC Companies, Inc....................................... 60,400 302,000
*TRM Copy Centers Corp.................................... 61,000 789,188
*#TRO Learning, Inc....................................... 29,400 297,675
TSI, Inc. MN.............................................. 93,200 763,075
*TSR, Inc................................................. 102,000 1,185,750
*TST/Impreso, Inc......................................... 23,800 108,588
Tab Products Co. DE....................................... 41,750 610,594
*Taco Cabana, Inc......................................... 134,700 854,503
*Tandy Brand Accessories, Inc............................. 55,977 986,595
*Tandy Crafts, Inc........................................ 138,200 656,450
*Targeted Genetics Corp................................... 138,500 402,516
Tasty Baking Co........................................... 66,500 1,246,875
*#Tatham Off-Shore, Inc................................... 12,900 43,538
*Team, Inc................................................ 45,000 222,188
*Tech-Sym Corp............................................ 67,300 1,947,494
Tech/Ops Sevcon, Inc...................................... 61,400 1,043,800
*#Techdyne, Inc........................................... 11,800 58,263
Teche Holding Co.......................................... 1,100 21,863
*Techforce Corp........................................... 25,000 195,313
*#Technical Chemicals & Products, Inc..................... 43,900 430,769
*Technical Communications Corp............................ 7,300 45,169
Technology Research Corp.................................. 40,100 84,586
*Tegal Corp............................................... 46,700 193,367
*Tei, Inc................................................. 19,800 42,694
*Telco Systems, Inc....................................... 88,300 871,963
*Telcom Semiconductor, Inc................................ 108,200 804,738
*Telemundo Group, Inc. Class A............................ 26,500 1,117,969
*Teltrend, Inc............................................ 26,800 479,050
*#Telular Corp............................................ 97,500 208,711
*Temtex Industries, Inc................................... 34,100 142,794
*#Tera Computer Co........................................ 8,100 92,391
*Tesseract Group, Inc..................................... 50,500 265,125
*Tetra Technologies, Inc.................................. 20,100 438,431
*Texas Biotechnology Corp................................. 130,100 650,500
*Texas Micro, Inc......................................... 75,900 298,856
*Texfi Industries, Inc.................................... 75,200 159,800
*Thackeray Corp........................................... 74,700 280,125
*Theratech, Inc. UT....................................... 129,300 1,232,391
*Thermatrix, Inc.......................................... 7,600 42,869
*Thermo Bioanalysis Corp.................................. 3,100 64,713
*Thermo Fibergen, Inc..................................... 13,500 131,625
*Thermo Power Corp........................................ 105,100 1,195,513
Thermo Remediation, Inc................................... 77,800 427,900
*Thermo Sentron, Inc...................................... 72,400 909,525
*Thermo Terratech, Inc.................................... 78,200 371,450
*Thermo Voltek Corp....................................... 120,450 843,150
*#Thermolase Corp......................................... 13,000 80,438
*Thermospectra Corp....................................... 24,500 271,031
*Thermwood Corp........................................... 920 7,130
*Thomas Group, Inc........................................ 50,800 517,525
Thomaston Mills, Inc...................................... 12,000 93,000
</TABLE>
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Thor Industries, Inc...................................... 41,850 $ 1,158,722
*Thoratec Laboratories Corp............................... 23,400 217,913
*Thorn Apple Valley, Inc.................................. 49,900 785,925
*Three-Five Systems, Inc.................................. 44,200 743,113
*Thrustmaster, Inc........................................ 4,300 47,031
Timberline Software Corp.................................. 31,406 625,176
*Tipperary Corp........................................... 56,500 204,813
*Titan Corp............................................... 176,603 1,125,844
Toastmaster, Inc.......................................... 41,100 251,738
*Today's Man, Inc......................................... 63,600 166,950
*Todd Shipyards Corp...................................... 42,600 274,238
Todd-AO Corp. Class A..................................... 12,100 152,006
*Toddhunter International, Inc............................ 48,000 417,000
*Tokheim Corp............................................. 64,800 1,032,750
*Tollgrade Communications, Inc............................ 11,000 280,500
Tompkins County Trustco, Inc.............................. 330 12,004
*#Top Source Technologies, Inc............................ 68,500 68,500
*Topps, Inc............................................... 273,600 936,225
*Tops Appliance City, Inc................................. 32,000 150,000
*Toreador Royalty Corp.................................... 41,700 164,194
*Torotel, Inc............................................. 24,235 21,206
*Total-Telephone USA Communications, Inc.................. 10,200 416,925
*Touchstone Software Corp................................. 30,500 79,109
*Tower Air, Inc........................................... 129,000 554,297
*Tractor Supply Co........................................ 68,500 1,678,250
*Trak Auto Corp........................................... 92,000 1,081,000
*Transact Technologies, Inc............................... 40,199 381,891
*Transaction Network Services, Inc........................ 102,900 2,077,294
*Transcend Services, Inc.................................. 54,100 172,444
*#Transcrypt International, Inc........................... 9,000 29,250
*Transfinancial Holdings, Inc............................. 27,800 250,200
*Transition Analysis Component Technology................. 2,538 16,338
*Transmation, Inc......................................... 13,400 93,381
Transmedia Network, Inc................................... 45,750 280,219
*TransNet Corp............................................ 29,200 27,375
Transport Industries, Inc................................. 1,000 14,500
#Transport Lux Corp....................................... 14,245 185,185
Transpro, Inc............................................. 11,100 95,738
Transtechnology Corp...................................... 99,100 2,675,700
*Transwitch Corp.......................................... 102,000 1,402,500
*Transworld Healthcare, Inc............................... 61,200 393,975
*#Travel Ports of America, Inc............................ 28,391 94,932
Treadco, Inc.............................................. 43,900 381,381
*#Treev, Inc.............................................. 85,000 75,703
*Trega Biosciences, Inc................................... 63,700 242,856
*Trend-Lines, Inc. Class A................................ 50,650 272,244
*Trescom International, Inc............................... 19,500 205,969
*Tri-Lite, Inc............................................ 109 0
*Triad Guaranty, Inc...................................... 39,700 1,289,009
*Triad Park L.L.C......................................... 111,100 207,757
Triangle Bancorp, Inc..................................... 19,200 560,400
*Triathlon Broadcasting Co. Class A....................... 1,200 12,675
Trico Bancshares.......................................... 6,600 193,875
*Tricord Systems, Inc..................................... 81,000 79,734
*Trident International, Inc............................... 13,200 216,150
*Trident Microsystems, Inc................................ 98,400 691,875
*#Trident Rowan Group, Inc................................ 7,000 44,625
*Tridex Corp.............................................. 44,300 304,563
Trigen Energy Corp........................................ 102,000 1,415,250
*#Trikon Technologies, Inc................................ 13,000 8,328
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*Trimark Holdings, Inc.................................... 7,100 $ 25,738
*Trimedyne, Inc........................................... 48,800 89,975
*Trinitec Systems, Inc. Class A........................... 38,100 250,031
Trion, Inc................................................ 67,550 396,856
*Triple S Plastics, Inc................................... 7,800 49,238
*Tripos, Inc.............................................. 17,700 196,913
*Triquint Semiconductor, Inc.............................. 52,200 1,185,919
*Trism, Inc............................................... 37,100 89,272
*Tristar Corp............................................. 3,300 34,650
*Truevision, Inc.......................................... 102,700 211,819
*#Trump Hotels & Casino Resorts, Inc...................... 184,400 1,578,925
*Tseng Laboratories, Inc.................................. 76,200 171,450
*Tultex Corp.............................................. 129,400 388,200
*Turner Corp.............................................. 43,900 1,179,813
Tuscarora, Inc............................................ 41,750 661,477
Twin Disc, Inc............................................ 41,200 1,318,400
Tyler Corp................................................ 141,450 1,326,094
U.S. Bancorp, Inc......................................... 8,725 698,569
*U.S. Bioscience, Inc..................................... 43,100 404,063
*U.S. China Industrial Exchange, Inc...................... 2,400 4,425
*U.S. Diagnostic, Inc..................................... 142,800 640,369
*UFP Technologies, Inc.................................... 6,700 29,313
*URS Corp................................................. 76,984 1,279,859
*US Can Corp.............................................. 112,300 1,902,081
*#US Servis, Inc.......................................... 23,500 41,859
*US Xpress Enterprises, Inc. Class A...................... 9,000 175,500
*#USA Detergents, Inc..................................... 58,300 808,913
*USA Truck, Inc........................................... 5,600 81,900
*USANA, Inc............................................... 2,600 74,263
*USCI, Inc................................................ 60,400 303,888
*USData Corp.............................................. 38,300 208,256
*UTI Energy Corp.......................................... 55,500 894,938
*#Ugly Duckling Corp...................................... 12,000 105,375
*Ultimate Electronics, Inc................................ 42,200 139,788
*Ultradata Corp........................................... 18,400 97,750
*Ultradata Systems, Inc................................... 13,600 48,450
*#Ultrafem, Inc........................................... 62,400 4,368
*Ultrak, Inc.............................................. 66,300 648,497
*#Ultralife Batteries, Inc................................ 35,900 416,216
*#Unapix Entertainment, Inc............................... 28,800 145,800
*Uni-Marts, Inc........................................... 64,600 234,175
Unico American Corp....................................... 117,600 1,830,150
*UniComp, Inc............................................. 39,200 191,713
Unifirst Corp............................................. 36,400 937,300
*Uniflex, Inc............................................. 17,850 98,175
*Unify Corp............................................... 22,000 68,063
*Unigene Laboratories, Inc................................ 207,200 475,913
*Unilab Corp.............................................. 29,900 80,356
*Unimark Group, Inc....................................... 64,300 313,463
*Unimed Pharmaceuticals, Inc.............................. 37,900 212,003
*Union Acceptance Corp. Class A........................... 16,900 123,581
*Unique Casual Restaurants, Inc........................... 42,267 252,281
*#Unique Mobility, Inc.................................... 65,800 460,600
*Uniroyal Technology Corp................................. 112,900 1,023,156
*Unit Corp................................................ 167,100 1,305,469
*Unit Instruments, Inc.................................... 35,680 231,920
*United American Healthcare Corp.,........................ 53,850 53,850
United Bankshares, Inc. WV................................ 34,010 848,124
*United Capital Corp...................................... 50,754 1,116,588
*United Dental Care, Inc.................................. 1,000 18,813
United Financial Corp. MN................................. 700 19,819
*United Foods, Inc. Class A............................... 1,496 5,423
</TABLE>
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*United Foods, Inc. Class B............................... 13,166 $ 47,727
United Guardian, Inc...................................... 41,020 271,758
United Industrial Corp.................................... 104,800 1,257,600
United National Bancorp................................... 35,427 1,049,525
*United Retail Group, Inc................................. 67,900 751,144
*United States Energy Corp................................ 54,470 354,055
United States Lime & Minerals, Inc........................ 14,300 125,125
*Unitel Video, Inc........................................ 23,200 113,100
Unitil Corp............................................... 39,552 897,336
Unitog Co................................................. 11,450 264,781
*Universal American Financial Corp........................ 3,200 8,400
*Universal Electronics, Inc............................... 27,400 275,713
Universal Forest Products, Inc............................ 126,700 2,165,778
*#Universal International, Inc............................ 16,000 36,500
*Universal Seismic Association, Inc....................... 17,800 22,528
*Universal Stainless & Alloy Products, Inc................ 27,700 275,269
*Universal Standard Medical Labs, Inc..................... 27,300 58,013
*Uno Restaurant Corp...................................... 231,491 1,707,246
Upper Peninsula Energy Corp............................... 20,400 533,588
*Uranuim Resources, Inc................................... 103,100 265,805
*Urban Outfitters, Inc.................................... 46,000 753,250
*Urocor, Inc.............................................. 56,100 413,738
*Urogen Corp. (Restricted)................................ 28,200 25,556
*Urologix, Inc............................................ 82,000 927,625
*Uromed Corp. New......................................... 45,660 363,140
*Uroquest Medical Corp.................................... 52,400 152,288
*Utah Medical, Inc........................................ 36,900 276,750
*Utilx Corp............................................... 144,800 733,050
*V Band Systems, Inc...................................... 5,300 1,822
*#V-ONE Corp.............................................. 14,000 46,813
*VTEL Corp................................................ 93,906 542,894
*Valence Technology, Inc.................................. 172,900 1,021,191
*Vallen Corp.............................................. 62,400 1,290,900
Valley Forge Corp......................................... 3,525 52,434
Valley Resources, Inc..................................... 37,487 435,786
*Valuevision International, Inc. Class A.................. 123,100 496,247
*Vans, Inc................................................ 99,000 980,719
*#Vari L Co., Inc......................................... 23,400 296,888
*Variflex, Inc............................................ 51,100 279,453
Varlen Corp............................................... 42,692 1,448,860
*Vaughn Communications, Inc............................... 28,100 254,656
*Vectra Technologies, Inc................................. 34,500 1,380
*Ventana Medical Systems, Inc............................. 78,500 2,036,094
*Venture Stores, Inc...................................... 153,800 20,379
*Venturian Corp........................................... 21,000 131,250
*Verilink Corp............................................ 58,000 458,563
*Verity, Inc.............................................. 82,900 637,294
*Vermont Teddy Bear, Inc.................................. 15,500 20,344
*Versant Object Technology Corp........................... 11,900 67,681
*Versar, Inc.............................................. 46,100 230,500
*Versatility, Inc......................................... 1,000 2,625
*Vertel Corp.............................................. 108,700 455,181
*Vertex Communications Corp............................... 43,300 941,775
*Veterinary Centers of America, Inc....................... 26,300 492,303
*Viatel, Inc.............................................. 80,000 625,000
*Vical, Inc............................................... 89,700 1,457,625
*Vicon Industries, Inc.................................... 46,250 343,984
*Vicorp Restaurants, Inc.................................. 64,900 997,838
*Vidamed, Inc............................................. 73,200 382,013
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Video Display Corp....................................... 41,750 $ 454,031
*Video Services Corp...................................... 5,000 17,813
*Video Update, Inc........................................ 233,775 420,064
*Videonics, Inc........................................... 32,400 89,100
*Vidioserver, Inc......................................... 110,900 932,253
*View Technology, Inc..................................... 28,700 84,306
*Viisage Technology, Inc.................................. 21,000 66,938
*Vimrx Pharmaceuticals, Inc............................... 44,500 60,492
Virco Manufacturing Corp.................................. 103,990 2,768,734
*Virtualfund.Com, Inc..................................... 123,500 528,734
*Virus Research Institute, Inc............................ 4,200 16,603
*#Vision Sciences, Inc.................................... 23,250 54,492
*#Visioneer, Inc.......................................... 106,100 300,064
*Vista Medical Technologies, Inc.......................... 124,000 678,125
Vital Signs, Inc.......................................... 101,500 1,792,109
*Vitalcom, Inc............................................ 61,000 245,906
*#Vitech America, Inc..................................... 9,800 181,300
*Vivid Technologies, Inc.................................. 80,000 960,000
*Vodavi Technology, Inc................................... 10,200 29,963
*Voice Control Systems, Inc............................... 49,700 201,906
*Voxware, Inc............................................. 5,700 12,914
Vulcan International Corp................................. 10,951 446,253
*WCI Steel, Inc. (Escrow)................................. 194,000 0
*WFS Financial, Inc....................................... 6,000 51,563
*#WHX Corp................................................ 26,600 365,750
*WLR Foods, Inc........................................... 50,786 361,850
*WMS Industries, Inc...................................... 12,000 53,250
*WPI Group, Inc........................................... 27,550 209,208
WSFS Financial Corp....................................... 12,200 257,725
*WTD Industries, Inc...................................... 52,840 62,748
Wackenhut Corp. Class A................................... 4,297 94,803
Wackenhut Corp. Class B Non-Voting........................ 26,592 533,502
Wainwright Bank & Trust Co................................ 200 1,963
Walbro Corp............................................... 49,600 511,500
*Walker Interactive Systems, Inc.......................... 109,000 1,723,563
*Wall Data, Inc........................................... 79,050 1,025,180
*Wall Street Deli, Inc.................................... 13,200 46,200
*Walsh International, Inc................................. 16,300 246,538
Walshire Assurance Co..................................... 36,963 277,223
*Wandel & Goltermann Technologies, Inc.................... 19,800 297,000
*Warrantech Corp.......................................... 76,900 516,672
Warren Bancorp, Inc....................................... 162,800 2,035,000
*Washington Homes, Inc.................................... 63,600 318,000
Washington Savings Bank FSB Waldorf, MD................... 28,912 205,998
Waters Instruments, Inc................................... 500 2,875
Watkins-Johnson Co........................................ 36,400 916,825
*Wave Technologies International, Inc..................... 18,200 79,625
*Wavephore, Inc........................................... 69,600 891,750
*Waxman Industries, Inc................................... 51,400 163,838
*Waxman Industries, Inc. Class B.......................... 9,750 31,078
*Webco Industries, Inc.................................... 27,850 236,725
Webster Financial Corp.................................... 63,205 2,115,392
*Weirton Steel Corp....................................... 188,400 765,375
*Wellcare Management Group, Inc........................... 15,700 40,722
Wellco Enterprises, Inc................................... 12,300 139,913
*Wells-Gardner Electronics Corp........................... 35,000 177,188
West Coast Bancorp........................................ 24,550 598,406
*West Coast Entertainment Corp............................ 71,000 135,344
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*#Westbridge Capital Corp................................. 33,700 $ 12,638
Westco Bancorp, Inc....................................... 1,600 48,500
*Westerbeke Corp.......................................... 20,000 77,500
Westerfed Financial Corp.................................. 23,800 586,075
Western Bancorp........................................... 35,450 1,516,595
*Western Beef, Inc........................................ 42,386 349,685
Western Ohio Financial Corp............................... 6,600 169,950
*Western Staff Services, Inc.............................. 44,000 1,146,750
*Western Water Co......................................... 40,100 438,594
*Weston (Roy F.), Inc. Class A............................ 33,700 128,481
*White Pine Software, Inc................................. 4,500 11,109
*Whitehall Corp........................................... 123,200 2,340,800
*Whitman Education Group, Inc............................. 118,100 664,313
*Whittaker Corp........................................... 88,800 1,265,400
*Wickes Lumber Co......................................... 55,200 313,950
*Williams Clayton Energy, Inc............................. 51,800 547,138
*Williams Controls, Inc................................... 70,500 208,195
*Willis Lease Finance Corp................................ 7,500 164,063
*Wilshire Financial Services Group, Inc................... 27,500 647,969
*Wilshire Oil Co. of Texas................................ 142,975 875,722
Winnebago Industries, Inc................................. 136,400 1,525,975
*Winsloew Furniture, Inc.................................. 33,200 798,875
*Winston Resources, Inc................................... 3,900 21,450
Wireless Telecom Group, Inc............................... 149,200 522,200
Wiser Oil Co.............................................. 57,400 599,113
Wolf (Howard B.), Inc..................................... 6,000 34,500
Wolohan Lumber Co......................................... 49,100 613,750
Woodhead Industries, Inc.................................. 176,550 3,150,314
*Workgroup Technology Corp................................ 36,500 139,156
*World Acceptance Corp.................................... 174,000 1,016,813
*#World Airways, Inc...................................... 31,700 160,481
World Fuel Services Corp.................................. 84,070 1,481,734
*#Worldcorp, Inc.......................................... 136,000 85,000
*Worldtalk Communications Corp............................ 21,000 103,688
*Worldtex, Inc............................................ 141,800 957,150
Worthington Foods, Inc.................................... 89,421 1,302,193
*Wyant Corp............................................... 666 3,917
*XCL, Ltd................................................. 24,200 96,800
*Xcellent, Inc............................................ 36,400 720,038
*Xeta Corp................................................ 5,200 113,913
*Xetel Corp............................................... 24,500 108,719
*Xicor, Inc............................................... 121,600 262,200
*Xionics Document Technologies, Inc....................... 37,400 175,313
*Xircom, Inc.............................................. 12,300 192,572
*Xoma Corp................................................ 169,800 822,469
Yankee Energy Systems, Inc................................ 5,300 127,200
Yardville National Bancorp................................ 16,067 289,206
*#Yes Entertainment Corp.................................. 28,600 21,450
York Financial Corp....................................... 38,906 862,011
*York Research Corp....................................... 65,200 446,213
*Youth Services International, Inc........................ 90,250 651,492
*Zaring National Corp..................................... 19,800 199,238
<CAPTION>
SHARES VALUE+
---------- --------------
<S> <C> <C>
*Zemex Corp............................................... 53,110 $ 527,781
*Zevex International, Inc................................. 6,600 59,400
Ziegler Co., Inc.......................................... 500 11,938
*Zila, Inc................................................ 6,435 49,871
*Zing Technologies, Inc................................... 13,300 108,478
*#Zitel Corp.............................................. 63,700 505,619
*Zoll Medical Corp........................................ 50,500 309,313
*#Zonagen, Inc............................................ 23,000 839,500
*Zoran Corp............................................... 42,200 491,894
*Zydeco Energy, Inc....................................... 3,700 7,516
*Zygo Corp................................................ 48,100 864,297
--------------
TOTAL COMMON STOCKS
(Cost $1,224,225,398)..................................... 1,562,285,210
--------------
RIGHTS/WARRANTS -- (0.0%)
*American Educational Products, Inc. Warrants 12/01/00.... 2,760 4,140
*Amerus Life Holdings, Inc. Class A Warrants 04/03/02..... 5,588 51,689
*Baxter International, Inc. Contingent Payment Rights
03/15/08................................................ 89,950 0
*Buell Industries, Inc. Contingent Payment Rights......... 59,800 0
*National Mercantile Bancorp Warrants 06/02/99............ 50 0
*Playcore, Inc. Rights 06/09/98........................... 33,388 0
*Today's Man, Inc. Warrants 10/14/99...................... 31,800 21,863
*Xytronyx, Inc. Warrants 08/11/01......................... 492 0
--------------
TOTAL RIGHTS/WARRANTS
(Cost $71,577)............................................ 77,692
--------------
PREFERRED STOCKS -- (0.0%)
Fonar Corp. Class A (Cost $0)............................. 34,390 0
--------------
FACE
AMOUNT
----------
(000)
TEMPORARY CASH INVESTMENTS -- (2.1%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes 5.875%,
08/31/99, valued at $34,717,100) to be repurchased at
$34,217,964. (Cost $34,203,000)......................... $34,203 34,203,000
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $1,258,499,975)++....... $1,596,565,902
--------------
--------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++The cost for federal income tax purposes is $1,259,453,224.
</TABLE>
See accompanying Notes to Financial Statements.
160
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
JAPAN -- (21.4%)
COMMON STOCKS -- (21.4%)
Aichi Bank, Ltd........................................... 10,500 $ 568,325
Aisin Seiki Co., Ltd...................................... 137,000 1,270,486
Amada Co., Ltd............................................ 376,000 1,899,469
Amano Corp................................................ 115,000 1,034,929
#Aomori Bank, Ltd......................................... 170,000 668,639
Aoyama Trading Co., Ltd................................... 41,100 1,005,513
#Asahi Denka Kogyo KK..................................... 42,000 152,463
Asahi Glass Co., Ltd...................................... 420,000 2,267,239
#Ashikaga Bank, Ltd....................................... 808,000 1,195,395
Autobacs Seven Co., Ltd................................... 700 21,319
Awa Bank, Ltd............................................. 189,600 774,464
Bandai Co., Ltd........................................... 60,000 870,349
Bank of Ikeda, Ltd........................................ 13,000 516,003
Bank of Iwate, Ltd........................................ 18,590 851,921
#Bank of Kinki, Ltd....................................... 234,000 663,674
Bank of Kyoto, Ltd........................................ 347,400 1,629,632
Bank of Nagoya, Ltd....................................... 185,000 750,334
Bank of Saga, Ltd......................................... 215,000 674,954
Bank of Yokohama, Ltd..................................... 978,000 2,385,624
#Best Denki Co., Ltd...................................... 153,000 850,215
CMK Corp.................................................. 38,000 455,238
Canon Sales Co., Inc...................................... 124,900 1,658,543
Casio Computer Co., Ltd................................... 185,000 1,722,296
Central Glass Co., Ltd.................................... 179,000 311,327
Chiba Bank, Ltd........................................... 941,000 3,347,980
#Chichibu Onoda Cement Corp............................... 746,000 1,125,205
#Chiyoda Fire and Marine Insurance Co., Ltd............... 444,150 1,625,115
Chudenko Corp............................................. 82,000 1,692,491
#Chugai Pharmaceutical Co., Ltd........................... 114,000 658,175
Chugoku Bank, Ltd......................................... 199,000 2,544,856
Chukyo Coca-Cola Bottling Co., Ltd........................ 35,000 275,322
Chukyo Sogo Bank, Ltd..................................... 107,000 316,602
Citizen Watch Co., Ltd.................................... 317,000 2,422,711
Cosmo Oil Co., Ltd........................................ 764,000 1,240,573
Dai Tokyo Fire & Marine Insurance Co., Ltd................ 529,000 1,775,231
Daicel Chemical Industries, Ltd........................... 485,000 829,538
Daikin Industries, Ltd.................................... 218,000 1,301,093
#Dainippon Pharmaceutical Co., Ltd........................ 203,000 669,512
#Daio Paper Corp.......................................... 128,750 627,187
#Daisan Bank, Ltd......................................... 138,000 478,043
#Daishi Bank, Ltd......................................... 350,000 1,053,296
Daito Trust Construction Co., Ltd......................... 180,784 1,290,335
#Daiwa Bank, Ltd.......................................... 726,000 1,414,643
Daiwa House Industry Co., Ltd............................. 655,000 5,100,457
Daiwa Kosho Lease Co., Ltd................................ 193,000 786,959
Daiwa Securities Co., Ltd................................. 1,673,000 6,362,868
Denki Kagaku Kogyo KK..................................... 469,000 727,709
Dowa Fire & Marine Insurance Co., Ltd..................... 383,000 1,136,023
Ehime Bank, Ltd........................................... 143,000 508,779
Eighteenth Bank, Ltd...................................... 226,000 1,242,824
Ezaki Glico Co., Ltd...................................... 174,600 875,740
Fuji Fire & Marine Insurance Co., Ltd..................... 353,000 810,118
Fuji Oil Co., Ltd......................................... 73,000 316,624
Fuji Photo Film Co., Ltd.................................. 400,000 13,538,769
Fujisawa Pharmaceutical Co., Ltd.......................... 220,000 2,064,013
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
#Fukui Bank, Ltd.......................................... 343,000 $ 787,168
#Fukuoka City Bank, Ltd................................... 264,532 952,632
*#Fukutoku Bank, Ltd...................................... 27,000 39,945
#Fukuyama Transporting Co., Ltd........................... 266,000 1,044,304
Furukawa Co., Ltd......................................... 165,000 235,774
Futaba Corp............................................... 16,000 645,473
Futaba Industrial Co., Ltd................................ 86,100 960,636
Hanshin Electric Railway Co., Ltd......................... 141,000 418,222
Higo Bank, Ltd............................................ 308,000 1,418,136
#Hino Motors, Ltd......................................... 398,000 1,160,408
#Hiroshima Bank, Ltd...................................... 575,000 1,468,985
Hiroshima-Sogo Bank, Ltd.................................. 136,000 529,022
Hitachi Construction Machinery Co., Ltd................... 64,000 196,298
#Hitachi Maxell, Ltd...................................... 96,000 1,981,452
Hitachi Metals, Ltd....................................... 360,000 1,350,990
#Hitachi Transport System, Ltd............................ 138,000 1,055,678
Hitachi, Ltd.............................................. 3,691,000 24,319,866
Hokuetsu Bank............................................. 275,330 755,064
#Hokuetsu Paper Mills, Ltd................................ 162,000 759,932
#Hokuriku Bank, Ltd....................................... 891,000 1,286,039
#House Foods Corp......................................... 115,000 1,585,176
Hyakugo Bank, Ltd. (105th Bank)........................... 258,000 1,061,307
Hyakujishi Bank, Ltd...................................... 314,000 1,389,110
Inax Corp................................................. 309,000 1,048,100
Itochu Corp............................................... 1,198,000 2,697,477
Itoham Foods, Inc......................................... 284,000 1,250,243
Izumiya Co., Ltd.......................................... 151,000 773,716
Japan Airport Terminal Co., Ltd........................... 9,000 50,987
#Japan Pulp and Paper Co., Ltd............................ 119,000 321,192
Japan Wool Textile Co., Ltd............................... 42,000 175,802
Joyo Bank, Ltd............................................ 19,000 67,463
Jsr Corp., Tokyo.......................................... 150,000 686,320
Juroku Bank, Ltd.......................................... 349,000 1,282,005
Kagawa Bank, Ltd.......................................... 61,650 274,959
Kagoshima Bank, Ltd....................................... 262,000 1,115,577
#Kajima Corp.............................................. 826,000 2,217,529
Kamigumi Co., Ltd......................................... 357,000 1,360,343
Kandenko Co., Ltd......................................... 266,000 1,528,062
Kaneka Corp............................................... 344,000 1,849,529
Kansai Paint Co., Ltd., Osaka............................. 108,000 250,193
Katokichi Co., Ltd........................................ 72,000 801,761
Kawasaki Steel Corp....................................... 500,000 801,068
#Keiyo Co., Ltd........................................... 35,000 126,294
Kikkoman Corp............................................. 256,000 1,250,763
Kinden Corp............................................... 67,000 809,909
Kirin Brewery Co., Ltd.................................... 247,000 2,297,715
Kissei Pharmaceutical Co., Ltd............................ 40,000 506,621
Koa Fire & Marine Insurance Co., Ltd...................... 45,000 175,694
#Kobe Steel, Ltd.......................................... 2,632,000 2,013,437
Koito Manufacturing Co., Ltd.............................. 146,000 705,950
#Kokusai Denshin Denwa Co., Ltd........................... 48,400 1,711,543
Kokusai Securities Co., Ltd............................... 330,000 3,036,480
Komatsu, Ltd.............................................. 1,279,000 5,353,587
#Komori Corp.............................................. 74,000 1,367,156
Konica Corp............................................... 66,000 299,599
Koyo Seiko Co............................................. 198,000 708,750
Kureha Chemical Industry Co., Ltd......................... 263,000 603,572
Lion Corp................................................. 311,000 1,032,439
</TABLE>
161
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
#Long Term Credit Bank of Japan, Ltd...................... 2,895,000 $ 4,199,436
Makita Corp............................................... 209,000 2,254,934
Marubeni Corp............................................. 1,942,000 3,924,222
Maruichi Steel Tube, Ltd.................................. 117,000 1,562,082
Matsushita Electric Industrial Co., Ltd................... 1,933,000 30,271,779
#Matsushita Electric Works, Ltd........................... 286,000 2,392,191
Matsushita Refrigeration Co............................... 222,000 797,864
Matsushita Seiko Co., Ltd................................. 179,000 640,739
Matsuzakaya Co., Ltd...................................... 30,000 125,573
*#Mazda Motor Corp........................................ 828,000 2,772,648
Meija Seika Kaisha, Ltd. Tokyo............................ 366,000 1,167,481
Michimen Corp............................................. 359,000 466,351
Michinoku Bank, Ltd....................................... 187,000 946,032
Mitsubishi Cable Industries, Ltd.......................... 29,000 55,461
#Mitsubishi Chemical Corp................................. 2,129,000 3,810,427
Mitsubishi Electric Corp.................................. 1,683,000 3,983,862
Mitsubishi Gas Chemical Co., Inc.......................... 548,000 1,388,142
#Mitsubishi Materials Corp................................ 975,000 1,899,830
Mitsubishi Motors Corp.................................... 866,000 2,243,669
Mitsubishi Oil Co., Ltd................................... 590,000 787,717
Mitsui Chemicals, Inc..................................... 1,030,800 2,670,639
*#Mitsui Engineering and Shipbuilding Co., Ltd............ 781,000 608,725
#Mitsui Trust & Banking Co., Ltd.......................... 1,030,000 2,415,833
#Mori Seiki Co., Ltd...................................... 121,000 1,423,375
Musashino Bank, Ltd....................................... 26,000 928,806
#NCR Japan, Ltd........................................... 53,000 228,730
#NGK Spark Plug Co., Ltd.................................. 201,000 1,597,091
NHK Spring Co., Ltd....................................... 315,000 820,662
NKK Corp.................................................. 2,612,000 2,224,342
NOK Corp.................................................. 149,000 655,938
NSK, Ltd.................................................. 467,000 1,685,129
NTN Corp.................................................. 398,000 1,071,367
Nanto Bank, Ltd........................................... 288,000 1,195,107
National House Industrial Co., Ltd........................ 95,000 754,159
Nichicon Corp............................................. 100,000 1,086,854
Nichirei Corp............................................. 366,000 763,353
Nifco, Inc................................................ 45,000 325,732
Nihon Unisys, Ltd......................................... 41,000 248,548
#Nikko Securities Co., Ltd................................ 1,910,000 6,009,886
*Nippon Credit Bank, Ltd.................................. 1,683,000 1,627,554
Nippon Flour Mills Co., Ltd............................... 21,000 46,527
#Nippon Light Metal Co., Ltd.............................. 525,000 602,425
Nippon Meat Packers, Inc., Osaka.......................... 170,000 2,189,946
#Nippon Oil Co., Ltd...................................... 1,598,000 4,958,971
Nippon Sanso Corp......................................... 367,000 1,162,725
Nippon Sheet Glass Co., Ltd............................... 567,000 916,595
Nippon Shokubai Co., Ltd.................................. 163,000 851,672
*Nippon Suisan Kaisha, Ltd................................ 49,000 57,641
Nishi-Nippon Bank, Ltd.................................... 23,540 86,471
Nishimatsu Construction Co., Ltd.......................... 359,000 1,619,276
Nissan Shatai Co., Ltd.................................... 158,000 342,078
#Nissei Sangyo Co., Ltd................................... 110,050 1,045,977
Nisshin Flour Milling Co., Ltd............................ 89,000 585,133
Nisshin Steel Co., Ltd.................................... 1,318,000 1,750,167
Nisshinbo Industries, Inc................................. 305,000 1,281,059
Nissho Iwai Corp.......................................... 544,000 1,060,008
Ogaki Kyoritsu Bank, Ltd.................................. 50,000 210,731
Ohbayashi Corp............................................ 499,000 1,854,617
Oita Bank, Ltd............................................ 145,000 668,675
Oji Paper Co., Ltd........................................ 275,000 1,161,007
Okamura Corp.............................................. 44,000 133,367
#Oki Electric Industry Co., Ltd........................... 740,000 1,602,136
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
Okumura Corp.............................................. 322,000 $ 1,010,861
Olympus Optical Co., Ltd.................................. 343,000 3,230,361
#Penta-Ocean Construction Co., Ltd........................ 438,000 916,682
Pioneer Electronic........................................ 182,000 3,546,349
#Q.P. Corp................................................ 168,000 1,186,966
Royal Co., Ltd............................................ 41,000 628,766
Ryosan Co., Ltd........................................... 53,000 841,482
Ryoyo Electro Corp........................................ 26,000 313,355
#Sakura Bank, Ltd......................................... 758,000 2,248,316
San In Godo Bank, Ltd..................................... 222,000 1,342,590
Sanki Engineering Co., Ltd................................ 109,000 711,904
Sanyo Electric............................................ 2,536,000 7,265,845
Sanyo Shokai, Ltd......................................... 77,000 255,620
Sapporo Breweries, Ltd.................................... 33,000 125,032
#Seino Transportation Co., Ltd............................ 197,000 983,827
#Sekisui Chemical Co., Ltd................................ 557,000 2,797,762
#Seksui House............................................. 928,000 6,864,647
Sharp Corp. Osaka......................................... 460,000 3,462,490
#Shiga Bank, Ltd.......................................... 268,000 1,063,760
Shimachu Co., Ltd......................................... 20,200 328,005
Shimadzu Corp............................................. 181,000 581,279
Shimizu Bank, Ltd......................................... 8,400 383,733
#Shimizu Corp............................................. 997,000 2,734,167
#Shinwa Bank, Ltd......................................... 157,000 373,904
Shionogi & Co., Ltd....................................... 455,000 2,272,290
Showa Electric Wire & Cable Co., Ltd., Kawasaki........... 152,000 246,816
Showa Shell Sekiyu KK..................................... 75,000 340,454
Snow Brand Milk Products Co., Ltd......................... 419,000 1,294,208
Stanley Electric Co., Ltd................................. 246,000 841,511
Sumitomo Corp............................................. 918,000 4,856,160
Sumitomo For.............................................. 136,000 764,580
#Sumitomo Metal Industries, Ltd. Osaka.................... 1,481,000 2,297,946
Sumitomo Metal Mining Co., Ltd............................ 313,000 1,328,214
Sumitomo Osaka Cement Co., Ltd............................ 594,000 775,910
Sumitomo Realty & Development Co., Ltd.................... 488,000 2,292,700
#Sumitomo Warehouse Co., Ltd.............................. 67,000 260,138
#Suruga Bank, Ltd......................................... 256,000 1,237,830
TEC Corp.................................................. 345,000 898,820
TOC Co., Ltd.............................................. 66,950 579,800
Tadano, Ltd............................................... 30,000 80,107
#Taisei Corp.............................................. 1,325,000 2,581,820
Takara Standard Co., Ltd.................................. 175,000 949,735
Takashimaya Co., Ltd...................................... 206,000 1,453,960
Tanabe Seiyaku Co., Ltd................................... 164,000 721,971
Teijin, Ltd............................................... 917,000 2,766,254
Teikoku Oil Co., Ltd...................................... 346,000 1,061,235
Toagosei Co., Ltd......................................... 353,000 598,672
#Toda Corp................................................ 418,000 1,484,184
Toho Bank, Ltd............................................ 236,000 877,133
Tokuyama Corp............................................. 248,000 705,171
*Tokyo Sowa Bank.......................................... 199,000 489,727
Tokyo Steel Manufacturing Co., Ltd........................ 202,800 930,832
Tokyo Style Co., Ltd...................................... 133,000 1,294,822
#Tokyo Tomin Bank, Ltd.................................... 30,900 898,690
#Tokyu Department Store Co., Ltd.......................... 329,000 448,750
Tostem Corp............................................... 188,000 2,409,612
Toto, Ltd................................................. 247,000 1,632,822
Towa Bank, Ltd............................................ 102,000 412,225
Toyo Seikan Kaisha, Ltd................................... 287,600 3,405,994
Toyo Suisan Kaisha, Ltd................................... 116,000 686,465
Toyo Trust & Banking Co., Ltd............................. 715,000 3,741,023
Toyobo Co., Ltd........................................... 468,000 634,965
</TABLE>
162
<PAGE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
#Toyoda Machine Works, Ltd................................ 122,000 $ 1,098,805
Toyota Auto Body Co., Ltd................................. 86,000 483,484
Toyota Tsusho Corp........................................ 314,000 974,416
#Uniden Corp.............................................. 12,000 124,707
Unisia Jecs Corp.......................................... 130,000 276,765
Victor Co. of Japan, Ltd.................................. 246,000 1,917,367
Wacoal Corp............................................... 149,000 1,505,430
Yakult Honsha Co., Ltd.................................... 228,000 1,143,579
Yamagata Bank, Ltd........................................ 153,700 644,461
Yamaguchi Bank............................................ 133,000 1,627,885
Yamatake-Honeywell Co., Ltd............................... 87,000 879,010
Yamato Kogyo Co., Ltd..................................... 123,000 954,245
#Yasuda Trust & Banking Co., Ltd.......................... 1,434,000 1,800,714
Yodogawa Steel Works, Ltd................................. 296,000 1,330,841
Yokogawa Electric Corp.................................... 337,000 1,741,363
Yokohama Rubber Co., Ltd.................................. 404,000 871,764
Zexel Corp................................................ 60,000 126,872
--------------
TOTAL COMMON STOCKS
(Cost $612,223,206)....................................... 397,783,025
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Japanese Yen (Cost $115,990)............................. 112,396
--------------
TOTAL -- JAPAN
(Cost $612,339,196)....................................... 397,895,421
--------------
UNITED KINGDOM -- (21.2%)
COMMON STOCKS -- (21.2%)
ASDA Group P.L.C.......................................... 1,719,300 5,102,697
Abbey National P.L.C...................................... 390,000 6,951,227
Aggreko P.L.C............................................. 32,000 113,236
Allied Domecq P.L.C....................................... 140,000 1,393,768
Anglian Water P.L.C....................................... 156,800 2,218,157
Antofagasta Holdings P.L.C................................ 38,000 187,450
Arcadia Group P.L.C....................................... 57,588 441,374
Arjo Wiggins Appleton P.L.C............................... 659,100 2,644,010
Associated British Foods P.L.C............................ 733,200 6,695,565
Associated British Ports Holdings P.L.C................... 369,200 2,125,265
BAA P.L.C................................................. 1,015,718 12,116,138
BG P.L.C.................................................. 2,574,617 13,256,618
BICC P.L.C................................................ 134,750 365,864
Barclays P.L.C............................................ 644,025 17,160,562
Bardon Group P.L.C........................................ 1,015,384 1,229,429
Barratt Developments P.L.C................................ 222,000 1,169,317
Bass P.L.C................................................ 600,000 11,007,292
Beazer Group P.L.C........................................ 157,257 592,378
Berkeley Group P.L.C...................................... 78,622 994,907
Booker P.L.C.............................................. 215,000 1,037,784
British Airways P.L.C..................................... 135,000 1,427,646
British Land Co. P.L.C.................................... 456,746 4,994,020
British Steel P.L.C....................................... 1,575,000 3,891,078
British Telecommunications P.L.C.......................... 2,400,000 25,008,569
British Vita P.L.C........................................ 212,300 1,168,424
Brixton Estate P.L.C...................................... 224,700 839,103
Bryant Group P.L.C........................................ 227,022 472,014
Burford Holdings P.L.C.................................... 337,000 629,234
*Cairn Energy P.L.C....................................... 41,350 214,090
Capital Shopping Centres P.L.C............................ 381,375 2,652,455
*Centrica P.L.C........................................... 2,662,900 4,277,281
Chelsfield P.L.C.......................................... 229,019 1,305,255
Christies International P.L.C............................. 41,000 259,413
Coats Viyella P.L.C....................................... 674,730 1,006,764
Commercial Union P.L.C.................................... 658,591 11,953,296
Courtaulds P.L.C.......................................... 40,000 305,269
Debenhams P.L.C........................................... 115,175 755,024
SHARES VALUE+
--------- --------------
*Delta P.L.C.............................................. 143,000 $ 769,532
Diageo P.L.C.............................................. 73,440 829,333
Elementis P.L.C........................................... 592,800 1,711,032
English China Clays P.L.C................................. 249,062 1,045,831
First Leisure Corp. P.L.C................................. 127,900 839,485
General Accident P.L.C.................................... 464,500 10,612,082
Grantchester Holdings P.L.C............................... 12,930 42,065
Great Portland Estates P.L.C.............................. 197,275 826,765
Great Universal Stores P.L.C.............................. 814,600 11,563,516
Greenalls Group P.L.C..................................... 283,846 2,291,209
Greene King P.L.C......................................... 59,000 697,536
Guardian Royal Exchange P.L.C............................. 835,867 5,288,664
Hambros P.L.C............................................. 107,954 523,724
Hanson P.L.C.............................................. 624,950 3,671,352
Hardy Oil & Gas P.L.C..................................... 74,000 315,559
Hillsdown Holdings P.L.C.................................. 483,562 1,443,045
House of Fraser P.L.C..................................... 140,000 426,920
Hyder P.L.C............................................... 81,947 1,310,928
Imperial Chemical Industries P.L.C........................ 637,700 12,073,283
Inchcape P.L.C............................................ 508,000 1,851,476
Ladbroke Group P.L.C...................................... 954,288 5,384,338
Laird Group P.L.C......................................... 92,400 665,242
Lasmo P.L.C............................................... 613,035 2,899,079
Lex Service P.L.C......................................... 109,433 1,046,630
London & Manchester Group P.L.C........................... 102,732 904,641
*Lonrho Africa P.L.C...................................... 191,588 231,195
Lonrho P.L.C.............................................. 191,588 937,276
Mersey Docks & Harbour Co. P.L.C.......................... 37,610 378,719
Meyer International P.L.C................................. 102,281 730,543
*Millennium and Copthorne Hotels P.L.C.................... 46,000 435,824
Mirror Group P.L.C........................................ 403,000 1,633,083
National Westminster Bank P.L.C........................... 1,159,229 21,153,199
Peel Holdings P.L.C....................................... 32,500 378,936
Persimmon P.L.C........................................... 162,000 632,699
Pilkington P.L.C.......................................... 995,666 2,402,991
Pillar Property Investments P.L.C......................... 25,000 138,610
Powell Duffryn P.L.C...................................... 47,037 477,097
Powergen P.L.C............................................ 443,177 5,593,645
Premier Consolidated Oilfields P.L.C...................... 988,414 757,554
RMC Group P.L.C........................................... 223,000 4,200,138
Racal Electronics P.L.C................................... 274,000 1,691,193
Rank Group P.L.C.......................................... 775,882 4,516,902
Rio Tinto P.L.C........................................... 118,000 1,473,004
Rolls-Royce P.L.C......................................... 314,950 1,498,405
Royal & Sun Alliance Insurance Group, Inc. P.L.C.......... 1,486,241 15,741,464
Rugby Group P.L.C......................................... 417,000 962,209
Safeway P.L.C............................................. 726,277 4,408,732
Sainsbury (J.) P.L.C...................................... 949,250 7,499,825
Scottish & Newcastle P.L.C................................ 117,600 1,649,235
Scottish Hydro-Electric P.L.C............................. 374,000 3,427,557
Sears P.L.C............................................... 1,466,100 1,524,125
Severn Trent P.L.C........................................ 210,597 3,393,016
Shell Transport & Trading Co., P.L.C...................... 2,222,545 16,400,077
Slough Estates P.L.C...................................... 376,100 2,321,378
Smith (David S.) Holdings P.L.C........................... 298,000 1,224,598
*Somerfield P.L.C......................................... 165,142 1,067,769
South West Water P.L.C.................................... 41,653 652,070
Stakis P.L.C.............................................. 733,194 1,697,790
Storehouse P.L.C.......................................... 410,990 1,869,873
Tarmac P.L.C.............................................. 894,395 1,826,770
Tate & Lyle P.L.C......................................... 70,000 568,465
Taylor Woodrow P.L.C...................................... 382,652 1,428,947
*Telewest Communications P.L.C............................ 715,000 1,195,107
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
Tesco P.L.C............................................... 1,423,428 $ 12,488,047
Thames Water P.L.C........................................ 172,311 2,794,438
Thistle Hotels P.L.C...................................... 306,000 985,520
Thorn P.L.C............................................... 108,807 362,850
Unigate P.L.C............................................. 229,400 2,487,664
Unilever P.L.C............................................ 1,700,000 18,643,093
United Assurance Group P.L.C.............................. 331,000 3,297,964
United Biscuits Holdings P.L.C............................ 508,963 2,176,599
United Utilities P.L.C.................................... 265,595 3,594,800
Vaux Group P.L.C.......................................... 87,094 412,583
Wessex Water P.L.C........................................ 92,021 694,025
Whitbread P.L.C........................................... 469,600 7,588,894
Wilson Bowden P.L.C....................................... 89,200 1,021,125
Wimpey (George) P.L.C..................................... 236,750 505,752
Yorkshire Water P.L.C..................................... 156,752 1,179,673
--------------
TOTAL COMMON STOCKS
(Cost $247,473,608)....................................... 393,348,287
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*British Pound Sterling (Cost $191,442)................... 192,003
--------------
TOTAL -- UNITED KINGDOM
(Cost $247,665,050)....................................... 393,540,290
--------------
GERMANY -- (11.1%)
COMMON STOCKS -- (11.0%)
*AGIV AG fuer Industrie & Verkehrswesen................... 57,800 1,621,055
*Ava Allgemeine Handelsgesellschaft der Verbraucher AG,
Bielefeld............................................... 3,700 1,411,271
#BASF AG.................................................. 624,100 29,055,750
#BHF Bank AG.............................................. 109,700 4,504,198
BHW Holding AG, Berlin.................................... 73,200 1,334,425
Bankgesellschaft Berlin AG................................ 222,000 5,429,243
Bayer AG.................................................. 135,800 6,497,535
#Bayerische Hypotheken und Wechselbank AG................. 240,000 15,117,877
Bayerische Vereinsbank AG................................. 180,000 15,094,318
Berliner Kraft & Licht Bewag AG........................... 88,800 4,159,099
Bilfinger & Berger Bau AG, Mannheim....................... 45,700 1,743,111
#Commerzbank AG........................................... 359,450 14,577,283
DBV-Winterthur Holding AG, Wiesbaden...................... 4,400 1,912,732
*Deutsche Babcock AG, Oberhausen.......................... 2,500 174,586
#Deutsche Bank AG......................................... 293,000 25,244,028
*Deutsche Hypothekenbank Frankfurt AG..................... 300 173,324
#Deutsche Lufthansa AG.................................... 305,250 7,636,429
Deutsche Pfandbrief und Hypothekenbank AG, Depfa.......... 45,700 3,660,532
*#Deutsche Telekom AG..................................... 313,200 8,406,273
#Dresdner Bank AG, Frankfurt.............................. 315,000 17,721,941
Dyckerhoff AG............................................. 2,275 829,458
*Energie Baden-Wuerttemberg AG............................ 8,231 332,418
FPB Holding AG............................................ 3,100 542,520
Fag Kugelfischer Georg Schaeffer AG....................... 53,350 896,254
Heidelberger Zement AG, Heidelberg........................ 18,100 1,817,320
Hochtief AG............................................... 77,400 3,560,038
*Holzmann (Philipp) AG.................................... 6,200 1,714,504
IVG Holding AG............................................ 5,500 229,991
Karstadt AG............................................... 8,350 4,367,522
Lahmeyer AG, Frankfurt.................................... 38,500 1,846,404
#Linde AG................................................. 4,600 3,405,898
SHARES VALUE+
--------- --------------
Man AG, Muechen........................................... 14,000 $ 5,575,530
Merck KGAA................................................ 45,400 1,759,680
*PWA Papierwerke Waldhof-Aschaffenburg AG................. 3,150 565,406
Ruetgerswerke AG.......................................... 467 78,061
*Schmalbach-Lubeca AG..................................... 1,370 365,786
Siemens AG................................................ 65,500 4,232,467
Thuega AG................................................. 267 79,675
Thyssen Industrie AG Essen................................ 2,500 613,505
Vereins & Westbank AG..................................... 5,446 1,557,929
Viag AG................................................... 1,000 560,919
Volkswagen AG............................................. 5,000 4,058,246
--------------
TOTAL COMMON STOCKS
(Cost $124,585,451)....................................... 204,464,541
--------------
INVESTMENT IN
CURRENCY -- (0.1%)
*German Marks (Cost $2,740,663)........................... 2,757,135
--------------
TOTAL -- GERMANY
(Cost $127,326,114)....................................... 207,221,676
--------------
FRANCE -- (9.4%)
COMMON STOCKS -- (9.1%)
#AGF (Assurances Generales de France SA).................. 41,214 2,541,961
AXA-UAP................................................... 25,000 2,845,672
Accor SA.................................................. 4,000 1,097,151
Banque Nationale de Paris................................. 191,044 16,317,439
Bongrain SA............................................... 1,463 744,611
Bouygues.................................................. 10,000 1,808,527
CPR (Cie Parisienne de Reescompte)........................ 16,385 1,369,349
*Centrale du Groupe des Assurances Nationales SA.......... 106,860 3,156,090
Christian Dior SA......................................... 25,700 3,556,814
Ciments Vicat............................................. 800 84,910
*#Club Mediterranee SA.................................... 8,000 784,921
Colas SA.................................................. 4,370 850,952
Credit Commercial de France............................... 43,891 3,346,790
*Credit National.......................................... 8,144 597,585
ECIA (Equipements et Composants pour l'Industrie
Automobile)............................................. 3,000 957,750
Elf Aquitaine............................................. 140,000 19,445,842
Eridania Beghin-Say SA.................................... 18,900 4,138,384
Esso SA................................................... 8,476 844,374
*Euro Disney SCA.......................................... 551,700 968,255
Fromageries Bel la Vache qui Rit.......................... 225 204,964
GTM Entrepose............................................. 21,077 1,965,806
Groupe Danone............................................. 42,500 11,444,114
Imetal.................................................... 8,000 1,123,225
LaFarge SA................................................ 68,857 6,986,095
*LaFarge SA Em 98......................................... 5,738 585,043
Labinal SA................................................ 3,200 1,230,199
Lyonnais des Eaux SA...................................... 57,442 9,802,864
Paribas................................................... 90,572 9,234,672
Pechiney SA Series A...................................... 49,075 2,497,729
Pernod-Ricard............................................. 34,300 2,542,070
Peugeot SA................................................ 36,550 7,141,667
#Rallye SA................................................ 14,220 738,480
Remy Cointreau SA......................................... 27,400 616,444
#Rhone-Poulenc SA Series A................................ 176,126 9,773,705
#Saint-Gobain............................................. 64,336 12,689,186
Societe Generale Paris.................................... 68,532 13,574,050
Sommer-Allibert SA........................................ 13,500 700,637
Sophia SA................................................. 7,700 355,220
Thomson-CSF............................................... 87,203 3,527,317
</TABLE>
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<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
Total SA.................................................. 40,000 $ 4,967,599
Union Assurances Federales SA............................. 900 130,124
*Usinor................................................... 148,300 2,481,264
--------------
TOTAL COMMON STOCKS
(Cost $103,196,775)....................................... 169,769,851
--------------
INVESTMENT IN
CURRENCY -- (0.3%)
*French Francs (Cost $4,765,239).......................... 4,797,437
--------------
RIGHTS/WARRANTS -- (0.0%)
*AGF (Assurances Generales de France SA) Warrants 06/15/00
(Cost $180,303)......................................... 41,214 198,397
--------------
TOTAL -- FRANCE
(Cost $108,142,317)....................................... 174,765,685
--------------
SWITZERLAND -- (8.3%)
COMMON STOCKS -- (7.9%)
#Ascom Holding AG, Bern................................... 600 1,225,459
*Baloise-Holding, Basel................................... 8,787 20,947,888
Banca del Gotthard........................................ 4,550 3,452,588
Banque Cantonale Vaudois.................................. 5,795 2,480,834
Bobst SA, Prilly.......................................... 2,553 4,834,475
Credit Suisse Holding, Zuerich (Namen).................... 15,000 3,307,115
Danzas Holding AG......................................... 7,260 2,076,909
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg.............................................. 3,173 589,051
*Financiere Richemont AG Units -A-........................ 6,943 9,949,897
Fischer (Georg) AG, Schaffhausen (Namen).................. 12,987 5,709,035
#Forbo Holding AG, Eglisau................................ 6,081 3,475,139
Helvetia Patria Holding, St. Gallen....................... 3,680 4,529,598
Holderbank Financiere Glarus AG, Glarus................... 900 1,152,824
Intershop Holding AG, Zuerich............................. 5,380 3,103,643
Jelmoli Holding AG, Zuerich............................... 500 608,671
Julius Baer Holding AG, Zuerich........................... 500 1,443,904
Oerlikon-Buehrle Holding AG, Zuerich...................... 44,781 9,085,640
Pargesa Holding SA, Geneve................................ 1,935 3,454,820
Roche Holding AG, Basel................................... 892 14,779,898
#SBG (Schweizerische Bankgesellschaft).................... 5,658 9,528,023
SBV (Schweizerischer Bankverein) (Namen).................. 12,000 4,341,857
#Sairgroup, Zuerich....................................... 35,640 10,918,837
*Saurer AG, Arbon......................................... 1,500 1,694,136
#Schindler Holding AG, Hergiswil.......................... 3,439 6,047,084
Schweizerische National Versicherungs Gesellschaft,
Basel................................................... 1,606 3,855,799
#Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall.................................. 8,066 7,664,345
Sulzer AG, Winterthur..................................... 6,000 5,141,246
#UBS (Union Bank of Switzerland).......................... 4,275 1,439,812
Von Roll Holding AG, Gerlafingen.......................... 15,045 513,835
--------------
TOTAL COMMON STOCKS
(Cost $99,152,492)........................................ 147,352,362
--------------
INVESTMENT IN
CURRENCY -- (0.4%)
*Swiss Francs (Cost $7,942,502)........................... 7,954,817
--------------
TOTAL -- SWITZERLAND
(Cost $107,094,994)....................................... 155,307,179
--------------
SHARES VALUE+
--------- --------------
NETHERLANDS -- (6.8%)
COMMON STOCKS -- (6.8%)
ABN Amro Holding NV....................................... 1,252,433 $ 30,358,914
Bijenkorf Beheer KBB NV, Amsterdam........................ 10,508 767,278
DSM NV.................................................... 38,851 3,935,257
#Fortis Amev NV........................................... 270,197 16,219,244
Hollandsche Beton Groep NV................................ 30,360 643,745
Ing Groep NV.............................................. 723,113 49,705,291
KLM (Koninklijke Luchtvaart Mij NV)....................... 76,540 3,032,524
Koninklijke Hoogovens NV.................................. 33,566 1,530,375
Koninklijke KNP BT........................................ 97,300 2,833,162
Nationale Investeringsbank NV Series A.................... 9,185 1,216,084
Pakhoed NV................................................ 37,037 1,327,306
Philips Electronics NV.................................... 110,000 10,462,998
Stad Rotterdam............................................ 39,899 3,485,314
Stork NV.................................................. 27,615 1,003,392
--------------
TOTAL COMMON STOCKS
(Cost $58,703,481)........................................ 126,520,884
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $83,252)....................... 83,692
--------------
TOTAL -- NETHERLANDS
(Cost $58,786,733)........................................ 126,604,576
--------------
ITALY -- (5.9%)
COMMON STOCKS -- (5.9%)
Banca Commerciale Italiana SpA............................ 3,765,000 22,245,387
*Banca di Roma............................................ 7,168,500 14,791,558
*CIR SpA (Cie Industriale Riunite), Torino................ 885,000 1,151,084
#Cartiere Burgo SpA....................................... 235,000 2,078,722
Cia Assicuratrice Unipol SpA.............................. 116,134 571,812
Credito Italiano.......................................... 550,000 3,069,643
#Fiat SpA................................................. 3,967,399 17,772,898
*#Finmeccanica SpA........................................ 4,331,475 4,199,649
#Ifil Finanziaria Partecipazioni SpA, Torino.............. 907,000 4,718,795
*#Ing C.Olivetti & C SpA, Ivrea........................... 4,300,000 6,327,128
*#Istituto Bancario San Paolo Torino SpA.................. 1,003,500 15,736,807
#Italcementi Fabbriche Riunite Cemento SpA, Bergamo....... 364,000 3,782,342
Italmobiliare SpA, Milano................................. 14,330 524,487
Magneti Marelli SpA....................................... 700,000 1,783,071
#Montedison SpA........................................... 5,375,000 7,434,682
Sirti SpA................................................. 25,000 155,467
#Toro Assicurazioni Cia Anonima d'Assicurazione di Torino
SpA..................................................... 168,350 3,262,931
--------------
TOTAL COMMON STOCKS
(Cost $52,171,924)........................................ 109,606,463
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Italian Lira (Cost $1,021,272)........................... 1,014,432
--------------
RIGHTS/WARRANTS -- (0.0%)
*Finmeccanica SpA Warrants 06/30/00 (Cost $0)............. 2,406,375 0
--------------
TOTAL -- ITALY
(Cost $53,193,196)........................................ 110,620,895
--------------
SPAIN -- (3.1%)
COMMON STOCKS -- (3.1%)
Acerinox SA, Madrid....................................... 28,548 4,254,418
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Autopistas Concesionaria Espanola SA...................... 364,300 $ 5,886,484
Autopistas del Mare Nostrum SA............................ 168,100 3,438,320
Banco Pastor SA, La Coruna................................ 8,000 444,107
Cementos Portland SA...................................... 8,000 581,040
Compania Espanola de Petroleos SA, Madrid................. 118,394 4,475,522
Corporacion Mapfre Compania Internacional de Reaseguros
SA, Majadah Onda........................................ 16,800 649,506
Cristaleria Espanola SA, Madrid........................... 31,852 3,222,774
#DRACONSA (Dragados y Construcciones SA).................. 144,689 4,513,313
Ebro Agricolas Compania de Alimentacion SA................ 111,600 2,787,879
FESCA (Fuerzas Electricas de Cataluna SA) Series A........ 180,000 1,939,001
#Hidroelectrica del Cantabrico SA, Oviedo................. 88,200 4,138,519
Iberdrola SA.............................................. 535,000 8,839,175
Metrovacesa (Inmobiliaria Metropolitana Vasco Central).... 42,840 2,550,893
Portland Valderrivas SA................................... 928 117,445
Sevillana de Electricidad SA.............................. 210,000 2,442,586
Union Electrica Fenosa SA................................. 230,000 2,857,615
Uralita SA................................................ 24,500 336,781
Vallehermoso SA........................................... 80,000 3,077,024
--------------
TOTAL COMMON STOCKS
(Cost $39,986,204)........................................ 56,552,402
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Spanish Peseta (Cost $390,190)........................... 389,841
--------------
TOTAL -- SPAIN
(Cost $40,376,394)........................................ 56,942,243
--------------
SWEDEN -- (2.9%)
COMMON STOCKS -- (2.9%)
Assidomaen AB............................................. 100,300 3,189,238
*Asticus AB............................................... 30,685 340,904
Avesta Sheffield AB....................................... 210,100 1,234,157
Diligentia AB............................................. 61,370 564,255
Electrolux AB Series B.................................... 8,900 886,485
Gullspangs Kraft AB Series B.............................. 22,800 366,853
Kinnevik Industrifoervaltnings AB Series A................ 3,200 118,504
Kinnevik Industrifoervaltnings AB Series B................ 55,000 2,012,213
Mo Och Domsjoe AB Series A................................ 6,300 202,734
#Mo Och Domsjoe AB Series B............................... 109,200 3,444,342
*Modern Times Group AB Series A........................... 3,200 35,756
NCC AB Series A........................................... 45,400 550,765
NCC AB Series B........................................... 95,000 1,152,481
SSAB Swedish Steel Series A............................... 124,300 2,420,626
SSAB Swedish Steel Series B............................... 45,900 887,998
Skandinaviska Enskilda Banken Series A.................... 150,000 2,499,703
Stora Kopparbergs Bergslags AB Series A................... 340,300 5,518,897
Stora Kopparbergs Bergslags AB Series B................... 79,400 1,287,689
Svenska Cellulosa AB Series A............................. 57,000 1,554,030
Svenska Cellulosa AB Series B............................. 199,800 5,511,070
Svenska Handelsbanken Series A............................ 80,000 3,371,247
#Svenska Kullagerfabriken AB Series A..................... 53,300 1,106,031
SHARES VALUE+
--------- --------------
Svenska Kullagerfabriken AB Series B...................... 83,900 $ 1,789,226
Sydkraft AB Series C...................................... 6,600 176,990
Trelleborg AB Series B.................................... 140,100 1,985,856
Volvo AB Series A......................................... 136,500 4,314,143
Volvo AB Series B......................................... 237,400 7,594,079
--------------
TOTAL COMMON STOCKS
(Cost $39,687,257)........................................ 54,116,272
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Swedish Krona (Cost $505,150)............................ 502,707
--------------
RIGHTS/WARRANTS -- (0.0%)
*Fastighets AB Balder Rights 06/17/98..................... 80,000 77,130
*SSAB Swedish Steel Series B Redemption Rights 06/01/98... 33,300 25,514
--------------
TOTAL RIGHTS/WARRANTS
(Cost $0)................................................. 102,644
--------------
TOTAL -- SWEDEN
(Cost $40,192,407)........................................ 54,721,623
--------------
AUSTRALIA -- (2.4%)
COMMON STOCKS -- (2.4%)
Amcor, Ltd................................................ 505,844 2,344,584
Australian National Industries, Ltd....................... 575,169 348,009
#Boral, Ltd............................................... 947,589 1,887,403
*Burns, Philp & Co., Ltd.................................. 424,307 45,180
CSR, Ltd.................................................. 842,897 2,476,081
Email, Ltd................................................ 219,554 430,431
*FXF Trust................................................ 176,912 27,702
Fosters Brewing Group, Ltd................................ 1,570,209 3,412,749
GIO Australia Holdings, Ltd............................... 480,259 1,353,647
George Weston Foods, Ltd.................................. 65,489 344,560
MIM Holdings.............................................. 1,344,941 699,196
News Corp., Ltd........................................... 1,164,255 7,182,933
North, Ltd................................................ 398,964 929,596
Pacific Dunlop, Ltd....................................... 756,467 1,369,321
Pioneer International, Ltd................................ 658,231 1,754,266
Publishing and Broadcasting, Ltd.......................... 176,912 839,932
Qantas Airways, Ltd....................................... 866,929 1,341,214
Rio Tinto, Ltd............................................ 481,023 5,798,006
Stockland Trust Group..................................... 146,873 356,017
*Stockland Trust Group Issue 98........................... 4,958 11,614
Suncorp Metway Limited.................................... 35,000 190,724
WMC, Ltd.................................................. 844,189 2,643,790
#Westpac Banking Corp..................................... 1,299,377 8,586,281
--------------
TOTAL COMMON STOCKS
(Cost $46,435,914)........................................ 44,373,236
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Australian Dollar (Cost $426,444)........................ 414,991
--------------
PREFERRED STOCKS -- (0.0%)
Village Roadshow, Ltd. (Cost $5,879)...................... 1,759 2,809
--------------
TOTAL -- AUSTRALIA
(Cost $46,868,237)........................................ 44,791,036
--------------
HONG KONG -- (1.8%)
COMMON STOCKS -- (1.7%)
#Amoy Properties, Ltd..................................... 4,454,000 2,859,550
Chinese Estates Holdings, Ltd............................. 2,675,131 617,949
*Evergo China Holdings, Ltd............................... 285,280 6,921
#Great Eagle Holdings, Ltd................................ 593,910 613,147
</TABLE>
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<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
HKR International, Ltd.................................... 1,077,384 $ 479,672
Hang Lung Development Co., Ltd............................ 2,029,000 2,094,722
Hongkong & Shanghai Hotels, Ltd........................... 1,789,124 958,171
Hopewell Holdings, Ltd.................................... 6,044,000 818,970
Hysan Development Co., Ltd................................ 1,562,000 1,592,438
#Kerry Properties, Ltd.................................... 1,261,000 1,171,661
Miramar Hotel & Investment Co., Ltd....................... 600,000 518,777
*New World Development Co. Ltd............................ 1,240,739 2,930,123
#Paliburg Holdings, Ltd................................... 2,470,625 1,594,157
Realty Development Corp., Ltd. Series A................... 213,000 461,789
Shangri-la Asia, Ltd...................................... 2,982,000 1,962,602
Sino Hotels (Holdings), Ltd............................... 543,653 65,948
#Sino Land Co., Ltd....................................... 4,557,200 1,558,469
Swire Pacific, Ltd. Series A.............................. 865,000 3,198,122
Tsim Sha Tsui Properties, Ltd............................. 1,174,000 1,969,544
Wharf Holdings, Ltd....................................... 3,487,000 4,454,936
#Wheelock and Co., Ltd.................................... 3,105,000 2,123,693
--------------
TOTAL COMMON STOCKS
(Cost $63,978,732)........................................ 32,051,361
--------------
INVESTMENT IN
CURRENCY -- (0.1%)
*Hong Kong Dollars (Cost $815,681)........................ 820,702
--------------
TOTAL -- HONG KONG
(Cost $64,794,413)........................................ 32,872,063
--------------
BELGIUM -- (1.8%)
COMMON STOCKS -- (1.7%)
*Banque Bruxelles Lambert VVPR............................ 128 3
Bekaert SA................................................ 2,500 1,974,784
Credit Communal Holding Dexia Belgium..................... 5,400 808,283
Electrabel SA............................................. 4,600 1,151,736
#Electrafina SA........................................... 8,000 1,101,661
Generale de Banque SA..................................... 13,830 10,134,100
Generale de Banque SA VVPR................................ 630 17
#Generale de Belgique SA.................................. 19,080 3,401,159
#Glaverbel SA............................................. 11,312 1,677,812
Glaverbel SA VVPR......................................... 22 1
#Groupe Bruxelles Lambert SA, Bruxelles................... 6,300 1,385,349
Nationale a Portefeuille.................................. 4,700 432,976
Sofina SA................................................. 500 530,351
#Solvay SA................................................ 80,490 5,903,479
Union Miniere SA.......................................... 28,300 1,929,308
--------------
TOTAL COMMON STOCKS
(Cost $19,678,604)........................................ 30,431,019
--------------
INVESTMENT IN
CURRENCY -- (0.1%)
*Belgian Francs (Cost $2,266,008)......................... 2,265,580
--------------
TOTAL -- BELGIUM
(Cost $21,944,612)........................................ 32,696,599
--------------
DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Bikuben Girobank A.S...................................... 32,497 1,913,910
Den Danske Bank A.S....................................... 44,140 5,491,707
Forsikringsselskabet Codan A.S............................ 7,662 1,198,642
Jyske Bank A.S............................................ 9,990 1,191,431
Tele Danmark A.S. Series B................................ 70,184 6,572,242
SHARES VALUE+
--------- --------------
Tryg Baltica Forsikring A.S............................... 56,055 $ 1,485,611
Unidanmark A.S. Series A.................................. 51,864 4,192,341
--------------
TOTAL COMMON STOCKS
(Cost $16,803,513)........................................ 22,045,884
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Danish Krone (Cost $88,513).............................. 89,743
--------------
TOTAL -- DENMARK
(Cost $16,892,026)........................................ 22,135,627
--------------
MALAYSIA -- (0.6%)
COMMON STOCKS -- (0.6%)
Berjaya Group Berhad...................................... 1,302,500 225,534
*Berjaya Industrial Berhad................................ 691,000 67,472
Berjaya Leisure Berhad.................................... 235,000 151,751
Commerce Asset Holding Berhad............................. 759,000 401,190
Genting Berhad............................................ 750,000 1,952,871
Golden Hope Plantations Berhad............................ 1,340,000 1,465,434
Hap Seng Consolidated Berhad.............................. 120,000 140,607
Highlands and Lowlands Berhad............................. 607,000 594,277
Hong Leong Credit Berhad.................................. 309,000 234,938
IOI Corp. Berhad.......................................... 436,000 294,035
Kuala Lumpur Kepong Berhad................................ 677,000 1,198,698
#Malayan Banking Berhad................................... 514,400 723,281
#Malaysian Airlines System................................ 200,000 119,776
*Malaysian Resources Corp. Berhad......................... 332,000 101,143
Mulpha International Berhad............................... 1,291,250 154,661
Perlis Plantations Berhad................................. 380,000 465,044
#Perusahaan Otomobil Nasional Berhad...................... 173,000 172,076
*#Renong Berhad........................................... 1,008,000 212,597
Sime Darby Berhad (Malaysia).............................. 846,000 674,068
Southern Bank Berhad (Foreign)............................ 130,000 62,284
*Southern Bank Berhad (Foreign) Issue 98.................. 162,500 63,468
Tenaga Nasional Berhad.................................... 774,000 1,279,755
--------------
TOTAL COMMON STOCKS
(Cost $24,114,944)........................................ 10,754,960
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Malaysian Ringetts (Cost $16,901)........................ 16,301
--------------
TOTAL -- MALAYSIA
(Cost $24,131,845)........................................ 10,771,261
--------------
FINLAND -- (0.6%)
COMMON STOCKS -- (0.5%)
Asko Oyj.................................................. 31,400 675,178
Enso Oy Series A.......................................... 74,500 825,031
Enso Oy Series R.......................................... 157,400 1,728,559
Finnair Oyj............................................... 67,000 692,509
Kemira Oyj................................................ 104,300 1,087,666
Kesko Oyj................................................. 46,900 796,385
#Metsa-Serla Oyj Series B................................. 111,800 1,217,465
Outokumpu Oyj Series A.................................... 100,800 1,415,819
Rauma Oyj................................................. 25,900 535,402
Rautaruukki Oy Series K................................... 107,900 900,166
--------------
TOTAL COMMON STOCKS
(Cost $9,581,939)......................................... 9,874,180
--------------
</TABLE>
167
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THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
--------- --------------
<S> <C> <C>
INVESTMENT IN
CURRENCY -- (0.1%)
*Finnish Markka (Cost $847,906)........................... $ 857,471
--------------
TOTAL -- FINLAND
(Cost $10,429,845)........................................ 10,731,651
--------------
NORWAY -- (0.5%)
COMMON STOCKS -- (0.5%)
#Bergesen Dy ASA Series A................................. 105,892 2,136,861
Den Norske Bank ASA Series A.............................. 505,994 2,720,632
Kvaerner ASA.............................................. 59,851 2,260,597
Norsk Hydro ASA........................................... 15,100 685,603
Norske Skogindustrier ASA Series A........................ 52,781 1,639,695
--------------
TOTAL COMMON STOCKS
(Cost $9,589,457)......................................... 9,443,388
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Norwegian Krone (Cost $637,731).......................... 634,148
--------------
TOTAL -- NORWAY
(Cost $10,227,188)........................................ 10,077,536
--------------
SINGAPORE -- (0.5%)
COMMON STOCKS -- (0.5%)
Fraser & Neave, Ltd....................................... 682,000 2,322,208
Industrial & Commercial Bank, Ltd......................... 13,000 21,744
Keppel Corp., Ltd......................................... 701,000 1,398,642
Sembawang Corp., Ltd...................................... 107,000 196,869
Singapore Airlines, Ltd. (Foreign)........................ 40,000 222,221
Singapore Land, Ltd....................................... 1,048,000 2,191,146
#Straits Steamship Land, Ltd.............................. 1,891,000 1,818,693
Straits Trading Co., Ltd.................................. 552,000 346,234
--------------
TOTAL COMMON STOCKS
(Cost $18,386,691)........................................ 8,517,757
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Singapore Dollars (Cost $51)............................. 100
--------------
TOTAL -- SINGAPORE
(Cost $18,386,742)........................................ 8,517,857
--------------
SHARES VALUE+
--------- --------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Carter Holt Harvey, Ltd................................... 986,100 $ 1,166,656
Independent Newspapers, Ltd. (Auckland)................... 50,547 202,949
Lion Nathan, Ltd.......................................... 227,600 560,480
--------------
TOTAL COMMON STOCKS
(Cost $2,238,417)......................................... 1,930,085
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*New Zealand Dollar (Cost $372)........................... 359
--------------
TOTAL -- NEW ZEALAND
(Cost $2,238,789)......................................... 1,930,444
--------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
FACE
AMOUNT
---------
<CAPTION>
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes 5.25%,
01/31/01, valued at $7,384,050) to be repurchased at
$7,276,182. (Cost $7,273,000)........................... $7,273 7,273,000
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost $1,618,303,098)++....... $1,859,416,662
--------------
--------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
168
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (98.2%)
COMMON STOCKS -- (97.7%)
ASK Corp., Yokohama.................................. 6,000 $ 7,837
Achilles Corp........................................ 549,000 752,787
Aica Kogyo Co., Ltd.................................. 164,000 486,443
Aichi Corp........................................... 57,000 255,043
Aichi Machine Industry Co., Ltd...................... 157,000 385,234
Aichi Steel Works, Ltd............................... 123,000 221,917
Aichi Tokei Denki Co., Ltd........................... 67,000 125,717
Aida Engineering, Ltd................................ 160,000 608,523
#Akai Electric Co., Ltd.............................. 300,000 355,068
#Akebono Brake Industry Co., Ltd..................... 141,000 386,678
Amada Metrecs Co., Ltd............................... 72,000 431,278
Amada Sonoike Co., Ltd............................... 132,000 326,749
*#Amada Wasino Co., Ltd.............................. 122,000 158,482
Ando Corp............................................ 120,000 196,586
#Anest Iwata Corp.................................... 74,000 152,203
*#Aoki Corp.......................................... 70,000 38,899
Aoki International Co., Ltd.......................... 52,000 311,854
#Arai-Gumi, Ltd...................................... 49,300 106,737
Araya Industrial Co., Ltd............................ 84,000 102,450
#Asahi Denka Kogyo KK................................ 127,000 461,018
*Asahi Diamond Industrial Co., Ltd................... 80,000 359,109
Asahi Kogyosha Co., Ltd.............................. 48,000 128,171
Asahi Optical Co., Ltd............................... 215,000 605,131
Asahi Organic Chemicals Industry Co., Ltd............ 259,000 738,318
*Asahi Tec Corp...................................... 86,000 133,439
Asanuma Corp......................................... 145,000 206,149
Ashimori Industry Co., Ltd........................... 84,000 172,771
*Asics Corp.......................................... 333,000 281,175
Atsugi Nylon Industrial Co., Ltd..................... 165,000 241,728
Azel Corp., Tokyo.................................... 89,000 192,689
Bando Chemical Industries, Ltd....................... 213,000 545,700
#Bank of Okinawa, Ltd................................ 19,300 362,140
*#Bank of Osaka, Ltd................................. 393,000 623,967
#Bank of the Ryukyus, Ltd............................ 20,280 261,980
Bunka Shutter Co., Ltd............................... 134,000 368,448
C.I. Kasei Co., Ltd.................................. 46,000 114,863
CKD Corp............................................. 113,000 375,131
*Cabin Co., Ltd...................................... 67,000 86,068
Calpis Co., Ltd...................................... 194,000 847,039
Central Finance Co., Ltd............................. 180,000 272,796
#Central Glass Co., Ltd.............................. 384,000 667,874
Cesar Co............................................. 79,000 151,654
#Chiba Kogyo Bank, Ltd............................... 38,100 684,653
#Chino Corp.......................................... 70,000 155,595
*Chisan Tokan Co., Ltd............................... 64,000 57,273
*Chiyoda Corp........................................ 180,000 213,041
*Chori Co., Ltd...................................... 150,000 205,680
Chuetsu Pulp and Paper Co., Ltd...................... 172,000 291,704
#Chugai Ro Co., Ltd.................................. 139,000 252,791
Chugoku Marine Paints, Ltd........................... 111,000 219,493
Chugokukogyo Co., Ltd................................ 45,000 49,038
Chukyo Coca-Cola Bottling Co., Ltd................... 84,000 660,773
Chukyo Sogo Bank, Ltd................................ 174,000 514,849
*Chuo Paperboard Co., Ltd............................ 62,000 44,297
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Chuo Spring Co., Ltd., Nagoya........................ 99,000 $ 236,488
Cleanup Corp......................................... 72,000 273,835
*Co-Op Chemical Co., Ltd............................. 80,000 58,889
*Copal Co., Ltd...................................... 78,000 312,979
*Cosmo Securities Co., Ltd........................... 102,000 74,348
#D'urban, Inc........................................ 114,000 184,289
#Dai Nippon Toryo, Ltd............................... 193,000 250,713
Dai-Dan Co., Ltd..................................... 80,000 444,557
Dai-Ichi Hotel, Ltd., Tokyo.......................... 52,000 90,066
*#Dai-Ichi Katei Denki Co., Ltd...................... 91,000 46,628
Dai-Ichi Kogyo Seiyaku Co., Ltd...................... 47,000 88,868
*Dai-Ichi Securities Co., Ltd........................ 228,000 166,189
Daido Concrete Co., Ltd.............................. 33,000 0
Daido Hoxan, Inc..................................... 196,000 417,277
Daido Kogyo Co., Ltd................................. 60,000 106,953
#Daido Steel Sheet Corp.............................. 84,000 249,154
Daidoh, Ltd.......................................... 54,000 159,781
*#Daiei OMC, Inc..................................... 371,000 436,423
Daihen Corp.......................................... 205,000 406,849
Daiho Corp........................................... 96,000 163,504
Daiichi Cement Co., Ltd.............................. 33,000 36,914
*Daiichi Chuo Kisen Kaisha........................... 390,000 281,456
Daiichi Jitsugyo Co., Ltd............................ 80,000 151,842
Daiken Corp.......................................... 130,000 304,911
#Daiki Co., Ltd...................................... 28,000 244,506
*#Daikyo, Inc........................................ 237,000 270,241
#Daimei Telecom Engineering Corp..................... 66,000 430,109
Dainichiseika Colour & Chemicals Manufacturing Co.,
Ltd................................................ 163,000 606,993
Daiso Co., Ltd....................................... 112,000 232,786
*Daisue Construction Co., Ltd........................ 185,000 130,841
*Daito Woolen Spinning & Weaving Co., Ltd., Tokyo.... 42,000 44,557
*#Daiwa Danchi Co., Ltd.............................. 202,000 355,703
Daiwa Seiko, Inc..................................... 145,000 313,932
Daiwabo Co., Ltd..................................... 262,000 311,983
*Dantani Corp........................................ 68,000 87,352
Danto Corp........................................... 42,000 239,454
Denki Kogyo Co., Ltd................................. 89,000 481,723
Deodeo Corp.......................................... 14,200 85,775
Descente, Ltd........................................ 133,000 297,550
Dijet Industrial Co., Ltd............................ 34,000 58,153
Dynic Corp........................................... 52,000 121,964
Eagle Industry Co., Ltd.............................. 43,000 112,647
*Enshu, Ltd.......................................... 69,000 126,482
*FDK Corp............................................ 94,000 227,258
*First Baking Co., Ltd............................... 67,000 127,168
France Bed Co., Ltd.................................. 193,000 501,425
Fudo Construction Co., Ltd........................... 201,000 371,349
Fuji Car Manufacturing Co., Ltd...................... 36,000 42,348
Fuji Denki Reiki Co., Ltd............................ 81,800 318,782
*Fuji Kiko Co., Ltd.................................. 29,000 61,740
*Fuji Kosan Co., Ltd................................. 130,000 118,212
Fuji Kyuko Co., Ltd.................................. 195,000 637,499
Fuji Oil Co., Ltd.................................... 135,000 585,537
Fuji Spinning Co., Ltd., Tokyo....................... 163,000 175,275
*Fujii & Co., Ltd.................................... 44,000 46,678
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Fujiko Co., Ltd..................................... 55,000 $ 51,600
Fujirebio, Inc....................................... 75,000 224,083
*#Fujiya Co., Ltd.................................... 190,000 418,215
Fukuda Corp.......................................... 65,000 166,528
Fukushima Bank, Ltd.................................. 80,000 176,091
Fukusuke Corp........................................ 95,000 161,116
*#Fukutoku Bank, Ltd................................. 177,000 261,863
*Furukawa Battery Co., Ltd........................... 45,000 70,148
Furukawa Co., Ltd.................................... 152,000 217,198
Fuso Pharmaceutical Industries, Ltd.................. 231,000 773,529
*Ga-jo-en Kanko KK................................... 37,000 0
*Gakken Co., Ltd..................................... 158,000 291,906
Gastec Service, Inc.................................. 41,000 147,945
Godo Shusei Co., Ltd................................. 74,000 164,486
*#Godo Steel, Ltd.................................... 245,000 244,001
*Goldwin, Inc........................................ 47,000 45,791
Gourmet Kineya Co., Ltd.............................. 28,000 179,439
*Graphtec Corp....................................... 39,000 78,526
Gun-Ei Chemical Industry Co., Ltd.................... 164,000 288,789
*Gunze Sangyo, Inc., Tokyo........................... 90,000 118,212
*Hakone Tozan Railway Co., Ltd....................... 52,000 134,724
Hakuyosha Co., Ltd................................... 57,000 148,089
*#Hanshin Sogo Bank, Ltd............................. 189,000 274,160
Harima Chemicals, Inc................................ 37,000 133,511
*Hayashikane Sangyo Co., Ltd......................... 128,000 109,927
*#Hazama Corp........................................ 19,000 11,107
Heiwado Co., Ltd..................................... 74,000 427,236
Hibiya Engineering, Ltd.............................. 53,000 236,380
Hisaka Works, Ltd.................................... 48,000 225,858
Hisamitsu Pharmaceutical Co., Inc.................... 60,000 541,262
Hitachi Electronics, Ltd............................. 100,000 528,994
Hitachi Medical Corp................................. 28,000 303,107
Hitachi Plant Engineering & Construction Co., Ltd.... 204,000 544,726
#Hitachi Powdered Metal Co., Ltd..................... 41,000 185,227
#Hitachi Seiki Co., Ltd.............................. 141,000 236,077
Hochiki Corp......................................... 42,000 119,727
*Hodogaya Chemical Co., Ltd.......................... 100,000 141,450
*Hohsui Corp......................................... 56,000 48,497
Hokkai Can Co., Ltd., Tokyo.......................... 116,000 293,003
*Hokkaido Bank, Ltd.................................. 100,000 114,026
Hokkaido Gas Co., Ltd................................ 87,000 155,710
Hokko Chemical Industry Co., Ltd..................... 41,000 87,288
*Hoko Fishing Co., Ltd............................... 79,000 63,284
Hokuriku Electric Industry Co., Ltd.................. 112,000 155,999
Hokuriku Electrical Construction Co., Ltd............ 36,000 89,893
Hokushin Co., Ltd.................................... 27,900 85,775
Honen Corp........................................... 128,000 170,895
#Horiba, Ltd......................................... 54,000 572,872
#Hosokawa Micron Corp................................ 40,000 317,540
#Howa Machinery, Ltd................................. 181,000 258,637
Ichida and Co., Ltd.................................. 78,000 104,139
Ichikawa Co., Ltd.................................... 49,000 83,102
Ichiken Co., Ltd..................................... 48,000 62,353
Ichikoh Industries, Ltd.............................. 141,000 244,217
#Idec Izumi Corp..................................... 60,000 319,561
Ihara Chemical Industry Co., Ltd..................... 80,000 316,386
Iino Kaiun Kaisha, Ltd............................... 161,000 285,830
Ikegai Corp.......................................... 90,000 105,221
Ikegami Tsushinki Co., Ltd........................... 102,000 240,710
Inabata and Co., Ltd., Osaka......................... 85,000 260,708
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Inageya Co., Ltd..................................... 80,000 $ 594,667
#Intec, Inc.......................................... 67,000 531,880
*Inui Steamship Co., Ltd............................. 31,000 24,833
*Iseki & Co., Ltd.................................... 293,000 289,691
*Ishihara Sangyo Kaisha, Ltd......................... 193,000 268,820
Ishii Iron Works Co., Ltd............................ 52,000 89,315
*Ishikawa Seisakusho, Ltd............................ 75,000 150,471
Ishizuka Glass Co., Ltd.............................. 49,000 91,235
Itochu Fuel Corp..................................... 192,000 569,494
Itoki Crebio Corp.................................... 56,000 152,766
Iwasaki Electric Co., Ltd............................ 110,000 214,340
*Iwatsu Electric Co., Ltd............................ 145,000 172,663
Izumi Co., Ltd....................................... 64,000 326,547
Izutsuya Co., Ltd.................................... 118,000 200,123
#JDC Corp............................................ 256,000 169,971
JGC Corp............................................. 172,000 348,804
JMS Co., Ltd......................................... 59,000 172,446
*Janome Sewing Machine Co., Ltd...................... 224,000 156,807
Japan Aircraft Manufacturing Co., Ltd................ 70,000 149,028
Japan Aviation Electronics Industry, Ltd............. 54,000 190,957
Japan Carlit Co., Ltd................................ 28,000 93,155
*Japan Coated Paper Manufacturing Co., Ltd........... 132,000 128,604
Japan Digital Laboratory Co., Ltd.................... 42,500 573,557
Japan Foundation Engineering Co., Ltd................ 43,200 255,337
*#Japan Metals & Chemicals Co., Ltd.................. 201,000 219,038
Japan Oil Transportation Co., Ltd.................... 45,000 98,726
Japan Paperboard Industries Co., Ltd., Tokyo......... 91,000 149,078
#Japan Pulp and Paper Co., Ltd....................... 255,000 688,269
*Japan Steel Works, Ltd.............................. 226,000 216,923
Japan Transcity Corp................................. 90,000 185,112
Japan Vilene Co., Ltd................................ 101,000 233,248
Japan Wool Textile Co., Ltd.......................... 57,000 238,588
Jeol, Ltd............................................ 97,000 359,117
#Joban Kosan Co., Ltd................................ 101,000 167,647
Joshin Denki Co., Ltd................................ 98,000 215,711
*#Jujiya Co., Ltd.................................... 161,000 168,477
Juken Sangyo Co., Ltd................................ 86,000 221,571
Juki Corp............................................ 153,000 313,586
Kagawa Bank, Ltd..................................... 136,350 608,121
#Kagome Co., Ltd..................................... 117,000 629,055
Kahma Co., Ltd....................................... 42,000 239,151
#Kaken Pharmaceutical Co., Ltd....................... 138,000 351,561
*#Kakuei (L.) Corp................................... 100,000 72,168
Kamei Corp........................................... 59,000 337,228
#Kanaden Corp........................................ 50,000 207,484
Kanagawa Chuo Kotsu Co., Ltd......................... 90,000 308,519
#Kanematsu Corp...................................... 284,000 291,040
#Kanematsu Electronics, Ltd.......................... 38,000 166,738
#Kanematsu-NNK Corp.................................. 53,000 234,085
*#Kankaku Securities Co., Ltd........................ 170,000 126,367
*Kansai Kisen Kaisha................................. 184,000 96,936
Kansei Corp.......................................... 93,000 446,325
Kanto Auto Works, Ltd., Yokosuka..................... 122,000 347,779
Kanto Bank, Ltd...................................... 13,400 154,729
Kanto Denka Kogyo Co., Ltd........................... 83,000 204,258
Kanto Natural Gas Development Co., Ltd............... 104,000 435,319
</TABLE>
170
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Kanto Special Steel Works, Ltd..................... 84,000 $ 78,808
Kasho Co., Ltd., Tokyo............................... 46,000 322,015
#Kasumi Co., Ltd..................................... 132,000 477,263
Katakura Industries Co., Ltd......................... 49,000 240,465
Kato Works Co., Ltd.................................. 82,000 150,904
Katsumura Construction Co., Ltd...................... 48,600 64,887
Kawada Industries, Inc............................... 76,000 115,181
Kawai Musical Instruments Manufacturing Co., Ltd..... 99,000 105,741
Kawashima Textile Manufacturers, Ltd................. 126,000 185,501
Kawasho Corp......................................... 208,000 240,176
Kawasho Gecoss Corp.................................. 46,000 138,433
Keihin Co., Ltd...................................... 100,000 132,068
#Keiyo Co., Ltd...................................... 104,900 378,523
Kimmon Manufacturing Co., Ltd........................ 41,000 63,320
#Kimura Chemical Plants Co., Ltd..................... 27,000 40,725
*#Kinki Nippon Tourist Co., Ltd...................... 101,000 269,693
Kinki Sharyo Co., Ltd., Nagaokakyo................... 101,000 133,389
Kinseki, Ltd......................................... 56,000 298,661
*Kinsho-Mataichi Corp................................ 42,000 46,982
*Kinugawa Rubber Industrial Co., Ltd................. 83,000 75,474
Kioritz Corp......................................... 96,000 130,942
Kita-Nippon Bank, Ltd................................ 14,306 597,782
#Kitagawa Iron Works Co., Ltd........................ 124,000 207,614
Kitano Construction Corp............................. 116,000 219,334
Kitz Corp............................................ 234,000 406,986
Koa Corp............................................. 53,000 524,014
Koatsu Gas Kogyo Co., Ltd............................ 78,000 211,655
*Kobe Kiito Co., Ltd................................. 53,000 37,102
Kokune Corp.......................................... 42,000 36,373
Kokusai Kogyo Co., Ltd............................... 60,000 243,351
Komai Tekko, Inc..................................... 53,000 94,093
Komatsu Construction Co., Ltd........................ 29,000 39,765
Komatsu Forklift Co., Ltd............................ 153,000 320,211
#Komatsu Seiren Co., Ltd............................. 75,000 405,947
Komatsu Zenoah Co.................................... 75,000 216,505
Kosei Securities Co., Ltd............................ 137,000 262,007
*Krosaki Corp........................................ 96,000 149,648
Kumiai Chemical Industry Co., Ltd., Tokyo............ 153,000 247,335
#Kurabo Industries, Ltd.............................. 264,000 337,228
Kuraya Corp.......................................... 50,000 261,610
Kyodo Printing Co., Ltd.............................. 88,000 434,395
Kyodo Shiryo Co., Ltd................................ 145,000 145,455
Kyoei Tanker Co., Ltd................................ 53,000 49,724
Kyokuto Kaihatsu Kogyo Co., Ltd...................... 38,300 138,202
*Kyokuyo Co., Ltd.................................... 167,000 184,397
Kyosan Electric Manufacturing Co., Ltd............... 94,000 213,690
Kyowa Leather Cloth Co., Ltd......................... 32,000 128,171
#Kyushu Bank, Ltd.................................... 146,000 414,087
Life Corp............................................ 83,000 358,799
#MR Max Corp......................................... 50,300 148,833
Maezawa Industries, Inc.............................. 26,700 221,593
Magara Construction Co., Ltd......................... 61,000 82,763
Marudai Food Co., Ltd................................ 232,000 537,452
Maruei Department Store Co., Ltd..................... 72,000 178,227
Maruetsu, Inc........................................ 43,000 122,578
Maruha Corp.......................................... 294,000 292,801
Marusan Securities Co., Ltd.......................... 140,000 420,308
Maruwn Corp.......................................... 44,000 200,050
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Maruyama Manufacturing Co., Inc..................... 73,000 $ 89,034
#Maruzen Co., Ltd.................................... 179,000 359,124
Maruzen Showa Unyu Co., Ltd.......................... 175,000 322,051
Matsui Construction Co., Ltd......................... 40,000 83,138
Matsuo Bridge Co., Ltd............................... 37,000 60,881
#Matsuya Co., Ltd.................................... 74,000 234,980
Meiden Engineering Co., Ltd.......................... 22,000 92,563
*Meiji Shipping Co., Ltd............................. 47,000 73,604
Meisei Industrial Co., Ltd........................... 29,000 48,555
Meito Sangyo Co., Ltd................................ 38,000 312,633
*Meiwa Trading Co., Ltd.............................. 55,000 121,856
Melco, Inc........................................... 32,000 441,093
Misawa Homes Co., Ltd................................ 79,000 208,097
#Misawa Resort Co., Ltd.............................. 40,000 88,045
#Mitsuba Corp........................................ 67,000 338,469
Mitsubishi Cable Industries, Ltd..................... 118,000 225,670
Mitsubishi Kakoki Kaisha, Ltd........................ 117,000 149,453
Mitsubishi Pencil Co., Ltd........................... 61,000 490,853
*Mitsubishi Plastics, Inc............................ 184,000 250,972
*Mitsubishi Shindoh Co., Ltd......................... 82,000 130,783
*Mitsubishi Steel Manufacturing Co., Ltd............. 253,000 228,232
Mitsuboshi Belting, Ltd.............................. 153,000 404,128
#Mitsui Construction Co., Ltd........................ 314,000 333,114
Mitsui Home Co., Ltd................................. 59,000 316,364
Mitsui Matsushima Co., Ltd........................... 90,000 105,221
*Mitsui Mining Co., Ltd.............................. 225,000 188,359
Mitsui Sugar Co., Ltd................................ 116,000 188,359
Mitsui Wood Systems, Inc............................. 27,500 67,477
Mitsui-Soko Co., Ltd................................. 85,000 253,347
Mitsuuroko Co., Ltd.................................. 106,000 390,142
#Miura Co., Ltd...................................... 65,000 634,215
Miyaji Iron Works Co. Ltd............................ 90,000 142,893
*Miyakoshi Corp...................................... 18,000 18,316
Miyoshi Oil & Fat Co., Ltd........................... 120,000 178,400
Miyuki Keori Co., Ltd................................ 50,000 177,895
*Morinaga & Co., Ltd................................. 340,000 326,345
Morita Corp.......................................... 72,000 140,295
*Morozoff, Ltd., Osaka............................... 50,000 81,189
Mory Industries, Inc................................. 66,000 110,980
Mos Food Services, Inc............................... 20,000 241,042
*Mutoh Industries, Ltd............................... 61,000 66,034
Mutow Co., Ltd....................................... 38,000 140,136
NOF Corp............................................. 54,000 100,155
Nabco, Ltd........................................... 120,000 212,175
Nachi-Fujikoshi Corp................................. 65,000 97,102
*#Nagasakiya Co., Ltd. (Tokyo)....................... 231,000 333,417
#Nagatanien Co., Ltd................................. 53,000 336,593
Naigai Co., Ltd...................................... 109,000 158,114
#Nakabayashi Co., Ltd................................ 92,000 219,103
Nakamuraya Co., Ltd.................................. 85,000 222,675
#Nakano Corp......................................... 66,000 97,644
Nakayama Steel Works, Ltd............................ 206,000 401,400
*National Securities Co., Ltd........................ 146,000 106,419
*Navix Line, Ltd..................................... 186,000 124,837
Nemic-Lambda KK...................................... 26,000 299,282
Neturen Co., Ltd., Tokyo............................. 67,000 179,872
*New Japan Securities Co., Ltd....................... 263,000 280,908
Nichia Steel Works, Ltd.............................. 64,900 206,552
#Nichias Corp........................................ 237,000 410,493
Nichiban Co., Ltd.................................... 58,000 144,409
*Nichiboshin, Ltd.................................... 119,000 103,056
</TABLE>
171
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Nichiha Corp......................................... 32,000 $ 217,082
Nichimo Co., Ltd..................................... 54,000 56,508
Nichimo Corp......................................... 85,000 113,485
Nichireki Co., Ltd................................... 44,000 149,562
Nichiro Corp......................................... 289,000 281,565
Nifco, Inc........................................... 104,000 752,802
*Nihon Kentetsu Co., Ltd............................. 27,000 58,651
Nihon Kohden Corp.................................... 85,000 251,506
#Nihon Matai Co., Ltd................................ 50,000 170,678
Nihon Nohyaku Co., Ltd............................... 103,000 192,523
Nihon Nosan Kogyo KK................................. 201,000 249,500
Nihon Parkerizing Co., Ltd........................... 92,000 209,144
*Nihon Spindle Manufacturing Co., Ltd................ 56,000 94,973
Nihon Tokushu Toryo Co., Ltd......................... 35,000 57,590
Niigata Chuo Bank, Ltd............................... 130,000 227,980
*Niigata Engineering Co., Ltd........................ 586,000 380,616
Nikken Chemicals Co., Ltd............................ 130,000 391,224
#Nikkiso Co., Ltd.................................... 114,000 571,789
Nikko Co., Ltd., Akashi.............................. 65,000 140,728
Nippon Beet Sugar Manufacturing Co., Ltd............. 265,000 346,155
#Nippon Carbide Industries Co., Inc., Tokyo.......... 101,000 230,332
*Nippon Carbon Co., Ltd.............................. 177,000 250,366
Nippon Chemi-Con Corp................................ 155,000 532,458
Nippon Chemical Industrial Co., Ltd.................. 131,000 342,236
Nippon Chemiphar Co., Ltd............................ 49,000 92,296
#Nippon Chutetsukan KK............................... 44,000 81,608
Nippon Columbia Co., Ltd............................. 99,000 184,332
#Nippon Concrete Industries Co., Ltd................. 65,000 113,052
Nippon Conlux Co., Ltd............................... 63,000 247,790
*Nippon Conveyor Co., Ltd............................ 43,000 40,342
Nippon Denko Co., Ltd................................ 159,000 168,679
Nippon Densetsu Kogyo Co., Ltd....................... 118,000 366,182
#Nippon Dry-Chemical Co., Ltd........................ 16,500 82,759
*Nippon Electric Industry Co., Ltd................... 67,000 92,837
Nippon Felt Co., Ltd................................. 28,000 80,828
Nippon Flour Mills Co., Ltd.......................... 95,000 210,479
Nippon Formula Feed Manufacturing Co., Ltd........... 100,000 110,417
Nippon Gas Co., Ltd.................................. 62,000 191,058
Nippon Hume Pipe Co., Ltd............................ 43,000 79,133
*Nippon Kasei Chemical Co., Ltd...................... 113,000 89,705
#Nippon Kinzoku Co., Ltd............................. 93,000 122,823
Nippon Koei Co., Ltd., Tokyo......................... 146,000 284,487
#Nippon Koshuha Steel Co., Ltd....................... 151,000 126,410
*Nippon Lace Co., Ltd................................ 26,000 17,450
*Nippon Metal Industry Co., Ltd...................... 282,000 262,534
Nippon Pipe Manufacturing Co., Ltd................... 35,000 56,833
Nippon Piston Ring Co., Ltd.......................... 133,000 174,691
Nippon Road Co., Ltd................................. 147,000 248,244
Nippon Seisen Co., Ltd............................... 8,000 15,588
Nippon Sharyo, Ltd................................... 42,000 98,813
Nippon Shinpan Co., Ltd.............................. 189,000 255,064
#Nippon Shinyaku Co., Ltd............................ 174,000 759,716
Nippon Signal Co., Ltd............................... 109,000 452,315
*Nippon Steel Chemical Co., Ltd...................... 285,000 285,895
*Nippon Suisan Kaisha, Ltd........................... 86,000 101,166
Nippon Synthetic Chemical Industry Co., Ltd.......... 152,000 224,876
Nippon Thompson Co., Ltd............................. 92,000 576,307
<CAPTION>
SHARES VALUE+
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Nippon Valqua Industries, Ltd........................ 119,000 $ 199,242
*Nippon Yakin Kogyo Co., Ltd......................... 243,000 149,064
#Nippon Yusoki Co., Ltd.............................. 49,000 130,841
#Nissan Construction Co., Ltd........................ 128,000 166,276
#Nissan Diesel Motor Co., Ltd........................ 231,000 490,124
Nissan Shatai Co., Ltd............................... 154,000 333,417
*#Nisseki House Industry Co., Ltd.................... 260,000 240,176
Nissha Printing Co., Ltd............................. 81,000 508,570
Nisshin Oil Mills, Ltd............................... 89,000 200,397
Nissin Corp.......................................... 150,000 303,107
Nissin Electric Co., Ltd............................. 187,000 377,873
Nitsuko Corp......................................... 157,000 507,603
Nittetsu Mining Co., Ltd............................. 147,000 532,559
Nitto Chemical Industry Co., Ltd..................... 116,000 193,382
Nitto Flour Milling Co., Ltd......................... 54,000 105,611
Nitto Seiko Co., Ltd................................. 56,000 131,750
*Nitto Seimo Co., Ltd................................ 32,000 28,867
Nittoc Construction Co., Ltd......................... 61,000 162,884
Nohmi Bosai, Ltd..................................... 59,000 258,456
Noritz Corp.......................................... 53,000 374,842
North Pacific Bank, Ltd.............................. 158,000 501,714
*Nozaki and Co., Ltd................................. 56,000 32,331
O-M, Ltd............................................. 46,000 73,034
*OKK Corp............................................ 101,000 196,803
Obayashi Road Corp................................... 65,000 120,557
Odakyu Construction Co., Ltd......................... 29,000 82,669
*Odakyu Real Estate Co., Ltd......................... 58,000 102,551
Ohki Corp............................................ 73,000 123,278
*Ohkura Electric Co., Ltd............................ 34,000 67,968
Okabe Co., Ltd....................................... 39,000 152,831
Okamoto Industries, Inc.............................. 150,000 336,665
Okamura Corp......................................... 122,000 369,790
*Okasan Securities Co., Ltd.......................... 342,000 488,695
Oki Electric Cable Co., Ltd.......................... 56,000 105,885
*Okuma and Howa Machinery, Ltd....................... 69,000 171,797
*#Okura and Co., Ltd................................. 228,000 287,951
Okura Industrial Co., Ltd............................ 96,000 248,028
Ono Sokki Co., Ltd................................... 43,000 176,884
Optec Dai-Ichi Denko Co., Ltd........................ 178,000 98,914
Organo Corp.......................................... 101,000 335,294
Oriental Construction Co., Ltd....................... 27,000 122,174
Origin Electric Co., Ltd............................. 54,000 257,208
Osaka Oxygen Industries, Ltd......................... 190,000 378,450
Osaki Electric Co., Ltd.............................. 56,000 145,491
P.S.C. Corp.......................................... 35,000 137,661
Pacific Industrial Co., Ltd.......................... 78,000 253,874
*Pacific Metals Co., Ltd............................. 299,000 222,257
Parco Co., Ltd....................................... 82,000 322,520
*#Pasco Corp......................................... 150,000 436,257
Pilot Corp........................................... 32,000 97,687
#Pokka Corp.......................................... 48,000 259,806
#Press Kogyo Co., Ltd................................ 143,000 177,505
*Prima Meat Packers, Ltd............................. 230,000 205,824
Raito Kogyo Co., Ltd................................. 72,700 523,089
#Rasa Industries, Ltd................................ 119,000 352,109
Renown Look, Inc..................................... 50,000 50,157
*Renown, Inc......................................... 355,000 243,388
Rheon Automatic Machinery Co., Ltd................... 40,000 169,740
Rhythm Watch Co., Ltd................................ 344,000 628,095
#Riken Corp.......................................... 193,000 345,426
Riken Keiki Co., Ltd................................. 23,000 83,491
</TABLE>
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CONTINUED
<TABLE>
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Riken Vinyl Industry Co., Ltd........................ 123,000 $ 355,068
#Rohto Pharmaceutical Co., Ltd....................... 80,000 603,327
Ryobi, Ltd........................................... 218,000 468,834
Ryoden Trading Co., Ltd.............................. 80,000 282,900
Ryoyo Electro Corp................................... 42,000 506,188
S.T. Chemical Co., Ltd............................... 48,000 162,119
SMK Corp............................................. 127,000 339,119
SS Pharmaceutical Co., Ltd., Tokyo................... 207,000 649,839
SXL Corp............................................. 148,000 320,427
Saeki Kensetsu Kogyo Co., Ltd........................ 71,000 99,917
Sagami Co., Ltd...................................... 60,000 129,037
Sakai Chemical Industry Co., Ltd..................... 184,000 544,438
Sakai Heavy Industries, Ltd.......................... 60,000 147,223
Sakai Ovex Co., Ltd.................................. 85,000 125,753
Sakata Inx Corp...................................... 92,000 322,015
Sakurada Co., Ltd.................................... 38,000 47,992
San-Ai Oil Co., Ltd.................................. 118,000 258,882
Sankei Building Co., Ltd............................. 97,000 231,011
Sanko Metal Industrial Co., Ltd., Tokyo.............. 54,000 57,287
*Sankyo Aluminum Industry Co., Ltd................... 326,000 301,144
Sankyo Seiko Co., Ltd................................ 86,000 193,642
Sankyu, Inc., Tokyo.................................. 164,000 197,654
#Sanshin Electronics Co., Ltd........................ 46,000 405,008
*#Sansui Electric Co., Ltd........................... 353,000 160,495
Sanyo Industries, Ltd., Tokyo........................ 48,000 98,726
Sanyo Special Steel Co., Ltd......................... 339,000 415,906
Sasaki Glass Co., Ltd................................ 56,000 71,129
#Sasebo Heavy Industries Co., Ltd., Tokyo............ 257,000 311,594
Sata Construction Co., Ltd., Gumma................... 61,000 88,486
#Sato Kogyo Co., Ltd................................. 34,000 27,236
Sato Shoji Corp...................................... 31,000 99,780
*Sawafugji Electric Co., Ltd......................... 31,000 55,930
Seika Corp........................................... 145,000 229,170
*Seikitokyu Kogyo Co., Ltd........................... 86,000 83,167
*Seiko Corp.......................................... 43,000 189,297
Seiren Co., Ltd...................................... 81,000 192,906
Seiyo Food Systems, Inc.............................. 137,000 519,070
#Sekisui Jushi Co., Ltd.............................. 85,000 328,185
Sekisui Plastics Co., Ltd............................ 150,000 226,248
Senko Co., Ltd....................................... 205,000 318,082
Senshukai Co., Ltd................................... 71,000 327,933
*#Settsu Corp........................................ 324,000 196,413
Shibaura Engineering Works Co., Ltd.................. 45,000 129,578
Shibusawa Warehouse Co., Ltd......................... 119,000 317,757
Shibuya Kogyo Co., Ltd............................... 54,000 331,642
*Shikibo, Ltd........................................ 155,000 134,233
#Shikoku Chemicals Corp.............................. 89,000 211,958
Shimizu Bank, Ltd.................................... 14,800 676,101
Shimura Kako Co., Ltd................................ 55,000 81,767
Shin Nippon Air Technologies Co., Ltd................ 37,180 178,971
#Shin-Etsu Polymer Co., Ltd.......................... 143,000 559,347
Shin-Kobe Electric Machinery Co., Ltd................ 71,000 122,975
Shinagawa Fuel Co., Ltd.............................. 160,000 594,667
Shinagawa Refractories Co., Ltd...................... 116,000 411,879
*#Shinko Electric Co., Ltd........................... 257,000 482,228
Shinko Shoji Co., Ltd................................ 41,000 239,671
Shinmaywa Industries, Ltd............................ 117,000 305,662
<CAPTION>
SHARES VALUE+
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#Shinsho Corp........................................ 110,000 $ 150,832
*#Shintom Co., Ltd................................... 53,000 63,111
*Shinwa Kaiun Kaisha, Ltd............................ 238,000 200,960
Shinyei Kaisha....................................... 54,000 67,809
Shiroki Co., Ltd..................................... 132,000 223,866
Shoko Co., Ltd....................................... 156,000 216,158
*#Shokusan Jutaku Sogo Co., Ltd...................... 207,000 119,511
#Showa Corp.......................................... 117,000 694,916
Showa Electric Wire & Cable Co., Ltd., Kawasaki...... 132,000 214,340
Showa Highpolymer Co., Ltd........................... 79,000 234,893
*#Showa Line, Ltd.................................... 438,000 177,014
Showa Sangyo Co., Ltd................................ 185,000 371,161
*Silver Seiko, Ltd................................... 87,000 54,624
#Sintokogio, Ltd., Nagoya............................ 108,000 406,856
Soda Nikka Co., Ltd.................................. 35,000 64,410
*#Sogo Co., Ltd...................................... 263,000 379,605
Sokkisha Co., Ltd.................................... 40,000 81,695
#Sotetsu Rosen Co., Ltd.............................. 42,000 175,802
Star Micronics Co., Ltd.............................. 84,000 406,769
Subaru Enterprise Co., Ltd........................... 36,000 116,913
*Suminoe Textile Co., Ltd............................ 142,000 199,834
Sumitomo Coal Mining Co., Ltd........................ 107,000 115,830
#Sumitomo Construction Co., Ltd...................... 320,000 371,811
*Sumitomo Corporation's Leasing, Ltd................. 35,000 68,199
Sumitomo Densetsu Co., Ltd........................... 44,700 206,459
*Sumitomo Light Metal Industries, Ltd................ 493,000 487,432
Sumitomo Precision Products Co., Ltd., Amagasaki
City............................................... 78,000 253,311
Sumitomo Seika Chemicals Co., Ltd.................... 102,000 213,474
Sun Wave Corp........................................ 88,000 222,278
Sun-S, Inc........................................... 26,300 78,009
SunTelephone Co., Ltd................................ 65,000 148,703
*#Suzutan Co., Ltd................................... 62,000 71,591
TYK Corp............................................. 67,000 186,158
Tabai Espec Corp..................................... 34,000 184,029
Tadano, Ltd.......................................... 23,000 61,415
Taihei Dengyo Kaisha, Ltd............................ 66,000 238,155
Taihei Kogyo Co., Ltd................................ 114,000 171,125
*Taiheiyo Kaiun Co., Ltd............................. 72,000 44,687
Taiheiyo Kouhatsu, Inc............................... 90,000 78,591
*Taiheiyo Securities Co., Ltd........................ 218,000 135,301
Taikisha, Ltd........................................ 97,000 785,436
Taisei Fire & Marine Insurance Co., Ltd.............. 118,000 269,101
*Taisei Prefab Construction Co., Ltd................. 134,000 138,289
Taisei Rotec Corp.................................... 127,000 183,307
Taito Co., Ltd....................................... 70,000 144,986
Taiyo Toyo Sanso Co., Ltd............................ 232,000 370,021
*Taka-Q Co., Ltd..................................... 77,000 56,681
Takada Kiko Co., Ltd................................. 31,000 110,742
Takaoka Electric Manufacturing Co., Ltd., Tokyo...... 156,000 236,423
Takara Co., Ltd...................................... 39,000 141,573
*Takarabune Corp..................................... 52,000 65,673
Takasago International Corp.......................... 125,000 554,794
*Takasaki Paper Manufacturing Co., Ltd............... 157,000 141,630
Takashima & Co., Ltd................................. 60,000 121,243
#Takiron Co., Ltd.................................... 140,000 333,417
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Tamura Corp.......................................... 137,000 $ 569,494
Tamura Electric Works, Ltd........................... 74,000 206,141
#Tasaki Shinju Co., Ltd.............................. 53,000 160,647
*Tateho Chemical Industries Co., Ltd................. 106,000 92,563
Tatsuta Electric Wire & Cable Co., Ltd............... 106,000 199,661
*Tayca Corp.......................................... 74,000 130,841
*#Teac Corp.......................................... 109,000 409,050
Teijin Seiki Co., Ltd................................ 138,000 388,410
Teikoku Hormone Manufacturing Co., Ltd............... 33,000 190,524
*Teikoku Sen-I Co., Ltd.............................. 39,000 67,550
Teikoku Tsushin Kogyo Co., Ltd....................... 73,000 163,317
Teisan KK............................................ 219,000 572,136
Tekken Corp.......................................... 274,000 401,414
Ten Allied Co., Ltd.................................. 26,000 89,128
Tenma Corp........................................... 44,000 539,819
Tesac Corp........................................... 92,000 58,427
Tetra Co., Ltd., Tokyo............................... 28,000 52,134
#The Daito Bank, Ltd................................. 72,000 205,766
Titan Kogyo KK....................................... 36,000 78,461
#Toa Corp............................................ 110,000 165,915
Toa Doro Kogyo Co., Ltd.............................. 85,000 144,156
*#Toa Steel Co., Ltd................................. 205,000 161,260
*Toa Wool Spinning & Weaving Co., Ltd................ 73,000 89,561
*#Tobishima Corp..................................... 100,000 60,621
*Tobu Store Co., Ltd................................. 71,000 122,975
Tochigi Bank, Ltd.................................... 92,000 385,090
Tochigi Fuji Industrial Co., Ltd..................... 51,000 128,820
#Toda Kogyo Corp..................................... 88,000 367,077
Todentu Corp......................................... 57,000 164,544
Toenec Corp.......................................... 170,000 511,601
*Toho Rayon Co., Ltd................................. 128,000 164,428
#Toho Real Estate Co., Ltd........................... 98,000 396,060
#Toho Zinc Co., Ltd.................................. 205,000 480,821
*#Tohpe Corp......................................... 36,000 63,652
Tohto Suisan Co., Ltd................................ 54,000 70,537
Tokai Carbon Co., Ltd................................ 125,000 213,799
Tokai Corp........................................... 108,000 395,165
*Tokai Kanko Co., Ltd................................ 198,000 105,741
Tokai Maruman Securities Co., Ltd.................... 99,000 169,328
#Tokai Pulp Co., Ltd................................. 88,000 280,071
Tokai Rika Co., Ltd.................................. 127,000 367,531
*Tokai Senko KK, Nagoya.............................. 47,000 44,434
Tokico, Ltd.......................................... 189,000 334,175
Tokimec, Inc......................................... 119,000 218,136
Tokin Corp........................................... 82,000 514,257
Toko Electric Corp................................... 39,000 108,642
#Tokushima Bank, Ltd................................. 58,000 355,790
#Tokushu Paper Manufacturing Co., Ltd................ 119,000 774,640
Tokyo Denki Komusho Co., Ltd......................... 57,000 193,339
Tokyo Kikai Seisakusho, Ltd.......................... 112,400 559,708
*Tokyo Nissan Auto Sales Co., Ltd.................... 63,000 140,945
Tokyo Rakutenchi Co., Ltd............................ 92,000 239,021
Tokyo Rope Manufacturing Co., Ltd.................... 286,000 377,714
Tokyo Sangyo Co., Ltd................................ 36,500 106,156
*Tokyo Securities Co., Ltd........................... 193,000 172,713
Tokyo Tanabe Co., Ltd., Tokyo........................ 119,000 373,579
*Tokyo Tatemono Co., Ltd............................. 139,000 261,819
*Tokyo Tekko Co., Ltd................................ 67,000 56,573
<CAPTION>
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Tokyo Theatres Co., Inc., Tokyo...................... 116,000 $ 144,827
#Tokyotokeiba Co., Ltd............................... 77,000 111,695
*Tokyu Car Corp...................................... 213,000 264,396
#Tokyu Construction Co., Ltd......................... 356,000 313,441
Tokyu Hotel Chain Co., Ltd........................... 189,000 327,355
Tokyu Store Chain Corp............................... 175,000 738,823
*Tokyu Tourist Corp.................................. 38,000 48,815
Toli Corp............................................ 101,000 219,399
Tomoe Corp........................................... 56,000 96,994
*Tomoegawa Paper Co., Ltd............................ 55,000 146,862
Tomoku Co., Ltd...................................... 185,000 325,768
Tonami Transportation Co., Ltd....................... 173,000 352,080
Topcon Corp.......................................... 68,000 284,632
Topre Corp........................................... 85,000 276,044
Topy Industries, Ltd................................. 137,000 193,786
Torishima Pump Manufacturing Co., Ltd., Osaka........ 45,000 269,224
Toshiba Engineering & Construction Co., Ltd.......... 128,000 378,739
#Toshiba Machine Co., Ltd............................ 294,000 687,446
Toshiba Tungaloy Co.,Ltd............................. 124,000 357,955
Tosho Printing Co., Ltd.............................. 94,000 227,258
*Tostem Viva Corp.................................... 119,000 198,383
Totenko Co., Ltd..................................... 35,000 155,342
Totetsu Kogyo Co., Ltd............................... 53,000 96,005
Totoku Electric Co., Ltd., Tokyo..................... 62,000 119,020
*#Towa Real Estate Development Co., Ltd.............. 160,000 110,850
#Toyama Chemicals Co., Ltd........................... 170,000 601,162
Toyo Aluminium KK.................................... 81,000 274,745
#Toyo Chemical Co., Ltd.............................. 52,000 191,015
Toyo Communication Equipment Co., Ltd................ 71,000 292,577
Toyo Construction Co., Ltd........................... 290,000 322,304
Toyo Corp............................................ 41,000 325,479
*Toyo Electric Co., Ltd.............................. 67,000 65,760
#Toyo Engineering Corp............................... 224,000 255,418
Toyo Exterior Co., Ltd............................... 31,000 299,787
Toyo Information System Co., Ltd..................... 42,000 591,058
*Toyo Kanetsu KK..................................... 206,000 167,993
Toyo Radiator Co., Ltd............................... 104,000 165,121
*#Toyo Securities Co., Ltd........................... 113,000 131,296
#Toyo Shutter Co., Ltd............................... 77,000 238,949
#Toyo Sugar Refining Co., Ltd........................ 60,000 69,282
Toyo Tire & Rubber Co., Ltd.......................... 301,000 488,760
#Toyo Umpanki Co., Ltd............................... 146,000 387,746
Toyo Wharf & Warehouse Co., Ltd...................... 118,000 176,278
*Tsubaki Nakashima Co., Ltd.......................... 98,000 572,872
Tsubakimoto Machinery & Engineering Co., Ltd......... 44,000 75,892
Tsudakoma Corp....................................... 101,000 204,092
*Tsugami Corp........................................ 124,000 131,548
Tsukamoto Co., Ltd................................... 44,000 95,897
Tsukishima Kikai Co., Ltd............................ 44,000 332,147
*#Tsumura & Co., Inc................................. 124,000 590,625
Tsurumi Manufacturing Co., Ltd....................... 42,000 207,325
Tsutsumi Jewelry Co., Ltd............................ 24,900 301,894
Tsutsunaka Plastic Industry Co., Ltd................. 71,000 207,008
Uchida Yoko Co., Ltd................................. 72,000 180,305
Ueki Corp............................................ 47,000 66,821
Unisia Jecs Corp..................................... 196,000 417,277
Utoc Corp............................................ 38,000 50,734
</TABLE>
174
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THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
#Wakachiku Construction Co., Ltd..................... 194,000 $ 420,019
Wakamoto Pharmaceutical Co., Ltd..................... 48,000 110,850
Xebio Co., Ltd....................................... 37,000 512,683
#Yahagi Construction Co., Ltd........................ 59,000 212,896
*#Yahagi Corp........................................ 40,000 64,085
Yamamura Glass Co., Ltd.............................. 213,000 367,387
Yamatane Corp........................................ 131,000 228,788
*Yamatane Securities Co., Ltd........................ 203,000 149,432
Yamato International, Inc............................ 43,000 65,478
#Yamazen Co., Ltd.................................... 140,000 242,485
Yokogawa Bridge Corp................................. 70,400 195,605
*Yokohama Matsuzakaya, Ltd........................... 27,000 28,059
Yokohama Reito Co., Ltd.............................. 111,000 801,068
Yomeishu Seizo Co., Ltd.............................. 46,000 292,137
Yomiuri Land Co., Ltd................................ 157,000 385,234
Yondenko Corp........................................ 58,800 199,869
#Yonekyu Corp........................................ 35,500 471,403
#Yorozu Corp......................................... 26,800 205,016
Yoshihara Oil Mill, Ltd.............................. 36,000 64,951
Yoshimoto Kogyo Co., Ltd............................. 60,000 362,429
*Yuasa Corp.......................................... 307,000 465,269
Yuasa Trading Co., Ltd............................... 174,000 261,191
Yuken Kogyo Co., Ltd................................. 60,000 121,676
Yurtec Corp.......................................... 62,000 344,531
#Zenchiku Co., Ltd................................... 126,000 271,887
Zuken, Inc........................................... 31,000 170,028
------------
TOTAL COMMON STOCKS
(Cost $395,558,484).................................. 173,675,539
------------
INVESTMENT IN CURRENCY -- (0.5%)
*Japanese Yen (Cost $905,775)........................ 897,344
------------
TOTAL -- JAPAN
(Cost $396,464,259).................................. 174,572,883
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.8%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes
5.25%, 01/31/01, valued at $3,243,131) to be
repurchased at $3,190,395.
(Cost $3,189,000).................................. $ 3,189 3,189,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $399,653,259)++................................ $177,761,883
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
175
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
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<S> <C> <C>
HONG KONG -- (27.1%)
COMMON STOCKS -- (27.0%)
ABC Communications (Holdings), Ltd................... 668,000 $ 163,789
ALCO Holdings, Ltd................................... 314,000 12,156
ASM Pacific Technology, Ltd.......................... 456,000 308,943
*AWT World Transport Holdings, Ltd................... 250,800 1,942
*Allied Group, Ltd................................... 5,560,000 261,892
Allied Properties (Hong Kong), Ltd................... 5,220,000 272,822
*Anex International Holdings, Ltd.................... 152,000 1,765
*Applied International Holdings, Ltd................. 1,243,000 33,044
*Asia Commercial Holdings, Ltd....................... 72,800 3,946
Asia Financial Holdings, Ltd......................... 1,729,179 350,343
*Asia Securities International, Ltd.................. 1,752,600 142,488
Asia Standard International Group, Ltd............... 890,000 161,943
Associated International Hotels, Ltd................. 898,000 315,789
Beauforte Investors Corp., Ltd....................... 72,000 98,026
*Beijing Development (Hong Kong), Ltd................ 166,000 40,059
*Benelux International, Ltd.......................... 30,000 236
Bossini International Holdings, Ltd.................. 122,000 5,196
#Burlingame International Co., Ltd................... 765,000 148,084
Burwill Holdings, Ltd................................ 1,480,000 154,704
*CCT Telecom Holdings, Ltd........................... 5,290,000 242,347
*CIL Holdings, Ltd................................... 608,000 39,231
CNT Group, Ltd....................................... 2,194,000 111,838
Cafe de Coral Holdings, Ltd.......................... 1,005,000 311,266
*Capetronic International Holdings, Ltd.............. 292,490 21,137
Capital Asia, Ltd.................................... 1,974,722 14,780
*Central China Enterprises, Ltd...................... 2,104,000 165,627
Century City International Holdings, Ltd............. 542,056 65,055
Champion Technology Holdings, Ltd.................... 5,898,576 232,167
Cheerful Holdings, Ltd............................... 94,000 2,426
Chen Hsong Holdings, Ltd............................. 1,275,000 245,161
Cheuk Nang Properties (Holdings), Ltd................ 750,008 179,057
Cheung Tai Hong Holdings, Ltd........................ 1,682,000 42,761
*Cheung Wah Development Co., Ltd..................... 1,286,000 26,553
Chevalier (OA) International, Ltd.................... 1,776,251 91,689
Chevalier Construction Holdings, Ltd................. 131,203 4,826
#Chevalier Development International, Ltd............ 899,109 319,080
Chevalier International Holdings, Ltd................ 1,956,634 189,376
China Aerospace International Holdings, Ltd.......... 853,200 159,652
*China Development Corp., Ltd........................ 1,150,000 36,805
*#China Everbright Technology, Ltd................... 2,108,000 277,476
China Foods Holdings, Ltd............................ 1,232,000 353,749
*China Investments Holdings, Ltd..................... 175,000 7,904
China Motor Bus Co., Ltd............................. 114,200 957,930
China Pharmaceutical Enterprise and Investment Corp.,
Ltd................................................ 1,752,000 165,048
*China Star Entertainment, Ltd....................... 8,382,000 75,718
*China United (Holdings), Ltd........................ 115,000 1,039
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
China-Hong Kong Photo Products Holdings, Ltd......... 1,782,000 $ 252,962
Chinney Investments, Ltd............................. 924,000 87,046
Chow Sang Sang Holdings International, Ltd........... 1,098,400 276,407
*Chuang's China Investments, Inc..................... 3,510,000 38,049
Chuang's Consortium International, Ltd............... 1,858,884 122,342
Chun Wo Holdings, Ltd................................ 563,400 59,619
*Chung Hwa Devlopment Holdings, Ltd.................. 3,383,425 34,057
Climax International Co., Ltd........................ 296,000 10,314
Companion Building Material (Holdings), Ltd.......... 3,607,514 61,918
Companion Marble (Holdings), Ltd..................... 48,848 2,900
Continental Holdings, Ltd............................ 98,825 4,846
#Continental Mariner Investment Co., Ltd............. 1,237,000 247,432
Cosmos Machinery Enterprises, Ltd.................... 1,024,000 105,717
Crocodile Garments, Ltd.............................. 1,539,000 49,652
Cross Harbour Tunnel Co., Ltd........................ 365,603 516,628
*Culturecom Holdings, Ltd............................ 2,161,000 28,445
DC Finance (Holdings), Ltd........................... 1,080,000 16,725
*Dah Hwa International Holdings, Ltd................. 1,122,000 73,844
*Daido Concrete (Hong Kong), Ltd..................... 223,000 4,892
Dong-Jun Holdings, Ltd............................... 2,484,000 429,547
*Dransfield Holdings, Ltd............................ 190,000 1,520
Dynamic Holdings, Ltd................................ 158,000 18,962
Easyknit International Holdings, Ltd................. 14,143,000 56,579
#Egana International Holdings, Ltd................... 5,882,800 379,584
Elec & Eltek International Holdings, Ltd............. 2,565,659 609,216
*Emperor (China Concept) Investments, Ltd............ 3,195,000 81,225
Emporer International Holdings, Ltd.................. 644,369 78,166
*Englong International, Ltd.......................... 130,000 5,033
Essential Enterprises Co., Ltd....................... 320,000 33,449
FPB Bank Holding Co., Ltd............................ 1,875,520 249,295
*Fairwood Holdings, Ltd.............................. 426,000 12,644
*Fairyoung Holdings, Ltd............................. 482,000 40,431
Far East Consortium International, Ltd............... 1,592,235 117,121
*Far East Holdings International, Ltd................ 70,000 3,523
*Far East Hotels & Entertainment, Ltd................ 1,853,000 325,214
Fong's Industries Co., Ltd........................... 962,000 62,073
Fortei Holdings, Ltd................................. 242,000 12,336
*Fortuna International Holdings, Ltd................. 1,818,000 33,315
Fountain Set Holdings, Ltd........................... 1,274,000 198,934
Four Seas Mercantile Holdings, Ltd................... 592,000 263,570
Frankie Dominion International, Ltd.................. 630,173 13,906
*Fu Hui Jewelry Co. (Hong Kong), Ltd................. 688,000 35,070
Giordano International, Ltd.......................... 1,388,000 290,174
Gold Peak Industries (Holdings), Ltd................. 1,031,400 442,561
Gold-Face Holdings, Ltd.............................. 1,363,600 126,699
</TABLE>
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SHARES VALUE+
------------ ------------
<S> <C> <C>
*Golden Harvest Entertainment Holdings, Ltd.......... 1,000,000 $ 56,782
Golden Power International Holdings, Ltd............. 34,000 2,194
Golden Resources Development International, Ltd...... 971,000 60,147
#Goldlion Holdings, Ltd.............................. 1,473,000 323,151
*Goldtron (Bermuda) Holdings, Ltd.................... 51,111 1,550
*Golik Holdings, Ltd................................. 142,500 7,724
Grand Hotel Holdings, Ltd. Series A.................. 1,333,000 245,992
Grande Holdings, Ltd................................. 420,088 121,977
Great Wall Electronic International, Ltd............. 3,159,034 101,510
Group Sense (International), Ltd..................... 1,742,000 103,409
*H B International Holdings, Ltd..................... 396,000 4,344
Hanny Holdings, Ltd.................................. 1,513,280 58,586
Harbour Centre Development, Ltd...................... 566,000 350,600
Harbour Ring International Holdings, Ltd............. 2,636,000 82,662
High Fashion International, Ltd...................... 178,000 10,337
#Hon Kwok Land Investment Co., Ltd................... 2,290,145 233,477
Hong Kong Building & Loan Agency, Ltd................ 407,000 48,321
Hong Kong Ferry (Holdings) Co., Ltd.................. 771,300 602,188
Hong Kong Parkview Group, Ltd........................ 1,130,000 583,301
Hop Hing Holdings, Ltd............................... 660,265 81,798
Hsin Chong Construction Group, Ltd................... 1,147,658 111,078
*#Hualing Holdings, Ltd.............................. 1,344,000 56,369
Huey Tai International, Ltd.......................... 2,363,112 164,677
Hung Hing Printing Group, Ltd........................ 934,442 373,825
Hwa Kay Thai Holdings, Ltd........................... 2,444,238 15,140
#IDT International, Ltd.............................. 1,171,992 102,846
IMC Holdings, Ltd.................................... 604,000 101,329
ITC Corp., Ltd....................................... 9,127,087 62,426
Ideal Pacific Holdings, Ltd.......................... 838,000 46,502
Innovative International (Holdings), Ltd............. 1,012,886 196,068
Interform Ceramics Technologies, Ltd................. 1,104,000 20,231
#International Bank of Asia, Ltd..................... 1,731,714 350,857
International Pipe, Ltd.............................. 1,298,726 110,615
*Island Dyeing & Printing Co., Ltd................... 148,000 87,857
JCG Holdings, Ltd.................................... 1,048,333 317,923
*Jinhui Holdings Co., Ltd............................ 370,000 11,460
Joyce Boutique Holdings, Ltd......................... 1,360,000 26,677
K Wah International Holdings, Ltd.................... 2,195,380 192,652
*KPI Co., Ltd........................................ 264,000 9,199
KTP Holdings, Ltd.................................... 180,400 13,037
*Kader Holdings Co., Ltd............................. 545,600 18,306
Kantone Holdings, Ltd................................ 123,902 5,596
Keck Seng Investments (Hong Kong), Ltd............... 572,400 87,902
Kee-Shing Holdings Co., Ltd.......................... 886,000 70,889
King Fook Holdings, Ltd.............................. 1,000,000 60,653
Kingboard Chemical Holdings, Ltd..................... 664,000 102,826
Kingmaker Footwear Holdings, Ltd..................... 770,000 51,671
*Kong Sun Holdings, Ltd.............................. 480,000 26,945
*Kong Tai International Holdings Co., Ltd............ 2,080,000 33,821
*Kosonic International Holdings, Ltd................. 198,000 6,286
Kumagai Gumi Hong Kong, Ltd.......................... 685,000 344,754
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Kwong Sang Hong International, Ltd................... 1,074,000 $ 121,967
Lai Sun Development Co., Ltd......................... 1,584,000 355,679
Lai Sun Garment (International), Ltd................. 465,000 151,520
Lai Sun Hotels International, Ltd.................... 410,000 45,503
*Lam Soon (Hong Kong), Ltd........................... 302,310 76,855
*Lam Soon Food Industries, Ltd....................... 87,000 20,546
Lamex Holdings, Ltd.................................. 504,000 50,732
Laws International Holdings, Ltd..................... 410,000 67,196
Le Saunda Holdings, Ltd.............................. 236,000 24,974
Leefung-Asco Printers Holdings, Ltd.................. 144,000 22,671
*Leung Kee Holdings, Ltd............................. 354,000 4,112
Lippo, Ltd........................................... 749,760 326,551
Liu Chong Hing Investment, Ltd....................... 635,200 418,057
*Logic International Holdings, Ltd................... 812,000 25,673
*Luks Industrial Co., Ltd............................ 2,689,818 62,481
Lung Kee (Bermuda) Holdings, Ltd..................... 668,000 163,789
*Magnificent Estates, Ltd............................ 3,778,000 33,153
*Magnum International Holdings, Ltd.................. 300,000 3,678
*Mansion Holdings, Ltd............................... 151,800 1,430
Mansion House Group, Ltd............................. 698,200 84,696
*Megga (S.) International Holdings, Ltd.............. 1,513,400 59,567
Melbourne Enterprises, Ltd........................... 45,500 191,418
Melco International Development, Ltd................. 180,000 17,422
*Millenium Group, Ltd................................ 3,712,000 77,603
#Min Xin Holdings, Ltd............................... 987,200 151,603
Mingly Corp., Ltd.................................... 4,032,600 504,791
Moulin International Holdings, Ltd................... 3,012,123 299,308
*Mui Hong Kong, Ltd.................................. 1,230,000 17,460
*Multi-Asia International Holdings, Ltd.............. 3,980,000 30,817
Nanyang Holdings, Ltd................................ 125,000 130,662
National Electronics Holdings, Ltd................... 2,156,000 77,904
New Island Printing Holdings, Ltd.................... 176,000 18,170
Ngai Lik Industrial Holdings, Ltd.................... 1,556,000 391,560
Ocean Information Holdings, Ltd...................... 122,000 11,336
#Onfem Holdings, Ltd................................. 1,196,000 75,628
*#Oriental Metals Holdings Co., Ltd.................. 1,237,800 43,129
#Oriental Press Group, Ltd........................... 962,500 111,789
Oxford Properties & Finance, Ltd..................... 110,000 110,724
*Pacific Plywood Holdings, Ltd....................... 7,612,000 139,490
*Paramount Publishing Group, Ltd..................... 620,000 39,205
Paul Y. ITC Construction Holdings, Ltd............... 16,930 1,180
*Paul Y. Properties Group, Ltd....................... 50,440 1,360
Peace Mark (Holdings), Ltd........................... 4,828,122 89,098
Perfectech International Holdings, Ltd............... 187,500 25,890
Pico Far East Holdings, Ltd.......................... 610,000 70,848
Playmate Toys Holdings, Ltd.......................... 837,000 58,328
Pokfulam Development Co., Ltd........................ 234,000 67,944
*#Poly Investments Holdings, Ltd..................... 2,670,000 148,161
Prestige Properties Holdings, Ltd.................... 965,000 68,493
Process Automation Holdings, Ltd..................... 550,000 59,621
QPL International Holdings, Ltd...................... 874,000 205,276
*Quality Healthcare Asia, Ltd........................ 474,000 42,207
*RJP Electronics, Ltd................................ 1,658,000 23,108
RNA Holdings, Ltd.................................... 20,600 2,871
Raymond Industrial, Ltd.............................. 605,400 54,688
*Rhine Holdings, Ltd................................. 64,000 1,156
*Righteous (Holdings), Ltd........................... 1,652,000 40,719
</TABLE>
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<S> <C> <C>
*Rivera Holdings, Ltd................................ 3,160,000 $ 37,109
Ryoden Development, Ltd.............................. 1,912,000 192,458
Safety Godown Co., Ltd............................... 408,000 207,975
San Miguel Brewery Hong Kong, Ltd.................... 930,800 144,142
Sea Holdings, Ltd.................................... 1,068,000 399,690
*Seapower International Holdings, Ltd................ 854,000 124,535
Seapower Resources International, Ltd................ 2,528,000 101,133
Semi-Tech (Global) Co., Ltd.......................... 3,133,025 218,329
Shaw Brothers Hong Kong, Ltd......................... 325,000 188,734
Shell Electric Manufacturing (Holdings) Co., Ltd..... 990,000 116,260
#Shenyin Wanguo (Hong Kong), Ltd..................... 847,500 83,120
*#Shenzhen International Holdings, Ltd............... 4,812,500 239,103
*#Shougang Concord Century Holdings, Ltd............. 1,292,000 46,685
#Shougang Concord Grand (Group), Ltd................. 1,123,000 76,809
#Shougang Concord International Enterprises Co.,
Ltd................................................ 2,992,000 179,543
#Shougang Concord Technology Holdings, Ltd........... 995,914 62,976
*Shun Ho Construction (Holdings), Ltd................ 1,037,452 32,801
*Shun Ho Resources Holdings, Ltd..................... 483,000 14,211
*Shun Shing Holdings, Ltd............................ 489,600 95,405
*#Silver Grant International Industries, Ltd......... 1,317,000 200,550
Sime Darby Hong Kong, Ltd............................ 918,000 313,937
Sincere Co., Ltd..................................... 505,500 32,617
Sing Tao Holdings, Ltd............................... 733,000 155,132
*Singamas Container Holdings, Ltd.................... 320,000 7,640
*Sino Foundations Holdings, Ltd...................... 1,074,000 28,967
South China Brokerage Co., Ltd....................... 4,060,000 26,197
South China Industries, Ltd.......................... 1,124,000 34,812
*South China Strategic Investments, Ltd.............. 857,400 24,895
*South Sea Development Co., Ltd...................... 578,158 11,490
Southeast Asia Properties & Finance, Ltd............. 159,720 36,689
*#Star Telecom International Holdings, Ltd........... 1,058,000 372,054
Starlight International Holdings, Ltd................ 1,049,034 61,596
#Stelux Holdings International, Ltd.................. 1,307,702 63,284
*Styland Holdings, Ltd............................... 1,939,200 16,266
Sun Fook Kong Holdings, Ltd.......................... 1,534,000 215,778
Sun Hung Kai & Co., Ltd.............................. 3,338,600 280,048
*Suwa International Holdings, Ltd.................... 1,062,000 41,115
*Swank International Manufacturing Co., Ltd.......... 638,000 69,160
Tack Hsin Holdings, Ltd.............................. 542,000 71,343
Tai Cheung Holdings, Ltd............................. 1,216,000 295,016
Tai Sang Land Development, Ltd....................... 458,984 134,751
Tak Sing Alliance Holdings, Ltd...................... 2,909,865 112,654
Tak Wing Investment Holdings, Ltd.................... 432,800 18,431
Techtronic Industries Co., Ltd....................... 954,000 221,603
Tem Fat Hing Fung (Holdings), Ltd.................... 4,120,000 287,108
Termbray Industries International (Holdings), Ltd.... 230,490 288,521
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Tern Properties Co., Ltd............................. 61,200 $ 9,319
Texwinca Holdings, Ltd............................... 556,000 55,248
Tian An China Investments Co., Ltd................... 4,355,750 157,389
Tian Teck Land, Ltd.................................. 1,098,000 147,364
Triplenic Holdings, Ltd.............................. 1,308,000 199,179
*Tristate Holdings, Ltd.............................. 138,000 33,837
Truly International Holdings, Ltd.................... 762,000 135,703
Tse Sui Luen Jewellry (International), Ltd........... 1,529,226 223,000
*Tung Fong Hung (Holdings), Ltd...................... 3,329,472 20,624
Tung Fong Hung Properties (Holdings), Ltd............ 562,000 29,373
Tungtex (Holdings) Co., Ltd.......................... 976,000 105,799
Tysan Holdings, Ltd.................................. 1,040,773 94,017
*UDL Holdings, Ltd................................... 474,000 12,050
USI Holdings, Ltd.................................... 928,999 135,472
Union Bank of Hong Kong, Ltd......................... 633,623 515,141
*United Power Investment, Ltd........................ 1,372,000 159,350
*Universal Appliances, Ltd........................... 2,770,000 44,683
Wah Ha Realty Co., Ltd............................... 278,600 58,603
Wah Kwong Shipping Holdings, Ltd..................... 230,500 148,729
*Wah Nam Group, Ltd.................................. 1,934,800 12,235
Wai Kee Holdings, Ltd................................ 1,192,738 237,039
*Winfoong International, Ltd......................... 1,210,000 46,845
*Wing Fai International, Ltd......................... 1,246,000 25,406
Wing On Co. International, Ltd....................... 565,000 246,080
Wing On International Holdings, Ltd.................. 50,000 46,458
Wing Shan International, Ltd......................... 896,000 95,971
Winsor Industrial Corp., Ltd......................... 498,000 93,186
Winsor Properties Holdings, Ltd...................... 249,000 191,192
*Wo Kee Hong (Holdings), Ltd......................... 1,944,000 37,631
#Wong's International (Holdings), Ltd................ 1,012,000 232,464
*Wong's Kong King International (Holdings), Ltd...... 1,139,600 27,060
World Houseware (Holdings), Ltd...................... 535,123 21,408
YGM Trading, Ltd..................................... 228,000 114,750
Yangtzekiang Garment Manufacturing Co., Ltd.......... 405,000 36,063
*Yaohan Food Processing & Trading Co., Ltd........... 124,000 8,001
*Yaohan Hong Kong Corp., Ltd......................... 760,000 42,173
Yaohan International Caterers, Ltd................... 512,000 62,769
*Yaohan International Holdings, Ltd.................. 974,000 6,285
Yau Lee Holdings, Ltd................................ 1,424,000 35,467
*Yeebo International Holdings, Ltd................... 40,800 1,869
*Yiu Wing International Holdings, Ltd................ 1,030,200 140,923
*Yoshiya International Corp., Ltd.................... 612,300 23,310
Yugang International, Ltd............................ 4,208,000 162,911
------------
TOTAL COMMON STOCKS
(Cost $65,283,330)................................... 34,728,119
------------
INVESTMENT IN
CURRENCY -- (0.1%)
*Hong Kong Dollars
(Cost $66,049)..................................... 66,055
------------
RIGHTS/WARRANTS -- (0.0%)
*Chun Wo Holdings, Ltd. Warrants 08/31/99............ 84,510 1,342
*Far East Consortium International, Ltd. Warrants
10/31/99........................................... 89,223 461
</TABLE>
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<TABLE>
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<S> <C> <C>
*Fong's Industries Co., Ltd. Warrants 04/28/00....... 192,400 $ 0
*Grande Holdings, Ltd. Warrants 10/15/00............. 84,017 3,795
*KTP Holdings, Ltd. Warrants 09/30/99................ 18,040 163
*Ngai Lik Industrial Holdings, Ltd. Warrants
03/31/00........................................... 132,800 23,821
*Ocean Information Holdings, Ltd. Warrants
09/30/99........................................... 24,400 535
*Rhine Holdings, Ltd. Warrants 12/31/98.............. 8,000 10
*South China Strategic Investments, Ltd. Warrants
12/17/98........................................... 128,610 415
*Yiu Wing International Holdings, Ltd. Warrants
12/31/98........................................... 28,200 138
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 30,680
------------
TOTAL -- HONG KONG
(Cost $65,349,379)................................... 34,824,854
------------
AUSTRALIA -- (24.6%)
COMMON STOCKS -- (24.2%)
*AWA, Ltd............................................ 373,000 137,841
Aberfoyle, Ltd....................................... 185,050 307,151
Abigroup, Ltd........................................ 129,710 175,487
Acacia Resources, Ltd................................ 294,603 367,204
Adelaide Bank, Ltd................................... 53,711 188,395
Adelaide Brighton, Ltd............................... 343,923 224,033
*Agen, Ltd........................................... 71,000 11,118
*Airboss, Ltd........................................ 274,800 10,327
Allgas Energy, Ltd................................... 20,699 272,261
Amalgamated Holdings, Ltd............................ 57,560 187,474
*Amity Oil NL........................................ 43,079 13,491
*An Feng Kingstream Steel, Ltd....................... 445,076 79,451
*Aquarius Platinum NL................................ 44,452 12,529
*Ariadne Australia, Ltd.............................. 75,114 21,171
Ashanti Goldfields Co., Ltd.......................... 16,243 142,942
Ashton Mining, Ltd................................... 523,700 367,382
Atkins Carlyle, Ltd.................................. 62,240 179,327
*Auridiam Consolidated NL............................ 63,097 2,371
*Aurora Gold, Ltd.................................... 116,350 96,196
Ausdoc Group, Ltd.................................... 105,939 192,429
Ausdrill, Ltd........................................ 34,222 17,791
*Australian Kaolin, Ltd.............................. 182,145 18,824
Australian Oil & Gas Corp., Ltd...................... 84,300 81,842
Australian Provincial Newspaper Holdings, Ltd........ 316,860 460,440
*Australian Resources, Ltd........................... 141,446 31,008
Avatar Industries, Ltd............................... 98,479 50,580
Bank of Queensland, Ltd.............................. 117,294 367,336
*Beach Petroleum NL.................................. 165,200 4,760
*Beaconsfield Gold NL................................ 23,206 14,535
*Beyond International, Ltd........................... 54,450 52,521
*#Biota Holdings, Ltd................................ 97,808 290,995
Blackmores, Ltd...................................... 27,894 99,587
*Bligh Oil & Minerals NL............................. 58,844 14,743
*Boulder Group NL.................................... 78,500 17,947
Bridgestone Australia, Ltd........................... 49,000 95,143
Buderim Ginger, Ltd.................................. 7,300 4,527
CIM Resources, Ltd................................... 209,281 19,663
SHARES VALUE+
------------ ------------
Campbell Brothers, Ltd............................... 51,031 $ 157,259
*Cape Range, Ltd..................................... 269,060 15,336
Capral Aluminium, Ltd................................ 416,819 710,125
Carrington Cotton Corp., Ltd......................... 22,200 62,920
*Centaur Mining & Exploration, Ltd................... 514,948 245,129
Central Equity, Ltd.................................. 123,243 108,071
Central Norseman Gold Corp., Ltd..................... 409,800 120,639
Centro Properties, Ltd............................... 229,519 378,087
*Cityview Energy Corp., Ltd.......................... 4,945 7,372
Clifford Corp., Ltd.................................. 75,342 24,067
*Climax Mining, Ltd.................................. 134,600 29,507
*Coal & Allied Industries, Ltd....................... 11,250 52,848
Computer Power Group, Ltd............................ 47,260 125,806
Computershare, Ltd................................... 102,440 345,840
*Consolidated Gold NL................................ 123,748 2,403
Consolidated Paper Industries, Ltd................... 20,952 27,625
*Consolidated Rutile, Ltd............................ 399,003 132,455
*Coolgardie Gold NL.................................. 222,685 6,974
*Coplex Resources NL................................. 231,400 37,684
Coventry Group, Ltd.................................. 63,616 189,268
Crane (G.E) Holdings, Ltd............................ 73,098 503,635
*Croesus Mining NL................................... 97,100 16,725
Cudgen RZ, Ltd....................................... 36,650 14,921
*Cultus Petroleum NL................................. 116,217 125,203
*DJL, Ltd............................................ 277,900 1,567
Danks Holdings, Ltd.................................. 10,425 50,932
Delfin Property Group, Ltd........................... 25,211 100,272
Delta Gold NL........................................ 373,100 444,014
*Denehurst, Ltd...................................... 95,000 4,344
*Devex, Ltd.......................................... 205,364 46,307
Devine, Ltd.......................................... 41,237 16,014
*Dominion Mining, Ltd................................ 168,015 34,728
*ERG, Ltd............................................ 298,635 220,719
*Easycall Group...................................... 99,300 10,262
Eltin, Ltd........................................... 138,822 133,035
*Emporer Mines, Ltd.................................. 120,600 38,524
Energy Developments, Ltd............................. 40,743 65,330
Energy Equity Corp., Ltd............................. 325,630 165,206
Energy Resources of Australia, Ltd. Series A......... 231,589 565,718
*Equatorial Mining, Ltd.............................. 43,214 78,495
Evans Deakin Industries, Ltd......................... 196,596 517,180
FAI Insurances, Ltd.................................. 603,749 172,062
FAI Life, Ltd........................................ 206,249 82,678
Finemore Holdings, Ltd............................... 60,000 89,443
Fleetwood Corp., Ltd................................. 12,315 12,342
*Formulab Neuronetics Corp., Ltd..................... 74,250 1,535
Forrester Parker Group, Ltd.......................... 142,602 116,115
Futuris Corp., Ltd................................... 655,547 615,903
GUD Holdings, Ltd.................................... 76,166 132,624
GWA International, Ltd............................... 153,122 278,133
Gazal Corp., Ltd..................................... 25,365 24,625
*Gold Mines of Australia, Ltd........................ 55,307 4,503
*Golden West Refining Corp., Ltd..................... 17,330 7,056
Goldfields, Ltd...................................... 330,913 406,244
Gowing Bros., Ltd.................................... 52,946 74,616
Great Central Mines, Ltd............................. 60,386 80,714
Gunns, Ltd........................................... 39,400 40,719
Gwalia Consolidated, Ltd............................. 101,623 93,568
Hancock and Gore, Ltd................................ 22,873 21,633
*Haoma Mining NL..................................... 98,816 8,046
Harris Scarfe Holdings, Ltd.......................... 36,124 67,879
</TABLE>
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<S> <C> <C>
*Helix Resources NL.................................. 25,000 $ 4,854
Henry Walker Group, Ltd.............................. 168,957 200,012
*Herald Resources, Ltd............................... 69,910 13,136
Hills Industries, Ltd................................ 182,148 268,108
Hills Motorway Group................................. 70,000 116,188
Hudson Conway, Ltd................................... 40,137 108,101
Iama, Ltd............................................ 98,392 141,744
Incitec, Ltd......................................... 194,880 695,760
*Intellect Holdings, Ltd............................. 75,070 40,908
Ipoh, Ltd............................................ 117,000 153,894
Ipswich and West Moreton Building Society, Ltd....... 11,694 17,652
*Ixla, Ltd........................................... 25,650 6,587
*Johnson's Well Mining NL............................ 20,000 41,339
Joyce Corp., Ltd..................................... 13,049 12,260
*Jubilee Gold Mines NL............................... 113,400 37,645
Just Jeans Holdings, Ltd............................. 94,342 88,637
KLZ, Ltd............................................. 112,167 97,656
*Keycorp, Ltd........................................ 36,542 24,490
*Kidston Gold Mines, Ltd............................. 246,300 75,592
*Kingsgate Consolidated NL........................... 12,587 4,730
*Kresta Holdings, Ltd................................ 189,000 8,879
Lemarne Corp., Ltd................................... 20,790 39,066
MMI, Ltd............................................. 146,457 260,523
*MRI Holdings, Ltd................................... 36,169 9,288
MacMahon Holdings, Ltd............................... 192,179 56,575
Magellan Petroleum Australia, Ltd.................... 31,200 48,855
*Manettas, Ltd....................................... 74,250 19,533
Maryborough Sugar Factory, Ltd....................... 600 3,570
McConnell Dowell Corp., Ltd.......................... 27,438 63,588
McGuigan (Brian) Wines, Ltd.......................... 22,239 24,516
McPherson's, Ltd..................................... 61,500 52,003
*Meekatharra Minerals, Ltd........................... 70,200 6,596
#Metal Manufactures, Ltd............................. 295,010 397,276
Mirvac, Ltd.......................................... 391,360 508,642
Morgan and Banks, Ltd................................ 57,291 111,241
*Mosaic Oil NL....................................... 135,612 22,934
*Mount Kersey Mining NL.............................. 73,076 23,801
National Can Industries, Ltd......................... 97,017 143,409
National Foods, Ltd.................................. 49,552 94,973
Nautronix, Ltd....................................... 26,823 19,321
*Newcrest Mining, Ltd................................ 127,708 159,980
Normandy Mt. Leyshon, Ltd............................ 133,376 116,956
North Flinders Mines, Ltd............................ 70,723 234,776
#OPSM Protector, Ltd................................. 289,801 624,419
Oil Company of Australia, Ltd........................ 51,800 71,379
*Orbital Engine Corp., Ltd........................... 537,358 363,500
Oroton International, Ltd............................ 34,600 21,888
PMP Communications, Ltd.............................. 371,610 670,343
Pacific BBA, Ltd..................................... 289,476 752,451
Pacific Hydro, Ltd................................... 27,894 17,996
*Pan Pacific Petroleum NL............................ 327,800 22,585
Parbury, Ltd......................................... 168,113 38,960
*Payce Consolidated, Ltd............................. 18,000 8,794
Penfold (W.C.), Ltd.................................. 14,100 12,452
*Peptide Technology, Ltd............................. 176,600 44,245
*Perilya Mines NL.................................... 263,500 64,367
Permanent Trustee Co., Ltd........................... 14,000 50,421
Petaluma, Ltd........................................ 11,319 32,258
*Petroz NL........................................... 308,910 226,379
*Petsec Energy, Ltd.................................. 97,992 330,824
Pirelli Cables Australia, Ltd........................ 40,420 15,697
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Polartechnics, Ltd.................................. 33,485 $ 60,823
*Portman Mining, Ltd................................. 166,100 174,782
*Power Pacific, Ltd.................................. 302,000 8,512
*Preston Resources NL................................ 15,000 31,004
Primac Holdings, Ltd................................. 9,173 13,789
Prime Television, Ltd................................ 147,549 283,721
*Quantum Resources, Ltd.............................. 115,007 41,060
Queensland Cotton Holdings, Ltd...................... 29,888 112,322
*Queensland Metals Corp., Ltd........................ 327,666 209,338
*Raptis Group, Ltd................................... 12,000 1,015
Rebel Sport, Ltd..................................... 20,908 22,918
Reece Australia, Ltd................................. 32,100 207,090
*Resolute, Ltd....................................... 320,738 237,055
#Ridley Corp., Ltd................................... 571,191 468,673
Rock Building Society, Ltd........................... 11,373 16,242
Ross Mining NL....................................... 219,389 109,932
#Rural Press, Ltd.................................... 198,599 597,084
SGIO Insurance, Ltd.................................. 285,725 250,550
Savage Resources, Ltd................................ 846,253 386,937
Schaffer Corp., Ltd.................................. 13,800 17,719
Scientific Services, Ltd............................. 35,179 13,661
Scott Corp., Ltd..................................... 43,000 49,557
Siddons Ramset, Ltd.................................. 98,185 394,819
Simeon Wines, Ltd.................................... 9,713 22,510
Simsmetal, Ltd....................................... 140,920 644,337
Singleton Group, Ltd................................. 10,063 19,854
Sino Securities International, Ltd................... 8,118 4,830
*Sipa Resources International NL..................... 81,000 3,805
Skilled Engineering, Ltd............................. 71,079 73,459
Sonic Healthcare, Ltd................................ 140,439 180,326
Sons of Gwalia, Ltd.................................. 170,513 469,924
Southern Cross Broadcasting (Australia), Ltd......... 28,519 128,434
*Southern Pacific Petroleum NL....................... 82,140 134,795
*Spectrum Network Systems, Ltd. Series B............. 71,031 38,707
Spicers Paper, Ltd................................... 246,300 225,234
Spotless Group, Ltd.................................. 252,124 576,401
Spotless Services, Ltd............................... 613,924 469,129
*St. Barbara Mines, Ltd.............................. 375,500 29,399
*Strategic Minerals Corp. NL......................... 13,100 320
Sydney Aquarium, Ltd................................. 10,135 22,218
*Tandou, Ltd......................................... 3,100 2,116
*Tanganyika Gold NL.................................. 73,800 6,240
*Target Mining Corp., Ltd............................ 54,667 2,123
Tassal, Ltd.......................................... 79,000 68,285
*Techniche, Ltd...................................... 17,610 17,097
Telecasters Australia, Ltd........................... 20,546 81,075
Television & Media Services, Ltd..................... 122,461 112,754
*Ten Network Holdings, Ltd........................... 249,104 347,940
Thakral Holdings Group............................... 651,138 244,704
*Ticor, Ltd.......................................... 287,850 158,660
*Titan Resources NL.................................. 50,000 4,698
Toll Holdings, Ltd................................... 57,237 74,210
*Tooth & Co., Ltd.................................... 153,000 34,499
*Transcom International, Ltd......................... 37,200 16,776
*Triako Resources, Ltd............................... 5,400 507
*Troy Resources NL................................... 22,548 7,768
*Union Gold Mining Co. NL............................ 142,500 21,421
United Construction Group, Ltd....................... 71,876 162,070
*Victoria Petroleum NL............................... 147,973 5,654
Villa World, Ltd..................................... 134,700 106,306
</TABLE>
180
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Visions Systems, Ltd................................. 5,288 $ 22,854
Waco Kwikform, Ltd................................... 215,531 78,299
*Walhalla Mining Company NL.......................... 681 35
#Walker Corp., Ltd................................... 286,362 127,348
Wattyl, Ltd.......................................... 169,731 579,396
Webster, Ltd......................................... 33,551 18,283
Wesfi, Ltd........................................... 75,579 80,476
Western Metals, Ltd.................................. 211,717 119,348
Westralian Sands, Ltd................................ 173,114 408,781
White (Joe) Maltings, Ltd............................ 25,159 63,033
Wide Bay Capricorn Building Society, Ltd............. 11,558 24,179
Wills (W.D. & H.O.) Holdings, Ltd.................... 259,700 439,191
Yates (Arthur) and Co. Property, Ltd................. 136,870 94,301
------------
TOTAL COMMON STOCKS
(Cost $38,343,799)................................... 31,121,070
------------
INVESTMENT IN
CURRENCY -- (0.4%)
*Australian Dollar
(Cost $496,201).................................... 497,735
------------
RIGHTS/WARRANTS -- (0.0%)
*Ashton Mining, Ltd. Rights 06/22/98................. 52,370 656
*Beaconsfield Gold NL Rights 06/26/98................ 4,641 320
*Harris Scarfe Holdings, Ltd. Rights 06/10/98........ 5,160 388
*Johnson's Well Mining NL Rights 06/01/98............ 20,000 63
*Polartechnics, Ltd. Rights 06/26/98................. 3,720 815
*Target Mining Corp., Ltd. Rights 06/01/98........... 27,333 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 2,242
------------
PREFERRED STOCKS -- (0.0%)
*Ashanti GSM, Ltd. Redeemable Series B............... 15,990 0
*Ashanti GSM, Ltd. Redeemable Series C............... 15,990 0
*Ashanti GSM, Ltd. Redeemable Series D............... 15,990 0
*Ashanti GSM, Ltd. Redeemable Series E............... 15,990 0
------------
TOTAL PREFERRED STOCKS
(Cost $0)............................................ 0
------------
TOTAL -- AUSTRALIA
(Cost $38,840,000)................................... 31,621,047
------------
MALAYSIA -- (23.2%)
COMMON STOCKS -- (23.1%)
A&M Realty Berhad.................................... 15,000 4,296
Actacorp Holdings Berhad............................. 26,000 6,499
Advance Synergy Berhad............................... 637,800 93,000
Affin Holdings Berhad................................ 1,010,000 352,402
Ajinimoto (Malaysia) Berhad.......................... 44,000 26,580
Aluminum Co. of Malaysia............................. 139,000 25,516
Amalgamated Containers Berhad........................ 47,000 8,567
Amalgamated Industrial Steel Berhad.................. 125,000 39,057
Anakku Corp. Berhad.................................. 10,000 3,333
SHARES VALUE+
------------ ------------
Ancom Berhad......................................... 116,000 $ 30,204
Angkasa Marketing Berhad............................. 164,000 28,611
*Anson Perdana Berhad................................ 116,000 25,674
Antah Holding Berhad................................. 452,000 72,970
*Aokam Perdana Berhad................................ 213,000 34,109
Arab Malaysia Corp. Berhad........................... 448,000 138,815
Arab Malaysian Development Berhad.................... 1,082,000 140,867
Arensi Holdings (Malaysia) Berhad.................... 33,000 6,015
Asas Dunia Berhad.................................... 226,000 44,723
Asia Pacific Land Berhad............................. 1,129,100 124,949
Asiatic Development Berhad........................... 1,386,000 429,460
*Austral Amalgamated Berhad.......................... 291,333 34,515
Austral Enterprises Berhad........................... 270,499 281,733
Autoways Holdings Berhad............................. 10,000 3,359
Ayer Hitam Planting Syndicate Berhad................. 51,000 73,037
*Ayer Hitam Tin Dredging Malaysia Berhad............. 36,000 4,359
*Ayer Molek Rubber Co. Berhad........................ 1,000 5,234
Ban Hin Lee Bank Berhad.............................. 105,500 125,814
Bandar Raya Developments Berhad...................... 909,000 177,516
Batu Kawan Berhad.................................... 394,500 495,115
*#Berjaya Industrial Berhad.......................... 673,000 65,714
Berjaya Singer Berhad................................ 142,000 37,344
*Berjuntai Tin Dredging Berhad....................... 36,000 20,435
*Best World Land Berhad.............................. 120,100 14,072
Bimb Holdings BHD.................................... 1,058,600 358,334
Bina Puri Holdings Berhad............................ 49,000 15,310
Bolton Properties Berhad............................. 207,000 32,609
Boustead Holdings Berhad............................. 509,000 371,098
CCM Bioscience....................................... 550 401
*CHG Industries Berhad............................... 33,000 4,468
CI Holdings Berhad................................... 72,000 48,275
Cahya Mata Sarawak Berhad............................ 597,000 314,006
Cement Industries of Malaysia Berhad................. 249,000 133,561
Chase Perdana Berhad................................. 34,000 12,394
#Chemical Co. of Malaysia Berhad..................... 333,000 424,867
Chin Teck Plantations Berhad......................... 75,000 94,128
Chocolate Products (Malaysia) Berhad................. 500,100 50,134
Choo Bee Metal Industries Berhad..................... 120,000 21,560
Cold Storage (Malaysia) Berhad....................... 102,000 48,603
Computer Forms Malaysia Berhad....................... 19,000 9,499
Concrete Engineering Products Berhad................. 29,000 6,041
*Construction & Supplies House Berhad................ 242,000 45,369
Country Heights Holdings Berhad...................... 373,600 313,238
*Cycle & Carriage Bintang Berhad..................... 183,000 208,707
#DMIB Berhad......................................... 434,000 103,966
DNP Holdings Berhad.................................. 412,000 62,757
Daibochi Plastic & Packaging Industry Berhad......... 32,200 8,636
Daiman Development Berhad............................ 110,000 28,212
*Damansara Realty Berhad............................. 1,397,000 134,589
*Dataprep Holdings Berhad............................ 36,000 8,249
Datuk Keramik Holdings Berhad........................ 453,000 119,133
*Denko Industrial Corp. Berhad....................... 38,000 7,421
Diethelm Holdings (Malaysia) Berhad.................. 52,000 10,697
Diperdana Corp. Berhad............................... 43,000 18,250
Diversified Resources Berhad......................... 418,000 128,431
</TABLE>
181
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Dutch Baby Milk Industry (Malaysia) Berhad........... 22,000 $ 53,131
Eastern & Oriental Berhad............................ 181,500 75,143
Eastern Pacific Industrial Corp. Berhad.............. 43,000 6,326
*Econstates Berhad................................... 144,000 20,247
*Ekran Berhad........................................ 164,000 23,700
*FA Peninsular Berhad................................ 95,000 9,400
*FACB Berhad......................................... 1,217,000 125,170
FCW Holdings Berhad.................................. 224,000 31,788
*Faber Group Berhad.................................. 469,000 68,387
Far East Holdings Berhad............................. 74,000 35,454
Federal Flour Mills Berhad........................... 271,250 231,663
Fima Corp. Berhad.................................... 39,000 17,771
#Fraser & Neave Holdings Berhad...................... 307,000 423,669
Gadek (Malaysia) Berhad.............................. 144,000 89,613
Gadek Capital Berhad................................. 48,000 9,436
#Gamuda Berhad....................................... 436,000 454,108
*General Corp. Berhad................................ 423,000 50,665
George Kent (Malaysia) Berhad........................ 122,998 24,660
George Town Holdings Berhad.......................... 147,000 31,387
Glenealy Plantations (Malaysia) Berhad............... 171,000 176,321
Goh Ban Huat Berhad.................................. 75,000 15,232
Gold Coin (Malaysia) Berhad.......................... 52,000 28,434
Golden Frontier Berhad............................... 29,000 7,627
*Golden Pharos Berhad................................ 74,000 9,152
Golden Plus Holdings Berhad.......................... 277,000 64,192
Gopeng Berhad........................................ 262,500 48,529
*Granite Industries Berhad........................... 274,000 33,175
*Gula Perak Berhad................................... 314,000 72,767
*Guthrie Ropel Berhad................................ 240,000 187,476
H&R Johnson (Malaysia) Berhad........................ 27,000 3,726
HLG Capital Berhad................................... 212,000 93,842
Hexza Corp. Berhad................................... 163,000 19,099
Hil Industries Berhad................................ 22,000 4,296
Ho Hup Construction Co. Berhad....................... 80,000 24,788
*Hock Hua Bank Berhad (Foreign)...................... 234,000 240,062
Hong Leong Industries Berhad......................... 389,000 318,047
Hong Leong Properties Berhad......................... 1,309,000 293,123
Hume Industries (Malaysia) Berhad.................... 463,000 366,494
IGB Corp. Berhad..................................... 887,000 274,842
IJM Corp. Berhad..................................... 593,000 262,492
IOI Properties Berhad................................ 52,700 37,050
*Idris Hydraulic (Malaysia) Berhad................... 1,058,000 157,026
*Inchcape Timuran Berhad............................. 215,250 34,189
Innovest Berhad...................................... 627,000 107,752
*Insas Berhad........................................ 1,073,200 157,885
*Instangreen Corp. Berhad............................ 15,000 3,554
*Integrated Logistics Berhad......................... 59,000 11,752
Intria Berhad........................................ 1,470,500 206,762
Ipmuda Berhad........................................ 45,000 12,772
*Island & Peninsular Berhad.......................... 356,000 241,010
Jasa Megah Industries Berhad......................... 170,000 34,084
Jaya Netting Industries Berhad....................... 21,000 4,292
Jeram Kuantan (Malaysia) Berhad...................... 64,000 9,332
Johan Holdings Berhad................................ 580,000 81,552
*Johor Land Berhad................................... 47,800 34,850
KFC Holdings (Malaysia) Berhad....................... 366,666 429,631
KIG Glass Industrial Berhad.......................... 279,000 33,054
KPJ Healthcare Berhad................................ 59,000 46,395
Kamunting Corp. Berhad............................... 1,312,000 170,811
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Kanzen Berhad........................................ 105,000 $ 19,958
Keck Seng (Malaysia) Berhad.......................... 430,500 160,296
Kedah Cement Holdings Berhad......................... 935,000 170,421
*Kelanamas Industries Berhad......................... 142,000 14,975
Kelang Container Terminal Berhad..................... 221,000 152,493
Kemayan Corp. Berhad................................. 665,000 92,638
*Khong Guan Holdings (Malaysia) Berhad............... 21,000 6,562
Kian Joo Can Factory Berhad.......................... 202,500 311,092
Kim Hin Industry Berhad.............................. 119,900 19,200
Kluang Rubber Co. (Malaysia) Berhad.................. 2,000 39,708
*Kramat Tin Dredging Berhad.......................... 1,800 3,070
Kretam Holdings Berhad............................... 152,500 84,579
*Kuala Lumpur Industries Holdings Berhad............. 138,000 18,146
Kuala Sidim Berhad................................... 207,000 257,638
*Kuantan Flour Mills Berhad.......................... 19,000 6,036
Kuchai Development Berhad............................ 1,600 5,124
Kulim Malaysia Berhad................................ 308,800 180,110
Kumpulan Belton Berhad............................... 44,100 8,038
*Kumpulan Emas Berhad................................ 301,000 33,701
*Kym Holdings Berhad................................. 46,000 11,498
Ladang Perbadanan-Fima Berhad........................ 130,000 81,239
Land - General Berhad................................ 951,000 148,574
*Landmarks Berhad.................................... 872,000 131,691
Larut Consolidated Berhad............................ 393,000 85,958
Leader Universal Holdings Berhad..................... 780,000 158,417
*Leisure Management Berhad........................... 82,999 414,941
*Leong Hup Holdings Berhad........................... 186,000 28,090
#Lien Hoe Corp. Berhad............................... 431,000 77,996
Lim Kim Hai Holdings Berhad.......................... 97,000 12,629
*Lingkaran Trans Kota Holdings Berhad................ 533,000 424,679
*#Lingui Development Berhad.......................... 921,000 299,766
Lion Corp. Berhad.................................... 179,400 39,706
Lion Land Berhad..................................... 1,084,151 125,621
*Long Huat Group Berhad.............................. 33,000 5,327
MBF Holdings Berhad.................................. 2,228,250 237,881
*MBF Land Berhad..................................... 1,539,000 146,266
MCB Holdings Berhad.................................. 199,000 27,722
MMC Engineering Group Berhad......................... 43,000 15,507
MUI Properties Berhad................................ 1,056,800 136,210
MWE Holdings Berhad.................................. 184,500 25,942
Malayan Cement Berhad................................ 760,500 336,636
Malayan Flour Mills Berhad........................... 92,400 28,390
Malayawata Steel Berhad.............................. 273,000 71,084
Malaysia Aica Berhad................................. 126,000 27,887
Malaysia Assurance Alliance Berhad................... 207,938 300,496
Malaysia British Assurance Berhad.................... 53,000 52,993
Malaysia Building Society Berhad..................... 638,000 187,720
Malaysia Industrial Development Finance Berhad....... 1,060,000 306,366
Malaysia Smelting Corp. Berhad....................... 87,000 39,643
Malaysian Helicopter Services Berhad................. 1,153,000 162,120
Malaysian Mosaics Berhad............................. 537,000 163,596
Malaysian Packaging Industry......................... 14,000 3,682
Malaysian Plantations Berhad......................... 555,000 127,893
*Malaysian Resources Corp. Berhad.................... 1,426,000 434,428
Malaysian Tobacco Co. Berhad......................... 378,000 188,975
Malex Industries Berhad.............................. 468,500 400,125
</TABLE>
182
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Mamee-Double Decker (Malaysia) Berhad................ 18,000 $ 11,577
Mancon Berhad........................................ 197,000 33,342
Maruichi Malaysia Steel Tube Berhad.................. 139,000 78,901
Matsushita Electric Co. (Malaysia) Berhad............ 67,400 226,392
Mechmar Corp......................................... 94,000 15,175
Mega First Corp. Berhad.............................. 268,000 30,007
*Menang Corp......................................... 272,000 28,330
*Mentiga Corp. Berhad................................ 41,000 8,701
Metacorp Berhad...................................... 193,333 70,477
Metrojaya Berhad..................................... 153,000 36,651
Metroplex Berhad..................................... 1,546,000 350,220
*Minho (Malaysia) Berhad............................. 70,000 8,384
Mintye Industries Berhad............................. 45,000 15,350
Muda Holdings Berhad................................. 208,125 41,457
Muhibbah Engineering Berhad.......................... 58,000 25,825
Mulpha International Berhad.......................... 1,767,750 211,734
*Mun Loong Berhad.................................... 40,000 6,301
NCK Corp. Berhad..................................... 18,000 5,624
*Nam Fatt Berhad..................................... 112,000 35,870
Nanyang Press (Malaya) Berhad........................ 107,400 83,895
Negara Properties (Malaysia) Berhad.................. 86,000 82,854
Negri Sembilan Oil Palms Berhad...................... 34,000 31,517
New Straits Times Press (Malaysia) Berhad............ 370,000 260,122
Notth Borneo Timbers Berhad.......................... 30,000 29,684
Nylex (Malaysia) Berhad.............................. 423,500 185,257
OSK Holdings......................................... 490,000 164,588
Olympia Industries Berhad............................ 808,000 96,779
PJ Development Holdings Berhad....................... 345,800 51,323
PSC Industries Berhad................................ 52,332 189,406
*PSC Industries Berhad Issue 98 Series A............. 52,332 188,621
PWE Industries Berhad................................ 39,200 15,004
Pacific Bank Berhad.................................. 1,000 651
Pacific Chemicals Berhad............................. 105,000 30,894
Palmco Holdings Berhad............................... 179,000 25,868
Pan Pacific Asia Berhad.............................. 123,000 38,753
Panglobal Berhad..................................... 134,000 21,284
Paramount Corp. Berhad............................... 73,000 17,012
Parit Perak Holdings Berhad.......................... 200,000 35,672
*Park May Berhad..................................... 48,000 9,124
Peladang Kimia Berhad................................ 188,000 73,428
Pelangi Berhad....................................... 808,250 315,682
*Perdana Industrial Holdings Berhad.................. 46,000 6,348
Pernas International Holdings Berhad................. 1,209,950 281,970
Petaling Garden Berhad............................... 318,000 221,909
*Petaling Tin Berhad................................. 23,000 11,499
Phileo Allied Berhad................................. 639,250 332,899
Phileo Land Berhad................................... 767,000 221,682
Pilecon Engineering Berhad........................... 290,500 76,398
*Poly Glass Fibre (Malaysia) Berhad.................. 90,000 17,341
Prime Utilities Berhad............................... 86,000 61,133
Projek Penyelenggaraan Lebuhraya Berhad.............. 44,000 30,361
*Promet Berhad....................................... 932,000 89,790
Putera Capital Berhad................................ 82,000 20,070
Rahman Hydraulic Tin Berhad.......................... 111,000 19,365
Rashid Hussain Berhad................................ 71,000 44,369
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Red Box (Malaysia) Berhad........................... 41,000 $ 4,324
Riverview Rubber Estates Berhad...................... 5,400 10,546
Road Builders (Malaysia) Holdings Berhad............. 206,000 159,844
SCB Developments Berhad.............................. 240,500 95,812
SCK Group Berhad..................................... 22,000 10,884
SP Settia Berhad..................................... 181,000 68,337
*SPK Sentosa Corp. Berhad............................ 51,000 9,960
Samanda Holdings Berhad.............................. 112,000 182,268
*Sanda Plastics Industries Berhad.................... 11,000 2,435
Sanyo Industries (Malaysia) Berhad................... 33,600 16,185
Sapura Telecommunications Berhad..................... 187,000 48,692
Sarawak Oil Palms Berhad............................. 117,600 47,463
*Sateras Resources (Malaysia) Berhad................. 379,000 40,461
Scientex, Inc. Berhad................................ 75,000 28,317
Selangor Dredging Berhad............................. 355,000 46,218
Selangor Properties Berhad........................... 642,000 269,137
Setegap Berhad....................................... 33,332 5,207
*Setron (Malaysia) Berhad............................ 61,666 8,269
Shangri-la Hotels (Malaysia) Berhad.................. 831,000 229,361
Siah Brothers Corp. Berhad........................... 64,000 9,832
#Sime UEP Properties Berhad.......................... 710,000 562,010
*Sin Heng Chan Berhad................................ 20,000 11,457
Sistem Television Malaysia Berhad.................... 321,000 104,479
Sitt Tatt Berhad..................................... 85,000 22,354
*South East Asia Lumber, Inc. Berhad................. 137,500 27,926
South Johore Amalgamated Holding Berhad.............. 40,500 9,280
South Malaysia Industries Berhad..................... 157,500 18,045
Southern Acids (Malaysia) Berhad..................... 80,700 25,636
Southern Bank Berhad (Foreign)....................... 405,000 187,710
*Southern Bank Berhad (Foreign) Issue 98............. 182,500 71,280
Southern Steel Berhad................................ 648,000 253,092
Sriwani Holdings Berhad.............................. 143,800 37,443
Store Corp. Berhad................................... 110,000 31,220
Sungei Bagan Rubber Co. (Malaysia) Berhad............ 2,000 30,204
Sungei Way Holdings Berhad........................... 760,000 178,102
Ta Enterprise Berhad................................. 1,323,000 241,140
*Tai Wah Garments Manufacturing Berhad (Foreign)..... 60,000 6,405
Taiping Consolidated Berhad.......................... 232,000 31,111
Tajo Berhad.......................................... 32,000 5,666
Talam Corp. Berhad................................... 346,000 81,984
Tan & Tan Developments Berhad........................ 479,000 162,140
Tasek Cement Berhad.................................. 192,000 189,975
Tenggara Capital Berhad.............................. 99,200 13,302
Time Engineering Berhad.............................. 1,395,000 366,866
Tiong Nam Transport Holdings Berhad.................. 17,000 5,312
*Tongkah Holdings Berhad............................. 300,000 69,913
Tractors Malaysia Holdings Berhad.................... 541,000 183,127
Tradewinds (Malaysia) Berhad......................... 374,000 181,133
*Trengganu Development & Management Berhad........... 120,000 34,995
Tronoh Mines Malaysia Berhad......................... 77,000 91,426
*U-Wood Holdings Berhad.............................. 20,000 3,229
UAC Berhad........................................... 67,000 31,577
UMW Holdings Berhad.................................. 495,000 308,046
</TABLE>
183
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Union Paper Holdings Berhad......................... 20,000 $ 4,843
Uniphone Telecommunications Berhad................... 185,000 35,165
United Chemical Industries Berhad.................... 18,000 5,624
United Malacca Rubber Estates Berhad................. 144,000 148,481
United Malayan Land Berhad........................... 327,000 211,160
United Plantations Berhad............................ 253,000 267,460
Utusan Melayu (Malaysia) Berhad...................... 34,000 8,942
*Wembley Industries Holdings Berhad.................. 138,000 25,512
*Westmont Industries Berhad.......................... 223,520 51,799
Westmont Land (Asia) Berhad.......................... 254,600 35,798
*Wing Tiek Holdings Berhad........................... 95,800 22,201
Worldwide Holdings Berhad............................ 213,800 50,103
Yee Lee Corp. Berhad................................. 14,000 10,207
Yeo Hiap Seng (Malaysia) Berhad...................... 103,000 58,466
------------
TOTAL COMMON STOCKS
(Cost $73,431,485)................................... 29,737,271
------------
INVESTMENT IN
CURRENCY -- (0.1%)
*Malaysian Ringetts
(Cost $83,146)..................................... 85,383
------------
RIGHTS/WARRANTS -- (0.0%)
*Bolton Properties Berhad Rights 06/05/98............ 103,500 135
*Lion Corp. Berhad Rights 06/01/98................... 112,125 292
*Lion Corp. Berhad Rights 06/01/98................... 44,850 58
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 485
------------
TOTAL -- MALAYSIA
(Cost $73,514,631)................................... 29,823,139
------------
SINGAPORE -- (16.3%)
COMMON STOCKS -- (16.3%)
AV Jennings Homes, Ltd............................... 30,800 8,556
Acma, Ltd............................................ 419,600 258,175
*Alliance Technology & Development, Ltd.............. 48,000 14,050
Amtek Engineering, Ltd............................... 397,500 192,338
Ana Hotels Singapore, Ltd............................ 89,000 93,040
Avimo Group, Ltd..................................... 288,250 421,869
Bonvests Holdings, Ltd............................... 560,000 143,846
British-American Tobacco Co. (Singapore), Ltd........ 149,000 386,294
Broadway Industrial Group, Ltd....................... 117,000 9,086
Bukit Sembawang Estates, Ltd......................... 60,334 333,385
*CK Tang, Ltd........................................ 83,000 44,623
CSA Holdings, Ltd.................................... 309,000 136,594
CWT Distribution, Ltd................................ 406,500 126,272
Carnaudmetalbox Asia, Ltd............................ 106,000 108,596
*Causeway Investment, Ltd............................ 133,000 29,396
Central Properties, Ltd.............................. 66,000 398,206
Chemical Industries (Far East), Ltd.................. 77,910 105,648
Chevalier Singapore Holdings, Ltd.................... 114,000 16,684
Chuan Hup Holdings, Ltd.............................. 535,000 115,053
Comfort Group, Ltd................................... 1,403,000 469,340
Compact Metal Industries............................. 462,000 62,096
Cosco Investment (Singapore), Ltd.................... 196,400 78,606
Courts Singapore, Ltd................................ 423,000 108,655
Econ International, Ltd.............................. 621,000 255,966
SHARES VALUE+
------------ ------------
*Eltech Electronics, Ltd............................. 237,000 $ 21,944
Eng Wah Organisation, Ltd............................ 174,000 24,946
First Capital Corp., Ltd............................. 351,000 190,805
Focal Finance, Ltd................................... 95,200 82,461
Fuji Offset Plates Manufacturing, Ltd................ 33,750 4,536
GB Holdings, Ltd..................................... 90,000 14,516
GK Goh Holdings...................................... 917,000 317,716
*General Magnetics, Ltd.............................. 177,000 21,676
Goldtron, Ltd........................................ 473,000 35,319
Guthrie GTS, Ltd..................................... 1,174,400 185,910
HTP Holdings, Ltd.................................... 321,000 49,856
Hai Sun Hup Group, Ltd............................... 1,097,000 317,827
#Haw Par Brothers International, Ltd................. 500,200 549,798
Hind Hotels International, Ltd....................... 112,000 74,934
Hitachi Zosen (Singapore), Ltd....................... 962,000 373,534
Hong Kok Corp., Ltd.................................. 390,000 256,271
Hotel Grand Central, Ltd............................. 437,640 130,716
Hotel Plaza, Ltd..................................... 1,015,000 242,531
Hotel Properties, Ltd................................ 1,114,000 405,935
Hotel Royal, Ltd..................................... 98,333 70,489
Hour Glass, Ltd...................................... 298,000 71,206
Hup Seng Huat, Ltd................................... 666,200 73,624
Hwa Hong Corp., Ltd.................................. 443,000 288,451
*Hwa Tat Lee, Ltd.................................... 158,000 18,405
IPC Corp., Ltd....................................... 1,936,000 138,781
Inchcape Motors, Ltd................................. 231,000 273,224
*Inno-Pacific Holdings, Ltd.......................... 300,500 19,746
Insurance Corp. of Singapore, Ltd.................... 138,250 147,829
International Factors (Singapore), Ltd............... 169,000 41,392
Intraco, Ltd......................................... 264,500 97,962
Isetan (Singapore), Ltd.............................. 61,000 65,955
Jack Chia-MPH, Ltd................................... 638,000 209,616
Jaya Holdings, Ltd................................... 122,400 29,247
Jurong Cement, Ltd................................... 80,500 161,095
Jurong Engineering, Ltd.............................. 87,000 70,161
Kay Hian Holdings, Ltd. (Foreign).................... 1,013,000 363,080
Keppel Finance, Ltd.................................. 253,750 121,266
Keppel Integrated Engineering, Ltd................... 467,000 136,696
Keppel Marine Industries, Ltd........................ 505,500 398,600
Keppel Telecommunications and Transportation, Ltd.... 974,000 512,016
Khong Guan Flour Milling, Ltd........................ 10,000 15,412
Kim Eng Holdings, Ltd................................ 1,656,200 405,638
L & M Group Investments, Ltd......................... 337,100 80,549
LC Development, Ltd.................................. 225,333 41,728
Lee Kim Tah Holdings, Ltd............................ 159,000 52,715
Liang Court Holdings, Ltd............................ 1,199,000 300,823
Liang Huat Aluminum, Ltd............................. 361,000 77,634
Lim Kah Ngam, Ltd.................................... 350,999 119,515
Low Keng Huat Singapore, Ltd......................... 144,000 15,054
Lum Chang Holdings, Ltd.............................. 1,049,030 225,597
Metalock (Singapore), Ltd............................ 20,000 14,098
Metro Holdings, Ltd.................................. 266,160 190,795
*Neptune Orient Lines, Ltd........................... 1,222,000 481,789
*Nippecraft, Ltd..................................... 886,000 58,219
Orchard Parade Holdings, Ltd......................... 737,320 383,193
*Osprey Maritime, Ltd................................ 871,000 364,215
Overseas Union Enterprise, Ltd....................... 200,000 259,258
Overseas Union Trust (Foreign)....................... 163,800 146,773
*PCI, Ltd............................................ 225,000 20,161
</TABLE>
184
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Pacific Can Investment Holdings, Ltd................ 101,000 $ 17,195
Pacific Carriers, Ltd................................ 761,000 279,577
*Pacific Century Regional Developments, Ltd.......... 412,500 221,773
Pan Malayan Holdings, Ltd............................ 100,000 58,542
*Pan Pacific Public Co., Ltd......................... 46,500 10,556
Pan-United Corp., Ltd................................ 1,184,000 208,649
Pentex-Schweizer Circuits, Ltd....................... 183,200 93,022
Pertama Holdings, Ltd................................ 68,750 9,446
*Pokka Corp. (Singapore), Ltd........................ 79,000 10,146
Prima, Ltd........................................... 95,000 158,900
Provisions Suppliers Corp............................ 544,600 144,770
Republic Hotels and Resorts, Ltd..................... 787,000 296,181
Resources Development Corp., Ltd..................... 104,000 136,678
Robinson & Co., Ltd.................................. 181,360 552,527
Rotary Engineering, Ltd.............................. 230,000 41,905
SNP Corp., Ltd....................................... 68,000 15,842
*SPP, Ltd............................................ 454,000 35,257
#ST Capital, Ltd..................................... 384,400 160,740
San Teh, Ltd......................................... 523,672 118,873
Scotts Holdings, Ltd................................. 482,000 227,466
Sea View Hotel, Ltd.................................. 44,000 109,868
Shangri-la Hotel, Ltd................................ 377,700 453,508
Sime Singapore, Ltd.................................. 1,477,000 370,571
Sing Investments & Finance, Ltd. (Foreign)........... 94,500 50,806
Singapore Finance, Ltd............................... 502,000 260,895
Singapore Reinsurance Corp., Ltd..................... 200,700 83,924
Singapura Building Society, Ltd...................... 65,250 28,064
*Singatronics, Ltd................................... 620,000 109,259
Ssangyong Cement (Singapore), Ltd.................... 201,000 174,103
Stamford Tyres Corp., Ltd............................ 62,000 10,741
Sunright, Ltd........................................ 338,000 136,290
Superior Metal Printing, Ltd......................... 157,000 49,238
Tat Lee Finance, Ltd................................. 66,000 36,666
Tibs Holdings, Ltd................................... 203,500 86,919
Tiger Medicals, Ltd.................................. 155,000 93,518
Times Publishing, Ltd................................ 334,000 568,635
Transmarco, Ltd...................................... 12,000 28,674
Tuan Sing Holdings, Ltd.............................. 3,106,000 333,977
United Engineers, Ltd................................ 431,500 201,056
United Overseas Finance, Ltd......................... 134,500 78,739
United Overseas Insurance, Ltd....................... 75,500 69,005
United Pulp & Paper Co., Ltd......................... 289,000 75,961
*Van der Horst, Ltd.................................. 309,100 72,012
*Van der Horst, Ltd. 3.5% Unsecured Loan Stock
08/31/98........................................... 23,400 13,280
Vickers Ballas Holdings, Ltd......................... 1,314,000 561,233
WBL Corp., Ltd....................................... 280,000 232,496
Wearnes International (1994), Ltd.................... 33,000 9,857
------------
TOTAL COMMON STOCKS
(Cost $39,662,719)................................... 20,876,952
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $30,316)..................................... 30,462
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Overseas Union Enterprise, Ltd. Rights 06/01/98
(Cost $0).......................................... 80,000 $ 239
------------
TOTAL -- SINGAPORE
(Cost $39,693,035)................................... 20,907,653
------------
NEW ZEALAND -- (5.8%)
COMMON STOCKS -- (5.8%)
AFFCO Holdings, Ltd.................................. 227,088 34,039
*Advantage Group, Ltd................................ 22,000 2,355
*Advantage Group, Ltd. Issue 98...................... 22,000 1,943
Baycorp Holdings, Ltd................................ 72,007 204,306
CDL Hotels NZ, Ltd................................... 657,244 87,962
*CDL Investments NZ, Ltd............................. 191,786 24,641
Cavalier Corp., Ltd.................................. 43,907 54,532
Ceramco Corp., Ltd................................... 59,127 42,099
Colonial Motor Co., Ltd.............................. 37,752 27,284
Corporate Investments, Ltd........................... 807,127 380,237
*Cue Energy Resources NL............................. 452,354 25,427
DB Group, Ltd........................................ 189,577 304,464
Donaghys, Ltd........................................ 37,239 21,530
Eastern Equities Corp., Ltd.......................... 41,001 14,267
Ebos Group, Ltd...................................... 9,036 23,219
Enerco New Zealand, Ltd.............................. 159,734 489,129
Ernest Adams, Ltd.................................... 20,495 21,395
*Evergreen Forests, Ltd.............................. 122,501 26,232
Fernz Corp., Ltd..................................... 191,102 511,523
Fisher & Paykel Industries, Ltd...................... 155,290 444,761
Force Corp., Ltd..................................... 291,114 113,767
Hallenstein Glassons Holdings, Ltd................... 109,038 78,803
Hellaby Holdings, Ltd................................ 61,379 60,788
*Kingsgate International Corp., Ltd.................. 479,679 36,721
LWR Industries, Ltd.................................. 73,706 44,193
Michael Hill International, Ltd...................... 47,040 47,847
Milburn New Zealand, Ltd............................. 258,541 228,372
Natural Gas Corp. Holdings, Ltd...................... 42,200 40,664
*New Zealand Oil & Gas, Ltd.......................... 189,110 34,421
New Zealand Refining Co., Ltd........................ 42,119 374,297
Northland Port Corp. (New Zealand), Ltd.............. 77,971 56,350
Nuplex Industries, Ltd............................... 80,695 120,958
*Otter Gold Mines, Ltd............................... 89,321 57,381
Owens Group, Ltd..................................... 94,922 72,158
PDL Holdings, Ltd.................................... 16,581 56,809
Pacific Retail Group, Ltd............................ 52,744 16,942
Port of Tauranga, Ltd................................ 143,746 211,621
Ports of Auckland.................................... 177,558 551,313
Progessive Enterprises, Ltd.......................... 395,773 279,672
Radio Pacific, Ltd................................... 5,200 10,022
Reid Farmers, Ltd.................................... 68,334 16,828
Richina Pacific, Ltd................................. 130,366 75,373
Sanford, Ltd......................................... 174,612 261,735
Scott Technology, Ltd................................ 23,274 19,686
*Seafresh Fisheries.................................. 80,520 8,621
Shortland Properties, Ltd............................ 381,380 153,126
South Eastern Utilities, Ltd......................... 73,279 33,345
South Port New Zealand, Ltd.......................... 39,528 18,198
St. Lukes Group, Ltd................................. 274,269 231,987
Steel & Tube Holdings, Ltd........................... 117,010 95,213
*Summit Gold, Ltd.................................... 107,419 9,201
Tasman Agriculture, Ltd.............................. 263,200 107,085
</TABLE>
185
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
<S> <C> <C>
SHARES VALUE+
------------ ------------
Taylors Group, Ltd................................... 29,646 $ 13,966
*Tourism Holdings, Ltd............................... 48,840 26,669
Trans Tasman Properties, Ltd......................... 593,308 161,987
Warehouse Group, Ltd................................. 251,743 539,072
Waste Management NZ, Ltd............................. 74,544 227,466
Williams & Kettle, Ltd............................... 17,172 14,800
Wrightson, Ltd....................................... 317,720 86,745
Zuellig NZ, Ltd...................................... 148,825 36,251
------------
TOTAL COMMON STOCKS
(Cost $11,558,214)................................... 7,371,798
------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $27,928)..................................... 27,405
------------
RIGHTS/WARRANTS -- (0.0%)
*Tourism Holdings, Ltd. Rights 06/09/98
(Cost $0).......................................... 13,954 2,092
------------
TOTAL -- NEW ZEALAND
(Cost $11,586,142)................................... 7,401,295
------------
SOUTH KOREA -- (0.0%)
COMMON STOCKS -- (0.0%)
Hangdo Merchant Bank................................. 3 0
*Korea Green Cross Co., Ltd.......................... 4 94
------------
TOTAL -- SOUTH KOREA
(Cost $243).......................................... 94
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.0%)
Repurchase Agreement, PNC Capital Markets Inc.
5.25%, 06/01/98 (Collateralized by U.S. Treasury
Notes 5.25%, 01/31/01, valued at $3,964,388) to
be repurchased at $3,902,707.
(Cost $3,901,000)............................... $3,901 3,901,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $232,884,430)++................................ $128,479,082
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
186
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
UNITED KINGDOM -- (98.6%)
COMMON STOCKS -- (98.2%)
600 Group P.L.C....................................... 123,110 $ 297,120
*AAF Industries P.L.C................................. 53,256 44,291
ABI Leisure Group P.L.C............................... 73,000 16,071
AIM Group P.L.C....................................... 32,063 147,184
API Group P.L.C....................................... 51,500 537,482
ASDA Property Holdings P.L.C.......................... 94,000 289,712
*ASW Holdings P.L.C................................... 385,900 204,520
Abacus Polar P.L.C.................................... 125,000 204,858
Abbeycrest P.L.C...................................... 61,590 163,208
Abbot Group P.L.C..................................... 92,595 314,826
Abbott Mead Vickers P.L.C............................. 141,750 970,843
Aberdeen Trust P.L.C.................................. 38,500 78,792
Acal P.L.C............................................ 2,000 11,545
Acatos & Hutcheson P.L.C.............................. 79,000 305,318
*Acorn Computer Group P.L.C........................... 100,000 206,285
Adam & Harvey Group P.L.C............................. 10,500 54,364
Admiral P.L.C......................................... 120,000 2,416,712
Adscene Group P.L.C................................... 48,933 140,839
Adwest Group P.L.C.................................... 184,250 467,213
*African Lakes Corp. P.L.C............................ 6,208 5,112
Airflow Streamlines P.L.C............................. 20,500 72,208
Airsprung Furniture Group P.L.C....................... 58,000 151,803
Alba P.L.C............................................ 110,625 353,579
*Alexanders Holdings P.L.C............................ 188,000 75,110
Alexandra Workwear P.L.C.............................. 86,243 229,942
*Alexon Group P.L.C................................... 121,500 490,375
Allders P.L.C......................................... 16,000 62,489
Allen P.L.C........................................... 25,000 184,882
Allied Leisure P.L.C.................................. 265,166 138,371
Allied London Properties P.L.C........................ 154,852 251,256
Allied Textile Companies P.L.C........................ 156,033 360,039
Alpha Airports Group P.L.C............................ 307,000 610,766
*Alphameric P.L.C..................................... 1,637 1,001
Alumasc Group P.L.C................................... 85,000 279,300
Alvis P.L.C........................................... 150,000 503,889
Amber Industrial Holdings P.L.C....................... 42,000 86,640
Amey P.L.C............................................ 50,000 660,438
Andrews Sykes Group P.L.C............................. 40,730 830,235
*Anglesey Mining P.L.C................................ 55,000 7,399
Anglian Group P.L.C................................... 157,850 640,945
Anglo Eastern Plantations P.L.C....................... 57,166 48,941
*Anite Group P.L.C.................................... 250,000 297,605
Arcolectric Holdings P.L.C............................ 10,000 12,149
Arlen P.L.C........................................... 200,728 108,837
Armitage Brothers P.L.C............................... 4,000 13,372
Armour Trust P.L.C.................................... 198,500 71,213
Ascot P.L.C........................................... 38,461 221,400
Ash & Lacy P.L.C...................................... 91,098 257,742
*Associated British Engineering P.L.C................. 534,500 13,074
Associated Nursing Services P.L.C..................... 50,000 133,718
*Aukett Associates P.L.C.............................. 142,375 17,413
Austin Reed Group P.L.C............................... 68,999 229,535
Avesco P.L.C.......................................... 23,999 180,610
Avon Rubber P.L.C..................................... 60,364 690,038
Avonside Group P.L.C.................................. 50,000 37,506
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Azlan Group P.L.C.................................... 120,000 $ 102,735
BNB Resources P.L.C................................... 49,000 157,013
BPP Holdings P.L.C.................................... 57,450 740,106
BS P.L.C.............................................. 7,000 16,723
BSG International P.L.C............................... 59,597 180,765
*BWI P.L.C............................................ 102,452 144,515
Babcock International Group P.L.C..................... 122,557 168,877
Baggeridge Brick P.L.C................................ 98,000 188,575
Bailey (Ben) Construction P.L.C....................... 26,000 30,527
Bailey (C.H.) P.L.C................................... 109,500 19,642
Bailey (C.H.) P.L.C. Class B.......................... 10,000 3,261
Baldwin P.L.C......................................... 51,000 103,958
Bandt P.L.C........................................... 315,000 192,628
Banks (Sidney C.) P.L.C............................... 26,736 84,581
Barbour Index P.L.C................................... 41,000 145,753
Barlows P.L.C......................................... 50,000 50,144
Barr & Wallace Arnold Trust P.L.C..................... 16,000 48,269
Barr (A.G.) P.L.C..................................... 43,000 354,109
Baynes (Charles) P.L.C................................ 341,378 590,090
Beales Hunter P.L.C................................... 22,254 31,028
*Bearing Power International P.L.C.................... 81,757 23,331
Beattie (James) P.L.C................................. 92,247 283,557
Beauford P.L.C........................................ 1,312 225
Bellway P.L.C......................................... 93,000 606,624
*Bellwinch P.L.C...................................... 163,266 65,229
Bemrose Corp. P.L.C................................... 94,500 705,017
Benchmark Group P.L.C................................. 26,892 117,307
Benson Group P.L.C.................................... 77,856 58,402
Bentalls P.L.C........................................ 91,617 209,908
Beradin Holdings P.L.C................................ 37,000 22,626
Berisford P.L.C....................................... 200,000 831,662
Bespak P.L.C.......................................... 55,918 884,505
Betacom P.L.C......................................... 149,652 118,359
Bett Brothers P.L.C................................... 33,108 90,972
*Beverley Group P.L.C................................. 86,820 1,062
Bilton P.L.C.......................................... 180,000 796,928
*Biocompatibles International P.L.C................... 9,000 20,180
Birkby P.L.C.......................................... 108,157 304,243
*Birkdale Group P.L.C................................. 33,600 1,370
Birse Group P.L.C..................................... 421,901 168,560
Black (A & C) P.L.C................................... 2,250 14,676
Black (Peter) Holdings P.L.C.......................... 134,495 852,067
Black Arrow Group P.L.C............................... 56,500 118,394
Blacks Leisure Group P.L.C............................ 69,959 422,677
Blagden Industries P.L.C.............................. 159,892 469,327
Blick P.L.C........................................... 68,555 466,737
Blockleys P.L.C....................................... 73,918 58,461
*Bolton Group (International), Ltd.................... 23,000 1,313
Boosey & Hawkes P.L.C................................. 47,500 487,990
Boot (Henry) & Sons P.L.C............................. 57,000 250,966
*Booth Industries Group P.L.C......................... 5,000 3,343
Bostrom P.L.C......................................... 36,000 181,987
Bourne End Properties P.L.C........................... 141,021 139,128
Bradstock Group P.L.C................................. 130,000 129,315
Brammer (H.) P.L.C.................................... 97,000 1,154,706
Brasway P.L.C......................................... 208,631 55,285
Breedon P.L.C......................................... 65,428 128,033
</TABLE>
187
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Brent International P.L.C............................. 149,531 $ 286,514
*Brent Walker Group P.L.C............................. 128,571 0
Bridgend Group P.L.C.................................. 93,000 21,232
Bridport-Gundry P.L.C................................. 38,500 73,769
Bristol United Press P.L.C............................ 40,500 312,057
Bristol Water Holdings P.L.C.......................... 12,000 306,247
Britannia Group P.L.C................................. 50,000 32,614
British Dredging P.L.C................................ 45,600 140,541
British Fittings Group P.L.C.......................... 62,658 108,819
British Mohair Holdings P.L.C......................... 31,500 45,203
British Polythene Industries P.L.C.................... 56,740 446,440
British Steam Specialties Group P.L.C................. 56,505 326,187
*British Thornton Holdings P.L.C...................... 35,000 25,398
British-Borneo Petroleum Syndicate P.L.C.............. 7,700 49,096
Brockhampton Holdings P.L.C........................... 12,000 36,593
Brockhampton Holdings P.L.C. Series A Non-Voting...... 48,000 72,795
Brooke Industrial Holdings P.L.C...................... 15,574 36,825
Brooks Service Group P.L.C............................ 25,500 51,355
*Brown & Jackson P.L.C................................ 522,019 417,118
Brown (David) Group P.L.C............................. 6,000 25,684
Brunel Holdings P.L.C................................. 276,000 49,508
Budgens P.L.C......................................... 370,137 461,743
Bulgin (A.F.) & Co. P.L.C............................. 4,000 9,132
Bulgin (A.F.) & Co. P.L.C. Class A Non-Voting......... 52,000 13,144
*Bullers P.L.C........................................ 97 0
Bullough P.L.C........................................ 256,000 425,811
Bulmer (H.P.) Holdings P.L.C.......................... 60,500 354,675
Burn Stewart Distillers P.L.C......................... 142,500 48,799
*Burnden Leisure P.L.C................................ 33,000 9,148
Burndene Investments P.L.C............................ 220,001 123,771
Burtonwood Brewery P.L.C.............................. 52,000 154,754
CLS Holdings P.L.C.................................... 102,907 242,488
CRT Group P.L.C....................................... 40,000 283,091
Caffyns P.L.C......................................... 6,000 34,734
*Cairn Energy P.L.C................................... 13,000 67,308
Cala P.L.C............................................ 98,400 204,589
Calderburn P.L.C...................................... 107,636 86,884
Camellia P.L.C........................................ 2,950 204,450
*Campari International P.L.C.......................... 25,000 0
Canning (W.) P.L.C.................................... 68,354 309,317
*Cantab Pharmaceuticals P.L.C......................... 100,000 438,661
Cape P.L.C............................................ 119,518 297,221
Capital Corp. P.L.C................................... 135,000 220,146
Capital Industries P.L.C.............................. 75,937 178,317
Carclo Engineering Group P.L.C........................ 135,463 434,070
*Cardinal Business Group P.L.C........................ 25,000 2,854
*Carlisle Group P.L.C................................. 375,000 82,555
Carpetright P.L.C..................................... 20,000 103,061
Carr's Milling Industries P.L.C....................... 19,000 42,292
Castings P.L.C........................................ 102,000 388,386
*Castle Mill International P.L.C...................... 31,500 1,669
*Cathay International P.L.C........................... 439,600 66,310
Caverdale Group P.L.C................................. 63,924 179,817
*Celltech P.L.C....................................... 7,000 39,781
Chamberlin & Hill P.L.C............................... 18,000 66,778
Channel Holdings P.L.C................................ 230,500 50,744
Chemring Group P.L.C.................................. 49,000 137,436
Chesterfield Properties P.L.C......................... 25,000 248,683
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Chiroscience Group P.L.C............................. 10,000 $ 52,590
Chloride Group P.L.C.................................. 535,500 430,073
Christie Group P.L.C.................................. 50,846 47,676
Chrysalis Group P.L.C................................. 72,036 908,629
Church & Co. P.L.C.................................... 26,500 178,689
City Centre Restaurants P.L.C......................... 408,500 945,926
*City Site Estates P.L.C.............................. 20,000 11,252
Claremont Garments (Holdings) P.L.C................... 135,700 110,644
Clark (Matthew) P.L.C................................. 50,000 162,256
Clarkson (Horace) P.L.C............................... 44,733 95,195
*Clinical Computing P.L.C............................. 40,000 58,379
Clinton Cards P.L.C................................... 132,000 300,279
Cliveden P.L.C........................................ 13,570 22,239
*Clubhaus P.L.C....................................... 27,733 42,059
Clyde Blowers P.L.C................................... 19,635 56,514
*Coal Investments P.L.C............................... 1,102 0
*Coda Group P.L.C..................................... 14,898 43,001
*Cohen (A.) & Co. P.L.C............................... 2,100 12,499
*Cohen (A.) & Co. P.L.C. Class A Non-Voting........... 1,500 6,971
Colefax & Fowler Group P.L.C.......................... 60,000 113,987
*Colorvision P.L.C.................................... 50,000 0
Community Hospitals Group P.L.C....................... 81,333 730,131
Concentric P.L.C...................................... 120,035 290,677
Conrad Ritblat Group P.L.C............................ 44,248 264,450
*Consolidated Coal P.L.C.............................. 9,166 486
Cornwell Parker P.L.C................................. 78,333 194,801
Cosalt P.L.C.......................................... 30,700 126,409
*Costain Group P.L.C.................................. 112,060 70,354
Countryside Property P.L.C............................ 168,259 316,911
Courtaulds Textiles P.L.C............................. 75,000 363,852
Courts P.L.C.......................................... 134,722 856,801
Coutts Consulting Group P.L.C......................... 92,000 48,008
Cradley Group Holdings P.L.C.......................... 80,000 69,794
Crest Nicholson P.L.C................................. 311,250 705,506
Crestacare P.L.C...................................... 381,864 205,494
*Creston Land & Estates P.L.C......................... 50,000 7,746
Cropper (James) P.L.C................................. 22,000 82,514
Culver Holdings P.L.C................................. 338 251
Cussins Property Group P.L.C.......................... 43,750 83,115
Daejan Holdings P.L.C................................. 23,000 639,483
Dagenham Motors Group P.L.C........................... 50,752 115,453
*Dares Estates P.L.C.................................. 150,000 33,633
Dart Group P.L.C...................................... 37,000 269,100
Dawson Group P.L.C.................................... 100,674 415,350
Dawson International P.L.C............................ 408,769 346,624
*Deanes Holdings P.L.C................................ 4,316 282
Debenham Tewson & Chinnocks Holdings P.L.C............ 89,500 174,409
*Delaney Group P.L.C.................................. 270,000 9,907
Delphi Group P.L.C.................................... 51,183 577,993
Delyn Group P.L.C. ................................... 22,500 42,195
Denby Group P.L.C..................................... 41,237 107,593
Dencora P.L.C......................................... 23,000 87,202
Densitron International P.L.C......................... 42,386 33,868
Derwent Valley Holdings P.L.C......................... 90,000 843,159
Development Securities P.L.C.......................... 62,000 324,544
Dewhirst Group P.L.C.................................. 275,760 1,072,498
Dewhurst P.L.C........................................ 9,000 8,586
Dewhurst P.L.C. Class A Non-Voting.................... 15,500 12,385
*Dialog Corp. P.L.C................................... 15,000 35,590
</TABLE>
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Diploma P.L.C......................................... 96,000 $ 345,971
Dixon Motors P.L.C.................................... 55,408 256,155
Doeflex P.L.C......................................... 25,762 116,999
Dolphin Packaging P.L.C............................... 49,110 212,223
Domino Printing Sciences P.L.C........................ 117,187 858,030
*Donelon Tyson P.L.C.................................. 322,588 0
Dorling Kindersley Holdings P.L.C..................... 20,000 86,101
Dowding & Mills P.L.C................................. 336,440 375,816
Drummond Group P.L.C.................................. 26,250 8,561
Dyson (J.& J.) P.L.C. Class A Non-Voting.............. 28,500 46,475
EBC Group P.L.C....................................... 30,000 31,799
EIS Group P.L.C....................................... 113,333 940,699
*ERA Group P.L.C...................................... 400,000 27,722
Eadie Holdings P.L.C.................................. 118,000 23,572
East Surrey Holdings P.L.C............................ 36,800 174,629
Eclipse Blinds P.L.C.................................. 85,670 175,327
Edinburgh Fund Managers Group P.L.C................... 61,000 598,332
Elbief P.L.C.......................................... 23,500 11,688
*Eleco Holdings P.L.C................................. 104,685 52,494
Electronic Data Processing P.L.C...................... 55,200 88,665
*Electronics Boutique P.L.C........................... 50,000 79,905
Elliott (B.) & Co. P.L.C.............................. 6,087 10,919
Ellis & Everard P.L.C................................. 224,935 1,094,909
Emess P.L.C........................................... 288,250 126,914
English & Overseas Properties P.L.C................... 76,000 123,314
Epwin Group P.L.C..................................... 58,000 156,059
Eurocamp P.L.C........................................ 78,439 395,246
Eurocopy P.L.C........................................ 131,000 49,133
Eurodis Electron P.L.C................................ 70,000 201,474
Euromoney Publications P.L.C.......................... 25,000 932,562
European Colour P.L.C................................. 82,090 95,713
European Motor Holdings P.L.C......................... 118,325 205,496
Evans Halshaw Holdings P.L.C.......................... 70,687 342,928
Evans of Leeds P.L.C.................................. 80,000 218,515
Expamet International P.L.C........................... 139,749 366,903
*Eyecare Products P.L.C............................... 250,000 79,497
FII Group P.L.C....................................... 41,166 59,746
Faber Prest P.L.C..................................... 29,500 235,719
Fairey Group P.L.C.................................... 8,226 59,894
Falcon Holdings P.L.C................................. 5,500 14,619
*Falkland Islands Holdings P.L.C...................... 2,755 8,042
Farepak P.L.C......................................... 90,000 271,513
*Farringford P.L.C.................................... 30,000 10,029
Fenner P.L.C.......................................... 215,276 679,287
Ferguson International Holdings P.L.C................. 89,105 135,860
Field Group P.L.C..................................... 10,000 62,782
Fife Indmar P.L.C..................................... 24,000 25,243
Fine Art Developments P.L.C........................... 8,000 26,417
Finelist Group P.L.C.................................. 7,000 41,208
Finlay (James) P.L.C.................................. 220,370 510,291
First Choice Holidays................................. 531,581 1,313,284
First Technology P.L.C................................ 110,250 734,425
Firth (G.M.) Holdings P.L.C........................... 163,080 98,396
Firth Rixson P.L.C.................................... 312,666 856,578
Fitch P.L.C........................................... 15,500 17,314
Five Oaks Investments P.L.C........................... 150,000 105,792
*Flare Group P.L.C.................................... 20,600 7,558
Fletcher King P.L.C................................... 17,500 11,558
Folkes Group P.L.C.................................... 28,000 31,962
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Folkes Group P.L.C. Non-Voting........................ 65,500 $ 74,768
Forminster P.L.C...................................... 32,500 69,162
Forth Ports P.L.C..................................... 51,000 551,392
*Fortune Oil P.L.C.................................... 609,000 94,345
*Forward Technology Industries P.L.C.................. 84,260 21,985
*Foster (John) & Son P.L.C............................ 27,500 1,906
Frederick Cooper P.L.C................................ 5,796 6,096
French Connection Group P.L.C......................... 25,000 175,301
French P.L.C.......................................... 32,000 18,525
Friendly Hotels P.L.C................................. 50,212 125,688
Frogmore Estates P.L.C................................ 51,000 423,316
Frost Group P.L.C..................................... 175,080 284,077
*GBE International P.L.C.............................. 149,628 25,010
GEI International P.L.C............................... 87,000 160,315
GWR Group P.L.C....................................... 35,698 131,853
Galliford P.L.C....................................... 239,500 91,780
Gardiner Group P.L.C.................................. 310,500 136,711
Garton Engineering P.L.C.............................. 10,248 34,509
Gaskell P.L.C......................................... 9,000 63,549
Geest P.L.C........................................... 85,000 800,475
Gerrard Group P.L.C................................... 123,860 814,988
Gibbs & Dandy P.L.C................................... 4,500 9,466
Gibbs & Dandy P.L.C. Class A Non-Voting............... 11,000 15,965
Gleeson (M.J.) Group P.L.C............................ 22,471 373,766
Glenmorangie P.L.C.................................... 20,000 254,391
Go-Ahead Group P.L.C.................................. 4,000 45,497
Goldsmiths Group P.L.C................................ 50,000 243,791
Goode Durrant P.L.C................................... 122,500 1,138,643
Goodhead Group P.L.C.................................. 36,000 30,233
Graham Group P.L.C.................................... 13,000 39,537
Grainger Trust, Ltd................................... 22,000 127,358
Grampian Holdings P.L.C............................... 200,324 465,505
Graystone P.L.C....................................... 327,496 192,258
Greenway Holdings P.L.C............................... 60,197 56,444
*Greenwich Resources P.L.C............................ 219,332 100,147
Greggs P.L.C.......................................... 26,000 1,118,259
Greycoat P.L.C........................................ 185,000 739,119
Guiness Peat Group P.L.C.............................. 181,641 93,304
H & C Furnishings P.L.C............................... 40,750 195,035
Haden Maclellan Holdings P.L.C........................ 250,224 640,627
Haggas (John) P.L.C................................... 59,000 71,678
Hall Engineering (Holdings) P.L.C..................... 110,528 322,628
Halstead (James) Group P.L.C.......................... 67,534 253,295
Hambro Countrywide P.L.C.............................. 624,000 1,404,237
Hamley's P.L.C........................................ 22,500 98,148
*Hamley's P.L.C. Series B............................. 25,000 10,192
Hampden Group P.L.C................................... 25,000 43,010
Hampson Industries P.L.C.............................. 283,463 362,863
*Hampton Trust P.L.C.................................. 232,050 100,278
Hardys & Hansons P.L.C................................ 48,000 207,818
Hartstone Group P.L.C................................. 800,263 150,075
Havelock Europa P.L.C................................. 64,250 141,444
Hawtal Whiting Holdings P.L.C......................... 22,588 21,548
Hawtin P.L.C.......................................... 196,500 103,340
*Hay (Norman) P.L.C................................... 48,000 47,356
Haynes Publishing Group P.L.C......................... 14,703 68,932
Hazlewood Foods P.L.C................................. 50,000 175,301
Headlam Group P.L.C................................... 110,773 709,007
Heath (Samuel) & Sons P.L.C........................... 7,500 17,734
*Helene P.L.C......................................... 416,326 0
Helical Bar P.L.C..................................... 35,000 378,121
</TABLE>
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Hemingway Properties P.L.C............................ 200,000 $ 147,579
Henlys Group P.L.C.................................... 5,931 57,837
Hewetson P.L.C........................................ 31,428 87,125
Hi-Tech Sports P.L.C.................................. 132,446 104,751
Hicking Pentecost P.L.C............................... 49,096 184,141
Hickson International P.L.C........................... 387,128 565,008
*High-Point P.L.C..................................... 57,510 51,580
*Highbury House Communications P.L.C.................. 250,000 58,094
Hill & Smith Holdings P.L.C........................... 86,850 97,015
Hodder Headline P.L.C................................. 61,000 266,091
Hogg Robinson P.L.C................................... 186,000 984,248
*Hollas Group P.L.C................................... 354,000 12,989
*Holmes & Marchant Group P.L.C........................ 54,000 18,272
Holt (Joseph) P.L.C................................... 6,000 197,153
Hopkinsons Group P.L.C................................ 310,557 169,654
*Horace Small Apparel P.L.C........................... 82,500 129,825
How Group P.L.C....................................... 88,000 159,288
Howard Holdings P.L.C................................. 57,730 21,652
Hozelock Group P.L.C.................................. 11,320 66,916
Hunting P.L.C......................................... 218,695 953,980
*Huntingdon Life Sciences Group P.L.C................. 138,000 90,015
IBC P.L.C............................................. 96,470 837,700
ISA International P.L.C............................... 95,214 114,897
Ibstock P.L.C......................................... 625,200 570,931
Iceland Group P.L.C................................... 34,000 135,006
Ideal Hardware P.L.C.................................. 20,000 99,473
Ilion Group P.L.C..................................... 6,000 9,246
Incepta Group P.L.C................................... 176,000 83,231
Industrial Control Services Group P.L.C............... 26,666 20,003
Inn Business Group.................................... 150,471 175,443
Inspec Group P.L.C.................................... 25,000 126,788
Intelek P.L.C......................................... 79,904 22,151
Intereurope Technology Services P.L.C................. 23,500 47,327
*International Tool & Supply P.L.C.................... 159,187 16,224
Isotron P.L.C......................................... 30,500 285,986
Ivory & Sime P.L.C.................................... 78,125 267,538
JBA Holdings P.L.C.................................... 50,000 538,134
JLI Group P.L.C....................................... 103,000 104,977
Jackson Group P.L.C................................... 47,237 53,921
Jacobs (John I.) P.L.C................................ 116,000 180,650
James Dickie P.L.C.................................... 25,000 42,806
Jardine Lloyd Thompson Group P.L.C.................... 392,800 1,226,640
Jarvis P.L.C.......................................... 95,086 1,185,416
Jarvis Porter Group P.L.C............................. 99,894 320,095
Jerome (S.) & Sons Holdings P.L.C..................... 27,562 19,551
Jeyes Group P.L.C..................................... 50,000 204,654
Johnson Group Cleaners P.L.C.......................... 110,535 559,678
Johnston Group P.L.C.................................. 26,000 133,555
Jones & Shipman P.L.C................................. 29,500 10,824
Jones Stroud Holdings P.L.C........................... 38,144 181,940
Joseph (Leopold) Holdings P.L.C....................... 14,000 140,404
Jourdan (Thomas) P.L.C................................ 40,000 43,051
Kalamazoo Computer Group P.L.C........................ 56,120 48,046
Keller Group P.L.C.................................... 5,000 20,343
Kelsey Industries P.L.C............................... 7,500 52,590
*Kendell P.L.C........................................ 568,260 0
*Kenwood Appliances P.L.C............................. 100,892 178,510
<CAPTION>
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Kode International P.L.C.............................. 43,100 $ 102,965
Kunick P.L.C.......................................... 600,000 322,881
Laing (John) P.L.C.................................... 107,026 630,920
Lambert Fenchurch P.L.C............................... 202,000 383,755
Lambert Howarth Group P.L.C........................... 34,000 121,423
Lambert Smith Hampton P.L.C........................... 3,591 10,453
Lamont Holdings P.L.C................................. 72,231 163,725
*Laura Ashley Holdings P.L.C.......................... 166,100 92,093
Leeds Group P.L.C..................................... 86,938 129,720
Leslie Wise Group P.L.C............................... 107,000 24,428
Liberty P.L.C......................................... 51,875 226,287
Lilleshall P.L.C...................................... 80,564 137,945
Linton Park P.L.C..................................... 39,000 257,571
Linx Printing Technologies P.L.C...................... 36,000 84,830
Lionheart P.L.C....................................... 20,997 5,050
*Lister & Co. P.L.C................................... 41,000 0
Litho Supplies P.L.C.................................. 100,000 344,080
Locker (Thomas) Holdings P.L.C........................ 176,168 74,693
London Scottish Bank P.L.C............................ 281,000 675,889
Lookers P.L.C......................................... 53,160 101,859
Lopex P.L.C........................................... 154,948 140,235
*Lovell (Y.J.) Holdings P.L.C......................... 70,932 13,302
Low & Bonar P.L.C..................................... 35,000 238,573
Lowe (Robert H.) & Co. P.L.C.......................... 251,985 86,292
Lyles (S.) P.L.C...................................... 16,000 21,264
Lynx Holdings P.L.C................................... 100,000 366,094
M.R. Data Management Group P.L.C...................... 123,158 302,257
ML Holdings P.L.C..................................... 350,132 373,981
MMT Computing P.L.C................................... 3,000 69,468
MS International P.L.C................................ 71,500 23,902
MacFarlane Group Clansman P.L.C....................... 292,687 775,592
Macro 4 P.L.C......................................... 50,000 399,524
Mallett P.L.C......................................... 37,437 74,785
Manchester United P.L.C............................... 22,000 52,737
Manganese Bronze Holdings P.L.C....................... 46,184 372,798
Mansfield Brewery P.L.C............................... 143,892 709,805
Marshalls P.L.C....................................... 275,100 715,530
Martin International Holdings P.L.C................... 97,000 69,599
Marylebone Warwick Balfour Group P.L.C................ 41,600 75,300
Matthews (Bernard) P.L.C.............................. 273,942 491,392
Maunders (John) Group P.L.C........................... 61,000 208,397
Mayflower Corp. P.L.C................................. 45,000 175,383
McAlpine (Alfred) P.L.C............................... 171,111 464,589
McCarthy & Stone P.L.C................................ 209,968 647,130
*McDonnell Information Systems Group P.L.C............ 238,000 370,644
McKay Securities P.L.C................................ 87,000 214,226
McLeod Russel Holdings P.L.C.......................... 149,524 430,360
Meggitt P.L.C......................................... 492,603 1,863,639
Mentmore Abbey P.L.C.................................. 76,090 98,024
Menzies (John) P.L.C.................................. 5,000 41,746
Merchant Retail Group P.L.C........................... 224,766 186,013
Meristem P.L.C........................................ 84,250 98,232
Merrydown P.L.C....................................... 35,000 29,108
Metal Bulletin P.L.C.................................. 24,000 510,738
Metalrax Group P.L.C.................................. 338,740 599,340
*Metaltech International P.L.C........................ 401,163 91,585
*Micro Focus Group P.L.C.............................. 172,500 1,568,233
*Microgen Holdings P.L.C.............................. 88,000 182,966
Microvitec P.L.C...................................... 100,000 20,384
Mitie Group P.L.C..................................... 125,000 628,843
</TABLE>
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Molins P.L.C.......................................... 68,000 $ 276,112
Moorfield Estates P.L.C............................... 150,000 84,389
Morland & Co. P.L.C................................... 66,380 441,105
Moss Brothers Group P.L.C............................. 240,500 982,425
Mowlem (John) & Co. P.L.C............................. 389,326 828,516
Mucklow (A & J) Group P.L.C........................... 175,000 452,318
Narborough Plantations P.L.C.......................... 63,829 16,654
Nestor - BNA P.L.C.................................... 180,200 965,310
*Newmarket Venture Capital P.L.C...................... 80,000 3,261
Nichols (J.N.) (Vimto) P.L.C.......................... 98,750 353,467
Nightfreight P.L.C.................................... 125,000 73,382
Norcros P.L.C......................................... 292,857 353,398
Northamber P.L.C...................................... 75,888 290,816
Northern Leisure P.L.C................................ 2,488 21,037
Novara P.L.C.......................................... 88,591 158,191
*OEM P.L.C............................................ 12,000 7,143
OMI International P.L.C............................... 173,158 31,061
Ocean Wilson Holdings, Ltd............................ 84,250 163,491
*Oceonics Group P.L.C................................. 52,760 17,207
Ockham Holdings P.L.C................................. 122,000 307,373
*Oliver Group P.L.C................................... 68,000 29,940
Olives Property P.L.C................................. 126,208 83,353
Orbis P.L.C........................................... 100,000 92,950
Osborne & Little P.L.C................................ 14,500 138,325
*Osprey Communications P.L.C.......................... 23,524 4,987
*Owen & Robinson P.L.C................................ 9,485 1,005
Oxford Instruments P.L.C.............................. 109,838 570,478
*Oxford Molecular Group P.L.C......................... 25,000 85,205
P & P P.L.C........................................... 129,250 630,200
*PGA European Tour Courses P.L.C...................... 80,000 58,706
PWS Holdings P.L.C.................................... 134,428 48,227
Paragon Group of Companies P.L.C...................... 22,000 88,972
Parity P.L.C.......................................... 56,250 784,270
Park Food Group P.L.C................................. 382,500 383,604
Parkland Group P.L.C.................................. 30,000 24,461
Partridge Fine Arts P.L.C............................. 58,000 80,867
Paterson Zochonis P.L.C............................... 22,000 165,745
Paterson Zochonis P.L.C. Non-Voting................... 27,000 183,381
Pemberstone P.L.C..................................... 9,158 10,528
Pendragon P.L.C....................................... 95,750 437,193
Perkins Foods P.L.C................................... 280,000 607,276
Perry Group P.L.C..................................... 61,666 238,828
*Pex P.L.C............................................ 85,517 4,532
Photo-Me International P.L.C.......................... 145,000 701,083
Pifco Holdings P.L.C.................................. 20,000 69,631
Pifco Holdings P.L.C. Class A......................... 20,000 64,250
Pittards P.L.C........................................ 60,985 43,260
*Pittencrieff Resources P.L.C......................... 74,000 38,012
Plantation & General Investment P.L.C................. 70,623 83,495
Plysu P.L.C........................................... 105,858 318,491
Polypipe P.L.C........................................ 10,000 30,739
Porter Chadburn P.L.C................................. 256,000 135,675
Portmeirion Potteries (Holdings) P.L.C................ 22,856 94,111
Portsmouth & Sunderland Newspapers P.L.C.............. 26,346 410,294
Porvair P.L.C......................................... 35,000 188,347
Premier Consolidated Oilfields P.L.C.................. 2,488 1,907
*Premier Land P.L.C................................... 50,000 7,746
Pressac Holdings P.L.C................................ 94,000 488,218
Prestwick Holdings P.L.C.............................. 90,000 52,101
<CAPTION>
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<S> <C> <C>
Princedale Group P.L.C................................ 250,000 $ 78,478
Property Partnerships P.L.C........................... 10,000 47,698
*Prospect Industries P.L.C............................ 372,477 0
Proudfoot P.L.C....................................... 202,646 158,619
Prowting P.L.C........................................ 173,630 421,879
Psion P.L.C........................................... 7,000 25,741
*QS Holdings P.L.C.................................... 95,775 42,950
*Quadrant Group P.L.C................................. 5,662 3,278
*Quality Software Products Holdings P.L.C............. 5,000 40,564
Queensborough Holdings P.L.C.......................... 53,000 21,607
Quick Group P.L.C..................................... 57,866 153,339
Quintain Estates & Development P.L.C.................. 7,000 22,373
RCO Holdings P.L.C.................................... 27,000 84,316
*RMS Communications P.L.C............................. 15,000 17,245
Radamec Group P.L.C................................... 35,000 47,087
Raglan Property P.L.C................................. 104,631 44,362
Ransom (William) & Son P.L.C.......................... 30,000 31,799
Rea Brothers Group P.L.C.............................. 106,562 112,083
Rea Holdings P.L.C.................................... 30,183 86,135
Readicut International P.L.C.......................... 473,263 326,066
Real Time Control P.L.C............................... 10,000 91,727
Rebus Group P.L.C..................................... 75,000 141,872
Record Holdings P.L.C................................. 89,727 79,744
*Reece P.L.C.......................................... 283,750 11,568
Reed Executive P.L.C.................................. 116,500 338,160
Reg Vardy P.L.C....................................... 128,597 555,717
Regal Hotel Group P.L.C............................... 200,000 138,610
*Regent Corp. P.L.C................................... 2,488 0
Regent Inns P.L.C..................................... 85,000 535,036
Relyon Group P.L.C.................................... 45,777 455,359
Renishaw P.L.C........................................ 160,806 1,282,295
Renold P.L.C.......................................... 144,000 666,895
Ricardo Group P.L.C................................... 96,709 341,430
*Richards Group P.L.C................................. 640 574
Richards P.L.C........................................ 61,500 26,075
Richardsons Westgarth P.L.C........................... 79,911 114,023
*Richmond Oil & Gas P.L.C............................. 220,000 0
*Rodime P.L.C......................................... 261,000 6,384
Rolfe & Nolan P.L.C................................... 24,000 145,785
*Ross Group P.L.C..................................... 13,200 1,022
Rotork P.L.C.......................................... 197,344 1,245,408
Rowe Evans Investments P.L.C.......................... 114,417 111,016
Roxboro Group P.L.C................................... 5,000 23,156
Roxspur P.L.C......................................... 674,648 115,416
Royal Doulton P.L.C................................... 10,000 34,897
Rubicon Group P.L.C................................... 47,890 185,475
Russell (Alexander) P.L.C............................. 47,500 74,748
Rutland Trust P.L.C................................... 684,000 713,860
S & U P.L.C........................................... 29,040 161,010
SEP Industrial Holdings P.L.C......................... 200,000 92,135
SIG P.L.C............................................. 103,200 458,588
*Salvesen (Christian) P.L.C........................... 100,000 203,839
Sanderson Bramall Motor Group P.L.C................... 79,166 372,444
Sanderson Electronics P.L.C........................... 90,000 215,009
Saville (J.) Gordon Group P.L.C....................... 417,926 490,692
Savills P.L.C......................................... 104,000 245,911
Scholl P.L.C.......................................... 154,250 1,276,550
Scottish Metropolitan Property P.L.C.................. 287,499 503,990
Secure Trust Group P.L.C.............................. 33,018 425,358
</TABLE>
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*Seet P.L.C........................................... 7,000 $ 3,082
*Sennah Rubber Co., Ltd. (Guernsey)................... 1,214 142,537
Servisair P.L.C....................................... 50,000 227,484
Servomex P.L.C........................................ 30,000 152,879
Seton Healthcare Group P.L.C.......................... 88,366 1,172,248
Severfield-Reeve P.L.C................................ 20,000 186,716
Shaftesbury P.L.C..................................... 112,500 450,382
Shandwick International P.L.C......................... 302,640 271,435
Shani Group P.L.C..................................... 30,000 31,554
Shanks & McEwan Group P.L.C........................... 192,000 579,228
Sharpe & Fisher P.L.C................................. 47,126 179,442
*Sheffield United P.L.C............................... 3,000 1,345
Sherwood Group P.L.C.................................. 270,000 176,117
*Shield Diagnostics Group P.L.C....................... 5,000 45,456
Shiloh P.L.C.......................................... 14,500 22,463
*ShopRite Group P.L.C................................. 204,780 62,613
Sidlaw Group P.L.C.................................... 151,077 283,317
Silentnight Holdings P.L.C............................ 129,000 575,339
Simon Engineering P.L.C............................... 348,089 360,446
*Sims Food Group P.L.C................................ 99,000 44,800
Sinclair (William) Holdings P.L.C..................... 53,000 213,044
Sindall (William) P.L.C............................... 75,500 286,251
Singapore Para Rubber Estates P.L.C................... 26,000 74,197
Singer & Friedlander Group P.L.C...................... 364,000 1,009,083
Sirdar P.L.C.......................................... 120,545 131,705
*Sketchley P.L.C...................................... 141,800 112,149
Smart (J.) & Co. (Contractors) P.L.C.................. 22,500 104,569
South Staffordshire Water Holdings P.L.C.............. 11,600 680,039
Southnews P.L.C....................................... 5,000 43,785
Spring Ram Corp. P.L.C................................ 616,000 195,881
St. Modwen Properties P.L.C........................... 50,000 61,967
Stanley (Charles) Group P.L.C......................... 19,200 95,025
Stanley Leisure Organisation P.L.C.................... 231,258 1,112,488
Stat-Plus Group P.L.C................................. 58,000 108,768
Staveley Industries P.L.C............................. 245,000 485,422
Steel Burrill Jones Group P.L.C....................... 121,682 48,119
Sterling Industries P.L.C............................. 76,000 407,123
Stirling Group P.L.C.................................. 193,011 157,372
Stoddard Sekers International P.L.C................... 179,100 19,714
Stratagem Group P.L.C................................. 70,315 103,770
Stylo P.L.C........................................... 117,000 124,969
*Sunleigh P.L.C....................................... 1,000,000 12,230
Sutcliffe Speakman P.L.C.............................. 360,864 141,231
Swallowfield P.L.C.................................... 15,000 53,936
Swan (John) and Sons P.L.C............................ 1,000 9,784
Swan Hill Group P.L.C................................. 109,500 128,565
Syltone P.L.C......................................... 50,400 103,968
T & S Stores P.L.C.................................... 158,335 737,157
TGI P.L.C............................................. 59,560 58,275
*Talbex Group P.L.C................................... 38,500 1,883
Tamaris P.L.C......................................... 206,460 6,734
*Tandem Group P.L.C................................... 327,365 46,711
Tay Homes P.L.C....................................... 64,329 129,554
Taylor Nelson AGB P.L.C............................... 468,475 1,038,968
*Tele-Cine Cell Group P.L.C........................... 30,000 37,914
Telemetrix P.L.C...................................... 202,508 199,790
Telspec P.L.C......................................... 25,000 132,495
Tex Holdings P.L.C.................................... 14,000 39,153
Thorntons P.L.C....................................... 178,000 776,463
Thorpe (F.W.) P.L.C................................... 24,000 56,944
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Tibbett & Britten Group P.L.C......................... 100,323 $ 979,950
Tie Rack P.L.C........................................ 125,000 152,879
Tilbury Douglas P.L.C................................. 242,957 1,135,091
Time Products P.L.C................................... 110,242 280,445
Tinsley Robor P.L.C................................... 60,000 144,807
Tomkinsons P.L.C...................................... 14,800 42,839
Tops Estates P.L.C.................................... 10,088 31,914
*Torday & Carlisle P.L.C.............................. 97,500 67,573
Tottenham Hotspur P.L.C............................... 150,000 170,002
Town Centre Securities P.L.C.......................... 150,000 267,844
*Toye & Co. P.L.C..................................... 2,000 2,120
*Trace Computers P.L.C................................ 33,552 73,043
*Trafficmaster P.L.C.................................. 2,000 19,193
Trafford Park Estates P.L.C........................... 50,000 161,848
Transport Development Group P.L.C..................... 19,782 98,873
Transtec P.L.C........................................ 251,525 334,284
Trifast P.L.C......................................... 1,997 21,428
Trinity Holdings P.L.C................................ 54,000 328,017
Try Group P.L.C....................................... 152,247 65,171
Tunstall Group P.L.C.................................. 89,000 230,036
UK Estates P.L.C...................................... 50,000 21,199
Ugland International Holdings P.L.C................... 219,500 365,100
Ulster Television, Ltd................................ 115,602 424,155
*Union P.L.C.......................................... 47,000 60,165
United Carriers Group P.L.C........................... 70,000 48,514
United Industries P.L.C............................... 98,470 105,980
Usborne P.L.C......................................... 111,066 44,374
VCI P.L.C............................................. 90,000 129,152
Vardon P.L.C.......................................... 188,000 597,818
Verity Group P.L.C.................................... 250,000 430,100
*Vert (Jacques) P.L.C................................. 45,000 7,705
Vibroplant P.L.C...................................... 113,500 145,292
Victoria Carpet Holdings P.L.C........................ 12,000 12,720
*Videologic Group P.L.C............................... 311,666 376,095
Viglen Technology P.L.C............................... 19,702 9,317
Vitec Group P.L.C..................................... 4,500 55,403
Volex Group P.L.C..................................... 66,801 638,348
Vosper Thornycroft Holdings P.L.C..................... 20,000 279,341
Vymura P.L.C.......................................... 50,000 116,188
WF Electrical P.L.C................................... 32,935 413,547
WSP Group P.L.C....................................... 50,000 106,404
*Wace Group P.L.C..................................... 195,000 114,476
Waddington (John) P.L.C............................... 229,285 1,043,174
Wagon Industrial Holdings P.L.C....................... 30,000 195,685
Wainhomes P.L.C....................................... 6,000 13,209
Walker Greenbank P.L.C................................ 313,000 329,216
Ward Holdings P.L.C................................... 130,000 107,056
Wardle Storeys P.L.C.................................. 58,000 530,600
Warner Estate Holdings P.L.C.......................... 70,000 307,633
Warner Howard P.L.C................................... 63,817 197,727
Waste Recycling Group P.L.C........................... 3,000 22,797
*Water Hall Group P.L.C............................... 2,484 1,681
Waterman Partnership Holdings P.L.C................... 45,000 37,058
*Wates City of London Properties P.L.C................ 230,000 352,560
Watson & Philip P.L.C................................. 101,504 992,314
Watts, Blake, Bearne & Co. P.L.C...................... 46,295 300,465
*Waverly Mining Finance P.L.C......................... 42,500 12,128
Wembley P.L.C......................................... 6,053 40,124
Wescol Group P.L.C.................................... 125,000 162,052
West Trust P.L.C...................................... 145,194 129,039
</TABLE>
192
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Westbury P.L.C........................................ 199,052 $ 860,180
*Western Selection P.L.C.............................. 35,525 7,386
Westminster Health Care Holdings P.L.C................ 12,000 59,390
Wetherspoon (J.D.) P.L.C.............................. 4,244 21,696
Whatman P.L.C......................................... 54,387 811,508
Whitecroft P.L.C...................................... 105,000 136,980
Widney P.L.C.......................................... 39,528 35,775
*Wiggins Group P.L.C.................................. 1,076,500 256,736
*Willoughby's Consolidated P.L.C...................... 9,000 15,410
Wilshaw P.L.C......................................... 223,409 159,388
Wilson (Connolly) Holdings P.L.C...................... 51,000 139,303
Windsor P.L.C......................................... 83,441 19,730
Wintrust P.L.C........................................ 22,500 160,523
Wolstenholme Rink P.L.C............................... 15,500 159,871
Wolverhampton & Dudley Breweries P.L.C................ 16,000 135,023
Worthington Group P.L.C............................... 79,364 83,476
Wyevale Garden Centres P.L.C.......................... 5,000 27,722
Wyko Group P.L.C...................................... 155,545 440,081
Wyndeham Motor Group P.L.C............................ 338 1,284
Wyndeham Press Group P.L.C............................ 63,066 313,669
Yates Brothers Wine Lodges P.L.C...................... 2,994 25,852
York Waterworks P.L.C................................. 17,000 79,008
Yorklyde P.L.C........................................ 25,555 44,173
Yorkshire Group P.L.C................................. 100,804 371,504
Young & Co's Brewery P.L.C............................ 10,000 89,281
Young & Co's Brewery P.L.C. Class A................... 8,034 84,175
Young (H.) Holdings P.L.C............................. 49,542 133,301
Yule Catto & Co. P.L.C................................ 21,288 149,793
Zetters Group P.L.C................................... 14,500 34,286
------------
TOTAL COMMON STOCKS
(Cost $123,344,555).................................. 169,864,690
------------
INVESTMENT IN
CURRENCY -- (0.4%)
*British Pound Sterling (Cost $702,884)............... 690,376
------------
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
BONDS -- (0.0%)
Viglen Technology P.L.C. 6.375%, 09/01/00............. 32 $ 85,361
*Viglen Technology P.L.C. Floating Rate Notes, 6.98%,
01/01/01............................................ 8 0
------------
TOTAL BONDS
(Cost $19,859)....................................... 85,361
------------
SHARES
------------
RIGHTS/WARRANTS -- (0.0%)
*Viglen Technology P.L.C. Entitlement Letters (Cost
$0)................................................. 19,702 0
------------
TOTAL -- UNITED KINGDOM
(Cost $124,067,298).................................. 170,640,427
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.4%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes
5.25%, 01/31/01, valued at $2,421,000) to be
repurchased at $2,378,040.
(Cost $2,377,000)................................... $ 2,377 2,377,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $126,444,298)++.... $173,017,427
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
@Denominated in local currency.
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
193
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
FRANCE -- (28.5%)
COMMON STOCKS -- (28.5%)
Agricole de la Crau.................................. 440 $ 38,243
Agricole de la Pointe-a-Pitre........................ 450 48,890
Airfeu SA............................................ 600 23,066
Apem SA.............................................. 1,000 66,842
*Arbel SA............................................ 2,280 21,608
Assystem SA.......................................... 2,657 127,681
Aurea................................................ 600 8,023
Bail-Investissement (Societe Immobiliere pour le
Commerce & l'Industrie)............................ 2,367 389,306
Bains de Mer et du Cercle des Etrangers a Monaco..... 4,615 630,219
Banque de la Reunion................................. 3,948 380,759
Banque Transatlantique............................... 3,030 137,300
Bazar de l'Hotel de Ville SA......................... 9,950 1,230,701
Berger Levrault SA................................... 476 97,463
Bioblock Scientific SA............................... 1,373 79,175
Boiron SA............................................ 3,800 282,581
Bollore Technologies SA.............................. 18,366 3,760,524
Brioche Pasquier SA.................................. 2,600 321,156
Brosse et Dupont..................................... 3,170 317,913
Burelle SA........................................... 4,030 323,328
But SA............................................... 7,650 478,223
*CDE (Comptoir des Entrepeneurs SA).................. 8,713 24,175
*CEGID SA............................................ 4,500 981,569
CFC (Cie Financiere des Cardans)..................... 296 84,108
COM 1 SA............................................. 450 16,021
Caisse Regionale de Credit Agricole Mutuel de la
Brie............................................... 242 15,775
Cambodge............................................. 1,605 692,138
Carbone Lorraine..................................... 6,649 3,034,008
Caves & Producteurs Reunis de Roquefort.............. 192 64,216
Cegedim SA........................................... 6,400 229,994
Centenaire-Blanzy.................................... 2,207 209,900
*Centrest (Societe Developpement Regional du
Centre-Est)........................................ 1,705 148
Change de la Bourse SA............................... 614 25,257
Christian Dalloz SA.................................. 2,022 266,997
Cipe France SA....................................... 7,221 274,223
*Cofigeo (Cie Financiere Geo)........................ 400 56,228
Compagnie Financiere de CIC et de l'Union Europeene
SA Series D........................................ 10,650 1,324,403
*Compagnie Financiere Saint-Honore................... 1,188 71,485
*Concorde Cie d'Assurances Contre les Risques de
Toute Nature SA.................................... 2,992 848,174
Consortium International de Diffusion et de
Representation Sante Cider Sante................... 600 56,161
Continentale d'Assurances SA......................... 810 84,076
Continentale d'Entreprises SA........................ 20,087 785,649
Costimex SA.......................................... 700 13,572
Courtois SA.......................................... 100 10,363
Credit Foncier et Communal d'Alsace et de Lorraine... 840 121,028
*Credit National..................................... 1,850 135,748
*Cristalleries de Baccarat........................... 1,567 216,607
*DMC (Dollfus Mieg et Cie)........................... 25,400 700,087
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Damart SA........................................... 2,290 $ 1,768,378
*Darblay SA.......................................... 305 25,490
Dassault Electronique SA............................. 17,400 2,157,997
Deveaux SA........................................... 1,040 160,447
Didot-Bottin......................................... 810 118,194
Dietrich et Cie...................................... 20,775 1,510,525
Distriborg Groupe SA................................. 1,050 73,712
Docks des Petroles d'Ambes........................... 100 11,115
Docks Lyonnais....................................... 1,110 29,685
*Dynaction SA........................................ 10,660 365,622
ECIA (Equipements et Composants pour l'Industrie
Automobile)........................................ 15,571 4,971,043
EMI France SA........................................ 300 90,259
Electricite de Strasbourg............................ 7,928 1,095,890
Emin Leydier Emballages SA........................... 1,056 76,780
*Emprunt Conjoint de Banque du Batiment et des
Travaux Publics et de Financiere de Gestion et
d'Investissement SA................................ 29,814 37,873
Europe 1 Communication............................... 4,782 1,131,003
Exacompta Clairefontaine SA.......................... 1,600 280,271
*Expand SA........................................... 412 121,890
Explosifs et de Produits Chimiques................... 524 138,822
*FIDEI (Compagnie Financiere pour l'Immobiliere
d'Enterprise)...................................... 9,399 97,403
Faienceries Sarreguemines Digoin et Vitry-le-Francois
SA................................................. 330 28,682
*Fichet-Bauche....................................... 3,515 25,631
Fimalac SA........................................... 19,020 2,384,347
*Financiere et Immobiliere de l'Etang de Berre et de
la Mediterranee SA................................. 400 7,822
Fininfo SA........................................... 976 159,057
*Fives-Lille......................................... 8,400 687,976
Fonciere (Cie)....................................... 2,823 422,310
Fonciere Lyonnaise SA................................ 4,416 708,595
*Fonciere Lyonnaise SA Em 98......................... 99 15,025
Fonderies Franco Belge............................... 492 47,286
Fraikin SA........................................... 3,284 262,379
Francaise des Ferrailles............................. 5,288 521,484
Francaise des Magasins Uniprix....................... 2,886 195,366
France-Africaine de Recherches Petrolieres
Francarep.......................................... 3,864 222,820
Frankoparis SA....................................... 4,387 63,061
*Fromagerie F. Paul Renard........................... 200 47,637
Fructivie SA......................................... 34 3,609
*GCI (Groupe Chatellier Industrie SA)................ 8,721 2,842
GFI Industries SA.................................... 1,369 373,212
Galeries Lafayette SA................................ 4,664 4,521,518
Gantois Series A..................................... 647 128,475
Gascogne SA.......................................... 6,472 667,454
Gaumont.............................................. 14,292 1,177,708
Gautier France SA.................................... 1,680 111,761
*Generale de Geophysique SA.......................... 14,976 2,513,201
*Generale de Transport et d'Industrie................ 11,890 874,444
Gevelot.............................................. 1,792 375,906
Gifrer Barbezat SA................................... 550 55,894
Grands Moulins de Strasbourg......................... 110 36,791
*Groupe Andre SA..................................... 5,833 695,151
Groupe du Louvre SA.................................. 6,753 541,909
Groupe Guillin SA.................................... 1,200 60,474
Groupe Norbert Dentressangle SA...................... 1,580 256,169
</TABLE>
194
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Groupe Zannier SA.................................... 4,100 $ 118,557
#Groupement pour le Financement de la Construction
SA................................................. 19,075 2,104,293
Guerbet SA........................................... 1,990 85,151
Guitel-Etienne-Mobilor SA............................ 160 11,393
Guyenne et Gascogne SA............................... 5,200 1,946,924
#Havas Advertising SA................................ 21,196 4,481,693
Hoteliere Lutetia Concorde........................... 2,505 212,701
Hotels et Casinos de Deauville....................... 2,055 334,899
ICBT Groupe SA....................................... 1,200 46,734
IMS International Metal Service SA................... 12,630 191,051
*Immeubles de France................................. 25,927 2,145,137
*Immeubles de France Em 98........................... 397 32,847
Immobanque........................................... 1,098 129,937
Immobiliere Marseillaise............................. 656 1,278,498
Industrie des Transports............................. 600 41,319
Industrielle et Financiere d'Entreprise SA........... 300 14,737
Industrielle et Financiere d'Ingenierie SA........... 28,100 850,125
*#Infogrames Entertainment SA........................ 7,750 489,656
Informatique et Realite SA........................... 2,643 132,531
Intertechnique SA.................................... 4,150 1,161,878
Jet Multimedia SA.................................... 503 107,616
Labinal SA........................................... 6,000 2,306,624
Lacroix SA, Saint Herbalin........................... 593 27,634
Laurent Bouillet..................................... 480 30,086
*Lectra Systemes SA.................................. 19,192 150,129
Legris Industries SA................................. 29,350 1,642,937
Locindus (Cie Financiere pour la Location d'Immeubles
Industrials et Commerciaux)........................ 1,600 229,994
*Lucia............................................... 254 3,057
*MRM................................................. 1,424 122,579
Manitou BF SA........................................ 2,773 459,326
Marie Brizard & Roger International SA............... 266 34,235
Matussiere et Forest SA.............................. 13,600 176,173
*Maxi-Livre/Profrance SA............................. 1,200 8,023
Mediascience SA...................................... 150 10,207
Metal Deploye........................................ 328 22,204
*Metaleurop SA....................................... 58,400 605,205
*Metrologie International............................ 15,050 49,305
Michel Thierry SA.................................... 700 126,363
Montupet SA.......................................... 3,245 1,220,379
*Mors................................................ 32,445 52,604
*Moulinex SA......................................... 48,900 1,385,403
*Musee Grevin SA..................................... 822 15,374
*NAF NAF SA.......................................... 4,200 77,081
Nord-Est............................................. 3,240 72,027
*Nordon & Cie........................................ 800 65,535
*Olipar.............................................. 250 2,662
PSB Industries SA.................................... 1,240 133,477
Papiers Peints (Societe Francaise des)............... 200 31,390
Parisienne de Chauffage Urbain....................... 200 15,715
Paul Predault SA..................................... 2,199 58,074
*Pier Import Europe SA............................... 2,100 29,099
Plastic Omnium....................................... 11,036 1,682,303
*Primisteres Reynoird SA............................. 800 53,086
Publicis SA.......................................... 20,150 2,977,317
Radiall SA........................................... 1,340 172,014
Rallye SA............................................ 10,800 560,871
Robertet SA.......................................... 269 59,575
*Rocamat............................................. 5,579 10,537
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Rochefortaise Communication SA....................... 10,420 $ 1,196,526
*Rochette............................................ 84,470 403,800
Rougier SA........................................... 2,040 145,939
*Rouleau-Guichard SA................................. 300 14,040
Rue Imperiale de Lyon................................ 450 571,642
SAMSE SA............................................. 1,100 257,222
SAT SA (SA des Telecommunications)................... 2,832 1,254,402
SDCS (Societe Dauphin Office Technique
d'Affichage)....................................... 2,192 235,952
*SDR de Bretagne SA.................................. 714 7,638
SERIBO (Societe d'Etudes et de Realizations pour les
Industries du Bois)................................ 450 17,676
*SFIM (Societe de Fabrication d'Instruments de
Mesure)............................................ 2,940 508,611
*SGE (Societe Generale d'Enterprise SA).............. 5,000 231,498
*SOCIM (Societe Immobiliere d'Investissement)........ 3,829 158,081
SOGEPAG (Societe Exploitation de Parces et Gauges)... 379 13,937
Sabate SA............................................ 600 80,130
Sabeton.............................................. 1,350 186,837
*Saupiquet........................................... 4,500 456,561
Sechilienne.......................................... 220 52,327
Securidev SA......................................... 1,500 28,081
*Selectibanque SA.................................... 7,100 92,625
Sidergie SA.......................................... 800 187,873
Signaux et d'Equipements Electroniques SA............ 23,983 1,864,837
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)........................ 3,064 560,278
Skis Rossignol SA.................................... 41,668 835,760
Smoby SA............................................. 500 49,726
Societe Financiere Immobail SA....................... 4,807 184,799
Societe Financiere Interbail SA...................... 7,000 170,824
*Sodero (Societe de Developpement Regional de
l'Ouest)........................................... 4,181 19,533
Sogeparc SA.......................................... 4,312 319,647
Soie SA.............................................. 390 18,252
Solitaire Produits d'Entretien Francais Prodef....... 300 31,992
Sommer-Allibert SA................................... 12,900 669,498
Sophia SA............................................ 11,700 539,750
Sopra Conseil et Assistance en Informatique SA....... 1,380 456,712
Strafor Facom SA..................................... 29,703 3,102,973
Sucriere de Pithiviers-le-Vieil...................... 1,825 948,988
Sylea SA............................................. 4,159 394,853
Taittinger SA........................................ 2,540 2,101,535
Tanneries de France.................................. 158 7,130
Teisseire France SA.................................. 700 25,741
*Teleflex Lionel-Dupont.............................. 7,625 149,116
Thermal de Bagnoles de l'Orne........................ 245 34,808
Touax SA............................................. 3,604 226,200
*Trouvay et Cauvin SA................................ 1,500 52,125
Unilog SA............................................ 632 231,767
Union Generale du Nord SA............................ 994 53,000
Union Immobilere de France........................... 3,100 255,450
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies)................................. 31,700 2,686,364
Vermandoise de Sucreries............................. 323 346,605
</TABLE>
195
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Via Banque.......................................... 20,692 $ 695,178
Viel et Cie.......................................... 2,792 84,468
Vilmorin et Cie SA................................... 2,349 257,171
Virax................................................ 954 34,602
Virbac SA............................................ 1,713 143,161
Vulcanic SA.......................................... 400 23,401
------------
TOTAL COMMON STOCKS
(Cost $65,824,807)................................... 105,837,429
------------
RIGHTS/WARRANTS -- (0.0%)
*Derichebourg Finances Warrants 07/15/98............. 5,288 1,383
*Havas Advertising SA Warrants 05/13/01.............. 21,196 62,354
*Monoprix SA Warrants 11/21/98....................... 2,886 6,898
------------
TOTAL RIGHTS/WARRANTS
(Cost $131,633)...................................... 70,635
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*French Francs
(Cost $12,431)..................................... 12,825
------------
TOTAL -- FRANCE
(Cost $65,968,871)................................... 105,920,889
------------
GERMANY -- (18.6%)
COMMON STOCKS -- (18.6%)
*AGIV AG fuer Industrie & Verkehrswesen.............. 8,300 232,781
Aachener Strassenbahn und Energieversorguns AG....... 161 35,220
Aachener und Muenchener Beteiligungs AG.............. 1,718 197,550
*Agrob AG............................................ 290 80,520
Aigner (Etienne) AG.................................. 600 191,834
*Alexanderwerk AG.................................... 60 3,534
Alsen AG, Hamburg.................................... 16,400 837,115
Alte Leipziger Versicherungs AG Series C............. 1,043 772,250
*Amira Verwaltungs AG................................ 200 117,793
Andreae-Noris Zahn AG, Anzag......................... 27,200 939,067
*Anterra Vermoegensverwaltungs AG.................... 1,350 109,421
Apoca Parking AG..................................... 1,650 116,615
*Augsburger Kammgarn Spinnerei AG.................... 660 14,253
*BDAG Balcke-Duerr AG................................ 3,291 664,554
*Barmag AG........................................... 1,300 449,184
Bayerische Handelsbank AG............................ 2,380 826,356
Berliner Elektro Holding AG.......................... 7,800 206,070
Berliner Kindl-Brauerei AG........................... 790 186,733
Binding-Brauerei AG.................................. 2,925 721,902
Biotest AG........................................... 8,060 226,502
Blaue Quellen Mineral und Heilbrunnen AG............. 267 179,718
*Bochum-Gelsenkirchener Strassenbahnen AG............ 224 35,809
Boewe Systec AG...................................... 3,000 126,207
Boss (Hugo) AG....................................... 440 888,495
*Brau und Brunnen AG................................. 4,995 593,979
Bremer Strassenbahn AG............................... 123 22,699
*Bremer Woll-Kaemmerei AG............................ 1,996 171,186
Brillant AG.......................................... 1,310 224,115
Buckau (Walther) AG.................................. 780 84,003
*Ceag Industrie-Aktien und Anlagen AG................ 2,067 359,420
*Computer 2000 AG.................................... 547 220,912
*Concordia Bau und Boden AG.......................... 43,288 327,794
SHARES VALUE+
------------ ------------
*DLW AG.............................................. 3,940 $ 682,896
DSL Holding AG....................................... 5,850 964,724
Data Modul AG........................................ 2,400 149,429
*Deutsche Babcock AG, Oberhausen..................... 2,900 202,520
Deutsche Hypotheken Bank AG, Hannover/Berlin......... 2,500 694,137
Deutsche Spezialglas AG.............................. 1,600 267,446
Deutsche Steinzeug Cremer & Breuer AG................ 4,360 357,058
Deutsche Verkehrs-Bank AG............................ 4,750 447,613
*Dierig Holding AG................................... 1,500 143,034
Doag-Holding AG...................................... 750 70,255
*Dortmunder Actien-Brauerei AG....................... 1,650 91,626
Duerr Beteiligungs AG................................ 31,750 1,308,974
Duerrkopp Adler AG................................... 400 44,874
Dyckerhoff & Widmann AG.............................. 4,919 659,439
Dyckerhoff AG........................................ 1,475 537,781
Eichbaum-Brauereien AG, Mannheim..................... 672 98,004
Erlus Baustoffwerke AG............................... 297 93,292
*Erste Kulmbacher Actien Brauerei AG................. 432 13,933
Escada AG............................................ 2,052 354,510
*Felten & Guilleaume Energietechnik AG............... 3,250 442,985
*Flender (A. Friedrich) AG........................... 900 184,767
Forst Ebnath AG...................................... 460 8,386
Fraenkisches Ueberlandwerk AG, Nuernberg............. 658 158,337
Fuchs Petrolub AG Oel & Chemie....................... 2,231 294,081
Fuchs Petrolub AG Oel & Chemie (Stimmrechtslos)...... 55 7,096
Gerresheimer Glas AG................................. 23,800 367,121
Gilde Brauerei AG.................................... 1,200 481,268
*Gildemeister AG..................................... 1,400 104,522
Goldschmidt AG....................................... 3,200 1,141,581
Hagen Batterie AG.................................... 870 122,488
Hamborner AG......................................... 2,100 500,620
Hamburger Hochbahn AG Series A....................... 1,800 103,994
*Harpener AG......................................... 7,100 1,346,092
Hasen-Braeu AG....................................... 100 79,090
Heilit & Woerner Bau AG EM 93........................ 425 39,334
Heilit & Woerner Bau AG.............................. 1,701 162,201
Heinrich Industrie & Handels AG...................... 350 115,830
Herlitz AG........................................... 3,462 217,493
Holsten-Brauerei AG, Hamburg......................... 3,077 675,708
*Honsel-Werke AG..................................... 350 36,319
Horten AG............................................ 3,380 455,017
Hucke AG............................................. 8,300 204,847
*Hutschenreuther AG.................................. 4,200 78,921
*Hypothekenbank In Hamburg AG........................ 1,293 935,595
ICN (Immobilien Consult Nuernberg AG)................ 707 527,437
IFA Hotel & Touristik AG............................. 7,000 162,947
Iwka AG.............................................. 6,224 1,513,417
Jacobsen (W.) AG, Kiel............................... 37 50,225
KM Europa Metal AG................................... 7,550 1,088,378
KM Europa Metal AG Em 95............................. 10,570 1,434,796
*KSB AG.............................................. 2,387 699,582
KWS Kleinwanzlebener Saatzucht AG.................... 1,650 1,619,652
*Kali und Salz Beteiligungs AG....................... 12,950 1,866,821
Kampa-Haus AG........................................ 12,375 360,951
Kaufring AG.......................................... 2,203 119,245
*Kempinski AG, Berlin................................ 686 219,330
Keramag Keramische Werke AG.......................... 1,300 685,442
</TABLE>
196
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Kiekert AG........................................... 12,950 $ 819,004
*Kloeckner Humboldt-Deutz AG......................... 16,750 187,908
*Kloeckner-Werke AG.................................. 23,800 1,802,231
*Kolb und Schuele AG................................. 10,000 21,034
*Kolbenschmidt Pierburg AG, Duesseldorf.............. 37,500 1,262,067
Kraftuebertragungswerke Rheinfelden AG............... 4,684 1,313,671
Kraftwerk Altwuerttemberg AG......................... 125 94,655
Kromschroder (G.) AG................................. 765 139,458
Kupferberg (Christian Adalbert) & Cie KG A.A......... 151 80,464
Lehnkering AG........................................ 1,530 244,589
Leifheit AG.......................................... 12,500 431,206
Leonische Drahtwerke AG.............................. 2,500 1,065,745
MG Vermoegensverwaltungs AG.......................... 3,734 219,919
*MLF Holding fuer Umwelttechnologie AG............... 165 0
*MLF Holding fuer Umwelttechnologie AG Em 95......... 33 0
*Maihak (H.) AG...................................... 143 18,048
Main Kraftwerke AG................................... 1,172 466,752
Mannheimer Versicherung AG........................... 2,257 1,648,323
*Markt und Kuehlhallen AG............................ 1,400 297,623
Maternus-Kliniken AG, Bad Oyenhausen................. 2,400 44,156
*Mauser Waldeck AG................................... 1,667 182,335
Mittelschwaebische Ueberlandzentrale AG.............. 355 195,144
*Moenus Textilmaschinen AG........................... 5,250 42,700
*Moksel (A.) AG...................................... 15,800 140,914
*Mueller-Weingarten AG............................... 579 112,046
*Nak Stoffe AG....................................... 1,046 1,643
*Neue Baumwoll-Spinnerei und Weberei Hof AG.......... 1,217 195,234
*Niedermayr Papierwarenfabrik AG..................... 60 10,972
Norddeutsche Steingutfabrik AG....................... 5,960 94,910
Nuernberger Hypothekenbank AG........................ 2,626 876,418
*Orenstein & Koppel AG............................... 3,778 98,541
Otavi Minen AG....................................... 600 72,359
Otto Reichelt AG..................................... 11,950 154,168
Parkbrauerei AG...................................... 300 32,814
Patrizier-Braeu AG................................... 75 4,417
*Pfaff (G.M.) AG..................................... 8,000 305,140
Pfleiderer AG........................................ 8,300 167,137
Phoenix AG, Hamburg.................................. 37,500 851,895
Plettac AG........................................... 5,554 819,335
Progress-Werk Oberkirch AG........................... 500 99,002
*Reichelbraeu AG, Kulmbach........................... 550 92,552
*Reichelt (F.) AG.................................... 1,290 102,025
Reiter Ingolstadt Spinnereimaschinen AG.............. 1,200 108,369
*Renk AG............................................. 1,940 130,582
Rheinboden Hypothekenbank AG......................... 2,650 524,711
Rheinmetall Berlin AG................................ 45,000 1,463,997
Rhoen Klinikum AG.................................... 6,600 714,498
*Rothenberger AG..................................... 300 16,828
*Salamander AG, Kornwesteim.......................... 5,172 939,947
*Schmalbach-Lubeca AG................................ 1,000 266,997
*Schneider Rundfunkwerke AG.......................... 623 76,880
Schwaebische Zellstoff AG............................ 1,925 291,537
Scor Deutschland Rueckversicherungs AG............... 1,872 294,011
Sektkellerei Schloss Wachenheim AG................... 1,512 196,337
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sinalco AG........................................... 110 $ 49,978
*Sinn AG............................................. 2,789 524,075
Sinner AG, Karlsruhe................................. 416 89,837
*Sixt AG............................................. 600 93,561
Sloman Neptun Schiffahrts AG......................... 35 4,319
Stern-Brauerei Carl Funke AG......................... 1,100 83,296
*Stoehr & Co. AG..................................... 1,600 157,147
*Stollwerck AG....................................... 1,018 356,884
*Strabag AG.......................................... 2,000 175,007
*Stumpf (Otto) AG.................................... 2,275 24,565
Stuttgarter Hofbraeu AG.............................. 1,800 585,599
Sued-Chemie AG....................................... 2,186 1,226,168
Sueddeutsche Bodencreditbank AG...................... 3,344 1,303,620
Tarkett AG........................................... 12,000 471,172
*Terrex Handels AG................................... 1,250 286,770
*Triton-Belco AG, Hamburg............................ 1,186 50,892
Tucher Braeu AG...................................... 750 47,117
VBH (Vereinigter Baubeschlag-Handel) AG.............. 9,415 193,814
VGT AG............................................... 293 79,545
*VK Muehlen AG....................................... 1,312 132,540
Varta AG............................................. 5,500 1,079,768
Vereinigte Deutsche Nickel-Werke AG.................. 1,380 325,108
*Verseidag AG........................................ 2,753 412,304
Voegele (Joseph) AG.................................. 750 117,793
Vossloh AG........................................... 7,950 550,724
WMF (Wuerttembergische Metallwarenfabrik AG)......... 3,033 649,884
Walter AG............................................ 1,350 594,433
*Wanderer-Werke AG................................... 1,437 219,243
Weinig (Michael) AG.................................. 23,400 695,651
Weru AG.............................................. 150 82,455
Westag & Getalit..................................... 700 151,168
*Wickrather Bauelemente AG........................... 445 39,937
Wuerttembergische & Badische Versicherungs AG Series
A/B................................................ 112 170,250
Wuerttembergische Hypothekenbank AG.................. 1,613 996,143
Wuerttembergische Lebensversicherung AG.............. 443 211,959
Wuerzburger Hofbraeu AG.............................. 133 46,253
*Zanders Feinpapiere AG.............................. 4,450 374,413
Zeag Zementwerk Lauffen-Elektrizitaetswerk Heilbronn
AG................................................. 1,942 544,652
------------
TOTAL COMMON STOCKS
(Cost $52,776,395)................................... 68,988,344
------------
PREFERRED STOCKS -- (0.0%)
Westag & Getalit
(Cost $38,373)..................................... 260 56,148
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*German Marks
(Cost $33,042)..................................... 33,396
------------
TOTAL -- GERMANY
(Cost $52,847,810)................................... 69,077,888
------------
SPAIN -- (11.3%)
COMMON STOCKS -- (11.3%)
AGF Union y Fenix Seguros y Reaseguros SA............ 26,550 382,507
*Ahorro Familiar SA.................................. 6,051 62,304
Amper SA............................................. 28,400 726,352
*Asturiana del Zinc SA............................... 33,100 473,591
</TABLE>
197
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THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Azkoyen SA........................................... 5,250 $ 811,882
*BAMI SA (Inmobiliara de Construcciones y
Terrenos).......................................... 23,634 141,353
Banco de Andalucia................................... 2,203 503,742
Banco de Castilla SA................................. 2,100 2,740,970
Banco de Credito Balear SA........................... 8,856 824,644
Banco de Galicia SA.................................. 7,550 1,501,867
Banco de Valencia.................................... 51,350 1,537,293
Banco de Vasconia SA................................. 8,900 1,179,295
Banco Guipuzcoano SA................................. 4,817 256,584
Banco Pastor SA, La Coruna........................... 36,200 2,009,582
Banco Zaragozano SA.................................. 37,598 1,314,433
Bodegas y Bebidas SA................................. 9,876 452,959
CAF (Construcciones y Auxiliar de Ferrocarriles
SA)................................................ 7,500 319,697
*CAI (Corporacion Alimentaria Iberica SA)............ 11,200 0
*CARTEMAR (Cartera de Valores del Mar SA)............ 4,016 22,161
*CINSA (Compania de Inversiones SA).................. 1,400 8,077
Campofrio Alimentacion SA............................ 23,200 1,954,862
*Citroen Hispania SA................................. 650 72,382
Construcciones Lain SA............................... 202,472 651,646
*Coporacion Financiera Reunida SA.................... 60,085 869,617
ERZ (Electricas Reunidas de Zaragoza)................ 39,000 1,713,974
Ebro Agricolas Compania de Alimentacion SA........... 45,000 1,124,145
*El Aguila SA........................................ 39,200 392,479
Elecnor SA........................................... 6,100 241,879
*Empresa Nacional de Celulosa SA..................... 8,200 174,497
Energia e Industrias Aragonesas SA................... 12,340 111,726
*Ercros SA........................................... 33,200 45,637
*Erpo SA............................................. 3,289 1,500
*Espanola del Zinc SA................................ 9,750 84,410
*Estacionamientos Urbanos SA......................... 4,200 0
*Europistas Concesionaria Espanola SA................ 119,698 1,040,233
*Filo SA............................................. 38,297 156,665
Financiera y Minera Series A/C....................... 5,200 98,629
GESA (Gas y Electricidad SA)......................... 17,000 1,376,268
General Azucarera de Espana SA....................... 15,850 1,077,861
*Global Steel Wire SA................................ 7,083 28,039
Grupo Anaya SA....................................... 11,114 418,662
*Grupo Hispano-Suiza SA.............................. 357,000 217,057
Hullas del Coto Cortes............................... 8,666 200,449
Iberica de Autopistas SA Concesionaria de Estado
Iberpistas......................................... 45,070 1,248,014
Inbesos SA........................................... 1,610 37,134
Indo Internacional SA................................ 5,600 315,316
*Inmobiliaria Alcazar SA............................. 5,126 23,984
Inmobiliaria del Sur SA.............................. 1,380 62,381
*Inmobiliaria Urbis SA............................... 37,291 524,930
Inmobiliaria Zabalburu SA............................ 23,200 352,642
Koipe SA, San Sebastian.............................. 16,800 736,107
Koxka C.E. SA........................................ 3,000 257,740
*LSB (La Seda de Barcelona SA) Series B.............. 25,200 194,019
Lingotes Especiales SA............................... 4,140 101,233
Marco Iberica Distribucion de Ediciones Midesa....... 5,600 123,055
*Max Center Leisa SA................................. 3,000 5,056
*Nicolas Correa SA................................... 1,575 156,027
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Nueva Montana Quijano SA Series B................... 80,500 $ 126,617
OCP Construcciones SA, Madrid........................ 59,720 1,866,805
Papelera de Navarra SA............................... 6,000 158,609
*Pascual Hermanos SA................................. 7,610 4,929
Pescanova SA......................................... 16,252 277,105
Portland Valderrivas SA.............................. 8,075 1,021,949
Prim SA.............................................. 3,100 25,609
Prosegur Cia de Seguridad SA......................... 7,000 88,590
*Radiotronica SA..................................... 2,137 118,350
*Sarrio SA........................................... 105,100 510,514
*Sindibank (Sindicato de Banqueros de Barcelona)..... 10,540 170,657
*Sotogrande SA....................................... 62,786 243,152
Tableros de Fibras SA Series B....................... 21,876 362,877
Tavex Algodonera SA.................................. 8,800 129,690
Transportes Ferroviarios Especiales Tranfesa......... 21,000 235,932
Uniland Cementera SA................................. 5,750 484,502
Unipapel SA.......................................... 10,484 373,451
Uralita SA........................................... 101,725 1,398,328
#Vidrala SA, Alava................................... 47,040 641,956
Viscofan Industria Navarra de Envolturas Celulosicas
SA................................................. 46,425 2,147,672
Zeltia SA............................................ 3,664 198,558
------------
TOTAL COMMON STOCKS
(Cost $21,214,113)................................... 42,045,400
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Spanish Peseta
(Cost $9,534)...................................... 9,832
------------
TOTAL -- SPAIN
(Cost $21,223,647)................................... 42,055,232
------------
ITALY -- (11.3%)
COMMON STOCKS -- (11.3%)
Acquedotto de Ferrari Galliera SpA................... 40,000 147,313
Aedes SpA (Sta Ligure Lombarda per Imprese &
Costruzioni)....................................... 29,000 246,784
Allianz Subalpina SpA................................ 55,125 724,833
*Ansaldo Trasporti SpA............................... 169,533 382,144
*Auschem SpA (In Liquidation)........................ 82,000 0
*Banca Nazionale dell'Agricoltura SpA................ 170,000 309,654
Banco di Chiavari e della Riviera Ligure SpA,
Chiavari........................................... 120,000 464,481
Bassetti SpA......................................... 61,500 663,379
*Bastogi SpA......................................... 1,183,000 111,108
*Binda SpA........................................... 1,299,375 43,638
Boero (Bartolomeo) SpA............................... 8,925 55,375
Bonifica dei Terreni Ferraresi e per Imprese Agricole
Roma............................................... 8,600 99,863
*Brioschi Finanziaria SpA, Milano.................... 175,000 51,799
CALP (Cristalleria Artistica la Piana SpA)........... 48,000 213,115
CAMFIN (Cam Finanziaria)............................. 20,500 66,513
CEMENTIR (Cementarie del Tirreno SpA), Roma.......... 436,563 603,852
*CIGA SpA (Compagnia Italiana Grandi Alberghi)....... 76,890 87,097
CMI SpA.............................................. 36,428 96,212
Caffaro SpA Sta per l'Industria Chimica ed
Elettrochimica..................................... 297,550 368,381
*Calcestruzzo ed il Cemento SpA...................... 464,040 845,246
Caltagirone SpA...................................... 343,085 380,815
</TABLE>
198
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THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Cartiere Burgo SpA................................... 42,500 $ 375,939
Cementeria di Augusta SpA............................ 105,000 230,106
Cia Assicuratrice Unipol SpA......................... 199,333 981,461
Comau SpA............................................ 121,500 418,417
Condotta Acque Potabili SpA, Torino.................. 28,000 143,443
Credito Emiliano SpA, Milano......................... 73,500 242,239
*Cucirini SpA........................................ 30,000 40,642
*Dalmine SpA......................................... 1,976,700 789,870
#Danieli & C.Officine Meccaniche SpA................. 66,500 605,647
*Dataconsyst C.G.S. SpA, Monza....................... 220 0
*Del Favero SpA...................................... 86,000 0
*FIAR (Fabbrica Italiana Apparecchiature
Radioelettriche SpA)............................... 19,990 79,139
*FMC (Fabbrica Milanese Condutorri SpA).............. 25,000 0
*#FONSPA (Credito Fondiaro e Industriale Istituto per
i Finanziamenti a Medio e Lungo Termine SpA)....... 171,500 606,712
Falck (Acciaierie & Ferriere Lombarde)............... 241,200 1,633,811
Finarte Casa d'Aste SpA (Milano)..................... 56,266 63,735
Finarte Partecipazioni Pro Arte SpA.................. 162,693 152,710
*Fincasa 44 SpA...................................... 150,036 45,861
*Finrex Finanziaria Immobiliaria SpA (In
Liquidation)....................................... 36,000 0
*Firs-Italiana de Assicurazioni Compagnia di
Assicurazioni Eriassicurazioni (In Liquidation).... 90,000 0
*Fochi (Filippo) SpA................................. 216,000 0
*Fornara Societa Finanziaria e di Participazioni
SpA................................................ 310,000 0
*Gabetti Holding SpA................................. 55,000 112,548
*Gerolimich SpA (In Liquidation)..................... 297,400 0
Gewiss SpA........................................... 76,000 1,730,419
*Gottardo Ruffoni SpA................................ 279,832 0
*Grassetto SpA....................................... 279,125 0
Gruppo Editoriale l'Espresso SpA, Roma............... 126,675 1,153,688
ITALJOLLY (Cia Italiana dei Jolly Hotels SpA)........ 34,500 263,149
Immobiliare Metanopoli SpA........................... 1,062,500 1,391,023
*Impregilo SpA....................................... 532,000 560,223
Industria Macchine Automatique SpA................... 23,000 162,341
Industrie Zignago S. Margherita SpA.................. 52,000 671,903
Ipi SpA.............................................. 141,400 295,388
Linificio & Canapificio Nazionale SpA................ 88,000 52,095
Maffei SpA........................................... 52,500 96,674
Magneti Marelli SpA.................................. 431,666 1,099,559
*Mandelli SpA........................................ 41,000 0
Manifattura Lane Gaetano Marzotto & Figli SpA........ 138,000 2,120,901
Marangoni SpA, Rovereto.............................. 34,303 123,013
Merloni Elettrodomestici SpA......................... 155,000 1,172,558
#Milano Assicurazioni SpA............................ 396,057 1,803,538
*Monrif SpA.......................................... 210,000 223,531
*Montefibre SpA, Milano.............................. 275,267 269,188
*NAI SpA (Navigazione Alta Italia)................... 139,760 53,142
*Necchi SpA.......................................... 131,400 89,754
*Perlier SpA......................................... 100,700 41,271
Pininfarina SpA...................................... 62,570 1,460,251
*Poligrafici Editoriale SpA.......................... 226,000 720,401
*Premafin Finanziaria SpA............................ 895,000 774,362
Ratti SpA............................................ 128,400 395,403
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Recordati Industria Chimica E Farmaceutica SpA....... 24,000 $ 252,732
*#Reno de Medici SpA, Milano......................... 100,500 363,260
Risanamento di Napoli SpA............................ 22,200 379,730
Riva Finanziaria SpA................................. 47,600 222,177
*Rodriquez SpA....................................... 41,250 0
SAES Getters SpA..................................... 14,750 251,878
SISA (Societa Imballaggi Speciali Asti SpA).......... 65,000 63,305
*SMI STA Metallurgica Italiana SpA................... 565,280 424,732
*SOPAF (Societa Partecipazioni Finanziarie SpA)...... 85,000 77,897
Safilo (Sta Azionaria Fabbrica Italiana Lavorazione
Occhiali SpA)...................................... 35,100 1,318,647
#Saiag SpA (Industrie Articoli Gomma)................ 30,000 302,254
*Schiapparelli 1824 SpA, Milano...................... 15,000 4,696
*Simint SpA.......................................... 79,988 835,485
Snia BPD SpA......................................... 131,200 179,235
Sogefi SpA........................................... 182,500 675,233
#Sondel Nordelettrica SpA............................ 573,892 1,764,012
Sorin Biomedica SpA.................................. 275,610 1,305,257
*Stayer SpA.......................................... 22,500 26,896
*Stefanel SpA........................................ 180,800 480,610
*Tecnost SpA......................................... 150,000 456,796
Terme Demaniali di Acqui SpA......................... 39,900 43,607
*Tripcovich (D.) & Co. SpA Navigazione Rimorchi e
Salvataggi Trieste................................. 113,898 0
UNICEM (Unione Cementi Marchini Emiliane e di
Augusta-Casale).................................... 108,600 1,185,649
*Unione Manifatture SpA (In Liquidation)............. 156,000 0
*Unipar (Unione Nazionale di Participazione SpA) (In
Liquidation)....................................... 539,000 0
Vianini Industria SpA................................ 101,000 86,811
Vianini Lavori SpA................................... 316,000 880,476
Vittoria Assicurazioni SpA........................... 51,500 293,147
Zucchi (Vincenzo) SpA................................ 89,000 906,819
------------
TOTAL COMMON STOCKS
(Cost $33,025,707)................................... 41,988,998
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Italian Lira
(Cost $5,046)...................................... 5,067
------------
TOTAL -- ITALY
(Cost $33,030,753)................................... 41,994,065
------------
SWITZERLAND -- (11.1%)
COMMON STOCKS -- (11.1%)
AFG Arbonia Foster Holding AG, Arbon................. 522 397,158
*Accumulatoren-Fabrik Oerlikon, Zuerich.............. 30 18,615
Afipa SA, Vevey...................................... 20 3,760
Afipa SA, Vevey Series A............................. 80 15,149
Aletsch AG, Moerel................................... 50 132,149
#Ascom Holding AG, Bern.............................. 907 1,852,485
Attisholz Holding AG, Attisholz...................... 1,079 649,459
BHB Beteiligungs und Finanzgesellschaft.............. 150 22,825
BKW FMB Energie AG, Bern............................. 600 746,637
Bank Sarasin & Cie Series B, Basel................... 274 497,178
Banque Cantonale de Geneve........................... 840 283,763
</TABLE>
199
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THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Banque Cantonale du Jura............................ 450 $ 48,846
Banque Privee Edmond de Rothschild SA, Geneve........ 120 673,597
Basellandschaftliche Kantonalbank.................... 500 169,414
Basler Kantonalbank (Participating).................. 500 226,561
Bobst SA, Prilly..................................... 100 189,364
Bobst SA, Prilly (Namen)............................. 90 85,214
Bon Appetit Holding AG............................... 250 189,364
Bossard Holding AG, Zug.............................. 635 450,924
Bucher Holding AG, Niederweningen.................... 671 946,170
CKW (Centralschweizerische Kraftwerke), Luzern....... 670 575,465
CKW (Centralschweizerische Kraftwerke), Luzern
(Participating).................................... 1,500 124,778
Calida Holding AG, Oberkirch......................... 99 128,886
Canon (Schweiz) AG, Dietlikon........................ 3,706 275,701
Carlo Gavazzi Holding AG, Baar Series B.............. 83 88,971
Chocoladefabriken Lindt & Spruengli AG, Kilchberg.... 16 424,176
Coop Bank, Basel..................................... 941 668,220
Crossair AG fuer Europaeischen Regionalluffverkehr... 619 416,538
Crossair AG fuer Europaeischen Regionalluftverkehr,
Basel (Genusschen)................................. 330 87,040
Daetwyler Holding AG, Atldorf........................ 348 743,715
Danzas Holding AG.................................... 1,952 558,420
*Distefora Holding SA, Jegenstorf.................... 4,840 58,919
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg......................................... 8,390 1,557,560
ESEC Holding SA, Cham................................ 65 145,726
Edipresse SA, Lausanne............................... 432 143,160
Edipresse SA, Lausanne (Nominal)..................... 1,310 87,267
*Eichof Holding AG................................... 188 190,717
Eisenbahngesellschaft Brig-Visp-Zermatt.............. 370 82,076
Energie Electrique du Simplon SA..................... 350 63,911
*Escor AG, Duedingen................................. 496 7,380
Feldschloesschen-Huerlimann Holding AG,
Rheinfelden........................................ 1,462 672,352
Feldschloesschen-Huerlimann Holding AG, Rheinfelden
(Participating).................................... 350 61,070
Financiere Michelin, Granges-Paccot.................. 637 407,110
Financiere Tradition, Lausanne....................... 50 70,335
Forbo Holding AG, Eglisau............................ 1,100 628,622
Fotolabo SA, Ropraz.................................. 1,200 427,693
Fuchs Petrolub AG.................................... 2,001 253,740
Fuchs Petrolub AG Non-Voting Preferred............... 2,001 253,740
*Galenica Holding AG, Bern Series B.................. 405 249,251
Generale d'Affichage, Geneve......................... 290 119,638
#Generali (Switzerland) Holdings, Adliswil........... 1,670 508,241
Golay-Buchel Holding SA, Lausanne.................... 40 36,520
Gornergrat Monte Rasa-Bahnen Zermatt................. 70 85,214
Gurit-Heberlein AG, Wattwil SG....................... 225 881,052
HPI Holding SA, Yverdon-les-Bains.................... 200 45,989
Hero, Lenzburg....................................... 660 470,909
Hero, Lenzburg (Namen)............................... 400 64,384
Hilti AG, Schaan (Participating)..................... 600 547,804
Industrieholding Cham AG, Cham....................... 216 189,906
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Jelmoli Holding AG, Zuerich.......................... 1,521 $ 1,851,579
Jelmoli Holding AG, Zuerich (Namen).................. 2,835 697,903
Kardex AG, Zuerich................................... 693 234,339
Kardex AG, Zuerich (Participating)................... 610 200,084
*Keramik Holding AG Laufen, Laufen................... 600 344,914
Kraftwerk Laufenburg, Laufenburg..................... 8,265 1,565,097
Kuehne & Nagel International AG, Schindellegi........ 162 136,951
Lem Holding SA, Plan-les-Ovates...................... 270 67,563
Loeb Holding AG, Bern (Participating)................ 620 107,343
*Logitech International SA, Apples................... 4,805 727,917
*Maag Holding AG, Zuerich............................ 820 155,279
*Mikron Holding AG, Biel............................. 1,224 314,561
Moevenpick-Holding, Zuerich.......................... 1,320 754,347
Moevenpick-Holding, Zuerich (Participating).......... 443 238,183
*Netstal-Maschinen AG, Nafaels....................... 2 1,353
Nokia-Maillefer Holding SA........................... 277 76,808
*Omnium Geneve SA, Geneve............................ 110 6,100
Orell Fuessli Graphische Betriebe AG, Zuerich........ 240 219,122
Oz Holding, Zuerich.................................. 440 523,728
*Parco Industriale e Immobiliare SA, Giornico........ 600 4,667
Phoenix Mecano AG, Stein am Rhein.................... 2,749 1,803,379
*Phonak Holding AG Series B.......................... 230 217,769
*Porst Holding AG, Jegenstorf........................ 1,844 261,891
Publicitas Holding SA, Lausanne...................... 2,199 701,952
Sarna Kunststoff Holding AG, Sarnen.................. 176 333,281
Schweizerhall Holding AG, Basel...................... 140 151,492
Schweizerische National Versicherungs Gesellschaft,
Basel.............................................. 132 316,915
Siegfried AG, Zofingen............................... 856 1,227,298
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall............................. 320 304,065
*Sihl Zuercher Papierfabriek an der Sihl, Zuerich.... 10 7,439
Sika Finanz AG, Baar................................. 800 345,725
Sika Finanz AG, Baar (Namen)......................... 750 51,230
Sopracenerina........................................ 2,409 228,497
*Suedelektra Holding AG, Zug......................... 850 698,451
Swisslog Holding AG.................................. 2,500 262,067
*Tege SA............................................. 1,800 202,079
UMS Schweizerische Metallwerke Holding AG, Bern...... 2,560 306,446
Unigestion Holding, Geneve........................... 2,891 229,735
Usego Hofer Curti AG, Volketswil..................... 2,040 521,510
Vaudoise Assurances Holding, Lausanne................ 45 152,168
Villars Holding SA, Fribourg......................... 150 25,513
*Von Moos Holding AG, Luzern......................... 7,000 142,023
Von Roll Holding AG, Gerlafingen..................... 32,024 1,093,723
Vontobel Holding AG, Zuerich......................... 286 406,187
WMH Walter Meier Holding AG, Staefa.................. 50 52,413
Zehnder Holding AG................................... 193 120,867
Zellweger Luwa AG, Uster............................. 804 690,558
*Zschokke Holding SA, Geneve......................... 230 73,108
*Zueblin Holding AG, Zuerich......................... 700 16,404
</TABLE>
200
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Zuercher Ziegeleien Holding, Zuerich................. 1,415 $ 1,325,399
Zuger Kantonalbank................................... 500 743,932
------------
TOTAL COMMON STOCKS
(Cost $24,846,708)................................... 41,242,182
------------
RIGHTS/WARRANTS -- (0.0%)
*Bon Appetit Holding AG Rights 10/29/98.............. 250 6,932
*Suedelektra Holding AG, Zug Rights 06/08/98......... 850 18,683
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 25,615
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Swiss Francs
(Cost $13,582)..................................... 13,482
------------
TOTAL -- SWITZERLAND
(Cost $24,860,290)................................... 41,281,279
------------
NETHERLANDS -- (7.9%)
COMMON STOCKS -- (7.9%)
*A.I.R. Holdings NV.................................. 1,356 38,809
ACF Holding NV (Certificate)......................... 12,757 282,560
Aalberts Industries NV............................... 24,593 751,593
Atag Holding NV...................................... 4,476 309,008
Athlon Groep NV...................................... 4,350 777,296
Athlon Groep NV (Certificate)........................ 2,500 446,100
*Bam Groep NV........................................ 5,140 461,277
Batenburg Beheer NV.................................. 1,000 117,467
Beers NV............................................. 16,625 976,442
Begemann Groep NV.................................... 11,451 158,450
*Begemann Groep NV Series B.......................... 13,451 80,341
Bijenkorf Beheer KBB NV, Amsterdam................... 1,021 74,552
Boskalis Westminster NV.............................. 46,207 754,370
Cindu International NV............................... 3,500 292,671
Content Beheer....................................... 12,043 386,032
Delft Instruments NV................................. 12,808 249,265
Econosto NV.......................................... 16,811 255,209
Eriks Holdings NV.................................... 4,000 282,716
Flexovit International NV............................ 12,159 116,804
GTI Holding.......................................... 18,535 733,436
Gamma Holding NV..................................... 14,338 813,572
Gemeenschappeljk Bezit Crown van Gelder NV........... 12,000 212,037
Geveke NV............................................ 7,603 450,334
Grolsche NV.......................................... 32,100 899,531
Hoek's (W.A.) Machine & Zuurstoffafabriek NV......... 14,850 1,191,501
*Hollandia Industriele Maatschappij NV............... 500 34,344
Hollandsche Beton Groep NV........................... 50,470 1,070,153
Internatio-Mueller NV................................ 27,400 988,761
Kas-Associatie NV.................................... 7,730 630,995
Kempen & Co. NV...................................... 20,548 1,454,360
Koninklijke Ahrend NV................................ 31,344 1,007,836
Koninklijke Frans Maas Groep NV...................... 11,215 421,453
Koninklijke Ten Cate NV.............................. 9,707 415,515
Koppelpoort Holding NV............................... 250 32,353
*Krasnapolsky Hotels & Restaurants NV................ 3,230 158,359
Landre & Glinderman NV............................... 2,171 91,850
MacIntosh NV......................................... 15,053 421,078
NBM-Amstelland NV.................................... 58,192 1,862,417
NKF Holding NV....................................... 13,117 368,881
SHARES VALUE+
------------ ------------
Nagron Nationaal Grondbezit NV....................... 15,316 $ 434,533
Nederlandsche Apparatenfabriek....................... 14,000 452,944
Nedlloyd Groep NV, Rotterdam......................... 22,900 507,222
Norit NV............................................. 24,731 306,509
Otra NV.............................................. 23,000 423,577
Polynorm NV.......................................... 3,545 369,660
Reesink NV........................................... 2,050 122,444
Roto Smeets de Boer NV............................... 1,000 47,634
Rubber Cultuur Maatschappij Amsterdam NV............. 40,800 107,631
Samas-Groep NV, Zaandam.............................. 8,845 658,176
Schuitema NV, Amersfoort............................. 300 694,348
Schuttersveld NV..................................... 20,596 562,805
Smit Internationale NV............................... 18,080 526,450
*Sphinx NV........................................... 18,968 273,793
*Textielgroep Twenthe NV............................. 1,000 29,864
*Tulip Computers NV.................................. 11,467 26,540
Twentsche Kabel Holding NV........................... 16,270 615,466
Ubbink NV............................................ 1,500 44,050
Unique International NV.............................. 10,477 350,958
Van der Mollen Holding NV............................ 17,312 1,253,756
Van Dorp Groep NV.................................... 3,261 74,826
*Van Heek-Tweka NV................................... 3,880 27,037
Vredestein NV........................................ 15,514 175,288
Wegener Arcade NV ................................... 69,015 1,277,877
------------
TOTAL COMMON STOCKS
(Cost $12,445,506)................................... 29,433,116
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Netherlands Guilder
(Cost $13,012)..................................... 12,976
------------
TOTAL -- NETHERLANDS
(Cost $12,458,518)................................... 29,446,092
------------
SWEDEN -- (6.9%)
COMMON STOCKS -- (6.9%)
Active I Malmoe AB Series A.......................... 4,160 105,183
Active I Malmoe AB Series B.......................... 4,160 105,714
Allgon AB Series B................................... 65,400 793,392
Alma Industri & Handel AB Series B................... 5,200 120,854
*Althin Medical AB Series B.......................... 4,800 50,875
*Anders Dioes AB..................................... 28,800 176,899
Angpannefoereningen AB Series B...................... 10,800 179,289
*Argonaut AB Series A................................ 81,000 124,123
*Argonaut AB Series B................................ 383,140 592,011
B & N Bylock & Nordsjoefrakt AB Series B............. 41,800 153,195
BPA AB Series A...................................... 74,000 177,655
BPA AB Series B...................................... 56,700 140,466
BTL AB Series B...................................... 136,700 792,521
Beijer AB Series B................................... 11,700 206,182
Benima Ferator Engineering AB........................ 13,400 52,019
Berg (C.F.) & Co. AB Series B........................ 6,200 24,544
Bilspedition AB Series A............................. 88,300 484,859
Bong Ljungdahl AB.................................... 6,000 55,932
Boras Waefveri AB Series B........................... 8,600 63,147
Caran AB Series B.................................... 5,200 60,759
Carbo AB............................................. 11,100 296,248
Catena AB Series A................................... 66,700 800,646
Celsius Industrier AB Series B....................... 60,100 1,557,963
Concordia Maritime AB Series B....................... 37,300 96,216
Eldon AB Series B.................................... 21,600 386,161
Enator AB............................................ 60,100 1,895,650
Enea Data AB Series B................................ 2,000 158,602
</TABLE>
201
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Esselte AB Series A.................................. 40,100 $ 896,126
Esselte AB Series B.................................. 34,500 810,632
*Evidentia Fastigheter AB Series A................... 16,120 68,754
*Evidentia Fastigheter AB Series B................... 1,000 4,201
FFNS Gruppen AB Series B............................. 23,450 238,066
*Fagerlid Industrier AB.............................. 8,600 41,732
Fastighets AB Tornet................................. 10,800 176,531
*Fastighits AB Celtica............................... 5,800 32,589
Finnveden AB......................................... 18,100 422,977
*Firefly AB.......................................... 8,400 9,654
*Frontec AB Series B................................. 18,200 198,712
Garphyttan Industrier AB............................. 39,000 669,844
Getinge Industrier AB Series B....................... 39,736 811,878
Geveko AB Series B................................... 8,300 124,538
Gorthon Lines AB Series B............................ 41,800 242,870
Gullspangs Kraft AB Series B......................... 7,500 120,675
Hexagon AB Series B.................................. 3,572 108,105
ICB Shipping AB Series B............................. 61,500 620,424
*Intelligent Micro Systems Data AB................... 3,400 19,581
Iro AB............................................... 11,800 170,274
JP Bank Series A..................................... 14,000 82,238
JP Bank Series B..................................... 8,000 47,504
*Jacobson and Widmark AB............................. 13,400 56,468
*Kjessler & Mannerstrale AB.......................... 8,500 37,990
*Klippans Finpappersbruk AB.......................... 5,800 20,368
*#Lifco AB Series B.................................. 7,947 44,652
Lindex AB............................................ 16,100 657,904
#Marieberg Tidnings AB Series A...................... 51,900 1,574,047
Meda AB Series A..................................... 2,100 20,783
Monark Stiga AB...................................... 21,700 152,408
NCC AB Series A...................................... 3,000 36,394
NCC AB Series B...................................... 54,400 659,947
NH Nordiska Holding AB............................... 17,000 39,076
Nobelpharma AB....................................... 45,460 685,012
Nolato AB Series B................................... 30,600 425,926
OEM International AB Series B........................ 7,100 135,093
Om Gruppen AB........................................ 55,200 1,127,835
Piren AB............................................. 13,488 102,483
Platzer Bygg AB Series B............................. 36,000 61,602
Prifast AB........................................... 19,000 186,823
Rottneros Bruk AB.................................... 366,600 287,908
*Scandiaconsult AB................................... 14,300 74,870
Scribona AB Series A................................. 40,100 537,676
Scribona AB Series B................................. 31,700 414,925
Segerstroem & Svensson AB Series B................... 15,200 139,754
*Skandigen AB, Series A.............................. 13,300 42,800
Solitair Kapital AB.................................. 90,000 80,450
Spendrups Bryggeri AB Series B....................... 19,900 149,931
*#Stena Line AB Series B............................. 128,000 424,981
Svedala Industri..................................... 60,000 1,478,752
*Tivox AB Series B................................... 7,200 21,147
Wallenstam Byggnads AB Series B...................... 16,700 122,623
Westergyllen AB Series B............................. 4,300 109,821
Wihlborg & Son AB Series B........................... 83,500 119,424
Zeteco AB Series B................................... 10,400 224,443
------------
TOTAL -- SWEDEN
(Cost $17,341,125)................................... 25,823,326
------------
BELGIUM -- (3.5%)
COMMON STOCKS -- (3.5%)
*Abfin SA............................................ 2,560 0
Afrifina............................................. 3,480 596,660
BMT NV............................................... 2,040 441,372
*Banque Belgo-Zairoise Belgolaise SA................. 1,155 396,059
SHARES VALUE+
------------ ------------
Banque Nationale de Belgique......................... 710 $ 1,170,950
Belge des Betons..................................... 425 263,713
Belgo Katanga NPV.................................... 408 326,449
Belgo Katanga NPV VVPR............................... 136 107,521
#Bernheim-Comofi SA.................................. 5,295 400,607
CFE (Compagnie Francois d'Entreprises)............... 2,080 696,267
CMB (Cie Martime Belge).............................. 500 38,305
Carrieres Unies Porphyre............................. 20 20,792
Chimique et Metallurgique Campine, Beerse............ 370 50,952
City Hotels SA....................................... 1,290 166,408
#Cofinimmo SA........................................ 4,330 471,363
Cokeries & Houilleres d'Anderlues.................... 100 8,110
Commerciale de Brasserie SA COBRHA................... 115 57,665
Creyf's SA........................................... 1,500 391,895
Creyf's SA V.V.P.R................................... 300 8
Deceuninck Plastics Industries SA.................... 6,370 1,898,283
*Electrorail SA (Reunies d'Electricite & de
Transports)........................................ 11,416 20,195
Engrais Rosier SA.................................... 655 89,129
Floridienne NV....................................... 2,033 143,853
Ford Motor Co. SA Belgium............................ 1,110 202,397
*Forges de Clabecq SA................................ 3,460 282
*Franki NV (Cie Internationale des Pieux Armes
Frankignoul SA).................................... 5,875 24,303
Glaces de Charleroi.................................. 70 320,048
Ibel................................................. 2,655 202,316
*Immobel (Cie Immobiliere de Belgique SA)............ 10,600 750,044
*Intercomfina SA..................................... 11,000 898
Mecaniver SA, Bruxelles.............................. 128 59,133
Metiers Automatiques Picanol......................... 403 290,642
*PCB SA Bruxelles.................................... 6,504 50,447
*Papeteries de Catala SA............................. 315 52,208
Plantations Nord-Sumatra SA.......................... 650 78,719
*Recticel SA......................................... 8,450 106,934
SABCA (Sa Belge de Constructions Aeronautiques)...... 4,280 256,256
*SCF SA.............................................. 2,850 14,504
*SIPEF (Societe Internationale de Plantations & de
Finance) Strip VVPR................................ 370 40
SIPEF (Societe Internationale de Plantations & de
Finance), Anvers................................... 1,545 269,522
Sait Radioholland.................................... 6,088 173,306
Sait Radioholland (Precompte Reduit)................. 152 4,426
Sapec SA............................................. 3,635 192,906
*Sapec SA VVPR....................................... 75 59
Sidro................................................ 4,040 324,348
Spadel NPV........................................... 325 390,942
Surongo SA........................................... 20 4,300
Telinfo SA........................................... 6,948 684,503
Telinfo SA V.V.P.R................................... 1,158 63
Ter Beke NV.......................................... 2,212 270,897
UNIBRA............................................... 1,600 126,277
Uco Textiles NV...................................... 2,124 357,232
------------
TOTAL COMMON STOCKS
(Cost $8,080,570).................................... 12,964,508
------------
RIGHTS/WARRANTS -- (0.0%)
*Immobel (Cie Immobiliere de Belgique SA) Rights
05/08/98
(Cost $0).......................................... 10,600 30,463
------------
</TABLE>
202
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN
CURRENCY -- (0.0%)
*Belgian Francs
(Cost $2,851)...................................... $ 2,908
------------
TOTAL -- BELGIUM
(Cost $8,083,421).................................... 12,997,879
------------
DENMARK -- (0.8%)
COMMON STOCKS -- (0.8%)
Aarhus Oliefabrik A.S. Aeries A...................... 640 33,923
Alm Brand A.S. Series B.............................. 2,000 66,257
Amtssparekassen Fyn A.S.............................. 388 25,879
Bang & Olufsen Holding A.S. Series B................. 2,437 156,086
Broedrene Hartmann A.S. Series B..................... 121 20,458
Coloplast A.S. Series B.............................. 2,187 205,763
*Crisplant Industries A.S............................ 960 49,472
DFDS A.S., Copenhagen................................ 100 95,822
Dampskibsselsk et Torm A.S........................... 360 22,739
Danske Traelastko.................................... 896 94,986
Dv Industri A.S...................................... 440 18,464
*East Asiatic Co., Ltd............................... 4,283 39,098
Ejendamsselskabet Norden A.S......................... 958 55,011
Falck A.S............................................ 2,370 134,347
Fih A.S. Series B.................................... 3,090 74,159
Fluegger A.S. Series B............................... 658 23,736
GN Great Nordic, Ltd................................. 15,000 397,121
Hoejgaard Holding A.S. Series B...................... 126 20,036
*Holm (Jacob) & Sonner Series B...................... 2,254 31,528
Incentive A.S........................................ 1,085 64,700
Kansas Ehrvervsbeklaedning Odense A.S. Series B...... 688 35,455
*Kjobenhavns Sommer Tivoli A.S....................... 30 7,702
Korn-Og Foderstof Kompagnet A.S...................... 2,428 60,059
Lauritzen (J.) Holding Series B...................... 483 46,225
Marius Peder Series B................................ 76 16,114
Martin Gruppen A.S................................... 318 10,067
Neg Micon A.S........................................ 536 59,584
SHARES VALUE+
------------ ------------
Nordiske Kabel og Traadfabrikker Holding A.S......... 1,498 $ 123,515
Per Aarsleff A/S Series B............................ 425 24,405
Radiometer A.S. Series B............................. 1,803 76,721
Sanistal A.S. Series B............................... 88 13,799
Sas Danmark A.S...................................... 9,400 174,388
Schouw & Co. Series B................................ 340 33,040
Spar Nord Holding.................................... 1,103 58,790
Superfos A.S......................................... 6,178 175,814
Sydbank A.S.......................................... 1,742 98,748
Thorkild Kristensen.................................. 527 48,496
*Topdanmark A.S...................................... 784 138,521
Vest-Wood A.S........................................ 396 39,065
Wessel & Vett Magasin du Nord A.S. Series C.......... 602 39,443
------------
TOTAL COMMON STOCKS
(Cost $2,543,494).................................... 2,909,536
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Danish Krone
(Cost $2,673)...................................... 2,674
------------
TOTAL -- DENMARK
(Cost $2,546,167).................................... 2,912,210
------------
UNITED STATES -- (0.1%)
COMMON STOCKS -- (0.1%)
*Forcenergy, Inc.
(Cost $165,312).................................... 17,202 320,387
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $238,525,914)++................................ $371,829,247
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
203
<PAGE>
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
PORTUGAL -- (15.6%)
COMMON STOCKS -- (15.3%)
BCP (Banco Comercial Portugues SA).................... 156,339 $ 5,182,450
*BCP (Banco Comercial Portugues SA) Em 98............. 30,918 1,008,796
Banco Espirito Santo e Comercial de Lisboa............ 96,900 3,414,469
*Banco Espirito Santo e Comercial de Lisboa Em 98..... 12,112 416,833
Banco Pinto & Sotto Mayor SA.......................... 116,100 2,827,888
Banco Totta & Acores SA............................... 62,600 2,319,407
Cimpor Cimentos de Portugal SA........................ 28,685 1,099,762
*Companhia de Seguros Mundial Confianca SA............ 50,700 1,563,099
Companhia de Seguros Tranquilidade SA................. 20,500 685,393
Corticeira Amorim Sociedad Gestora Participacoes
Sociais SA.......................................... 15,000 325,569
EFACEC (Empresa Fabril de Maquinas Electricas)........ 10,500 115,100
Engil Sociedade Gestora de Participacoes Sociais SA... 15,200 175,702
*Filmes Lusomundo SA.................................. 8,300 125,103
*Inparsa Industrias e Participacoes S.G.P.S. SA....... 26,162 1,194,604
Investimentos Participacoes e Gestao SA Inapa......... 22,300 285,885
Jeronimo Martins (Estabelecimentos Jeronimo Martins &
Filho Administracao e Participacoes Financeiros
SA)................................................. 78,595 3,551,743
*Lusotur Sociedad Financeira de Turismo SA............ 5,500 87,391
Mague-Gestao e Participacoes SA....................... 5,200 198,010
Modelo Continente SGPS SA............................. 39,000 3,033,428
Portucel Industrial Empresa Produtora de Celulose
SA.................................................. 40,200 348,569
Portugal Telecom SA................................... 66,928 3,521,560
Salvador Caetano Industrias Metalurgicas e Veiculos de
Transporte SA....................................... 8,164 210,309
*Sociedad Construcoes Soares da Costa SA.............. 9,730 90,394
Sociedade de Investimento e Gestao SGPS SA............ 24,700 676,221
*Sonae Industria-Sociedade Gestora de Participacoes
Sociais SA.......................................... 32,483 549,068
Sonae Investimentos Sociedade Gestora de Participacoes
Sociais SA.......................................... 41,700 2,399,835
Uniceruniao Cervejeira SA............................. 20,400 467,260
------------
TOTAL COMMON STOCKS
(Cost $14,108,887)................................... 35,873,848
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.3%)
*Banco Espirito Santo e Comercial de Lisboa Rights
06/23/98
(Cost $0)........................................... 96,900 $ 682,894
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Portuguese Escudos
(Cost $5,869)....................................... 5,991
------------
TOTAL -- PORTUGAL
(Cost $14,114,756)................................... 36,562,733
------------
ISRAEL -- (11.3%)
COMMON STOCKS -- (11.3%)
*Africa-Israel Investments, Ltd....................... 2,840 179,519
*Africa-Israel Investments, Ltd....................... 155 89,621
Agis Industries (1983), Ltd........................... 21,736 151,075
American Israeli Paper Mills, Ltd..................... 3,291 131,660
Bank Hapoalim B.M..................................... 1,196,240 3,676,015
*Bank Leumi Le-Israel................................. 1,373,369 2,773,466
Bezek, Ltd............................................ 701,438 2,249,552
*Blue Square Chain Stores Properties Investment....... 29,303 359,227
CLAL Electronics Industries, Ltd...................... 3,579 548,440
CLAL Industries, Ltd.................................. 135,350 759,261
CLAL Insurance, Ltd................................... 38,684 461,527
CLAL Israel, Ltd...................................... 2,960,726 874,986
Delek Isreal.......................................... 8,643 420,982
*Elbit Medical Imaging................................ 17,319 138,384
Elbit Systems, Ltd.................................... 17,319 232,693
Elbit, Ltd............................................ 17,320 49,717
*Elite Industries, Ltd................................ 5,700 184,050
Elron Electronic Industries, Ltd...................... 19,701 339,098
First International Bank of Israel.................... 3,472 547,244
First International Bank of Israel.................... 486 375,625
IDB Bankholding Corp., Ltd............................ 36,578 913,849
IDB Development Corp., Ltd. Series A.................. 43,928 1,144,347
Industrial Building Corp., Ltd........................ 277,150 462,619
Israel Chemicals, Ltd................................. 1,165,326 1,476,412
*Israel Corp. Series A................................ 5,500 424,415
Koor Industries, Ltd.................................. 16,466 2,059,129
*Leumi Holdings Insurance............................. 279,107 187,882
*Makhteshim Chemical Works, Ltd....................... 56,129 465,382
Matav Cable Israel.................................... 19,027 193,163
Osem Investment, Ltd.................................. 77,343 384,340
Property and Building Corp., Ltd...................... 3,973 356,592
Super-Sol, Ltd. Series B.............................. 192,400 676,531
Tadiran, Ltd.......................................... 17,306 693,804
Tambour............................................... 26,898 49,314
Teva Pharmaceutical Industries, Ltd................... 60,410 2,474,627
------------
TOTAL -- ISRAEL
(Cost $19,808,692)................................... 26,504,548
------------
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TURKEY -- (10.3%)
COMMON STOCKS -- (10.3%)
Akbank................................................ 62,238,401 $ 1,831,108
*Akbank Issue 98...................................... 35,009,100 867,367
Akcansa Cimento Sanayi ve Ticaret SA.................. 14,800,650 458,366
Aksa.................................................. 7,151,119 265,759
Aksigorta A.S......................................... 4,050,000 246,932
Aktas Elektrik Ticaret A.S............................ 685,000 357,986
Alarko Holding........................................ 717,620 200,018
Alarko Sanayii ve Ticaret A.S......................... 1,124,999 75,125
Arcelik A.S........................................... 15,754,208 655,612
Aygaz................................................. 1,944,480 308,624
Bekoteknik Sanayi A.S................................. 4,664,719 122,794
Bossa Ticaret ve Sanayi Isletmeleri A.S............... 8,625,000 88,480
Brisa Bridgestone Sanbanci Lastik San & Tic A.S....... 6,202,000 324,121
CIMSA A.S. (Cimento Sanayi ve Ticaret)................ 2,955,000 171,589
*Cimentas A.S......................................... 1,037,032 60,218
Cukurova Elektrik A.S................................. 389,000 1,008,942
Dogan Sirketler Grubu Holdings A.S.................... 9,239,050 545,430
Doktas................................................ 272,000 10,793
EGE Biracilik ve Malt Sanayii A.S..................... 3,062,408 343,798
*Eczacibasi Ilac...................................... 2,130,940 103,115
Enka Holding.......................................... 806,993 406,121
Erciyas Biracilik..................................... 2,333,160 352,250
*Eregli Demir ve Celik Fabrikalari Turk A.S........... 4,929,000 686,915
*Es Kisehir Bankasi Esbank............................ 7,200,747 47,388
Good Year Lastikleri A.S.............................. 3,272,500 212,196
Guney Biracilik....................................... 1,004,640 92,367
Hurriyet Gazette...................................... 8,983,000 326,882
*Ihlas Holding........................................ 1,348,057 185,259
*Izmir Demir Celik.................................... 4,092,600 32,875
Kartonsan............................................. 1,417,500 120,722
Kepez Elektrik Ticaret A.S............................ 93,000 248,413
Koc Holding A.S....................................... 12,466,998 2,364,830
Kordsa Kord Bezi Sanayi ve Ticaret A.S................ 1,771,000 263,950
Migros Turk A.S....................................... 734,225 682,154
*Netas Northern Electric Telekomunikasyon A.S......... 970,000 285,382
Otosan Otomobil A.S................................... 1,026,000 575,913
Peg Profilo A.S....................................... 2,024,497 107,761
*Raks Elektroniks A.S................................. 216,000 83,617
Sarkuysan Elektrolitik Bakir Sanayi A.S............... 794,000 63,779
*T. Tuborg Bira ve Malt Sanayi A.S.................... 390,000 10,719
Tat Konserve.......................................... 1,782,544 60,725
Teletas Telekomunikasyon Endustri Ticaret A.S......... 1,400,000 178,848
*Tofas Turk Otomobil Fabrikasi A.S.................... 9,802,375 407,926
Trakya Cam Sanayii A.S................................ 8,270,120 300,941
Turcas Petrolculuk A.S................................ 1,691,018 68,081
Turk Demir Dokum...................................... 4,164,986 70,137
Turk Siemens Kablo ve Elektrik Sanayi A.S............. 420,500 24,417
SHARES VALUE+
------------ ------------
Turk Sise Cam......................................... 12,475,592 $ 405,679
*Turkiye Garanti Bankasi A.S.......................... 28,800,442 1,226,404
Turkiye Is Bankasi A.S. Series C...................... 85,367,625 3,469,959
*Turkiye Is Bankasi A.S. Series C Issue 98............ 15,064,875 588,989
USAS (Ucak Servisi A.S.).............................. 42,500 105,296
*Vestel Elektronik Sanayi Ticaret A.S................. 3,112,000 421,647
Yapi ve Kredi Bankasi A.S............................. 64,956,045 1,257,278
*Yapi ve Kredi Bankasi A.S. Issue 98.................. 18,692,387 332,862
------------
TOTAL -- TURKEY
(Cost $12,212,244)................................... 24,114,859
------------
ARGENTINA -- (9.0%)
COMMON STOCKS -- (9.0%)
*Acindar Industria Argentina de Aceros SA Series B.... 164,000 340,467
*Alpargatas SA Industrial y Comercial................. 150,000 33,316
Astra Cia Argentina de Petroleos SA................... 336,690 532,231
Bagley y Cia, Ltd. SA Series B........................ 106,228 212,560
Banco de Galicia y Buenos Aires SA Series A........... 247,526 1,271,669
*Banco del Sud Sociedad Anonima Series B.............. 29,000 242,269
Banco Frances del Rio de la Plata SA.................. 123,936 949,815
*Buenos Aires Embotelladora SA Series B............... 100 7,604
CIADEA SA............................................. 76,559 157,025
Capex SA Series A..................................... 18,000 72,035
*Celulosa Argentina SA Series B....................... 75,000 16,133
Central Costanera SA Series B......................... 20,000 58,028
Central Puerto SA Series B............................ 16,000 44,021
Corcemar SA Series B.................................. 19,226 113,489
Garovaglio y Zorraquin SA............................. 28,000 56,588
*Indupa SA Industrial y Comercial..................... 180,366 155,191
Irsa Inversiones y Representaciones SA................ 73,979 262,014
Juan Minetti SA....................................... 94,039 348,115
Ledesma SA............................................ 135,378 117,837
Metrogas SA Series B.................................. 403,115 362,981
Molinos Rio de la Plata SA Series B................... 125,287 322,145
Naviera Perez Companc SA Series B..................... 540,429 2,979,224
Nobleza-Piccardo Sdad Industrial Comercial y
Financiera Pica..................................... 25,542 103,496
*Sevel Argentina SA Series C.......................... 79,033 72,747
Siderar SAIC Series A................................. 21,280 86,375
Siderca SA Series A................................... 714,907 1,444,820
Sociedad Comercial del Plata.......................... 187,740 202,859
Telecom Argentina Stet-France SA Series B............. 317,000 1,966,363
Telefonica de Argentina SA Series B................... 738,000 2,414,443
Transportadora de Gas del Sur SA Series B............. 398,000 860,101
YPF Sociedad Anonima Yacimientos Petroliferos Fiscales
Series D............................................ 165,000 5,134,016
------------
TOTAL COMMON STOCKS
(Cost $18,371,680)................................... 20,939,977
------------
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RIGHTS/WARRANTS -- (0.0%)
*Acindar Industria Argentina de Aceros SA Series B
Rights 06/09/98
(Cost $0)........................................... 164,000 $ 0
------------
TOTAL -- ARGENTINA
(Cost $18,371,680)................................... 20,939,977
------------
PHILIPPINES -- (8.9%)
COMMON STOCKS -- (8.9%)
*Aboitiz Equity Ventures, Inc......................... 2,376,400 107,380
Ayala Land, Inc....................................... 6,847,980 2,329,539
Bacnotan Consolidated Industries, Inc................. 54,567 83,357
*Belle Corp........................................... 4,916,000 174,174
*C & P Homes, Inc..................................... 10,306,500 793,824
*Centennial City, Inc................................. 3,285,000 32,049
Far East Bank and Trust Co. (Foreign)................. 1,082,200 1,278,077
*Fil-Estate Land, Inc................................. 1,252,000 46,287
*Filinvest Land, Inc.................................. 9,822,000 731,290
Guoco Holdings (Philippines), Inc..................... 1,080,000 24,401
*International Container Terminal Services, Inc....... 706,500 101,576
Ionics Circuits, Inc.................................. 1,040,850 447,605
La Tondena Distillers, Inc............................ 453,200 319,974
*Megaworld Properties & Holdings, Inc................. 1,695,000 32,638
*Metro Pacific Corp................................... 6,173,860 256,781
Metropolitan Bank & Trust Co.......................... 433,871 3,146,811
*Mondragon International Philippines, Inc............. 408,840 9,237
*Petron Corp.......................................... 18,813,000 2,704,816
Philippine Long Distance Telephone Co................. 126,940 3,259,043
*Philippine National Bank............................. 259,975 493,918
*Philippine Savings Bank.............................. 125,000 63,382
*Pilipino Telephone Corp.............................. 628,500 66,158
RFM Corp.............................................. 1,843,000 260,243
*Republic Glass Holding Corp.......................... 331,250 9,015
SM Prime Holdings, Inc................................ 18,674,000 3,308,096
*Security Bank Corp................................... 146,820 72,562
*Southeast Asia Cement Holdings, Inc.................. 3,098,780 42,961
*Union Bank of the Philippines........................ 421,500 175,850
Universal Robina Corp................................. 2,871,000 515,968
------------
TOTAL COMMON STOCKS
(Cost $39,745,756)................................... 20,887,012
------------
PREFERRED STOCKS -- (0.0%)
RFM Corp.
(Cost $31,501)...................................... 177,090 24,097
------------
TOTAL -- PHILIPPINES
(Cost $39,777,257)................................... 20,911,109
------------
MEXICO -- (8.9%)
COMMON STOCKS -- (8.9%)
*Altos Hornos de Mexico S.A........................... 97,000 140,834
Apasco S.A. de C.V.................................... 69,000 420,291
Carso Global Telecom S.A. de C.V. Telecom Series A1... 192,000 622,865
*Cementos de Mexico S.A. de C.V. Series B............. 226,000 1,110,001
SHARES VALUE+
------------ ------------
Cifra S.A. de C.V. Series C........................... 417,000 $ 585,576
Cifra S.A. de C.V. Series V........................... 137,180 198,549
Controladora Comercial Mexicana S.A. de C.V. Series
B................................................... 175,000 170,712
Desc S.A. de C.V. Series B............................ 59,000 329,933
Desc S.A. de C.V. Series C............................ 1,381 7,832
El Puerto de Liverpool S.A. Series C1................. 339,500 462,113
Empresas ICA Sociedad Controladora S.A. de C.V........ 198,000 343,624
*Empresas la Moderna S.A. de C.V. Series A............ 120,000 571,686
Fomento Economico Mexicano S.A. de C.V. Series B...... 135,000 937,156
*Gruma S.A. de C.V. Series B.......................... 88,924 172,482
Grupo Carso S.A. de C.V. Series A-1................... 203,000 1,033,878
Grupo Celanese S.A. Series B-1........................ 140,000 329,910
*Grupo Financiero Banamex Accival S.A. de C.V. Series
B................................................... 377,000 932,234
*Grupo Financiero Banamex Accival S.A. de C.V. Series
L................................................... 13,187 28,420
Grupo Financiero Bancomer S.A. de C.V. Series B....... 1,246,380 622,057
Grupo Financiero Bancomer S.A. de C.V. Series L....... 7,792 2,665
*Grupo Financiero GBM Atlantico S.A. de C.V. Series
B................................................... 30,000 20,417
Grupo Financiero Inbursa-C............................ 239,699 633,504
*Grupo Financiero Santander Mexicano S.A. de C.V.
Sanmex Series B..................................... 24,757 21,342
*Grupo Financiero Serfin S.A. de C.V. Series B........ 249,102 38,145
*Grupo Gigante S.A. Series B.......................... 341,400 143,282
Grupo Industrial Alfa S.A. Series A................... 150,290 704,056
Grupo Industrial Bimbo S.A. de C.V. Series A.......... 392,000 898,182
Grupo Industrial Maseca S.A. de C.V. Series B......... 229,000 130,397
Grupo Mexico S.A. de C.V. Series B.................... 172,000 557,984
Grupo Modelo S.A. de C.V. Series C.................... 78,000 712,225
*Grupo Televisa S.A. (Certificate Representing Series
A, Series D & Series L)............................. 70,000 1,375,222
Hylsamex S.A. de C.V. Series B........................ 60,000 211,660
Industrias Penoles S.A. de C.V........................ 103,000 352,835
Kimberly Clark de Mexico S.A. de C.V. Series A........ 225,000 939,198
Organizacion Soriana S.A. de C.V. Series B............ 150,000 482,360
*Seguros Comercial America S.A. de C.V. Series B...... 63,000 219,742
Telefonos de Mexico S.A. Series A..................... 50,000 121,370
Telefonos de Mexico S.A. Series L..................... 1,521,000 3,623,059
*Tolmex S.A. de C.V. Series B-2....................... 16,000 78,040
Tubos de Acero de Mexico S.A.......................... 17,000 252,608
Vitro S.A............................................. 121,600 342,068
------------
TOTAL COMMON STOCKS
(Cost $16,769,833)................................... 20,880,514
------------
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RIGHTS/WARRANTS -- (0.0%)
*Cementos de Mexico S.A. de C.V. Series B Rights
06/18/98
(Cost $0)........................................... 226,000 $ 0
------------
TOTAL -- MEXICO
(Cost $16,769,833)................................... 20,880,514
------------
BRAZIL -- (8.4%)
PREFERRED STOCKS -- (4.6%)
Aracruz Celulose SA Series B.......................... 251,999 339,598
Banco Bradesco SA..................................... 83,444,441 681,961
Banco Credito Nacional SA Brasil...................... 10,571,784 107,540
Banco do Brasil SA.................................... 98,670,000 1,243,047
Banco Itau SA......................................... 2,850,000 1,697,368
Brasiliero de Petroleo Ipiranga....................... 12,300,000 138,915
Brasmotor SA.......................................... 600,000 61,034
*COFAP (Cia Fabricadora De Pecas)..................... 5,100 44,474
Centrais Electricas de Santa Catarin Celesc Series
B................................................... 180,000 162,757
Cervejaria Brahma..................................... 2,490,767 1,450,915
Cia Siderurgica Belgo-Mineira......................... 970,000 60,341
Cimento Portland Itau................................. 630,000 115,026
Companhia Siderurgica de Tubarao Sid Tubarao.......... 11,520,000 179,684
Copene-Petroquimica do Nordeste SA Series A........... 624,000 151,852
Coteminas Cia Tecidos Norte de Minas.................. 610,000 103,419
Duratex SA............................................ 2,900,000 113,435
Ericsson Telecomunicacoes SA.......................... 15,480,000 314,262
IKPC Industrias Klabin de Papel e Celulose SA......... 176,875 92,268
Investimentos Itau SA................................. 730,000 539,481
*Lojas Americanas SA.................................. 1,610,000 10,498
Lojas Renner SA....................................... 800,000 26,778
Multibras Eletrodomesticos SA......................... 315,000 134,196
*Paranapanema SA...................................... 2,120,000 14,395
Sadia Concordia SA.................................... 100,000 63,468
*Siderurgica Paulista Casipa Series B................. 65,000 22,040
Suzano de Papel e Celulose............................ 54,000 69,954
Telecomunicacoes Brasileiras SA....................... 137,922 14,630
USIMINAS (Usinas Siderurgicas de Minas Gerais SA)..... 52,039 285,491
Unibanco-Uniao de Bancos Brasileiros SA............... 12,963,000 817,105
Vale do Rio Doce...................................... 81,160 1,686,453
*Vale do Rio Doce Series B............................ 81,160 0
Votorantim Celulose e Papel SA........................ 9,467,325 141,658
------------
TOTAL PREFERRED STOCKS
(Cost $10,194,974)................................... 10,884,043
------------
COMMON STOCKS -- (3.8%)
Acos Especiais Itabira-Acesita Aces................... 25,963,524 38,375
Antarctica Paulista I.B.B.C. Anta..................... 3,000 182,580
Banco Bamerindus do Brazil SA......................... 2,400 25,040
Banco Bradesco SA..................................... 152,752,333 1,208,547
Banco do Estado de Sao Paulo SA....................... 6,800,000 277,278
*Ceval Alimentos SA................................... 11,610,114 39,367
Compania de Electricidade da Bahia Coelba............. 2,780,000 122,023
Embraco SA............................................ 130,000 45,210
SHARES VALUE+
------------ ------------
*Embraer Empresa Brasileira de Aeronautica Series A... 1,700,000 $ 27,721
Empresa Nasional de Comercio Redito e Participacoes
SAncorpar........................................... 480,000 1,815
Gerdau SA............................................. 10,400,000 153,715
*Lojas Americanas SA.................................. 10,520,000 62,196
*Mannesmann SA........................................ 149,000 15,545
Petroquimica do Sul Copesul........................... 8,276,000 277,023
*Santista Alimentos SA................................ 33,115 25,912
Siderurgica Nacional Sid Nacional..................... 26,651,000 683,549
Souza Cruz Industria e Comercio....................... 71,000 487,663
Telecomunicacoes Brasileiras SA....................... 57,550,000 4,853,458
VSMA (Cia Vidraria Santa Marina)...................... 54,000 90,377
White Martins SA...................................... 208,662 206,815
------------
TOTAL COMMON STOCKS
(Cost $7,023,873).................................... 8,824,209
------------
RIGHTS/WARRANTS -- (0.0%)
Cia Siderurgica Belgo-Mineira Rights 06/08/98
(Cost $0)........................................... 20,394 0
------------
TOTAL -- BRAZIL
(Cost $17,218,847)................................... 19,708,252
------------
MALAYSIA -- (7.6%)
COMMON STOCKS -- (7.6%)
*AMMB Holdings Berhad................................. 147,200 131,083
AMMB Holdings Berhad 7.5% Unsecured Loan Stock 1999... 2,000 208
Affin Holdings Berhad................................. 113,000 39,427
*Amsteel Corp. Berhad................................. 264,000 29,902
*Aokam Perdana Berhad................................. 10,000 1,601
Arab Malaysia Corp. Berhad............................ 56,000 17,352
Asiatic Development Berhad............................ 118,000 36,563
Ban Hin Lee Bank Berhad............................... 20,000 23,851
Bandar Raya Developments Berhad....................... 23,000 4,492
Batu Kawan Berhad..................................... 51,000 64,007
Berjaya Group Berhad.................................. 94,000 16,277
Berjaya Leisure Berhad................................ 91,000 58,763
Berjaya Sports Toto Berhad............................ 79,000 165,590
Boustead Holdings Berhad.............................. 32,000 23,330
Cahya Mata Sarawak Berhad............................. 66,000 34,714
Carlsberg Brewery Malaysia Berhad..................... 53,000 172,504
Commerce Asset Holding Berhad......................... 288,200 152,336
Country Heights Holdings Berhad....................... 40,000 33,537
*Cycle & Carriage Bintang Berhad...................... 15,000 17,107
DCB Sakura Merchant New Shares........................ 4,100 1,388
Diversified Resources Berhad.......................... 28,000 8,603
*Ekran Berhad......................................... 108,000 15,607
Esso Malaysia Berhad.................................. 43,000 46,017
*Faber Group Berhad................................... 169,600 24,730
Fraser & Neave Holdings Berhad........................ 27,000 37,261
Gadek (Malaysia) Berhad............................... 11,000 6,846
Gamuda Berhad......................................... 60,000 62,492
Genting Berhad........................................ 259,000 674,391
Golden Hope Plantations Berhad........................ 371,000 405,728
Guiness Anchor Berhad................................. 105,000 139,435
Hap Seng Consolidated Berhad.......................... 93,000 108,970
Highlands and Lowlands Berhad......................... 211,000 206,577
Hong Leong Bank Berhad................................ 213,125 115,983
Hong Leong Credit Berhad.............................. 156,300 118,838
Hong Leong Industries Berhad.......................... 30,200 24,692
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Hong Leong Properties Berhad.......................... 112,000 $ 25,080
Hume Industries (Malaysia) Berhad..................... 52,000 41,161
IJM Corp. Berhad...................................... 56,000 24,788
IOI Corp. Berhad...................................... 295,000 198,945
*Idris Hydraulic (Malaysia) Berhad.................... 89,000 13,209
Innovest Berhad....................................... 53,000 9,108
Intria Berhad......................................... 80,000 11,249
Jaya Tiasa Holdings Berhad............................ 96,000 126,234
KFC Holdings (Malaysia) Berhad........................ 29,000 33,980
Kamunting Corp. Berhad................................ 40,000 5,208
Kedah Cement Holdings Berhad.......................... 74,000 13,488
Kuala Lumpur Kepong Berhad............................ 263,500 466,554
Land -- General Berhad................................ 35,000 5,468
Leader Universal Holdings Berhad...................... 69,000 14,014
*Leisure Management Berhad............................ 35,000 174,977
Lion Land Berhad...................................... 1,000 116
MBF Holdings Berhad................................... 141,000 15,053
*MBF Land Berhad...................................... 65,000 6,178
MNI Holdings Berhad................................... 10,000 15,623
Magnum Corp. Berhad................................... 554,500 291,652
Malakoff Berhad....................................... 78,000 182,789
Malayan Banking Berhad................................ 846,000 1,189,533
Malayan Cement Berhad................................. 65,750 29,104
Malayan United Industries Berhad...................... 70,000 9,113
Malaysia Industrial Development Finance Berhad........ 133,000 38,440
Malaysia Mining Corp. Berhad.......................... 292,000 128,494
Malaysian Airlines System............................. 269,000 161,099
Malaysian Helicopter Services Berhad.................. 110,000 15,467
Malaysian International Shipping Corp. (Foreign)...... 85,666 151,680
Malaysian Oxygen Berhad............................... 22,000 58,430
Malaysian Pacific Industries.......................... 73,000 185,327
Metroplex Berhad...................................... 173,000 39,190
Mulpha International Berhad........................... 133,750 16,020
Multi-Purpose Holdings Berhad......................... 86,000 22,617
Nestle (Malaysia) Berhad.............................. 86,000 382,919
Notth Borneo Timbers Berhad........................... 8,000 7,916
OSK Holdings.......................................... 34,000 11,420
Oriental Holdings Berhad.............................. 112,880 195,457
Oyl Industries Berhad................................. 47,000 121,768
Perlis Plantations Berhad............................. 76,500 93,621
Pernas International Holdings Berhad.................. 71,000 16,546
Perusahaan Otomobil Nasional Berhad................... 189,000 187,991
Petronas Dagangan Berhad.............................. 147,000 153,105
Petronas Gas Berhad................................... 669,000 1,515,506
Phileo Allied Berhad.................................. 54,000 28,121
Phileo Land Berhad.................................... 27,000 8,120
Public Bank Berhad (Foreign).......................... 12,799 4,999
RHB Capital Berhad.................................... 416,000 227,470
RJ Reynolds Berhad.................................... 91,000 142,169
Rashid Hussain Berhad................................. 97,000 60,617
*Renong Berhad........................................ 460,000 97,019
Resorts World Berhad.................................. 403,000 624,359
Road Builders (Malaysia) Holdings Berhad.............. 13,000 10,087
Rothmans of Pall Mall Malaysia Berhad................. 105,000 792,866
Sarawak Enterprise Corp. Berhad....................... 412,000 137,315
Shell Refining Co. Federation of Malaysia Berhad...... 110,000 186,174
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Silverstone Berhad................................... 9,240 $ 0
Sime Darby Berhad (Malaysia).......................... 696,800 555,190
Sime UEP Properties Berhad............................ 84,000 66,491
Southern Bank Berhad (Foreign)........................ 51,000 24,434
*Southern Bank Berhad (Foreign) Issue 98.............. 63,750 28,219
Southern Steel Berhad................................. 45,000 17,576
Sungei Way Holdings Berhad............................ 63,000 14,764
Ta Enterprise Berhad.................................. 107,000 19,503
Tan Chong Motor Holdings Berhad....................... 141,000 91,785
Technology Resources (Industries) Berhad.............. 264,000 191,788
Telekom Malaysia Berhad............................... 975,000 2,234,084
Tenaga Nasional Berhad................................ 1,146,000 1,894,831
Time Engineering Berhad............................... 276,000 72,584
Tractors Malaysia Holdings Berhad..................... 22,000 7,447
UMW Holdings Berhad................................... 54,800 34,103
United Engineering (Malaysia) Berhad.................. 165,198 98,504
YTL Corp. Berhad...................................... 444,250 552,927
------------
TOTAL COMMON STOCKS
(Cost $40,075,109)................................... 17,649,385
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Malaysian Ringetts
(Cost $2)........................................... 1
------------
TOTAL -- MALAYSIA
(Cost $40,075,111)................................... 17,649,386
------------
SOUTH KOREA -- (7.2%)
COMMON STOCKS -- (7.2%)
*A-Nam Industrial Co., Ltd............................ 9,640 24,656
*Asia Motors Co., Inc................................. 16,640 11,113
*Bank of Pusan........................................ 12,200 17,726
Cheil Jedang Corp..................................... 6,144 78,137
*Cho Hung Bank Co., Ltd............................... 187,940 146,213
Chong Kun Dang........................................ 1,558 33,097
Chosun Brewery Co., Ltd............................... 2,870 16,313
*Commercial Bank of Korea Co., Ltd.................... 201,999 157,151
*Daegu Bank Co., Ltd.................................. 30,323 44,596
*Daelim Industrial Co., Ltd........................... 16,100 23,564
*Daesung Industrial Co., Ltd.......................... 1,570 17,290
Daewoo Corp........................................... 147,380 383,240
*Daewoo Electronics Co., Ltd.......................... 85,420 223,943
Daewoo Heavy Industries, Ltd.......................... 475,260 1,630,909
*Daewoo Motor Sales Corp.............................. 9,480 23,203
*Daewoo Securities Co., Ltd........................... 51,800 221,185
*Dong-Ah Construction Industrial Co., Ltd............. 22,290 31,832
*Dongkuk Steel Mill Co., Ltd.......................... 13,800 55,886
*Dongsuh Securities Co., Ltd.......................... 17,800 12,836
*Dongwon Securities Co., Ltd.......................... 14,060 50,047
*Han Il Cement Manufacturing Co., Ltd................. 2,867 26,582
Han Kook Tire Manufacturing Co., Ltd.................. 2,206 48,587
*Hanil Bank........................................... 176,150 130,157
*Hanjin Heavy Industry Co., Ltd....................... 21,910 80,946
*Hanjin Shipping Co., Ltd............................. 6,160 18,425
Hankook Caprolactam Corp.............................. 590 25,151
Hansol Paper Co., Ltd................................. 9,204 55,257
*Hanwha Chemical Corp................................. 31,691 58,316
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Hyosung T & C Co., Ltd............................... 4,000 $ 25,009
*Hyundai Engineering & Construction Co., Ltd.......... 70,112 256,039
*Hyundai Fire & Marine Insurance Co., Ltd............. 5,360 36,939
*Hyundai Motor Co., Ltd............................... 53,370 564,982
*Hyundai Motor Service Co., Ltd....................... 7,470 19,743
*Hyundai Precision Industry Co., Ltd.................. 19,210 40,263
*Hyundai Securities Co., Ltd.......................... 34,944 81,433
*Inchon Iron & Steel Co., Ltd......................... 11,641 36,391
*Keumkang Co., Ltd.................................... 3,060 32,611
*Kia Motors Corp...................................... 43,960 107,128
*Kookmin Bank......................................... 217,668 1,074,812
*Korea Chemical Co., Ltd.............................. 1,020 13,407
Korea Electric Power Corp............................. 80,470 806,129
Korea Express Co., Ltd................................ 7,340 14,211
*Korea First Bank Inc., Ltd........................... 11,800 28,882
*Korea Long Term Credit Bank.......................... 111,110 309,450
Korea Zinc Co., Ltd................................... 8,770 68,540
*Korean Air........................................... 3,750 11,456
*Kyong Nam Bank....................................... 15,280 23,883
LG Chemical, Ltd...................................... 100,560 664,446
*LG Construction, Ltd................................. 14,120 25,682
LG Electronics, Inc................................... 114,140 1,070,442
*LG Industrial Systems, Ltd........................... 12,210 36,999
LG Information & Communications, Ltd.................. 20,610 483,218
*LG Insurance Co., Ltd................................ 2,210 64,377
*LG Securities Co., Ltd............................... 23,700 60,450
Oriental Chemical Industries Co., Ltd................. 5,720 40,518
Pacific Chemical Co., Ltd............................. 4,330 47,991
Pohang Iron & Steel Co., Ltd.......................... 2,580 88,719
*SK Corp., Ltd........................................ 101,640 598,647
SK Telecom Co., Ltd................................... 133 40,160
Sam Yang Corp......................................... 3,580 14,040
Samchully Co., Ltd.................................... 1,233 15,593
*Samsung Aerospace Industrial Co., Ltd................ 19,490 54,004
*Samsung Corp......................................... 36,890 120,302
Samsung Display Devices, Ltd.......................... 33,805 1,198,486
Samsung Electro-Mechanics Co., Ltd.................... 46,639 593,135
Samsung Electronics Co., Ltd.......................... 46,249 1,757,954
*Samsung Fire & Marine Insurance...................... 2,955 680,227
*Samsung Heavy Industries Co., Ltd.................... 98,240 590,487
*Seondo Electric Co., Ltd............................. 8,800 95,034
*Seoul Bank........................................... 11,800 22,971
*Shinhan Bank Co., Ltd................................ 172,044 672,285
*Shinsegae Department Store........................... 6,720 64,455
*Ssangyong Cement Industry Co., Ltd................... 17,965 27,314
*Ssangyong Investment Securities Co., Ltd............. 29,285 43,485
*Ssangyong Motor Co................................... 29,100 33,907
Ssangyong Oil Refining Co., Ltd....................... 32,080 233,620
Sungmi Telecom Electronics Co., Ltd................... 1,052 23,843
*Sunkyong, Ltd........................................ 12,617 27,520
Tae Kwang Industrial Co., Ltd......................... 660 127,545
Tae Young Corp........................................ 3,280 38,451
*Tai Han Electric Wire Co............................. 5,990 17,364
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Trigem Computer, Inc................................. 3,210 $ 8,461
Young Poong Mining & Construction Corp................ 3,296 18,968
------------
TOTAL COMMON STOCKS
(Cost $36,588,746)................................... 16,898,766
------------
RIGHTS/WARRANTS -- (0.0%)
*Koram Bank, Ltd. Rights 05/13/98..................... 26,903 2,867
*Samsung Fine Chemicals Rights 06/17/98............... 1,832 4,425
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 7,292
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Korean Won
(Cost $36).......................................... 26
------------
TOTAL -- SOUTH KOREA
(Cost $36,588,782)................................... 16,906,084
------------
THAILAND -- (6.3%)
COMMON STOCKS -- (6.3%)
*Adkinson Securities Public Co., Ltd. (Foreign)....... 2,100 767
*Advance Agro Public Co., Ltd. (Foreign).............. 1,030,130 879,908
Advanced Info Service Public Co., Ltd. (Foreign)...... 561,100 3,056,250
*Amarin Plaza Public Co., Ltd. (Foreign).............. 7,400 769
Ayudhya Insurance Public Co., Ltd. (Foreign).......... 1,000 3,342
*Bangkok Bank of Commerce Public Co., Ltd.
(Foreign)........................................... 152,949 20,070
*Bangkok Expressway Public Co., Ltd. (Foreign)........ 1,971,100 1,134,639
*Bangkok Land Public Co., Ltd. (Foreign).............. 65,200 3,067
*Bangkok Metropolitan Bank Public Co., Ltd.
(Foreign)........................................... 732,794 47,172
*Bangkok Rubber Public Co., Ltd. (Foreign)............ 14,600 3,615
*Bangkok Steel Industry Public Co., Ltd. (Foreign).... 20,000 941
*Bank of Asia Public Co., Ltd. (Foreign).............. 12,870 3,266
Bank of Ayudhya Public Co., Ltd. (Foreign)............ 1,279,250 356,315
Banpu Public Co., Ltd. (Foreign)...................... 33,400 106,675
Berli Jucker Public Co., Ltd. (Foreign)............... 10,100 9,752
*Capital Nomura Securities Public Co., Ltd.
(Foreign)........................................... 14,000 5,979
*Ch Karnchang Public Co., Ltd. (Foreign).............. 149,100 149,506
*Charoen Pokphand Feedmill Public Co., Ltd.
(Foreign)........................................... 14,000 14,211
*Christiani and Nielson (Thai) Public Co., Ltd.
(Foreign)........................................... 7,097 141
Compass East Industry (Thailand) Public Co., Ltd.
(Foreign)........................................... 2,400 15,925
Delta Electronics (Thailand) Public Co., Ltd.......... 8,300 62,471
</TABLE>
209
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THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Delta Electronics (Thailand) Public Co., Ltd.
(Foreign)........................................... 205,000 $ 1,471,898
*Dusit Thani Public Co., Ltd. (Foreign)............... 8,933 9,317
*Ekachart Finance and Securities Co., Ltd.
(Foreign)........................................... 10,200 2,437
*First Bangkok City Bank Public Co., Ltd. (Foreign)... 1,613,550 115,853
*First City Investment Public Co., Ltd. (Foreign)..... 44,200 1,423
*Five Stars Property Public Co., Ltd. (Foreign)....... 3,800 113
*GSS Array Technology Public Co., Ltd. (Foreign)...... 3,200 10,696
*General Finance and Securities Public Co., Ltd.
(Foreign)........................................... 46,300 9,056
Grammy Entertainment Public Co., Ltd. (Foreign)....... 116,500 311,513
*Hana Microelectronics Co., Ltd. (Foreign)............ 57,000 197,574
*Hemaraj Land and Development Public Co., Ltd.
(Foreign)........................................... 27,500 6,196
*ITF Finance and Securities Public Co., Ltd........... 8,025 477
*International Broadcasting Corp. Public Co., Ltd.
(Foreign)........................................... 10,690 6,352
International Cosmetics Public Co., Ltd. (Foreign).... 3,500 4,593
*International Engineering Public Co., Ltd.
(Foreign)........................................... 2,000 327
*Italian-Thai Development Public Co., Ltd.
(Foreign)........................................... 355,000 248,298
*Jasmine International Public Co., Ltd. (Foreign)..... 417,000 94,984
*Juldis Develop Public Co., Ltd. (Foreign)............ 1,000 22
*Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign)........................................... 12,800 1,489
*Krisda Mahanakorn Public Co., Ltd. (Foreign)......... 23,300 808
Krung Thai Bank Public Co., Ltd....................... 1,049,000 166,219
Krung Thai Bank Public Co., Ltd. (Foreign)............ 4,703,670 756,966
*Land and House Public Co., Ltd. (Foreign)............ 2,065 729
*MK Real Estate Development Public Co., Ltd.
(Foreign)........................................... 2,925 152
Mutual Fund Public Co., Ltd. (Foreign)................ 500 1,238
*NTS Steel Group Public Co., Ltd. (Foreign)........... 35,500 2,197
Nakornthon Bank Public Co., Ltd. (Foreign)............ 96,201 11,194
*National Finance and Securities Public Co., Ltd.
(Foreign)........................................... 122,400 31,820
*National Petrochemical Public Co., Ltd............... 234,800 133,706
*Natural Park Public Co., Ltd. (Foreign).............. 192,700 4,771
*New Imperial Hotel Public Co., Ltd. (Foreign)........ 30,000 16,805
*Padaeng Industry Public Co., Ltd (Foreign)........... 7,800 1,178
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Phatra Thanakit Public Co., Ltd. (Foreign)........... 140,400 $ 59,963
Phoenix Pulp and Paper Public Co., Ltd. (Foreign)..... 52,700 30,336
*Poonipat Finance and Securities Public Co., Ltd.
(Foreign)........................................... 4,987 1,148
*Power-P Public Co., Ltd. (Foreign)................... 1,600 73
*Premier Enterprises Public Co., Ltd. (Foreign)....... 6,000 59
*Property Perfect Public Co., Ltd. (Foreign).......... 26,050 903
*Quality Houses Public Co., Ltd. (Foreign)............ 18,000 1,203
Regional Container Lines Public Co., Ltd. (Foreign)... 1,500 1,485
*Robinson Department Store Public Co., Ltd.
(Foreign)........................................... 24,700 1,162
Saha-Union Public Co. Ltd. (Foreign).................. 48,700 33,761
*Sammakorn Public Co., Ltd. (Foreign)................. 7,500 1,820
*Sanyo Universal Electric Public Co., Ltd.
(Foreign)........................................... 6,500 1,609
*Securities One Public Co., Ltd. (Foreign)............ 255,431 26,561
*Serm Suk Public Co., Ltd. (Foreign).................. 1,000 6,685
Shangri-la Hotel Public Co., Ltd. (Foreign)........... 12,000 5,051
Shinawatra Computer and Communications Public Co.,
Ltd. (Foreign)...................................... 172,300 584,429
*Siam Cement Public Co., Ltd. (Foreign)............... 27,000 172,468
*Siam City Bank Public Co., Ltd. (Foreign)............ 370,000 1,832
*Siam City Cement Public Co., Ltd. (Foreign).......... 212,888 300,436
Siam Commercial Bank Public Co., Ltd. (Foreign)....... 334,666 190,575
Siam Makro Public Co., Ltd. (Foreign)................. 614,300 912,552
*Siam Pulp & Paper Co., Ltd. (Foreign)................ 46,200 37,747
*Sino-Thai Engineering and Construction Public Co.,
Ltd. (Foreign)...................................... 2,900 431
*Somprasong Land Public Co., Ltd. (Foreign)........... 5,400 13
*Srithai Superware Public Co., Ltd. (Foreign)......... 16,400 3,126
*Swedish Motors Corp. Public Co., Ltd. (Foreign)...... 7,000 572
*TPI Polene Public Co., Ltd. (Foreign)................ 258,476 22,398
*Tanayong Public Co., Ltd. (Foreign).................. 46,000 2,164
*Telecomasia Corp. Public Co., Ltd. (Foreign)......... 4,574,500 1,302,469
*Thai Carbon Black Public Co., Ltd. (Foreign)......... 5,000 4,952
Thai Danu Bank Public Co., Ltd. (Foreign)............. 100,900 54,959
*Thai German Ceramic Industry Public Co., Ltd.
(Foreign)........................................... 11,100 1,924
Thai Glass Industries Public Co., Ltd. (Foreign)...... 15,400 25,737
Thai Military Bank Public Co., Ltd.................... 530,200 98,452
</TABLE>
210
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THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Thai Military Bank Public Co., Ltd. (Foreign)......... 1,905,300 $ 353,794
*Thai Petrochemical Industry Public Co., Ltd.
(Foreign)........................................... 2,768,960 301,644
Thai Plastic and Chemicals Public Co., Ltd.
(Foreign)........................................... 29,300 58,760
*Thai Telephone & Telecommunication Public Co., Ltd.
(Foreign)........................................... 450,000 75,761
*Thaimex Finance and Securities Public Co., Ltd.
(Foreign)........................................... 4,100 304
*Tipco Asphalt Public Co., Ltd. (Foreign)............. 160,000 180,243
*Tuntex (Thailand) Public Co., Ltd. (Foreign)......... 91,828 38,650
*United Communication Industry Public Co., Ltd.
(Foreign)........................................... 335,200 217,851
*Wattachak Public Co., Ltd. (Foreign)................. 24,300 2,707
------------
TOTAL COMMON STOCKS
(Cost $47,705,693)................................... 14,613,951
------------
RIGHTS/WARRANTS -- (0.0%)
*Bank of Ayudhya Public Co., Ltd. (Foreign) Rights
06/10/98............................................ 1,279,250 27,713
*Securities One Public Co., Ltd. (Foreign) Warrants
06/15/98-05/31/01................................... 178,801 0
*Siam Commercial Bank Public Co., Ltd. (Foreign)
Warrants open expiration............................ 83,666 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 27,713
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Thailand Baht
(Cost $5,734)....................................... 5,777
------------
TOTAL -- THAILAND
(Cost $47,711,427)................................... 14,647,441
------------
INDONESIA -- (2.2%)
COMMON STOCKS -- (2.2%)
PT Asahimas Flat Glass Co., Ltd....................... 75,000 2,987
PT Astra International Tbk............................ 1,003,000 93,199
PT Bakrie & Brothers Tbk.............................. 1,259,000 25,068
PT Bank Danamon (Foreign)............................. 1,121,000 12,400
PT Bank International Indonesia (Foreign)............. 1,855,993 65,699
PT Bank Niaga Tbk..................................... 151,380 4,689
PT Barito Pacific Timber.............................. 910,000 36,239
*PT Bimantara Citra................................... 589,000 23,456
PT Charoen Pokphand Tbk............................... 95,000 2,312
PT Ciputra Development Tbk............................ 262,000 4,637
PT Citra Marga Nusaphala Persada...................... 960,000 31,858
PT Dankos Laboratories................................ 21,000 883
PT Duta Pertiwi....................................... 200,000 4,425
PT Gajah Tunggal Tbk.................................. 2,058,000 27,318
PT Gt Kabel Indonesia Tbk............................. 212,000 2,345
PT GT Petrochem Industries Tbk........................ 70,000 774
SHARES VALUE+
------------ ------------
PT Hanjaya Mandala Sampoerna Tbk...................... 496,500 $ 166,964
PT Hero Supermarket Tbk............................... 78,000 6,903
PT Indah Kiat Pulp & Paper Corp....................... 2,221,601 363,711
PT Indocement Tunggal Prakarsa........................ 1,318,000 314,919
*PT Indofood Sukses Makmur............................ 930,280 129,662
PT Indorama Synthetics Tbk............................ 365,580 61,469
PT Indosat Tbk........................................ 600,500 794,463
*PT Inti Indorayo Utama............................... 257,000 17,057
PT Jakarta International Hotel and Development Tbk.... 362,500 20,050
PT Japfa Comfeed Indonesia Tbk........................ 29,000 674
PT Jaya Real Property................................. 305,000 9,447
PT Kalbe Farma Tbk.................................... 150,000 7,301
PT Kawasan Industry Jababeka Tbk...................... 407,333 14,419
PT Lippo Bank (Foreign)............................... 557,000 45,595
*PT Lippo Land Development Tbk........................ 174,000 5,004
PT Matahari Putra Prima Tbk........................... 314,000 5,557
PT Mayorah Indah...................................... 288,720 13,414
PT Modern Photo Tbk................................... 154,000 13,628
PT Mulia Industrindo.................................. 850,680 33,876
PT Pabrik Kertas Tjiwi Kimia Tbk...................... 765,821 91,491
PT Pakuwon Jati Tbk................................... 312,000 6,557
PT Panasia Indosyntec Tbk............................. 103,600 1,604
PT Pdni Tbk........................................... 1,379,000 12,203
PT Perusahaan Rokok Tjap Gudang Garam................. 961,500 706,231
*PT Polysindo Eka Perkasa Tbk......................... 481,000 41,502
PT Putra Surya Perkasa Tbk............................ 1,296,000 20,071
PT Semen Cibinong Tbk................................. 231,000 9,199
PT Semen Gresik....................................... 385,500 206,395
PT Summarecon Agung................................... 87,838 1,749
PT Tambang Timah (Persero) Tbk........................ 327,000 202,565
PT Telekomunikasi Indonesia (Persero) Tbk............. 4,316,500 1,432,459
PT Tempo Scan Pacific................................. 19,500 561
PT Tigaraksa Satria Tbk............................... 25,200 7,582
PT Unggul Indah Corp. Tbk............................. 110,000 14,602
PT United Tractors.................................... 15,000 796
------------
TOTAL -- INDONESIA
(Cost $30,011,241)................................... 5,117,969
------------
CHILE -- (0.8%)
COMMON STOCKS -- (0.8%)
*Banco de Santiago SA Santiago ADR.................... 19,400 358,900
Banco Santander Chile Sponsored ADR................... 35,000 459,375
Embotelladora Andina SA Andina ADR.................... 12,000 225,375
Embotelladora Andina SA Andina Series B ADR........... 30,000 506,250
Laboratorio Chile SA Labchile ADR..................... 9,000 159,750
Vina Concha y Toro SA Conchatoro ADR.................. 8,600 248,594
------------
TOTAL -- CHILE
(Cost $2,023,538).................................... 1,958,244
------------
</TABLE>
211
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
<S> <C> <C>
FACE
AMOUNT VALUE+
------------ ------------
<CAPTION>
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (3.5%)
Repurchase Agreement, Chase Manhattan Bank N.A. 5.20%,
06/01/98 (Collateralized by U.S. Treasury Notes
5.50%, 01/31/03, valued at $8,383,713) to be
repurchased at $8,219,560.
(Cost $8,216,000)................................... $8,216 $ 8,216,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $302,899,408)++................................ $234,117,116
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
212
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
TURKEY -- (19.7%)
COMMON STOCKS -- (19.7%)
Akal Tekstil A.S...................................... 926,625 $ 14,887
Aksigorta A.S......................................... 3,067,500 187,028
*Aksu Iplik Dokuma ve Boya Apre Fab A.S............... 824,850 14,369
Alarko Holding........................................ 498,000 138,805
Alarko Sanayii ve Ticaret A.S......................... 841,499 56,193
Altinyildiz Mensucat ve Konfeksiyan Fabrikalari
A.S................................................. 366,000 41,089
*Anadolu Anonim Turk Sigorta Sirketi.................. 2,508,000 45,632
Bagfas Bandirma Gubre Fabrik.......................... 110,000 11,497
*Bagfas Bandirma Gubre Fabrik Issue 98................ 990,000 103,476
Bekoteknik Sanayi A.S................................. 2,712,922 71,415
Bolu Cimento Sanayi A.S............................... 1,394,750 29,156
Borusan............................................... 385,000 19,003
Bossa Ticaret ve Sanayi Isletmeleri A.S............... 4,510,000 46,266
*Bursa Cimento Fabrikasi A.S.......................... 275,000 53,229
CIMSA A.S. (Cimento Sanayi ve Ticaret)................ 1,800,000 104,522
*Cimentas A.S......................................... 1,145,000 66,487
*Deva Holding A.S..................................... 2,717,333 19,461
Doktas................................................ 1,100,000 43,647
*Eczacibasi Ilac...................................... 1,547,000 74,859
*Eczacibasi Yapi Gere................................. 750,000 17,130
Ege Seramik Co., Inc.................................. 726,000 13,490
*Egeplast............................................. 386,000 15,540
*Es Kisehir Bankasi Esbank............................ 5,928,750 39,017
Finansbank............................................ 9,366,267 152,285
*Finansbank Issue 98.................................. 4,999,020 54,186
Good Year Lastikleri A.S.............................. 2,261,000 146,608
Gubre Fabrikalari Ticaret A.S......................... 216,000 32,193
Gunes Sigorta A.S..................................... 2,190,000 30,520
Guney Biracilik....................................... 634,400 58,327
Hektas Ticaret A.S.................................... 926,500 17,216
Hurriyet Gazette...................................... 4,108,000 149,486
*Izmir Demir Celik.................................... 3,977,000 31,946
*Karsu Tekstil........................................ 568,000 17,810
Kartonsan............................................. 998,750 85,059
Kav Orman Sanayii A.S................................. 1,092,000 17,332
Kent Gida Maddeleri Sanayii ve Ticaret A.S............ 544,000 53,701
Kepez Elektrik Ticaret A.S............................ 61,000 162,937
*Kerevitas Gida Sanayi ve Ticaret A.S................. 422,000 47,375
Konya Cimento......................................... 1,110,000 23,634
Kordsa Kord Bezi Sanayi ve Ticaret A.S................ 1,030,000 153,511
Marshall Boya ve Vernik Sanayii A.S................... 317,000 45,405
*Medya Holdings A.S. Series C......................... 7,924,500 71,324
*Merko Gida Sanayi ve Ticaret A.S. Series A........... 1,058,000 17,816
Milliyet Gazetecilik A.S.............................. 3,564,000 135,209
*Mutlu Aku............................................ 509,000 23,645
*Net Holding A.S...................................... 2,410,800 57,862
*Net Turizm........................................... 748,000 48,502
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Peg Profilo A.S....................................... 1,647,200 $ 87,678
*Pinar Su Sanayi ve Ticaret A.S....................... 771,000 57,455
*Raks Elektroniks A.S................................. 130,000 50,325
Sarkuysan Elektrolitik Bakir Sanayi A.S............... 745,000 59,843
*T. Tuborg Bira ve Malt Sanayi A.S.................... 1,670,000 45,900
Tat Konserve.......................................... 1,229,250 41,876
Tekstil Bankasi A.S................................... 3,362,616 30,265
*Tekstil Bankasi A.S. Issue 98........................ 297,984 2,580
Teletas Telekomunikasyon Endustri Ticaret A.S......... 1,354,000 172,971
Turcas Petrolculuk A.S................................ 2,386,647 96,087
Turk Demir Dokum...................................... 2,519,998 42,436
*Turk Dis Ticaret Bankasi A.S......................... 6,337,029 60,103
Turk Siemens Kablo ve Elektrik Sanayi A.S............. 622,500 36,147
USAS (Ucak Servisi A.S.).............................. 30,000 74,326
Vakif Finansal Kiralama A.S........................... 1,477,499 18,875
*Vestel Elektronik Sanayi Ticaret A.S................. 1,654,475 224,166
*Yasarbank A.S........................................ 5,601,268 37,946
Yunsa Yunlu Sanayi ve Ticaret A.S..................... 619,000 18,212
------------
TOTAL -- TURKEY
(Cost $2,949,129).................................... 4,017,278
------------
ISRAEL -- (17.6%)
COMMON STOCKS -- (17.6%)
Agis Industries (1983), Ltd........................... 27,000 187,662
Azorim Investment Development & Construction Co.,
Ltd................................................. 15,422 135,886
Baran................................................. 9,500 75,908
Dead Sea Periclase.................................... 13,028 35,650
Delek Automotive Systems, Ltd......................... 75,000 148,997
*Discount Mortgage Bank, Ltd.......................... 1,320 93,913
Elco Industries (1975)................................ 6,000 57,464
Electra Consumer...................................... 20,300 102,210
Electra Israel, Ltd................................... 3,000 139,556
Electric Wire & Cable Co. of Israel, Ltd.............. 12,800 48,336
*Feuchtwanger Industies............................... 224 34,754
*Formula Systems...................................... 6,570 279,200
*Israel General Bank, Ltd............................. 3,222 97,601
*Israel Land Development Co., Ltd..................... 26,000 176,443
Israel Petrochemical Enterprises, Ltd................. 32,500 175,198
Israel Salt Industries................................ 38,139 203,822
*J.O.E.L. Jerusalem Oil Exploration, Ltd.............. 61,782 17,582
Maman Cargo Terminals & Handling, Ltd................. 33,600 64,360
Matav Cable Israel.................................... 14,000 142,129
*Mehadrin, Ltd........................................ 3,887 164,438
*Middle East Tube Co.................................. 19,000 20,277
*Miloumor............................................. 12,658 53,861
*Mishkan Hapoalim Mortgage Bank, Ltd. Series B........ 1,440 265,978
Mul-t-lock, Ltd....................................... 20,500 46,504
*Naphta Israel Petroleum Corp......................... 105,630 12,429
*Nice Systems, Ltd.................................... 5,785 219,246
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Ormat Industries..................................... 54,000 $ 81,123
*Ormat Industries Issue 97............................ 3,351 5,034
Rapac Electronics, Ltd................................ 6,000 46,792
Tambour............................................... 64,000 117,337
Tefahot Israel Mortgage Bank, Ltd..................... 330 183,402
*Tempo Beer Industries, Ltd........................... 9,027 35,891
Ytong Industries, Ltd................................. 52,500 138,058
------------
TOTAL COMMON STOCKS
(Cost $2,917,225).................................... 3,607,041
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Israel Shekel
(Cost $1)........................................... 1
------------
TOTAL -- ISRAEL
(Cost $2,917,226).................................... 3,607,042
------------
BRAZIL -- (14.1%)
PREFERRED STOCKS -- (11.0%)
*Acos Villares SA..................................... 120,000 10,955
Alpargatas-Santista Textil SA......................... 300,000 29,474
BS Continental SA Utilidades Domesticas............... 1,500,000 8,086
Banco America do Sul SA............................... 610,000 13,524
Banco Bandeirantes SA................................. 700,000 16,736
Banco Mercantil do Brasil SA.......................... 130,000 17,180
Banco Noroeste SA..................................... 70,000 60,860
Banco Real SA......................................... 66,000 48,201
*CELG Series B........................................ 357,316 7,453
*COFAP (Cia Fabricadora De Pecas)..................... 6,000 52,322
*Cambuci SA........................................... 84,000 3,834
Cent Elet Cachoeira Doura............................. 722,683 89,536
Cia Siderurgica Belgo-Mineira......................... 1,100,000 68,428
Confab Industrial SA.................................. 27,000 50,470
Consorcio Real Brasileiro de Administracao SA Series
F................................................... 19,000 39,316
Coteminas Cia Tecidos Norte de Minas.................. 263,426 44,661
Distribuidora de Produtos Petreleo Ipirangi SA........ 3,900,000 45,775
*ENERSUL Empresa Energetjica de Mato Grosso do Sul SA
Series B............................................ 13,156,000 58,335
Electrolux do Brasil SA............................... 40,600,000 67,774
Forca Luz Cataguazes Leopoldina Series A.............. 23,400,000 38,248
Francisco Stedile SA Series A......................... 20,200,000 29,329
Gradiente Eletronica SA............................... 260,000 5,787
Industria de Bebidas Antarctica Minas Gerais
Antarctic........................................... 171,000 52,035
Industria de Bebidas Antarctica Polar SA.............. 23,000 38,994
Industrias Villares SA................................ 58,000 1,563
Inepar SA Industria e Construcoes..................... 28,900,000 34,675
*Iven SA.............................................. 148,000 74,632
Lojas Renner SA....................................... 900,000 30,126
Manah SA.............................................. 900,000 19,562
Marcopolo SA.......................................... 20,000 35,647
Marisol SA Industria do Vestuario..................... 36,000 20,345
Metalurgica Barbara................................... 25,300,000 56,971
Metalurgica Gerdau SA................................. 2,862,847 114,496
Mineracao da Trinidade Samitri........................ 2,758,800 64,762
Oxiteno SA Industria e Comercio....................... 12,160 37,532
SHARES VALUE+
------------ ------------
*Paranapanema SA...................................... 6,200,000 $ 42,099
Perdigao SA NPV....................................... 55,000,000 69,337
Pirelli Cabos SA...................................... 29,000 93,290
Pirelli Pneus SA...................................... 33,000 67,711
Randon Participacoes SA............................... 51,000,000 21,949
Refinaria de Petroleo Ipiranga SA..................... 3,600,000 28,169
Renner Herrmann SA.................................... 28,000 26,778
Sadia Oeste SA Inclusttia e Comercio Soes............. 75,000 47,601
Serrana SA............................................ 55,000 33,473
*Sharp SA Equipamentos Eletronicos.................... 30,200,000 13,653
*Siderurgica Paulista Casipa Series B................. 107,000 36,281
Sociedade de Participacoes............................ 55,000 114,765
Tam Transportes Aereos Regionais SA................... 1,150,000 60,001
Varig SA Viacao Aerea Riograndense.................... 16,000 32,691
Weg SA................................................ 165,000 121,937
Wembley Roupas SA..................................... 10,300,000 51,850
------------
TOTAL PREFERRED STOCKS
(Cost $2,534,110).................................... 2,249,209
------------
COMMON STOCKS -- (3.1%)
Acos Especiais Itabira-Acesita Aces................... 42,900,000 63,407
Avipal SA Avicultura e Agropecua...................... 15,900,000 29,168
Elevadores Atlas S.A.................................. 3,710 52,093
*Embraer Empresa Brasileira de Aeronautica Series A... 7,200,000 117,404
Gerdau SA............................................. 15,623,172 230,915
Makro Atacadista SA................................... 47,000 43,724
*Mannesmann SA........................................ 215,000 22,431
Metalurgica Gerdau.................................... 161,519 3,514
Monteiro Aranha SA.................................... 2,868,168 36,133
*Rhodia Ster SA....................................... 124,000 18,328
Sao Paulo Alpargatas SA............................... 510,000 21,062
------------
TOTAL COMMON STOCKS
(Cost $535,590)...................................... 638,179
------------
RIGHTS/WARRANTS -- (0.0%)
*Cia Siderurgica Belgo-Mineira Rights 06/08/98
(Cost $0)........................................... 23,127 0
------------
TOTAL -- BRAZIL
(Cost $3,069,700).................................... 2,887,388
------------
MEXICO -- (12.1%)
COMMON STOCKS -- (12.1%)
*Abaco Grupo Financiero S.A. de C.V. Series B......... 108,000 8,575
*Bufete Industrial S.A. (Certificates representing 3
shares Series L & 1 share Series B)................. 24,000 26,542
*Corporacion Geo S.A. de C.V. Series B................ 37,000 211,524
*Embotelladores del Valle Anahuac S.A. de C.V. Series
B................................................... 39,000 26,543
Farmacias Benavides S.A. de C.V. Series B............. 54,000 110,254
Grupo Casa Autrey S.A. de C.V......................... 104,000 99,092
Grupo Cementos de Chihuahua S.A. de C.V. Series B..... 152,000 132,413
Grupo Continental S.A................................. 65,000 219,713
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Grupo Fernandez Editores S.A. de C.V. Series B....... 103,000 $ 15,363
*Grupo Financiero Banorte S.A. de C.V. Series B....... 187,000 254,536
*Grupo Financiero BBV Probursa S.A. de C.V. Series
B................................................... 758,644 113,590
*Grupo Financiero GBM Atlantico S.A. de C.V. Series
L................................................... 124,000 77,359
*Grupo Financiero Santander Mexicano S.A. de C.V.
Sanmex Series B..................................... 34,513 29,557
*Grupo Financiero Serfin S.A. de C.V. Series B........ 236,000 36,139
Grupo Herdez S.A. de C.V. Series B.................... 107,000 58,257
*Grupo Posadas S.A. de C.V. Series L.................. 199,000 129,566
*Grupo Tribasa S.A. de C.V............................ 64,000 181,488
*Industrias S.A. de C.V. Series B..................... 33,000 140,744
*Jugos del Valle S.A. de C.V. Series B................ 20,000 24,501
*Nacional de Drogas S.A. de C.V. Series L............. 210,000 132,202
Sanluis Corporacion S.A. de C.V.(Certificates
representing 1 share Series B, 1 share Series C & 1
share Series D)..................................... 27,000 117,451
*Sistema Argos S.A. de C.V. Series B.................. 98,000 93,375
*Tablex S.A. de C.V. Series 2......................... 33,000 66,030
*Transportacion Maritima Mexicana S.A. de C.V. Series
L................................................... 24,000 171,506
------------
TOTAL -- MEXICO
(Cost $2,851,364).................................... 2,476,320
------------
MALAYSIA -- (7.4%)
COMMON STOCKS -- (6.2%)
Amalgamated Industrial Steel Berhad................... 10,000 3,125
*Anson Perdana Berhad................................. 10,000 2,213
Antah Holding Berhad.................................. 23,000 3,713
*Aokam Perdana Berhad................................. 22,000 3,523
Arab Malaysian Development Berhad..................... 58,000 7,551
Asas Dunia Berhad..................................... 16,000 3,166
Asia Pacific Land Berhad.............................. 70,000 7,746
Austral Enterprises Berhad............................ 31,000 32,287
Ayer Hitam Planting Syndicate Berhad.................. 2,000 2,864
*Berjaya Industrial Berhad............................ 55,000 5,370
Berjaya Singer Berhad................................. 28,000 7,364
Bimb Holdings BHD..................................... 134,600 45,562
Bolton Properties Berhad.............................. 18,000 2,836
CCM Bioscience........................................ 833 607
Cement Industries of Malaysia Berhad.................. 13,000 6,973
Chemical Co. of Malaysia Berhad....................... 51,000 65,070
Chin Teck Plantations Berhad.......................... 10,000 12,550
Country Heights Holdings Berhad....................... 20,800 17,439
DMIB Berhad........................................... 30,000 7,187
DNP Holdings Berhad................................... 34,000 5,179
*Damansara Realty Berhad.............................. 65,000 6,262
Datuk Keramik Holdings Berhad......................... 24,000 6,312
Diperdana Corp. Berhad................................ 3,000 1,273
Edaran Otomobil Nasional Berhad....................... 18,000 24,372
*FACB Berhad.......................................... 66,000 6,788
FCW Holdings Berhad................................... 16,000 2,271
*Faber Group Berhad................................... 32,000 4,666
SHARES VALUE+
------------ ------------
Federal Flour Mills Berhad............................ 20,000 $ 17,081
Golden Plus Holdings Berhad........................... 16,000 3,708
Gopeng Berhad......................................... 17,000 3,298
*Granite Industries Berhad............................ 22,000 2,664
*Guthrie Ropel Berhad................................. 11,000 8,593
HLG Capital Berhad.................................... 12,000 5,312
*Hock Hua Bank Berhad (Foreign)....................... 21,000 21,544
IGB Corp. Berhad...................................... 90,000 27,887
*Insas Berhad......................................... 56,000 8,238
*Island & Peninsular Berhad........................... 57,000 38,589
Johan Holdings Berhad................................. 30,000 4,218
Keck Seng (Malaysia) Berhad........................... 23,000 8,774
Kelang Container Terminal Berhad...................... 12,000 8,280
Kemayan Corp. Berhad.................................. 31,000 4,318
Kian Joo Can Factory Berhad........................... 29,000 44,551
Kretam Holdings Berhad................................ 30,000 16,638
Kuala Sidim Berhad.................................... 31,000 38,584
Kulim Malaysia Berhad................................. 53,000 30,913
Ladang Perbadanan-Fima Berhad......................... 11,000 7,304
*Landmarks Berhad..................................... 78,000 11,780
Larut Consolidated Berhad............................. 18,000 3,937
*Lingkaran Trans Kota Holdings Berhad................. 87,000 69,319
Lion Corp. Berhad..................................... 15,600 3,625
MBF Holdings Berhad................................... 106,000 11,316
MUI Properties Berhad................................. 75,200 9,692
Malayawata Steel Berhad............................... 21,000 5,468
Malaysia Assurance Alliance Berhad.................... 20,800 30,059
Malaysia Building Society Berhad...................... 35,000 10,298
Malaysian Mosaics Berhad.............................. 27,000 8,225
Malaysian Plantations Berhad.......................... 28,000 6,452
Malaysian Tobacco Co. Berhad.......................... 20,000 9,999
Malex Industries Berhad............................... 58,000 49,535
Mancon Berhad......................................... 12,000 2,031
Maruichi Malaysia Steel Tube Berhad................... 8,000 4,541
Matsushita Electric Co. (Malaysia) Berhad............. 3,520 11,823
*Nam Fatt Berhad...................................... 9,000 2,882
Negara Properties (Malaysia) Berhad................... 5,000 5,012
Nylex (Malaysia) Berhad............................... 12,000 5,249
OSK Holdings.......................................... 28,000 9,405
Olympia Industries Berhad............................. 104,000 12,457
Pacific Chemicals Berhad.............................. 11,000 3,237
Pan Pacific Asia Berhad............................... 12,000 3,781
Panglobal Berhad...................................... 14,000 2,224
Parit Perak Holdings Berhad........................... 13,000 2,319
Peladang Kimia Berhad................................. 14,000 5,468
Pelangi Berhad........................................ 106,000 41,401
Petaling Garden Berhad................................ 47,000 32,798
Phileo Land Berhad.................................... 12,000 3,609
Pilecon Engineering Berhad............................ 21,000 5,523
Prime Utilities Berhad................................ 3,000 2,133
*Promet Berhad........................................ 52,000 5,010
SP Settia Berhad...................................... 7,000 2,643
Samanda Holdings Berhad............................... 23,000 37,430
Selangor Properties Berhad............................ 89,000 37,310
Shangri-la Hotels (Malaysia) Berhad................... 110,000 30,361
Sriwani Holdings Berhad............................... 12,000 3,125
Talam Corp. Berhad.................................... 14,000 3,317
Tan & Tan Developments Berhad......................... 77,000 26,064
Tasek Cement Berhad................................... 37,000 36,610
*Tongkah Holdings Berhad.............................. 14,000 3,263
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Tradewinds (Malaysia) Berhad.......................... 49,000 $ 23,731
United Malacca Rubber Estates Berhad.................. 9,000 9,280
United Malayan Land Berhad............................ 13,000 8,395
United Plantations Berhad............................. 33,000 34,886
*Westmont Industries Berhad........................... 23,000 5,330
Westmont Land (Asia) Berhad........................... 20,000 2,812
*Wing Tiek Holdings Berhad............................ 8,000 1,854
Worldwide Holdings Berhad............................. 16,000 3,749
------------
TOTAL COMMON STOCKS
(Cost $3,595,761).................................... 1,255,531
------------
INVESTMENT IN
CURRENCY -- (1.2%)
*Malaysian Ringetts
(Cost $252,272)..................................... 251,472
------------
RIGHTS/WARRANTS -- (0.0%)
*Bolton Properties Berhad Rights 06/05/98
(Cost $0)........................................... 9,000 0
------------
TOTAL -- MALAYSIA
(Cost $3,848,033).................................... 1,507,003
------------
ARGENTINA -- (6.8%)
COMMON STOCKS -- (6.8%)
*Acindar Industria Argentina de Aceros SA Series B.... 50,000 103,801
*Alpargatas SA Industrial y Comercial................. 140,000 31,095
*Atanor Cia Nacional para la Industria Quimica SA
Series D............................................ 36,000 34,217
Bagley y Cia, Ltd. SA Series B........................ 62,000 124,061
*Celulosa Argentina SA Series B....................... 25,500 5,485
Central Puerto SA Series B............................ 43,000 118,308
Cinba SA Cia de Bebidao y Alimentos SA................ 15,000 15,307
Corcemar SA Series B.................................. 19,000 112,155
*Cresud SA Comercial Industrial Financiera y
Agropecuaria........................................ 61,250 110,304
Dycasa Dragados y Construcciones Argentina SA Series
B................................................... 7,000 24,302
*Ferrum SA de Ceramica y Metalurgica Series B......... 15,000 30,015
*Fiplasto SA Comercial y Industrial Series B.......... 6,000 8,404
Garovaglio y Zorraquin SA............................. 14,160 28,617
Importadora y Exportadora de la Patagonia Series B.... 11,500 181,214
Introductora de Buenos Aires SA Series A.............. 14,736 26,538
Massalin Particulares SA Series B..................... 41,000 200,998
*Morixe Hermanos SA................................... 9,000 9,455
Nobleza-Piccardo Sdad Industrial Comercial y
Financiera Pica..................................... 22,000 89,144
*Pirelli Cables SA.................................... 23,786 38,076
*Polledo SA Industrial y Constructora y Financiera.... 26,000 40,840
*Quimica Estrella SA Series B......................... 24,000 31,695
*Sol Petroleo SA...................................... 25,662 24,648
------------
TOTAL COMMON STOCKS
(Cost $1,445,202).................................... 1,388,679
------------
SHARES VALUE+
------------ ------------
PREFERRED STOCKS -- (0.0%)
Quimica Estrella SA 10% Cumulative Convertible Series
B
(Cost $3,260)....................................... 3,260 $ 3,490
------------
RIGHTS/WARRANTS -- (0.0%)
*Acindar Industria Argentina de Aceros SA Series B
Rights 06/09/98
(Cost $0)........................................... 50,000 0
------------
TOTAL -- ARGENTINA
(Cost $1,448,462).................................... 1,392,169
------------
SOUTH KOREA -- (6.4%)
COMMON STOCKS -- (6.4%)
*Boram Bank Co., Ltd.................................. 10,990 18,115
*Bu Kwang Pharmceutical Co., Ltd...................... 540 14,905
*Choong Wae Pharmaceutical............................ 1,590 17,058
*Daeduck Electronics Co., Ltd......................... 1,340 65,691
*Daeduck Industries Co., Ltd.......................... 450 18,224
*Daehan City Gas Co., Ltd............................. 2,000 29,556
*Daehan Flour Mills Co., Ltd.......................... 360 13,044
*Daesung Industrial Co., Ltd.......................... 1,690 18,611
*Daewoo Precision Industries, Ltd..................... 4,090 10,461
*Daewoo Telecom Co., Ltd.............................. 8,020 25,812
*Daishin Securities Co., Ltd.......................... 8,510 12,636
*Dong Ah Tire Industrial Co., Ltd..................... 730 24,169
*Dong Bu Insurance Co., Ltd........................... 1,680 8,654
*Hae In Co., Ltd...................................... 4,970 20,339
*Han Kuk Carbon Co.................................... 500 12,789
*Han Wha Energy Co., Ltd.............................. 5,600 15,139
*Hana Bank............................................ 19,600 80,767
*Hankuk Glass Industries, Inc......................... 5,120 60,021
*Hanmi Pharmaceutical Co., Ltd........................ 890 16,820
*Hotel Shilla, Ltd.................................... 6,010 25,406
*Hyundai Corp......................................... 4,900 11,506
*Hyundai Merchant Marine Co., Ltd..................... 12,000 89,520
*Hyundai Mipo Dockyard Co., Ltd....................... 2,600 25,861
*Koram Bank, Ltd...................................... 6,000 21,954
*Korea Circuit Co., Ltd............................... 780 23,275
*Korea Electronics Co., Ltd........................... 1,310 9,773
*Korea Fine Chemical Co., Ltd......................... 1,000 21,314
*Korea Green Cross Co., Ltd........................... 1,260 29,184
*Korea Iron & Steel Works Co., Ltd.................... 290 21,119
*Korean Reinsurance Co., Ltd.......................... 3,100 22,025
*LG Cable & Machinery, Ltd............................ 6,980 21,572
*LG International Corp................................ 8,790 11,054
*Lotte Confectionary Co., Ltd......................... 680 36,476
*Namhae Chemical Corporation.......................... 2,000 32,185
*Namyang Dairy Products Co., Ltd...................... 340 21,620
*Nong Shim Co., Ltd................................... 2,640 100,348
*Oriental Brewery Co., Ltd............................ 990 14,490
*Orion Electric Co., Ltd.............................. 5,270 17,598
*SK Securities Co., Ltd............................... 46,550 54,074
*Saehan Industries, Inc............................... 4,600 14,021
*Samsung Securities Co., Ltd.......................... 3,700 15,221
*Seondo Electric Co., Ltd............................. 4,400 47,517
*Seoul City Gas Co., Ltd.............................. 2,750 50,408
*Shin Young Securities Co., Ltd....................... 2,620 13,589
*Suheung Capsule Co., Ltd............................. 1,900 24,433
</TABLE>
216
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THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Youngone Corporation................................. 1,140 $ 24,703
*Yuhan Corp........................................... 840 15,517
------------
TOTAL -- SOUTH KOREA
(Cost $1,562,963).................................... 1,298,574
------------
PHILIPPINES -- (6.3%)
COMMON STOCKS -- (6.3%)
*Alaska Milk Corp..................................... 907,000 44,244
*Alsons Consolidated Resources, Inc................... 2,058,000 59,177
*Anglo Philippine Holdings Corp....................... 546,000 5,327
Bacnotan Cement Corp.................................. 214,700 36,380
Bacnotan Consolidated Industries, Inc................. 23,000 35,135
*Bankard, Inc......................................... 145,000 5,919
*Cebu Holdings, Inc................................... 1,925,000 39,538
Cosmos Bottling Corp.................................. 878,000 119,471
*DMCI Holdings, Inc................................... 464,000 27,637
*EEI Corporation...................................... 282,000 10,570
*East Asia Power Resources Corp....................... 431,000 10,125
*Global Equities, Inc................................. 717,000 9,204
*Gotesco Land, Inc. Series B.......................... 170,000 1,877
*House of Investments, Inc............................ 258,000 5,630
*International Container Terminal Services, Inc....... 310,725 44,674
Ionics Circuits, Inc.................................. 103,125 44,348
*Kepphil Shipyard, Inc................................ 563,760 11,290
*Kuok Philippine Properties, Inc...................... 2,150,500 22,085
Lepanto Consolidated Mining Co. Series B.............. 1,540,000 21,350
*MUI Resources (Philippines), Inc..................... 1,121,000 29,356
*Mabuhay Holdings Corp................................ 516,000 4,968
*Macroasia Corp....................................... 129,000 4,968
*Manila Jockey Club, Inc.............................. 18,800 4,827
*Mondragon International Philippines, Inc............. 218,040 4,926
*Negros Navigation Co., Inc........................... 311,000 5,589
*PDCP Development Bank................................ 77,000 30,642
*Palawan Oil and Gas Exploration, Inc................. 51,600,000 11,923
*Philippine Bank of Communications.................... 14,726 47,826
*Philippine National Construction Corp................ 75,000 16,752
*Philippine Realty & Holdings Corp.................... 4,499,000 46,203
*Philippine Savings Bank.............................. 38,875 19,712
*Picop Resources, Inc................................. 225,000 2,773
*Pryce Properties Corp................................ 1,352,900 45,154
RFM Corp.............................................. 335,000 47,304
*Republic Glass Holding Corp.......................... 176,250 4,796
*Robinson's Land Corp. Series B....................... 732,000 39,466
*SM Development Corp.................................. 2,575,000 67,432
*Security Bank Corp................................... 46,800 23,130
Selecta Dairy Products, Inc........................... 378,000 20,574
Sime Darby Pilipinas, Inc. SD Tire.................... 19,900 15,327
Solidbank Corp........................................ 3,040 14,049
*Soriano (A.) Corp.................................... 2,430,211 73,624
*Southeast Asia Cement Holdings, Inc.................. 1,154,000 15,999
*Steniel Manufacturing Corp........................... 250,000 3,851
*Union Bank of the Philippines........................ 88,300 36,839
*United Paragon Mining Corp........................... 645,000 4,968
*Universal Rightfield Property Holdings, Inc.......... 1,062,000 16,359
Urban Bank, Inc....................................... 5,658 13,074
*Victorias Milling Co., Inc........................... 48,000 1,072
SHARES VALUE+
------------ ------------
*Vitarich Corp........................................ 176,000 $ 2,666
*William, Gothong & Aboitiz, Inc...................... 1,213,000 58,548
------------
TOTAL COMMON STOCKS
(Cost $3,543,705).................................... 1,288,678
------------
PREFERRED STOCKS -- (0.0%)
RFM Corp.
(Cost $10,834)...................................... 60,909 8,288
------------
TOTAL -- PHILIPPINES
(Cost $3,554,539).................................... 1,296,966
------------
THAILAND -- (5.2%)
COMMON STOCKS -- (5.0%)
*Aromatics (Thailand) Public Co., Ltd. (Foreign)...... 140,000 13,865
Ayudhya Insurance Public Co., Ltd. (Foreign).......... 4,000 13,370
*Bangkok Agro Industrial Products Public Co., Ltd.
(Foreign)........................................... 2,700 5,415
*Big C Supercenter Public Co., Ltd. (Foreign)......... 87,000 16,586
*Capetronic International (Thailand) Public Co.,
Ltd................................................. 83,200 10,506
*Castle Peak Holdings Public Co., Ltd. (Foreign)...... 6,800 606
*Central Paper Industry Public Co., Ltd. (Foreign).... 19,800 27,636
Delta Electronics (Thailand) Public Co., Ltd.
(Foreign)........................................... 29,700 213,246
*Dynamic Eastern Finance Thailand (1991) Co., Ltd.
(Foreign)........................................... 46,200 3,317
*First City Investment Public Co., Ltd. (Foreign)..... 45,000 1,448
*Golden Land Property Development Public Co., Ltd.
(Foreign)........................................... 68,800 4,940
*Hana Microelectronics Co., Ltd. (Foreign)............ 12,000 41,594
*Hemaraj Land and Development Public Co., Ltd.
(Foreign)........................................... 19,000 4,281
*K.R. Precision Public Co., Ltd....................... 8,200 16,039
*KCE Electronics Public Co., Ltd. (Foreign)........... 6,000 34,167
Kang Yong Electric Public Co., Ltd. (Foreign)......... 7,200 11,944
*Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign)........................................... 12,000 1,396
*Krisda Mahanakorn Public Co., Ltd. (Foreign)......... 23,800 825
*LPN Development Public Co., Ltd. (Foreign)........... 15,100 822
*Laem Thong Bank Public Co., Ltd. (Foreign)........... 68,575 11,036
Lanna Lignite Public Co., Ltd. (Foreign).............. 11,500 22,778
*Loxley Public Co., Ltd. (Foreign).................... 12,500 2,476
*Media of Medias Public Co., Ltd. (Foreign)........... 9,100 924
*Modern Home Development Public Co., Ltd. (Foreign)... 23,700 763
*Muramoto Electron (Thailand) Public Co., Ltd.
(Foreign)........................................... 9,900 20,467
</TABLE>
217
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Nakornthon Bank Public Co., Ltd. (Foreign)............ 53,850 $ 6,266
*Nation Multimedia Group Public Co., Ltd. (Foreign)... 13,000 4,506
*National Petrochemical Public Co., Ltd. (Foreign).... 108,500 61,785
*Nithipat Finance Public Co., Ltd. (Foreign).......... 35,600 17,408
*PAE (Thailand) Public Co., Ltd. (Foreign)............ 6,600 833
*Patum Rice Mill & Granary Public Co., Ltd............ 5,500 3,404
Phoenix Pulp and Paper Public Co., Ltd. (Foreign)..... 35,700 20,550
Pizza Public Co., Ltd. (Foreign)...................... 9,000 30,082
*Prasit Development Public Co., Ltd. (Foreign)........ 29,700 3,015
Regional Container Lines Public Co., Ltd. (Foreign)... 9,000 8,913
*SCF Finance and Securities Co., Ltd. (Foreign)....... 17,000 5,261
*Saha Pathana Inter-Holding Public Co., Ltd.
(Foreign)........................................... 16,000 8,765
*Sahaviriya Steel Industries Public Co., Ltd.
(Foreign)........................................... 168,300 9,584
*Shinawatra Satellite Public Co., Ltd................. 66,900 20,290
*Shinawatra Satellite Public Co., Ltd. (Foreign)...... 90,600 27,478
*Siam City Credit Finance and Securities Public Co.,
Ltd. (Foreign)...................................... 18,200 7,886
*Siam Pulp & Paper Co., Ltd. (Foreign)................ 31,500 25,737
*Siam Sanwa Industrial Credit Public Co., Ltd.
(Foreign)........................................... 17,500 1,343
*Siam Tyre Public Co., Ltd. (Foreign)................. 2,500 5,168
Songkla Canning Public Co., Ltd. (Foreign)............ 7,400 12,092
*Sri Trang Agro-Industry Public Co., Ltd. (Foreign)... 13,500 21,726
*Srithai Superware Public Co., Ltd. (Foreign)......... 6,000 1,144
*Sun Tech Group Public Co., Ltd. (Foreign)............ 27,200 774
*Supalai Public Co., Ltd. (Foreign)................... 17,300 728
*TCJ Motor Public Co., Ltd. (Foreign)................. 7,300 831
Thai Danu Bank Public Co., Ltd. (Foreign)............. 41,200 16,321
*Thai Modern Plastic Industry Public Co., Ltd.
(Foreign)........................................... 15,700 661
*Thai Pineapple Public Co., Ltd. (Foreign)............ 12,200 3,020
Thai Plastic and Chemicals Public Co., Ltd.
(Foreign)........................................... 12,200 24,466
Thai Reinsurance Public Co., Ltd. (Foreign)........... 19,300 32,493
Thai Rung Union Carbide Public Co., Ltd. (Foreign).... 13,200 8,252
Thai Union Frozen Products Co., Ltd................... 22,500 79,661
*Thai Wah Resorts Development Public Co., Ltd......... 32,200 12,855
*Thai-Germany Products Public Co., Ltd. (Foreign)..... 37,050 917
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Tuntex (Thailand) Public Co., Ltd. (Foreign)......... 34,900 $ 14,689
*Vanachai Group Public Co., Ltd. (Foreign)............ 22,100 7,113
*Vinythai Public Co., Ltd............................. 157,000 17,103
*Vinythai Public Co., Ltd. (Foreign).................. 198,700 21,646
*Wall Street Finance and Securities Public Co., Ltd.
(Foreign)........................................... 13,400 4,728
*Wattachak Public Co., Ltd. (Foreign)................. 49,500 5,515
------------
TOTAL COMMON STOCKS
(Cost $2,751,754).................................... 1,035,456
------------
INVESTMENT IN
CURRENCY -- (0.2%)
*Thailand Baht
(Cost $34,927)...................................... 34,286
------------
RIGHTS/WARRANTS -- (0.0%)
*Siam Sanwa Industrial Credit Public Co., Ltd.
(Foreign) Rights 06/12/98
(Cost $0)........................................... 35,000 0
------------
TOTAL -- THAILAND
(Cost $2,786,681).................................... 1,069,742
------------
INDONESIA -- (1.2%)
COMMON STOCKS -- (1.2%)
PT Aneka Kimia Raya Tbk............................... 49,000 1,734
PT Anwar Sierad Tbk................................... 58,000 898
PT Apac Centretex Corporation Tbk..................... 122,000 2,429
PT Argha Prima Industry (Foreign)..................... 90,666 2,206
PT Asahimas Flat Glass Co., Ltd....................... 65,000 2,588
*PT Asuransi Lippo Life Insurance Tbk................. 448,500 10,915
*PT Bakrie Sumatra Plantations Tbk.................... 49,000 5,475
PT Bank Bira Tbk...................................... 162,800 4,682
PT Bank International Indonesia (Foreign)............. 78,329 2,773
PT Bank Mashill Utama Tbk............................. 88,400 1,760
PT Bank Niaga Tbk..................................... 55,926 1,732
PT Bank PDFCI (Foreign)............................... 44,000 389
PT Bank Tiara Asia (Foreign).......................... 43,000 285
PT Batu Buana......................................... 77,715 1,032
PT BDNI Capital Corp. Tbk............................. 364,000 9,664
PT Berlian Laju Tanker Tbk............................ 36,400 5,396
PT Branta Mulia Tbk................................... 66,000 2,044
PT Bukaka Teknik Utama Tbk............................ 36,000 757
PT Ciputra Development Tbk............................ 75,000 1,327
PT Citra Marga Nusaphala Persada...................... 150,000 4,978
PT Darya-Varia Laboratoria............................ 33,000 1,387
PT Davomas Adabi...................................... 40,000 1,416
PT Dharmal Sakti Sejahtera Tbk........................ 258,666 4,006
*PT Dharmala Agrifood Tbk............................. 92,500 1,228
PT Dharmala Intiland.................................. 277,400 4,910
PT Duta Anggada Realty Tbk............................ 132,000 2,336
PT Duta Pertiwi....................................... 132,000 2,920
PT Ever Shine Textile................................. 75,000 2,655
*PT Fajar Surya Wisesa Tbk............................ 53,000 1,876
PT Ficorinvest Bank (Foreign)......................... 44,000 584
PT Gajah Tunggal Tbk.................................. 236,000 3,133
PT Great River International.......................... 93,000 3,189
PT GT Petrochem Industries Tbk........................ 246,000 2,721
PT Hero Supermarket Tbk............................... 33,000 2,920
PT Indal Aluminium Industry........................... 47,000 1,768
*PT Inti Indorayo Utama............................... 63,000 4,181
</TABLE>
218
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
<S> <C> <C>
SHARES VALUE+
------------ ------------
PT Jakarta International Hotel and Development Tbk.... 57,000 $ 3,153
PT Kalbe Farma Tbk.................................... 64,000 3,115
PT Karwell Indonesia.................................. 138,000 14,044
PT Kawasan Industry Jababeka Tbk...................... 47,000 1,664
PT Keramika Indonesia Assosiasi Tbk................... 100,000 2,102
PT Lippo Securities Tbk............................... 659,600 8,756
PT Matahari Putra Prima Tbk........................... 66,000 1,168
PT Mayorah Indah...................................... 114,000 5,296
PT Medco Energi Corporation........................... 24,000 5,628
PT Miwon Indonesia Tbk................................ 20,000 1,947
PT Modern Bank Tbk.................................... 72,333 640
PT Modern Photo Tbk................................... 40,000 3,540
*PT Mutlipolar Corporation Tbk........................ 455,000 4,027
PT Ometraco Corporation Tbk........................... 38,000 4,203
PT Pabrik Kertas Tjiwi Kimia Tbk...................... 90,000 10,752
PT Pakuwon Jati Tbk................................... 63,000 2,091
PT Panasia Indosyntec Tbk............................. 79,000 1,223
PT Perdan Inti Investama Tbk.......................... 69,333 614
PT Plaza Indonesia Realty Tbk......................... 20,000 2,788
PT Prasidha Aneka Niaga Tbk........................... 84,000 2,788
PT Pudjiadi Prestige, Ltd. Tbk........................ 45,500 1,007
PT Putra Sejahtera Pioneerindo........................ 29,000 834
*PT Sekar Bumi Tbk.................................... 60,000 1,460
PT Sinar Mas Agro Resources and Technology Corporation
Tbk................................................. 74,400 7,736
PT Sorini Corporation................................. 43,000 1,142
*PT Surabaya Agung Industri Pulp & Paper.............. 64,500 1,998
PT Suryamas Dutamakmur................................ 125,000 6,222
PT Tamara Bank (Foreign).............................. 27,600 1,007
PT Tempo Scan Pacific................................. 22,000 633
*PT Texmaco Jaya Tbk.................................. 93,000 28,394
PT Ultrajaya Milk Industry & Trading Co............... 52,000 5,062
PT Unggul Indah Corp. Tbk............................. 38,000 5,044
PT United Tractors.................................... 20,000 1,062
PT Wicaksana Overseas International................... 28,560 569
------------
TOTAL -- INDONESIA
(Cost $3,288,352).................................... 246,003
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.2%)
Repurchase Agreement, Chase Manhattan Bank N.A. 5.20%,
06/01/98 (Collateralized by U.S. Treasury Notes
5.50%, 01/31/03, valued at $664,006) to be
repurchased at $648,281. (Cost $648,000)............ $648 648,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $28,924,449)++................................. $ 20,446,485
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
219
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
COMMERCIAL PAPER -- (46.3%)
Barton Capital Corp. C.P.
5.570%, 06/11/98.................................. $ 500 $ 499,232
5.530%, 06/15/98.................................. 18,034 17,995,216
5.520%, 06/19/98.................................. 2,050 2,044,363
Bayer Corp. C.P.
5.620%, 06/01/98.................................. 2,050 2,050,000
BellSouth Capital Funding Corp. C.P.
5.510%, 06/04/98.................................. 13,500 13,493,778
CC (USA), Inc. C.P.
5.520%, 06/22/98.................................. 1,000 996,774
5.520%, 07/15/98.................................. 500 496,657
5.550%, 07/23/98.................................. 21,500 21,330,436
5.520%, 07/27/98.................................. 2,000 1,983,013
Caisse Centrale des Jardins C.P.
5.490%, 07/08/98.................................. 4,312 4,287,625
Caisse D'Amortissement
De Delte Sociale
5.630%, 06/01/98.................................. 15,050 15,050,000
Ciesco L.P. C.P.
5.500%, 06/02/98.................................. 4,500 4,499,308
5.500%, 06/05/98.................................. 5,500 5,496,620
5.500%, 07/10/98.................................. 11,500 11,431,852
Commonwealth Bank of Australia C.P.
5.500%, 06/04/98.................................. 13,000 12,994,008
Corporate Asset Funding Corp. C.P.
5.530%, 06/02/98.................................. 22,500 22,496,542
5.520%, 06/09/98.................................. 1,000 998,771
Cregem North America, Inc. C.P.
5.500%, 06/02/98.................................. 7,000 6,998,924
Den Norske Stats Olejeselskap A.S. C.P.
5.520%, 06/01/98.................................. 5,550 5,550,000
5.520%, 07/10/98.................................. 19,500 19,384,445
Dresdner U.S. Finance, Inc. C.P.
5.500%, 06/04/98.................................. 18,000 17,991,704
Enterprise Funding Corp. C.P.
5.530%, 06/01/98.................................. 5,604 5,604,000
Equipment Intermediation Partnership C.P.
5.540%, 07/08/98.................................. 22,000 21,876,316
Ford Motor Credit Corp. C.P.
5.510%, 06/05/98.................................. 4,500 4,497,220
France Telecom C.P.
5.510%, 06/15/98.................................. 5,000 4,989,247
General Electric Capital Corp. C.P.
5.530%, 06/18/98.................................. 1,700 1,695,585
5.520%, 07/07/98.................................. 500 497,265
Hahn Issuing Corp. C.P.
5.540%, 06/29/98.................................. 3,050 3,037,000
KFW International Finance, Inc. C.P.
5.520%, 06/04/98.................................. 1,000 999,539
Louis Dreyfus Corp. C.P.
5.520%, 06/12/98.................................. 13,000 12,977,994
5.530%, 06/18/98.................................. 2,000 1,994,796
5.520%, 06/25/98.................................. 5,050 5,031,449
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
National Rural Utilities Cooperative Finance Corp. C.P.
5.520%, 06/05/98.................................. $ 1,000 $ 999,382
Novartis Finance Corp. C.P.
5.490%, 06/05/98.................................. 7,500 7,495,367
5.480%, 06/23/98.................................. 16,500 16,444,037
5.500%, 07/01/98.................................. 800 796,320
Proctor & Gamble Co. C.P.
5.480%, 07/02/98.................................. 2,250 2,239,402
Sheffield Receivables Corp. C.P.
5.540%, 06/01/98.................................. 12,000 12,000,000
5.530%, 06/05/98.................................. 6,000 5,996,313
5.540%, 06/23/98.................................. 600 597,983
5.510%, 06/29/98.................................. 6,525 6,497,239
Shell Financial U.K. P.L.C. C.P.
5.500%, 07/10/98.................................. 25,050 24,901,556
Sigma Finance Corp. C.P.
5.510%, 06/10/98.................................. 5,000 4,993,088
5.530%, 06/29/98.................................. 1,500 1,493,618
5.530%, 07/07/98.................................. 4,050 4,027,847
Toyota Motor Credit Corp. C.P.
5.500%, 06/08/98.................................. 13,500 13,485,484
5.500%, 06/10/98.................................. 2,175 2,171,993
5.500%, 06/22/98.................................. 9,000 8,971,125
USAA Capital Corp. C.P.
5.500%, 07/02/98.................................. 1,000 995,290
Windmill Funding Corp. C.P.
5.530%, 06/01/98.................................. 3,855 3,855,000
5.520%, 06/05/98.................................. 4,500 4,497,235
5.530%, 06/17/98.................................. 4,989 4,976,804
5.520%, 06/22/98.................................. 6,500 6,479,145
5.500%, 07/24/98.................................. 1,500 1,487,942
------------
TOTAL COMMERCIAL PAPER
(Cost $386,665,181).................................. 386,671,849
------------
CERTIFICATES OF DEPOSIT -- (29.0%)
ABN-AMRO North American Certificate of Deposit
5.710%, 10/09/98.................................. 4,000 3,999,200
Bayerische Landesbank Certificate of Deposit
5.860%, 07/17/98.................................. 16,000 16,004,800
Canadian Bank Certificate of Deposit
5.795%, 10/06/98.................................. 23,000 23,004,600
Commerzbank Certificate of Deposit
5.780%, 09/18/98.................................. 23,300 23,302,330
Deutsche Bank AG Certificates of Deposit
5.820%, 05/03/99.................................. 25,000 25,005,000
Dresdner Bank AG Certificate of Deposit
5.950%, 10/20/98.................................. 20,000 19,990,000
FCC National Bank Certificate of Deposit
5.820%, 09/18/98.................................. 21,000 21,004,200
</TABLE>
220
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
Morgan Trust Certificate of Deposit
5.800%, 07/28/98.................................. $ 3,700 $ 3,697,410
National Australia Bank Certificate of Deposit
5.850%, 10/05/98.................................. 23,000 23,009,200
Royal Bank of Canada Certificate of Deposit
5.880%, 09/17/98.................................. 23,000 23,020,700
Societe Generale Certificate of Deposit
5.880%, 07/13/98.................................. 3,000 2,999,400
5.960%, 09/15/98.................................. 18,500 18,487,050
Swiss Bank Certificate of Deposit
5.805%, 10/01/98.................................. 23,000 23,006,900
Westdeutsche Landesbank Certificate of Deposit
5.870%, 07/31/98.................................. 15,000 14,974,500
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $241,477,149).................................. 241,505,290
------------
BONDS -- (13.5%)
Canada (Government of) Bonds
6.400%, 09/10/98.................................. 22,540 22,596,350
FCC National Bank Medium Term Notes
6.144%, 10/30/98.................................. 2,000 2,000,940
Ford Motor Credit Co. Corporate Bonds
7.250%, 05/15/99.................................. 5,800 5,869,948
Illinois Tool Works, Inc. Corporate Bonds
7.500%, 12/01/98.................................. 5,000 5,033,499
Morgan (J.P.) & Co., Inc. Corporate Bonds
6.362%, 08/05/98.................................. 19,000 19,011,208
Morgan Guaranty Trust Corporate Bonds
6.000%, 10/01/98.................................. 6,000 5,999,160
Nippon Telegraph & Telephone Corp. Corporate Bonds
9.500%, 07/27/98.................................. 4,350 4,371,750
Norwest Corp. Medium Term Notes
5.750%, 11/16/98.................................. 3,600 3,595,752
Pepsico, Inc. Corporate Bonds
7.625%, 11/01/98.................................. 5,000 5,028,100
Pepsico, Inc. Medium Term Notes
5.463%, 07/01/98.................................. 4,851 4,848,332
Pitney Bowes Credit Corp. Medium Term Notes
6.305%, 09/23/98.................................. 24,230 24,265,858
Sara Lee Corp. Medium Term Notes
5.500%, 12/01/98.................................. 1,250 1,246,137
FACE
AMOUNT VALUE+
------------ ------------
(000)
St. Paul Companies, Inc. Medium Term Notes
7.590%, 05/19/99.................................. $ 6,000 $ 6,090,359
UBS Finance, Inc. Medium Term Notes
6.200%, 10/01/98.................................. 3,000 3,003,750
------------
TOTAL BONDS
(Cost $112,811,085).................................. 112,961,143
------------
VARIABLE RATE OBLIGATIONS -- (9.7%)
Abbey National Treasury Services P.L.C.
***5.536%, 06/16/98............................... 7,000 6,999,300
American Express Centurion Bank
***5.686%, 06/05/98............................... 14,000 14,000,000
***5.626%, 06/08/98............................... 9,000 9,000,000
Banc One Corp.
***5.668%, 06/15/98............................... 7,000 6,995,100
Bayerische Landesbank
***5.516%, 06/10/98............................... 10,000 9,992,000
Chase Manhattan Corp. Medium Term Notes
***5.688%, 06/20/98............................... 19,000 19,000,000
First USA Bank
***5.986%, 06/01/98............................... 7,000 7,004,900
Key Bank N.A.
***5.625%, 08/20/98............................... 7,650 7,641,585
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $80,645,110)................................... 80,632,885
------------
AGENCY OBLIGATIONS -- (1.3%)
Federal Agriculture Mortgage Corp.
7.200%, 10/15/98.................................. 2,850 2,866,815
Federal National Mortgage Association
5.700%, 12/18/98.................................. 8,100 8,106,155
------------
TOTAL AGENCY OBLIGATIONS
(Cost $10,957,815)................................... 10,972,970
------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes
5.875%, 08/31/99 valued at $1,729,750) to be
repurchased at $1,698,743.
(Cost $1,698,000).................................. 1,698 1,698,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $834,254,340)++................................ $834,442,137
------------
------------
- --------------------
+See Note B to Financial Statements.
++Approximates cost for federal income tax purposes.
***Rates shown are the rates as of May 31, 1998, and maturities shown are the
next interest readjustment date.
</TABLE>
See accompanying Notes to Financial Statements.
221
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
FRANCE -- (25.5%)
BONDS -- (25.5%)
Administration des Postes Telegraphes et Telephones
8.900%, 04/21/00................................... 23,270 $ 4,213,109
Caisse Autonome de Refinancement SA
7.750%, 12/06/99................................... 67,990 11,975,701
Caisse Nationale des Autoroutes
6.750%, 07/08/99................................... 47,000 8,086,071
Credit d'Equipement des Petites et Moyennes Entreprises
9.000%, 08/19/99................................... 30,000 5,304,733
Credit Local de France SA
9.250%, 12/07/99................................... 51,000 9,155,291
Denmark (Kingdom of)
5.500%, 10/26/99................................... 68,000 11,593,292
Eurofima Societe Europeene pour le Financement de
Materiel Ferroviaire
8.625%, 09/01/99................................... 65,000 11,457,736
European Investment Bank
6.250%, 07/28/99................................... 55,000 9,431,166
France (Republic of)
7.750%, 04/12/00................................... 62,000 11,029,440
France Telecom SA
6.500%, 07/19/99................................... 70,000 12,016,173
Regie Autonome des Transports Parisienne SA
7.250%, 09/19/99................................... 21,995 3,822,711
Union Nationale Interprofessionnelle pour Emploi Dans
Commerce Industrie SA
5.250%, 10/25/99................................... 25,000 4,245,525
Ville de Paris
8.250%, 12/15/99................................... 11,240 1,994,270
------------
TOTAL BONDS
(Cost $102,898,445).................................. 104,325,218
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*French Francs
(Cost $0)........................................... 1
------------
TOTAL -- FRANCE
(Cost $102,898,445).................................. 104,325,219
------------
CANADA -- (25.2%)
BONDS -- (25.2%)
Alberta (Province of)
8.500%, 09/01/99................................... 16,000 11,421,345
Bayerische Landesbank Girozentrale
8.375%, 11/23/98................................... 1,627 1,135,017
British Columbia (Province of)
10.000%, 10/09/98.................................. 9,000 6,280,379
7.000%, 06/09/99................................... 5,000 3,498,378
Canada (Government of)
6.500%, 08/01/99................................... 16,000 11,161,819
Deutsche Bank Finance NV
10.250%, 11/30/99.................................. 11,000 8,047,988
Farm Credit Corp. Euro Medium Term Notes
6.250%, 01/08/99................................... 12,300 8,504,564
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
General Electric Capital Canada, Inc.
7.000%, 07/20/99................................... 11,000 $ 7,688,871
8.875%, 09/30/99................................... 5,000 3,576,731
Kellogg Co.
6.250%, 10/12/98................................... 12,000 8,268,268
Minnesota Mining & Manufacturing Co.
6.500%, 10/15/98................................... 12,800 8,837,081
Municipality of Metropolitan Toronto
11.000%, 02/16/99.................................. 7,089 5,057,446
Norway (Kingdom of)
7.250%, 10/22/98................................... 13,000 8,993,924
Oesterreichische Kontrollbank AG
10.250%, 07/27/99.................................. 12,971 9,378,603
SBC Finance (Cayman Islands), Ltd.
7.250%, 04/08/99................................... 1,958 1,365,928
------------
TOTAL BONDS
(Cost $109,438,437).................................. 103,216,342
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Canadian Dollars
(Cost $1)........................................... 1
------------
TOTAL -- CANADA
(Cost $109,438,438).................................. 103,216,343
------------
GERMANY -- (24.0%)
BONDS -- (24.0%)
Allgemeine Hypotheken-Bank AG
4.500%, 12/20/99................................... 9,000 5,077,547
5.750%, 03/13/00................................... 10,000 5,763,438
Autobahnen und Schnellstrassenfinanzierungs AG Asfinag
7.125%, 12/22/99................................... 3,500 2,054,504
Baden-Wuerttemberg L-Finance NV
7.000%, 03/08/00................................... 7,000 4,106,260
Bank Austria Investment Bank AG
4.500%, 12/30/99................................... 4,000 2,254,893
Bayerische Landesbank Girozentrale
5.250%, 01/14/00................................... 15,000 8,558,495
Belgium (Kingdom of)
7.250%, 10/18/99................................... 10,140 5,930,011
DSL Finance NV
7.375%, 02/15/00................................... 10,008 5,902,216
Germany (Federal Republic of)
7.250%, 01/20/00................................... 10,000 5,889,645
Hypothekenbank AG, Essen
3.500%, 01/28/00................................... 16,000 8,889,437
Kreditanstalt fuer Wiederaufbau
4.000%, 02/02/00................................... 20,000 11,212,762
NV Bank Nederlandse Gemeenten BNG, Den Haag
7.000%, 02/03/00................................... 12,000 7,027,188
SNCF (Societe Nationale des Chemins de Fer Francais)
6.750%, 09/30/99................................... 3,200 1,855,070
Suedwestdeutsche Landesbank Capital Markets P.L.C.
5.500%, 10/12/99................................... 3,000 1,714,728
Treuhandanstalt
7.000%, 11/25/99................................... 10,000 5,850,381
</TABLE>
222
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
Ville de Paris
6.500%, 09/06/99................................... 7,860 $ 4,539,762
World Bank (International Bank for Reconstruction and
Development)
7.250%, 10/13/99................................... 20,000 11,681,690
------------
TOTAL BONDS
(Cost $98,069,384)................................... 98,308,027
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*German Marks
(Cost $799)......................................... 797
------------
TOTAL -- GERMANY
(Cost $98,070,183)................................... 98,308,824
------------
UNITED STATES -- (11.5%)
COMMERCIAL PAPER -- (7.0%)
Barton Capital Corp. C.P.
5.550%, 06/02/98................................... 1,355 1,354,792
5.520%, 06/24/98................................... 1,300 1,295,432
Corporate Asset Funding Corp. C.P.
5.520%, 06/09/98................................... 550 549,324
5.520%, 06/18/98................................... 3,400 3,391,169
Sheffield Receivables Corp. C.P.
5.530%, 06/09/98................................... 2,500 2,496,928
5.540%, 06/23/98................................... 8,000 7,973,110
Sigma Finance Corp. C.P.
5.510%, 06/10/98................................... 5,500 5,492,396
5.530%, 07/07/98................................... 2,450 2,436,599
Windmill Funding Corp. C.P.
5.530%, 06/12/98................................... 3,700 3,693,184
------------
TOTAL COMMERCIAL PAPER
(Cost $28,683,142)................................... 28,682,934
------------
BONDS -- (4.5%)
Associates Corp. of North America Corporate Bonds
6.750%, 06/28/99................................... 4,000 4,024,800
Disney (Walt) Co.
6.250%, 06/21/99................................... 5,000 5,005,500
Pepsico, Inc.
0.000%, 05/25/99................................... 10,000 9,435,000
------------
TOTAL BONDS
(Cost $18,423,744)................................... 18,465,300
------------
TOTAL -- UNITED STATES
(Cost $47,106,886)................................... 47,148,234
------------
AUSTRALIA -- (6.6%)
BONDS -- (6.6%)
ABN-AMRO Australia, Ltd.
9.500%, 09/08/99................................... 4,000 2,636,936
7.500%, 03/08/00................................... 5,000 3,244,496
DB Australia, Ltd.
9.000%, 10/05/99................................... 5,000 3,277,066
International Finance Corp.
8.250%, 08/12/99................................... 2,894 1,872,295
J.P. Morgan Australia, Ltd.
6.750%, 02/24/00................................... 5,000 3,215,997
Rural & Industries Bank of Western Australia
10.000%, 08/23/99.................................. 1,700 1,123,572
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
State Bank of New South Wales
14.250%, 09/28/99.................................. 3,196 $ 2,236,229
Toronto Dominion Australia, Ltd.
8.750%, 07/20/99................................... 3,000 1,955,905
Toyota Finance Australia, Ltd.
8.250%, 07/26/99................................... 11,626 7,533,179
------------
TOTAL BONDS
(Cost $30,711,571)................................... 27,095,675
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Australian Dollar
(Cost $0)........................................... 1
------------
TOTAL -- AUSTRALIA
(Cost $30,711,571)................................... 27,095,676
------------
NETHERLANDS -- (6.2%)
BONDS -- (6.2%)
ABN-AMRO Bank NV
6.625%, 04/05/00................................... 8,000 4,139,208
6.375%, 04/21/00................................... 3,000 1,546,977
Austria (Republic of)
6.500%, 05/07/99................................... 6,500 3,308,106
European Investment Bank
5.000%, 02/16/99................................... 4,000 2,004,898
NV Bank Voor Nederlandsche Gemeenten
5.500%, 07/05/99................................... 4,000 2,019,830
Netherlands (Kingdom of)
7.750%, 01/15/00................................... 23,000 12,094,839
------------
TOTAL BONDS
(Cost $24,871,498)................................... 25,113,858
------------
TOTAL -- NETHERLANDS
(Cost $24,871,498)................................... 25,113,858
------------
TEMPORARY CASH INVESTMENTS -- (1.0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes
5.25%, 01/31/01, valued at $3,929,081) to be
repurchased at $3,868,692.
(Cost $3,867,000)................................... 3,867 3,867,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $416,964,021)++.... $409,075,154
------------
------------
- --------------------
+See Note B to Financial Statements.
@Denominated in local currency.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
223
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
THE U.S. THE ENHANCED THE U.S. THE U.S.
LARGE U.S. LARGE LARGE CAP 4-10
COMPANY COMPANY VALUE VALUE
SERIES SERIES SERIES SERIES
----------- -------------- ------------ -----------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value............................................ $ 1,224,564 $ 48,524 $ 1,786,593 $ 75,447
Collateral for Securities Loaned................................ 154,883 -- 131,583 --
Receivables
Dividends and Interest...................................... 2,044 1,270 3,894 82
Investment Securities Sold.................................. -- 1,497 5,324 --
Fund Shares Sold............................................ 2,030 -- 631 --
Unrealized Gain on Forward Currency Contracts................... -- 313 -- --
Unrealized Gain on Swap Contract................................ -- 666 -- --
Prepaid Expenses and Other Assets............................... 3 6 6 56
----------- -------------- ------------ -----------
Total Assets............................................ 1,383,524 52,276 1,928,031 75,585
----------- -------------- ------------ -----------
LIABILITIES:
Payable for Securities Loaned................................... 154,883 -- 131,583 --
Payable for Investment Securities Purchased..................... 3,889 -- 8,845 --
Payable for Fund Shares Redeemed................................ 168 8 134 --
Payable for Futures Margin Variation............................ -- 418 -- --
Accrued Expenses and Other Liabilities.......................... 92 25 309 10
----------- -------------- ------------ -----------
Total Liabilities....................................... 159,032 451 140,871 10
----------- -------------- ------------ -----------
NET ASSETS...................................................... $ 1,224,492 $ 51,825 $ 1,787,160 $ 75,575
----------- -------------- ------------ -----------
----------- -------------- ------------ -----------
SHARES OUTSTANDING $.01 PAR VALUE............................... N/A 4,208,514 89,381,063 7,316,389
----------- -------------- ------------ -----------
----------- -------------- ------------ -----------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE........ N/A $ 12.31 $ 19.99 $ 10.33
----------- -------------- ------------ -----------
----------- -------------- ------------ -----------
Investments at Cost............................................. $ 756,702 $ 48,745 $ 1,302,766 $ 76,303
----------- -------------- ------------ -----------
----------- -------------- ------------ -----------
</TABLE>
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE U.S. THE DFA
6-10 6-10 SMALL 9-10 SMALL INTERNATIONAL
VALUE COMPANY COMPANY VALUE
SERIES SERIES SERIES SERIES
------------- ------------ ------------- -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value......................................... $ 2,601,864 $ 492,723 $ 1,596,566 $ 1,859,417
Collateral for Securities Loaned............................. 96,348 45,244 70,883 328,084
Receivables
Dividends and Interest................................... 1,725 363 895 8,770
Investment Securities Sold............................... 8,265 2,192 4,826 9,491
Fund Shares Sold......................................... 14,379 156 52 680
Prepaid Expenses and Other Assets............................ 8 2 24 24
------------- ------------ ------------- -------------
Total Assets......................................... 2,722,589 540,680 1,673,246 2,206,466
------------- ------------ ------------- -------------
LIABILITIES:
Payable for Securities Loaned................................ 96,348 45,244 70,883 328,084
Payable for Investment Securities Purchased.................. 9,985 348 13,048 5,647
Payable for Fund Shares Redeemed............................. -- -- 91 201
Accrued Expenses and Other Liabilities....................... 648 85 233 575
------------- ------------ ------------- -------------
Total Liabilities.................................... 106,981 45,677 84,255 334,507
------------- ------------ ------------- -------------
NET ASSETS................................................... $ 2,615,608 $ 495,003 $ 1,588,991 $ 1,871,959
------------- ------------ ------------- -------------
------------- ------------ ------------- -------------
SHARES OUTSTANDING $.01 PAR VALUE............................ 126,071,316 36,718,699 150,545,050 145,519,970
------------- ------------ ------------- -------------
------------- ------------ ------------- -------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE..... $ 20.75 $ 13.48 $ 10.55 $ 12.86
------------- ------------ ------------- -------------
------------- ------------ ------------- -------------
Investments at Cost.......................................... $ 2,052,931 $ 409,786 $ 1,258,500 $ 1,618,303
------------- ------------ ------------- -------------
------------- ------------ ------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
224
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
THE
THE PACIFIC CONTINENTAL
THE JAPANESE RIM SMALL THE UNITED SMALL
SMALL COMPANY COMPANY KINGDOM SMALL COMPANY
SERIES SERIES COMPANY SERIES SERIES
-------------- ----------- --------------- -----------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value....................................... $ 177,762 $ 128,479 $ 173,017 $ 371,829
Collateral for Securities Loaned........................... 29,575 9,057 -- 17,755
Receivables
Dividends and Interest................................. 1,465 288 1,130 1,870
Investment Securities Sold............................. 2,974 3,050 293 3,855
Prepaid Expenses and Other Assets.......................... 17 24 17 1
-------------- ----------- --------------- -----------
Total Assets....................................... 211,793 140,898 174,457 395,310
-------------- ----------- --------------- -----------
LIABILITIES:
Payable for Securities Loaned.............................. 29,575 9,057 -- 17,755
Payable for Investment Securities Purchased................ -- 78 32 77
Payable for Fund Shares Redeemed........................... 2,516 3,000 59 87
Accrued Expenses and Other Liabilities..................... 70 121 54 1,241
-------------- ----------- --------------- -----------
Total Liabilities.................................. 32,161 12,256 145 19,160
-------------- ----------- --------------- -----------
NET ASSETS................................................. $ 179,632 $ 128,642 $ 174,312 $ 376,150
-------------- ----------- --------------- -----------
-------------- ----------- --------------- -----------
Investments at Cost........................................ $ 399,653 $ 232,884 $ 126,444 $ 238,526
-------------- ----------- --------------- -----------
-------------- ----------- --------------- -----------
</TABLE>
<TABLE>
<CAPTION>
THE
THE EMERGING THE DFA THE DFA
EMERGING MARKETS ONE-YEAR TWO-YEAR
MARKETS SMALL CAP FIXED INCOME GLOBAL FIXED
SERIES SERIES SERIES INCOME SERIES
----------- ----------- ------------- -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value............................................ $ 234,117 $ 20,446 $ 834,442 $ 409,075
Receivables
Dividends and Interest...................................... 819 87 11,257 14,145
Investment Securities Sold.................................. 509 -- -- 16,544
Fund Shares Sold............................................ 170 25 -- --
Unrealized Gain or Forward Currency Contracts................... -- -- -- 3,029
Prepaid Expenses and Other Assets............................... 4 67 4 21
----------- ----------- ------------- -------------
Total Assets............................................ 235,619 20,625 845,703 442,814
----------- ----------- ------------- -------------
LIABILITIES:
Payable for Investment Securities Purchased..................... 1,377 648 -- 15,228
Payable for Fund Shares Redeemed................................ -- -- 2,437 240
Accrued Expenses and Other Liabilities.......................... 205 37 113 74
----------- ----------- ------------- -------------
Total Liabilities....................................... 1,582 685 2,550 15,542
----------- ----------- ------------- -------------
NET ASSETS...................................................... $ 234,037 $ 19,940 $ 843,153 $ 427,272
----------- ----------- ------------- -------------
----------- ----------- ------------- -------------
SHARES OUTSTANDING $.01 PAR VALUE............................... N/A N/A 84,086,233 42,267,222
----------- ----------- ------------- -------------
----------- ----------- ------------- -------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE........ N/A N/A $ 10.03 $ 10.11
----------- ----------- ------------- -------------
----------- ----------- ------------- -------------
Investments at Cost............................................. $ 302,899 $ 28,924 $ 834,254 $ 416,964
----------- ----------- ------------- -------------
----------- ----------- ------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
225
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE ENHANCED THE U.S. THE U.S. THE U.S.
LARGE U.S. LARGE LARGE CAP 4-10 6-10
COMPANY COMPANY VALUE VALUE VALUE
SERIES SERIES SERIES SERIES (1) SERIES
----------- --------------- ----------- ------------- ---------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends.................................................. $ 7,842 $ 1 $ 14,050 $ 336 $ 10,054
Interest................................................... 132 1,153 406 64 1,308
Income from Securities Lending............................. 46 -- 96 -- 619
----------- ------- ----------- ------ ---------
Total Investment Income.............................. 8,020 1,154 14,552 400 11,981
----------- ------- ----------- ------ ---------
EXPENSES
Investment Advisory Services............................... 125 13 830 19 2,408
Accounting & Transfer Agent Fees........................... 75 26 339 3 488
Custodian's Fees........................................... 70 7 130 3 189
Legal Fees................................................. 5 2 11 1 16
Audit Fees................................................. 9 -- 16 -- 23
Shareholders' Reports...................................... 8 -- 15 -- 21
Trustees' Fees and Expenses................................ 2 -- 3 -- 4
Other...................................................... 31 5 10 -- 21
----------- ------- ----------- ------ ---------
Total Expenses....................................... 325 53 1,354 26 3,170
----------- ------- ----------- ------ ---------
NET INVESTMENT INCOME...................................... 7,695 1,101 13,198 374 8,811
----------- ------- ----------- ------ ---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities.......... (284) (1) 85,496 42 155,665
Net Realized Gain on Foreign Currency Transactions......... -- 161 -- -- --
Net Realized Gain on Futures............................... -- 5,016 -- -- --
Net Realized Gain on Swap Contracts........................ -- 18 -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... 125,065 100 164,682 (856) 27,489
Translation of Foreign Currency Denominated Amounts...... -- 108 -- -- --
Futures.................................................. -- (276) -- -- --
Swap Contracts........................................... -- 607 -- -- --
----------- ------- ----------- ------ ---------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY................................................. 124,781 5,733 250,178 (814) 183,154
----------- ------- ----------- ------ ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................. $ 132,476 $ 6,834 $ 263,376 $ (440) $ 191,965
----------- ------- ----------- ------ ---------
----------- ------- ----------- ------ ---------
</TABLE>
- --------------
(1) For the period February 6, (commencement of operations) to May 31, 1998.
See accompanying Notes to Financial Statements.
226
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE DFA THE JAPANESE THE PACIFIC
6-10 SMALL 9-10 SMALL INTERNATIONAL SMALL RIM SMALL
COMPANY COMPANY VALUE COMPANY COMPANY
SERIES SERIES SERIES SERIES SERIES
----------- ----------- ------------ -------------- -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0,
$2,196, $288 and $52, respectively)................ $ 1,855 $ 4,391 $ 19,821 $ 1,630 $ 2,333
Interest............................................. 236 765 634 115 152
Income from Securities Lending....................... 256 632 647 175 48
----------- ----------- ------------ -------------- -----------
Total Investment Income........................ 2,347 5,788 21,102 1,920 2,533
----------- ----------- ------------ -------------- -----------
EXPENSES
Investment Advisory Services......................... 73 777 1,750 95 75
Accounting & Transfer Agent Fees..................... 99 320 419 117 92
Custodian's Fees..................................... 38 122 349 48 142
Legal Fees........................................... 3 9 13 3 2
Audit Fees........................................... 5 14 18 2 2
Shareholders' Reports................................ 4 12 16 2 2
Trustees' Fees and Expenses.......................... 1 3 3 1 1
Other................................................ 9 11 45 5 4
----------- ----------- ------------ -------------- -----------
Total Expenses................................. 232 1,268 2,613 273 320
----------- ----------- ------------ -------------- -----------
NET INVESTMENT INCOME................................ 2,115 4,520 18,489 1,647 2,213
----------- ----------- ------------ -------------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities.... 37,656 116,224 36,358 (7,145) 344
Net Realized Gain (Loss) on Foreign Currency
Transactions....................................... -- -- 512 (125) (260)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......... (9,260) (38,604) 247,185 (4,261) (33,919)
Translation of Foreign Currency Denominated
Amounts.......................................... -- -- (269) (101) 11
----------- ----------- ------------ -------------- -----------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY........................................... 28,396 77,620 283,786 (11,632) (33,824)
----------- ----------- ------------ -------------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................................... $ 30,511 $ 82,140 $ 302,275 $ (9,985) $ (31,611)
----------- ----------- ------------ -------------- -----------
----------- ----------- ------------ -------------- -----------
</TABLE>
See accompanying Notes to Financial Statements.
227
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE UNITED THE THE THE DFA
KINGDOM CONTINENTAL THE EMERGING THE DFA TWO-YEAR
SMALL SMALL EMERGING MARKETS ONE-YEAR GLOBAL
COMPANY COMPANY MARKETS SMALL CAP FIXED INCOME FIXED INCOME
SERIES SERIES SERIES SERIES SERIES SERIES
----------- ----------- ----------- ----------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of
$504, $358, $234, $25, $0 and $0 ,
respectively).............................. $ 2,867 $ 3,402 $ 3,063 $ 305 -- --
Interest..................................... 102 92 173 11 $ 23,810 $ 9,182
Income from Securities Lending............... -- 37 -- -- -- --
----------- ----------- ----------- ----------- ------------- -------------
Total Investment Income................ 2,969 3,531 3,236 316 23,810 9,182
----------- ----------- ----------- ----------- ------------- -------------
EXPENSES
Investment Advisory Services................. 85 170 116 19 205 105
Accounting & Transfer Agent Fees............. 104 197 142 12 104 190
Custodian's Fees............................. 23 91 349 35 43 39
Legal Fees................................... 2 4 3 6 5 4
Audit Fees................................... 2 4 3 -- 8 4
Shareholders' Reports........................ 2 3 2 1 7 4
Trustees' Fees and Expenses.................. -- 1 1 -- 1 1
Other........................................ 4 8 11 7 10 3
----------- ----------- ----------- ----------- ------------- -------------
Total Expenses......................... 222 478 627 80 383 350
----------- ----------- ----------- ----------- ------------- -------------
NET INVESTMENT INCOME........................ 2,747 3,053 2,609 236 23,427 8,832
----------- ----------- ----------- ----------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities................................. 6,993 16,308 (1,127) 761 1,486 92
Net Realized Gain (Loss) on Foreign Currency
Transactions............................... (84) (109) (393) (44) -- 4,559
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................. 16,471 82,932 (11,022) (2,487) (788) 185
Translation of Foreign Currency Denominated
Amounts.................................. (28) 171 10 3 -- (611)
----------- ----------- ----------- ----------- ------------- -------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY........................... 23,352 99,302 (12,532) (1,767) 698 4,225
----------- ----------- ----------- ----------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.............................. $ 26,099 $ 102,355 $ (9,923) $ (1,531) $ 24,125 $ 13,057
----------- ----------- ----------- ----------- ------------- -------------
----------- ----------- ----------- ----------- ------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
228
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE U.S. THE ENHANCED U.S. THE U.S. THE U.S.
LARGE COMPANY LARGE COMPANY LARGE CAP 4-10
SERIES SERIES VALUE SERIES VALUE SERIES
------------------------ ----------------------- ------------------------- ------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR FEB. 6
ENDED ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31,
1998 1997 1998 1997 1998 1997 1998
----------- ---------- ---------- ---------- ----------- ----------- ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income........... $ 7,695 $ 11,179 $ 1,101 $ 1,529 $ 13,198 $ 24,622 $ 374
Net Realized Gain (Loss) on
Investment Securities......... (284) 975 (1) 120 85,496 82,623 42
Net Realized Gain on Foreign
Currency Transactions......... -- -- 161 536 -- -- --
Net Realized Gain on Futures.... -- -- 5,016 7,354 -- -- --
Net Realized Gain on Swap
Contracts..................... -- -- 18 967 -- -- --
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency............ 125,065 147,979 100 (388) 164,682 172,274 (856)
Translation of Foreign
Currency Denominated
Amounts..................... -- -- 108 24 -- -- --
Futures....................... -- -- (276) (2,550) -- -- --
Swap Contracts................ -- -- 607 (322) -- -- --
----------- ---------- ---------- ---------- ----------- ----------- ------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations................ 132,476 160,133 6,834 7,270 263,376 279,519 (440)
----------- ---------- ---------- ---------- ----------- ----------- ------------
Distributions From:
Net Investment Income........... -- -- (1,236) (1,590) (8,250) (23,401) --
Net Realized Gains.............. -- -- (5,923) (3,438) (82,635) (52,566) --
----------- ---------- ---------- ---------- ----------- ----------- ------------
Total Distributions......... -- -- (7,159) (5,028) (90,885) (75,967) --
----------- ---------- ---------- ---------- ----------- ----------- ------------
Capital Share Transactions (1):
Shares Issued................... -- -- 6,477 27,476 131,988 320,473 76,015
Shares Issued in Lieu of Cash
Distributions................. -- -- 5,643 3,358 72,631 64,945 --
Shares Redeemed................. -- -- (7,586) (14,673) (79,946) (86,916) --
----------- ---------- ---------- ---------- ----------- ----------- ------------
Net Increase from Capital
Share Transactions........ -- -- 4,534 16,161 124,673 298,502 76,015
----------- ---------- ---------- ---------- ----------- ----------- ------------
Transactions in Interest:
Contributions................... 352,989 269,144 -- -- -- -- --
Withdrawals..................... (83,466) (73,225) -- -- -- -- --
----------- ---------- ---------- ---------- ----------- ----------- ------------
Net Increase from
Transactions in
Interest.................. 269,523 195,919 -- -- -- -- --
----------- ---------- ---------- ---------- ----------- ----------- ------------
Total Increase.............. 401,999 356,052 4,209 18,403 297,164 502,054 75,575
NET ASSETS
Beginning of Period............. 822,493 466,441 47,616 29,213 1,489,996 987,942 --
----------- ---------- ---------- ---------- ----------- ----------- ------------
End of Period................... $1,224,492 $ 822,493 $ 51,825 $ 47,616 $1,787,160 $ 1,489,996 $ 75,575
----------- ---------- ---------- ---------- ----------- ----------- ------------
----------- ---------- ---------- ---------- ----------- ----------- ------------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................. N/A N/A 554 2,322 6,951 19,550 7,316
Shares Issued in Lieu of Cash
Distributions................ 522 314 4,266 4,236 --
Shares Redeemed................ (658) (1,330) (4,220) (5,069) --
---------- ---------- ----------- ----------- ------------
418 1,306 6,997 18,717 7,316
---------- ---------- ----------- ----------- ------------
---------- ---------- ----------- ----------- ------------
</TABLE>
See accompanying Notes to Financial Statements.
229
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE U.S. 6-10 THE U.S. 9-10
THE U.S. 6-10 SMALL COMPANY SERIES SMALL COMPANY
VALUE SERIES SERIES
--------------------------- ------------------------- ------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS
ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31,
1998 1997 1998 1997 1998
------------- ------------ ------------- ---------- ------------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.................... $ 8,811 $ 15,275 $ 2,115 $ 3,259 $ 4,520
Net Realized Gain on Investment
Securities............................. 155,665 201,107 37,656 31,886 116,224
Net Realized Gain (Loss) on Foreign
Currency Transactions.................. -- -- -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 27,489 300,802 (9,260) 42,885 (38,604)
Translation of Foreign Currency
Denominated Amounts.................. -- -- -- -- --
------------- ------------ ------------- ---------- ------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations.......... 191,965 517,184 30,511 78,030 82,140
------------- ------------ ------------- ---------- ------------------
Distributions From:
Net Investment Income.................... (5,184) (12,192) (701) (2,966) (905)
Net Realized Gains....................... (201,111) (57,267) (33,010) (30,080) --
------------- ------------ ------------- ---------- ------------------
Total Distributions.................. (206,295) (69,459) (33,711) (33,046) (905)
------------- ------------ ------------- ---------- ------------------
Capital Share Transactions (1):
Shares Issued............................ 254,511 578,927 86,727 154,761 1,613,831
Shares Issued in Lieu of Cash
Distributions.......................... 199,854 63,693 31,810 31,055 905
Shares Redeemed.......................... (48,695) (114,290) (53,167) (66,368) (106,980)
------------- ------------ ------------- ---------- ------------------
Net Increase from Capital Share
Transactions....................... 405,670 528,330 65,370 119,448 1,507,756
------------- ------------ ------------- ---------- ------------------
Total Increase....................... 391,340 976,055 62,170 164,432 1,588,991
NET ASSETS
Beginning of Period...................... 2,224,268 1,248,213 432,833 268,401 --
------------- ------------ ------------- ---------- ------------------
End of Period............................ $ 2,615,608 $ 2,224,268 $ 495,003 $ 432,833 $ 1,588,991
------------- ------------ ------------- ---------- ------------------
------------- ------------ ------------- ---------- ------------------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................... 12,387 32,037 6,675 12,630 161,025
Shares Issued in Lieu of Cash
Distributions......................... 11,067 3,798 2,586 2,751 95
Shares Redeemed......................... (2,788) (5,731) (3,851) (5,446) (10,575)
------------- ------------ ------------- ---------- ------------------
20,666 30,104 5,410 9,935 150,545
------------- ------------ ------------- ---------- ------------------
------------- ------------ ------------- ---------- ------------------
<CAPTION>
THE DFA INTERNATIONAL
VALUE SERIES
---------------------------
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
1998 1997
------------- ------------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.................... $ 18,489 $ 31,305
Net Realized Gain on Investment
Securities............................. 36,358 6,023
Net Realized Gain (Loss) on Foreign
Currency Transactions.................. 512 (1,666)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................. 247,185 (107,773)
Translation of Foreign Currency
Denominated Amounts.................. (269) (44)
------------- ------------
Net Increase (Decrease) in Net Assets
Resulting from Operations.......... 302,275 (72,155)
------------- ------------
Distributions From:
Net Investment Income.................... (9,246) (29,074)
Net Realized Gains....................... (4,181) (27,255)
------------- ------------
Total Distributions.................. (13,427) (56,329)
------------- ------------
Capital Share Transactions (1):
Shares Issued............................ 95,014 409,256
Shares Issued in Lieu of Cash
Distributions.......................... 13,427 56,329
Shares Redeemed.......................... (107,416) (111,867)
------------- ------------
Net Increase from Capital Share
Transactions....................... 1,025 353,718
------------- ------------
Total Increase....................... 289,873 225,234
NET ASSETS
Beginning of Period...................... 1,582,086 1,356,852
------------- ------------
End of Period............................ $ 1,871,959 $ 1,582,086
------------- ------------
------------- ------------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................... 8,048 34,790
Shares Issued in Lieu of Cash
Distributions......................... 1,259 4,875
Shares Redeemed......................... (8,990) (9,587)
------------- ------------
317 30,078
------------- ------------
------------- ------------
</TABLE>
See accompanying Notes to Financial Statements.
230
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE JAPANESE THE PACIFIC RIM THE UNITED KINGDOM
SMALL COMPANY SERIES SMALL COMPANY SERIES SMALL COMPANY SERIES
-------------------------- -------------------------- -------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
1998 1997 1998 1997 1998 1997
------------- ----------- ------------- ----------- ------------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.............. $ 1,647 $ 2,392 $ 2,213 $ 5,645 $ 2,747 $ 5,153
Net Realized Gain (Loss) on
Investment Securities............ (7,145) (1,552) 344 3,120 6,993 13,056
Net Realized Gain (Loss) on Foreign
Currency Transactions............ (125) 15 (260) (468) (84) 136
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency....................... (4,261) (180,902) (33,919) (101,332) 16,471 (3,301)
Translation of Foreign Currency
Denominated Amounts............ (101) (28) 11 (10) (28) --
------------- ----------- ------------- ----------- ------------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations................... (9,985) (180,075) (31,611) (93,045) 26,099 15,044
------------- ----------- ------------- ----------- ------------- ----------
Transactions in Interest:
Contributions...................... 28,751 104,691 25,372 48,364 16,955 30,978
Withdrawals........................ (14,476) (78,956) (12,914) (39,005) (40,593) (56,796)
------------- ----------- ------------- ----------- ------------- ----------
Net Increase (Decrease) from
Transactions in Interest..... 14,275 25,735 12,458 9,359 (23,638) (25,818)
------------- ----------- ------------- ----------- ------------- ----------
Total Increase (Decrease)...... 4,290 (154,340) (19,153) (83,686) 2,461 (10,774)
NET ASSETS
Beginning of Period................ 175,342 329,682 147,795 231,481 171,851 182,625
------------- ----------- ------------- ----------- ------------- ----------
End of Period...................... $ 179,632 $ 175,342 $ 128,642 $ 147,795 $ 174,312 $ 171,851
------------- ----------- ------------- ----------- ------------- ----------
------------- ----------- ------------- ----------- ------------- ----------
<CAPTION>
THE CONTINENTAL
SMALL COMPANY SERIES
-------------------------
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
1998 1997
------------- ----------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.............. $ 3,053 $ 6,452
Net Realized Gain (Loss) on
Investment Securities............ 16,308 17,533
Net Realized Gain (Loss) on Foreign
Currency Transactions............ (109) (454)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency....................... 82,932 20,901
Translation of Foreign Currency
Denominated Amounts............ 171 (203)
------------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations................... 102,355 44,229
------------- ----------
Transactions in Interest:
Contributions...................... 14,299 52,536
Withdrawals........................ (64,114) (109,037)
------------- ----------
Net Increase (Decrease) from
Transactions in Interest..... (49,815) (56,501)
------------- ----------
Total Increase (Decrease)...... 52,540 (12,272)
NET ASSETS
Beginning of Period................ 323,610 335,882
------------- ----------
End of Period...................... $ 376,150 $ 323,610
------------- ----------
------------- ----------
</TABLE>
See accompanying Notes to Financial Statements.
231
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE EMERGING MARKETS THE DFA ONE-YEAR
THE EMERGING MARKETS SMALL CAP FIXED INCOME
SERIES SERIES SERIES
-------------------------- -------------------------- -------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30, MAY 31, NOV. 30,
1998 1997 1998 1997 1998 1997
------------- ----------- ------------- ----------- ------------- ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............. $ 2,609 $ 3,681 $ 236 $ 452 $ 23,427 $ 45,925
Net Realized Gain (Loss) on
Investment Securities........... (1,127) 153 761 89 1,486 1,165
Net Realized Gain (Loss) on
Foreign Currency Transactions... (393) 693 (44) (39) -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency.............. (11,022) (61,201) (2,487) (5,991) (788) (2,454)
Translation of Foreign Currency
Denominated Amounts........... 10 (19) 3 (1) -- --
------------- ----------- ------------- ----------- ------------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.................. (9,923) (56,693) (1,531) (5,490) 24,125 44,636
------------- ----------- ------------- ----------- ------------- ----------
Distributions From:
Net Investment Income............. -- -- -- -- (23,096) (46,321)
Net Realized Gains................ -- -- -- -- -- --
------------- ----------- ------------- ----------- ------------- ----------
Total Distributions........... -- -- -- -- (23,096) (46,321)
------------- ----------- ------------- ----------- ------------- ----------
Capital Share Transactions (1):
Shares Issued..................... -- -- -- -- 159,011 282,650
Shares Issued in Lieu of Cash
Distributions................... -- -- -- -- 18,121 37,665
Shares Redeemed................... -- -- -- -- (117,244) (395,687)
------------- ----------- ------------- ----------- ------------- ----------
Net Increase (Decrease) from
Capital Share
Transactions................ -- -- -- -- 59,888 (75,372)
------------- ----------- ------------- ----------- ------------- ----------
Transactions in Interest:
Contributions..................... 51,926 130,588 2,079 24,940 -- --
Withdrawals....................... (28,907) (15,029) (57) (1) -- --
------------- ----------- ------------- ----------- ------------- ----------
Net Increase from Transactions
in Interest................. 23,019 115,559 2,022 24,939 -- --
------------- ----------- ------------- ----------- ------------- ----------
Total Increase (Decrease)..... 13,096 58,866 491 19,449 60,917 (77,057)
NET ASSETS
Beginning of Period............... 220,941 162,075 19,449 -- 782,236 859,293
------------- ----------- ------------- ----------- ------------- ----------
End of Period..................... $ 234,037 $ 220,941 $ 19,940 $ 19,449 $ 843,153 $ 782,236
------------- ----------- ------------- ----------- ------------- ----------
------------- ----------- ------------- ----------- ------------- ----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................... N/A N/A N/A N/A 15,885 28,307
Shares Issued in Lieu of Cash
Distributions.................. 1,818 3,778
Shares Redeemed.................. (11,725) (39,644)
------------- ----------
5,978 (7,559)
------------- ----------
------------- ----------
<CAPTION>
THE DFA TWO-YEAR
GLOBAL FIXED INCOME
SERIES
-------------------------
SIX MONTHS YEAR
ENDED ENDED
MAY 31, NOV. 30,
1998 1997
------------- ----------
(UNAUDITED)
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............. $ 8,832 $ 17,177
Net Realized Gain (Loss) on
Investment Securities........... 92 861
Net Realized Gain (Loss) on
Foreign Currency Transactions... 4,559 13,543
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency.............. 185 (11,785)
Translation of Foreign Currency
Denominated Amounts........... (611) 1,402
------------- ----------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.................. 13,057 21,198
------------- ----------
Distributions From:
Net Investment Income............. (16,419) (25,358)
Net Realized Gains................ (898) (251)
------------- ----------
Total Distributions........... (17,317) (25,609)
------------- ----------
Capital Share Transactions (1):
Shares Issued..................... 43,079 122,794
Shares Issued in Lieu of Cash
Distributions................... 17,317 23,253
Shares Redeemed................... (47,771) (42,001)
------------- ----------
Net Increase (Decrease) from
Capital Share
Transactions................ 12,625 104,046
------------- ----------
Transactions in Interest:
Contributions..................... -- --
Withdrawals....................... -- --
------------- ----------
Net Increase from Transactions
in Interest................. -- --
------------- ----------
Total Increase (Decrease)..... 8,365 99,635
NET ASSETS
Beginning of Period............... 418,907 319,272
------------- ----------
End of Period..................... $ 427,272 $ 418,907
------------- ----------
------------- ----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................... 4,298 11,943
Shares Issued in Lieu of Cash
Distributions.................. 1,748 2,278
Shares Redeemed.................. (4,775) (4,088)
------------- ----------
1,271 10,133
------------- ----------
------------- ----------
</TABLE>
See accompanying Notes to Financial Statements.
232
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE COMPANY SERIES
-------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR FEB. 8
SIX MONTHS ENDED ENDED ENDED ENDED TO
ENDED NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
MAY 31,1998 1997 1996 1995 1994 1993
- ---------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period (1)................... N/A N/A $ 13.48 $ 10.11 $ 10.27 $ 10.00
----------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS (1)
Net Investment Income....... -- -- 0.15 0.30 0.28 0.24
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... -- -- 1.41 3.36 (0.14) 0.26
----------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations.............. -- -- 1.56 3.66 0.14 0.50
- ---------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS (1)
Net Investment Income....... -- -- (0.16) (0.29) (0.29) (0.23)
Net Realized Gains.......... -- -- (0.08) -- (0.01) --
----------- ---------- ---------- ---------- ---------- ----------
Total Distributions....... -- -- (0.24) (0.29) (0.30) (0.23)
- ---------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period
(1).......................... N/A N/A $ 14.80 $ 13.48 $ 10.11 $ 10.27
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
Total Return (1).............. N/A N/A 11.60%# 36.77% 1.30% 5.05%#
- ---------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $1,224,492 $ 822,493 $ 466,441 $ 97,118 $ 48,657 $ 37,853
Ratio of Expenses to Average
Net Assets................... 0.07%* 0.07% 0.12% 0.02%(a) 0.02%(a) 0.02%*(a)
Ratio of Net Investment Income
to Average Net Assets........ 1.54%* 1.75% 2.12% 2.61%(a) 2.83%(a) 2.87%*(a)
Portfolio Turnover Rate....... 12.57%* 4.28% 14.09% 2.38% 8.52% 34.36%*
Average Commission Rate....... $ 0.0108 $ 0.0202 $ 0.0212 N/A N/A N/A
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE ENHANCED U.S.
LARGE COMPANY SERIES
------------------------------------------
SIX MONTHS YEAR JULY 3
ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30,
1998 1997 1996
- ------------------------------
------------------------------------------
(UNAUDITED)
<S> <C><C> <C> <C>
Net Asset Value, Beginning of
Period (1)................... $ 12.56 $ 11.76 $ 10.00
---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS (1)
Net Investment Income....... 0.41 0.51 0.16
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 1.22 2.25 1.74
---------- ---------- ----------
Total From Investment
Operations.............. 1.63 2.76 1.90
- ------------------------------ ------------------------------------------
LESS DISTRIBUTIONS (1)
Net Investment Income....... (0.32) (0.54) (0.14)
Net Realized Gains.......... (1.56) (1.42) --
---------- ---------- ----------
Total Distributions....... (1.88) (1.96) (0.14)
- ------------------------------ ------------------------------------------
Net Asset Value, End of Period
(1).......................... $ 12.31 $ 12.56 $ 11.76
- ------------------------------ ------------------------------------------
- ------------------------------ ------------------------------------------
Total Return (1).............. 15.10%# 27.63% 18.95%#
- ------------------------------ ------------------------------------------
Net Assets, End of Period
(thousands).................. $ 51,825 $ 47,616 $ 29,213
Ratio of Expenses to Average
Net Assets................... 0.21%* 0.25% 0.29%*
Ratio of Net Investment Income
to Average Net Assets........ 4.42%* 4.59% 4.60%*
Portfolio Turnover Rate....... 66.49%* 193.78% 211.07%*
Average Commission Rate....... $ 0.0247 $ 0.0246 $ 0.0200
- ------------------------------ ------------------------------------------
</TABLE>
* Annualized
# Non-annualized
(a) Had certain assumption of expenses not been in effect the ratios of
expenses to average net assets for the periods ended November 30, 1995,
1994 and 1993 would have been 0.18%, 0.33% and 0.48%, respectively, and the
ratios of net investment income to average net assets for the period
November 30, 1995, 1994 and 1993, would have been 2.45%, 2.52% and 2.41%,
respectively.
(1) For the U.S. Large Company Series, items are calculated for the period
December 1, 1995 through May 31, 1996. Effective June 1, 1996, this Series
was reorganized as a partnership, and these items are no longer applicable.
See accompanying Notes to Financial Statements.
233
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S.
4-10 VALUE
THE U.S. LARGE CAP VALUE SERIES SERIES
-------------------------------------------------------------------- -----------
SIX MONTHS YEAR YEAR YEAR YEAR FEB. 19 FEB. 6
ENDED ENDED ENDED ENDED ENDED TO TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, MAY 31,
1998 1997 1996 1995 1994 1993 1998
- ----------------------------------------------------------------------------------------------------------------
(UNAUDITED)
-----------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period...... $ 18.09 $ 15.52 $ 13.29 $ 9.92 $ 10.59 $ 10.00 $ 10.00
----------- --------- --------- --------- --------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................... 0.15 0.32 0.31 0.32 0.33 0.20 0.05
Net Gain (Losses) on Securities
(Realized and Unrealized)............. 2.85 3.38 2.57 3.53 (0.65) 0.58 0.28
----------- --------- --------- --------- --------- ----------- -----------
Total From Investment Operations...... 3.00 3.70 2.88 3.85 (0.32) 0.78 0.33
- ---------------------------------------------------------------------------------------------------------------- -----------
LESS DISTRIBUTIONS
Net Investment Income................... (0.10) (0.31) (0.31) (0.31) (0.35) (0.18) --
Net Realized Gains...................... (1.00) (0.82) (0.34) (0.17) -- (0.01) --
----------- --------- --------- --------- --------- ----------- -----------
Total Distributions................... (1.10) (1.13) (0.65) (0.48) (0.35) (0.19) --
- ---------------------------------------------------------------------------------------------------------------- -----------
Net Asset Value, End of Period............ $ 19.99 $ 18.09 $ 15.52 $ 13.29 $ 9.92 $ 10.59 $ 10.33
- ---------------------------------------------------------------------------------------------------------------- -----------
- ---------------------------------------------------------------------------------------------------------------- -----------
Total Return.............................. 17.65%# 25.31% 22.48% 39.26% (3.13)% 7.79%# 3.30%#
- ---------------------------------------------------------------------------------------------------------------- -----------
Net Assets, End of Period (thousands)..... $1,787,160 $1,489,996 $ 987,942 $ 423,027 $ 198,848 $ 90,271 $ 75,575
Ratio of Expenses to Average Net Assets... 0.16%* 0.18% 0.19% 0.21% 0.22% 0.23%* 0.11%(a)*
Ratio of Net Investment Income to Average
Net Assets.............................. 1.59%* 1.96% 2.37% 2.84% 3.72% 3.75%* 1.64%(a)*
Portfolio Turnover Rate................... 22.09%* 17.71% 20.12% 29.41% 39.33% 0.75%* 1.31%*
Average Commission Rate................... $ 0.0484 $ 0.0494 $ 0.0499 N/A N/A N/A $ 0.0490
- ---------------------------------------------------------------------------------------------------------------- -----------
</TABLE>
* Annualized
# Non-annualized
(a) Because of commencement of operations and related preliminary transaction
costs, these ratios are not necessarily indicative of future ratios.
See accompanying Notes to Financial Statements.
234
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 6-10 VALUE SERIES
--------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR MARCH 2
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1993
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 21.10 $ 16.58 $ 14.02 $ 11.15 $ 11.04 $ 10.00
---------- ---------- ---------- ---------- ---------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.07 0.15 0.15 0.14 0.12 0.08
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 1.53 5.23 2.88 3.06 0.16 1.09
---------- ---------- ---------- ---------- ---------- ---------
Total From Investment
Operations.............. 1.60 5.38 3.03 3.20 0.28 1.17
- -------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.05 ) (0.12) (0.15) (0.14) (0.12) (0.07)
Net Realized Gains.......... (1.90 ) (0.74) (0.32) (0.19) (0.05) (0.06)
---------- ---------- ---------- ---------- ---------- ---------
Total Distributions....... (1.95 ) (0.86) (0.47) (0.33) (0.17) (0.13)
- -------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 20.75 $ 21.10 $ 16.58 $ 14.02 $ 11.15 $ 11.04
- -------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------
Total Return.................. 8.63%# 33.93% 22.14% 28.81% 2.52% 11.69%#
- -------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $2,615,608 $2,224,268 $1,248,213 $ 624,343 $ 350,277 $95,681
Ratio of Expenses to Average
Net Assets.................. 0.26%* 0.28% 0.29% 0.32% 0.32% 0.33%*
Ratio of Net Investment Income
to Average Net Assets....... 0.73%* 0.86% 1.11% 1.22% 1.50% 1.35%*
Portfolio Turnover Rate....... 25.99%* 25.47% 14.91% 20.62% 8.22% 1.07%*
Average Commission Rate....... $ 0.0522 $ 0.0645 $ 0.0658 N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. 6-10 SMALL COMPANY SERIES
----------------------------------------------------------------------------------
SIX
MONTHS YEAR YEAR YEAR YEAR FEB. 3
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1993
- ------------------------------ ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
(UNAUDITED)
Net Asset Value, Beginning of
Period...................... $ 13.82 $ 12.56 $ 11.26 $ 9.54 $ 10.39 $ 10.00
-------- -------- -------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.06 0.11 0.13 0.12 0.12 0.10
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 0.70 2.81 1.92 2.50 (0.07) 0.54
-------- -------- -------- ----------- ----------- -----------
Total From Investment
Operations.............. 0.76 2.92 2.05 2.62 0.05 0.64
- ------------------------------ ----------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.02) (0.10) (0.13) (0.12) (0.11) (0.10)
Net Realized Gains.......... (1.08) (1.56) (0.62) (0.78) (0.79) (0.15)
-------- -------- -------- ----------- ----------- -----------
Total Distributions....... (1.10) (1.66) (0.75) (0.90) (0.90) (0.25)
- ------------------------------ ----------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 13.48 $ 13.82 $ 12.56 $ 11.26 $ 9.54 $ 10.39
- ------------------------------ ----------------------------------------------------------------------------------
- ------------------------------ ----------------------------------------------------------------------------------
Total Return.................. 6.31%# 26.47% 19.17% 29.19% 0.59% 6.35%#
- ------------------------------ ----------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $495,003 $432,833 $268,401 $ 221,984 $ 143,630 $ 161,925
Ratio of Expenses to Average
Net Assets.................. 0.10%* 0.11% 0.13% 0.15% 0.17% 0.17%*
Ratio of Net Investment Income
to Average Net Assets....... 0.87%* 0.96% 1.05% 1.18% 1.11% 1.18%*
Portfolio Turnover Rate....... 33.72%* 30.04% 32.38% 21.16% 27.65% 32.88%*
Average Commission Rate....... $0.0524 $ 0.0583 $ 0.0586 N/A N/A N/A
- ------------------------------ ----------------------------------------------------------------------------------
</TABLE>
* Annualized
# Non-annualized
See accompanying Notes to Financial Statements.
235
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S.
9-10 SMALL
COMPANY THE JAPANESE SMALL
SERIES THE DFA INTERNATIONAL VALUE SERIES COMPANY SERIES
----------- -------------------------------------------------------- --------------------------------
SIX MONTHS SIX MONTHS YEAR YEAR YEAR FEB. 16 SIX MONTHS YEAR AUG. 9
ENDED ENDED ENDED ENDED ENDED TO ENDED ENDED TO
MAY 31, MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, MAY 31, NOV. 30, NOV. 30,
1998 1998 1997 1996 1995 1994 1998 1997 1996
- ---------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of
Period............ $ 10.00 $ 10.90 $ 11.79 $ 10.55 $ 10.06 $ 10.00 N/A+ N/A+ N/A+
----------- ----------- ---------- ---------- -------- -------- ----------- -------- --------
INCOME FROM
INVESTMENT
OPERATIONS
Net Investment
Income.......... 0.03 0.13 0.24 0.23 0.20 0.13 -- -- --
Net Gain (Losses)
on Securities
(Realized and
Unrealized)..... 0.53 1.92 (0.67) 1.32 0.52 0.07 -- -- --
----------- ----------- ---------- ---------- -------- -------- ----------- -------- --------
Total From
Investment
Operations.... 0.56 2.05 (0.43) 1.55 0.72 0.20 -- -- --
- -------------------------------------------------------------------------------------------- --------------------------------
LESS DISTRIBUTIONS
Net Investment
Income.......... (0.01) (0.06) (0.22) (0.23) (0.21) (0.13) -- -- --
Net Realized
Gains........... -- (0.03) (0.24) (0.08) (0.02) (0.01) -- -- --
----------- ----------- ---------- ---------- -------- -------- ----------- -------- --------
Total
Distributions... (0.01) (0.09) (0.46) (0.31) (0.23) (0.14) -- -- --
- -------------------------------------------------------------------------------------------- --------------------------------
Net Asset Value, End
of Period......... $ 10.55 $ 12.86 $ 10.90 $ 11.79 $ 10.55 $ 10.06 N/A+ N/A+ N/A+
- -------------------------------------------------------------------------------------------- --------------------------------
- -------------------------------------------------------------------------------------------- --------------------------------
Total Return........ 5.57%# 19.01%# (3.84)% 14.85% 7.20% 1.99%# N/A+ N/A+ N/A+
- -------------------------------------------------------------------------------------------- --------------------------------
Net Assets, End of
Period
(thousands)....... $1,588,991 $1,871,959 $1,582,086 $1,356,852 $609,386 $348,381 $179,632 $175,342 $329,682
Ratio of Expenses to
Average Net
Assets............ 0.16%* 0.30%* 0.32% 0.36% 0.42% 0.45%*(a) 0.29%* 0.29% 0.29%*
Ratio of Net
Investment Income
to Average Net
Assets............ 0.58%* 2.12%* 2.09% 2.23% 2.14% 1.84%*(a) 1.73%* 0.93% 0.76%*
Portfolio Turnover
Rate.............. 26.05%* 18.78%* 22.55% 12.23% 9.75% 1.90%* 12.16%* 13.17% 1.67%*
Average Commission
Rate.............. $ 0.0520 $ 0.0167 $ 0.0068 $ 0.0112 N/A N/A $ 0.0203 $ 0.0282 $ 0.0427
- -------------------------------------------------------------------------------------------- --------------------------------
</TABLE>
* Annualized
# Non-annualized
(a) Had certain waivers not been in effect the ratio of expenses to average net
assets for the period ended November 30, 1994 would have been 0.48%, and
the ratio of net investment income to average net assets for the period
ended November 30, 1994 would have been 1.81%.
+ Not applicable as The Japanese Small Company Series is organized as a
Partnership.
See accompanying Notes to Financial Statements.
236
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE PACIFIC RIM THE UNITED KINGDOM
SMALL COMPANY SMALL COMPANY
SERIES SERIES
------------------------------------ ------------------------------------
SIX MONTHS YEAR AUG. 9 SIX MONTHS YEAR AUG. 9
ENDED ENDED TO ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, MAY 31, NOV. 30, NOV. 30,
1998 1997 1996 1998 1997 1996
- -----------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... -- -- -- -- -- --
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations.............. -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... -- -- -- -- -- --
Net Realized Gains.......... -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions....... -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
Total Return.................. N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
- -----------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $128,642 $ 147,795 $ 231,481 $174,312 $ 171,851 $ 182,625
Ratio of Expenses to Average
Net Assets.................. 0.43%* 0.40% 0.45%* 0.26%* 0.25% 0.29%*
Ratio of Net Investment Income
to Average Net Assets....... 2.95%* 2.45% 2.50%* 3.24%* 2.86% 2.94%*
Portfolio Turnover Rate....... 42.44%* 24.00% 8.04%* 5.26%* 4.26% 4.55%*
Average Commission Rate....... $ 0.0010 $ 0.0042 $ 0.0102 $ 0.0077 $ 0.0073 $ 0.0050
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
THE CONTINENTAL
SMALL COMPANY
SERIES
------------------------------------
SIX MONTHS YEAR AUG. 9
ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30,
1998 1997 1996
- ------------------------------ ------------------------------------
(UNAUDITED)
<S> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... N/A+ N/A+ N/A+
---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... -- -- --
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... -- -- --
---------- ---------- ----------
Total From Investment
Operations.............. -- -- --
- ------------------------------ ------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... -- -- --
Net Realized Gains.......... -- -- --
---------- ---------- ----------
Total Distributions....... -- -- --
- ------------------------------ ------------------------------------
Net Asset Value, End of
Period...................... N/A+ N/A+ N/A+
- ------------------------------ ------------------------------------
- ------------------------------ ------------------------------------
Total Return.................. N/A+ N/A+ N/A+
- ------------------------------ ------------------------------------
Net Assets, End of Period
(thousands)................. $376,150 $ 323,610 $ 335,882
Ratio of Expenses to Average
Net Assets.................. 0.28%* 0.29% 0.31%*
Ratio of Net Investment Income
to Average Net Assets....... 1.80%* 1.84% 0.27%*
Portfolio Turnover Rate....... 0.28%* 3.46% 6.69%*
Average Commission Rate....... $ 0.0382 $ 0.0586 $ 0.0392
- ------------------------------ ------------------------------------
</TABLE>
* Annualized
+ Not applicable as The Pacific Rim Small Company Series, The United Kingdom
Small Company Series and The Continental Small Company Series are organized
as Partnerships.
See accompanying Notes to Financial Statements.
237
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE EMERGING THE EMERGING MARKETS
MARKETS SERIES SMALL CAP SERIES
-------------------------------------------------------------- --------------------------
SIX MONTHS YEAR YEAR YEAR APRIL 25 SIX MONTHS DEC. 2, 1996
ENDED ENDED ENDED ENDED TO ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, MAY 31, NOV. 30,
1998 1997 1996 1995 1994 1998 1997
- ------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................ N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
---------- --------- --------- --------- --------- ---------- ------------
Income From Investment
Operations
Net Investment Income......... -- -- -- -- -- -- --
Net Gain (Losses) on
Securities (Realized and
Unrealized)................. -- -- -- -- -- -- --
---------- --------- --------- --------- --------- ---------- ------------
Total From Investment
Operations................ -- -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income......... -- -- -- -- -- -- --
Net Realized Gains............ -- -- -- -- -- -- --
---------- --------- --------- --------- --------- ---------- ------------
Total Distributions......... -- -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
Total Return.................... N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $234,037 $ 220,941 $ 162,075 $ 49,351 $ 15,724 $ 19,940 $ 19,449
Ratio of Expenses to Average Net
Assets........................ 0.54%* 0.54% 0.66% 0.87% 1.49%* 0.85%* 0.90%*
Ratio of Net Investment Income
to Average Net Assets......... 2.26%* 1.63% 1.63% 1.70% 0.56%* 2.52%* 1.90%*
Portfolio Turnover Rate......... 14.13%* 0.54% 0.37% 8.17% 1.28%* 12.51%* 2.54%*
Average Commission Rate......... $ 0.0013 $ 0.0010 $ 0.0010 N/A N/A $ 0.0010 $ 0.0020
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
+ Not applicable as The Emerging Markets Series and The Emerging Markets
Small Cap Series are organized as a partnerships.
See accompanying Notes to Financial Statements.
238
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA ONE-YEAR FIXED INCOME SERIES (1)
------------------------------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR YEAR FEB. 8
ENDED ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1993
- -----------------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period....................... $ 10.01 $ 10.03 $ 10.00 $ 9.84 $ 10.06 $ 10.00
---------- ---------- ---------- ---------- ---------- ----------
Income From Investment
Operations
Net Investment Income....... 0.28 0.59 0.56 0.60 0.44 0.31
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 0.02 (0.02) 0.03 0.16 (0.18) 0.03
---------- ---------- ---------- ---------- ---------- ----------
Total From Investment
Operations.............. 0.30 0.57 0.59 0.76 0.26 0.34
- -----------------------------------------------------------------------------------------------------------------------------
Less Distributions
Net Investment Income....... (0.28) (0.59) (0.56) (0.60) (0.43) (0.28)
Net Realized Gains.......... -- -- -- -- (0.05) --
---------- ---------- ---------- ---------- ---------- ----------
Total Distributions....... (0.28) (0.59) (0.56) (0.60) (0.48) (0.28)
- -----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period....................... $ 10.03 $ 10.01 $ 10.03 $ 10.00 $ 9.84 $ 10.06
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
Total Return.................. 3.08%# 5.83% 6.10% 7.91% 2.61% 3.39%#
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).................. $843,153 $ 782,236 $ 859,293 $ 705,554 $ 592,286 $ 608,428
Ratio of Expenses to Average
Net Assets................... 0.09%* 0.10% 0.09% 0.10% 0.10% 0.10%*
Ratio of Net Investment Income
to Average Net Assets........ 5.73%* 5.85% 5.62% 6.04% 4.41% 3.80%*
Portfolio Turnover Rate....... 12.37%* 82.84% 95.84% 81.31% 140.82% 111.67%*
Average Commission Rate....... N/A N/A N/A N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA
TWO-YEAR GLOBAL
FIXED INCOME SERIES
------------------------------------------
SIX MONTHS YEAR FEB. 8
ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30,
1998 1997 1996
- ------------------------------
------------------------------------------
(UNAUDITED)
<S> <C> <C> <C>
Net Asset Value, Beginning of
Period....................... $ 10.22 $ 10.34 $ 10.00
---------- ---------- ----------
Income From Investment
Operations
Net Investment Income....... 0.22 0.48 0.34
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 0.09 0.12 0.25
---------- ---------- ----------
Total From Investment
Operations.............. 0.31 0.60 0.59
- ------------------------------ ------------------------------------------
Less Distributions
Net Investment Income....... (0.40) (0.71) (0.25)
Net Realized Gains.......... (0.02) (0.01) --
---------- ---------- ----------
Total Distributions....... (0.42) (0.72) (0.25)
- ------------------------------ ------------------------------------------
Net Asset Value, End of
Period....................... $ 10.11 $ 10.22 $ 10.34
- ------------------------------ ------------------------------------------
- ------------------------------ ------------------------------------------
Total Return.................. 3.17%# 5.96% 6.01%#
- ------------------------------ ------------------------------------------
Net Assets, End of Period
(thousands).................. $427,272 $ 418,907 $ 319,272
Ratio of Expenses to Average
Net Assets................... 0.17%* 0.18% 0.20%*
Ratio of Net Investment Income
to Average Net Assets........ 4.24%* 4.64% 4.51%*
Portfolio Turnover Rate....... 80.22%* 119.27% 87.07%*
Average Commission Rate....... N/A N/A N/A
- ------------------------------ ------------------------------------------
</TABLE>
* Annualized
# Non-annualized
(1) Restated to reflect a 900% stock dividend as January 2, 1996.
See accompanying Notes to Financial Statements.
239
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At May
31, 1998, the Trust consisted of sixteen investment portfolios (collectively,
the "Series"):
The U.S. Large Company Series
The Enhanced U.S. Large Company Series
The U.S. Large Cap Value Series
The U.S. 4-10 Value Series
The U.S. 6-10 Value Series
The U.S. 6-10 Small Company Series
The U.S. 9-10 Small Company Series
(the "Domestic Equity Portfolios)
The DFA One-Year Fixed Income Series
The DFA Two-Year Global Fixed Income Series
(the "Fixed Income Portfolios")
The DFA International Value Series
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
(the "International Equity Portfolios)
Effective August 1, 1997. The U.S. Small Cap Value Series changed its name
to The U.S. 6-10 Value Series.
On December 1, 1997, The U.S. 9-10 Small Company Portfolio transferred its
investable assets for shares with an equal value of The U.S. 9-10 Small Company
Series of The DFA Investment Trust Company, a newly created series. This
portfolio invests solely in this series. The series will also issue its shares
to other investors.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day, or if
there is no such reported sale, at the mean between the most recent bid and
asked prices. Securities held by the International Equity Portfolios which are
listed on a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Directors.
Fixed income instruments held by The Enhanced U.S. Large Company Series and
The Fixed Income Portfolios are valued on the basis of prices provided by a
pricing service when such prices are believed to reflect the fair market value
of such securities.
2. FOREIGN CURRENCY TRANSLATION: Securities, other assets and liabilities
of The Enhanced U.S. Large Company Series, the International Equity Portfolios
and The DFA Two-Year Global Fixed Income Series whose values are initially
expressed in foreign currencies are translated to U.S. dollars at the mean price
of such currency against U.S. dollars last quoted by a major bank. Dividend and
interest income and certain expenses are translated to U.S. dollars at the rate
of exchange on their respective accrual dates. Receivables and payables
denominated in foreign
240
<PAGE>
currencies are marked to market daily based on daily exchange rates and exchange
gains or losses are realized upon ultimate receipt or disbursement. The Enhanced
U.S. Large Company Series and The DFA Two-Year Global Fixed Income Series also
enter into forward foreign currency contracts solely for the purpose of hedging
against fluctuations in currency exchange rates. These contracts are also marked
to market daily based on daily exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized. However, The
Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series do isolate the effect of fluctuations in foreign currency rates when
determining the realized gain or loss upon the sale or maturity of foreign
currency denominated debt obligations pursuant to U.S. Federal income tax
regulations; such amounts are categorized as foreign exchange gain or loss for
both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of The Enhanced
U.S. Large Company Series, the International Equity Portfolios and The DFA
Two-Year Global Fixed Income Series and the U.S. dollar equivalent amounts
actually received or paid.
3. FEDERAL INCOME TAXES: It the intention of The Enhanced U.S. Large
Company Series, The U.S. Large Cap Value Series, The U.S. 4-10 Value Series, The
U.S. 6-10 Value Series, The U.S. 6-10 Small Company Series, The U.S. 9-10 Small
Company Series, The DFA International Value Series, The DFA One-Year Fixed
Income Series and The DFA Two-Year Global Fixed Income Series to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for federal taxes is required in the financial
statements.
The U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, The
Continental Small Company Series, The Emerging Markets Series and The Emerging
Markets Small Cap Series are treated as partnerships for federal income tax
purposes. Any interest, dividends and gains or losses of these Series will be
deemed to have been "passed through" to their Feeder Funds.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on an accrual basis. Discount and
premium on securities purchased are amortized over the lives of the respective
securities. Expenses directly attributable to a Series are directly charged.
Common expenses are allocated using methods determined by the Board of
Directors.
241
<PAGE>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to the Trust. For the six months ended May 31, 1998, the
Series' advisory fees were computed daily and paid monthly to the Advisor based
on the following effective annual rates:
<TABLE>
<S> <C>
The U.S. Large Company Series............................................ .025 of 1%
The Enhanced U.S. Large Company Series................................... .05 of 1%
The U.S. Large Cap Value Series.......................................... .10 of 1%
The U.S. 4-10 Value Series............................................... .10 of 1%
The U.S. 6-10 Value Series............................................... .20 of 1%
The U.S. 6-10 Small Company Series....................................... .03 of 1%
The U.S. 9-10 Small Company Series....................................... .10 of 1%
The DFA International Value Series....................................... .20 of 1%
The Japanese Small Company Series........................................ .10 of 1%
The Pacific Rim Small Company Series..................................... .10 of 1%
The United Kingdom Small Company Series.................................. .10 of 1%
The Continental Small Company Series..................................... .10 of 1%
The Emerging Markets Series.............................................. .10 of 1%
The Emerging Markets Small Cap Series.................................... .20 of 1%
The DFA One-Year Fixed Income Series..................................... .05 of 1%
The DFA Two-Year Global Fixed Income Series.............................. .05 of 1%
</TABLE>
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
D. PURCHASE AND SALES OF SECURITIES:
For the six months ended May 31, 1998, the Series made the following
purchases and sales of investment securities:
<TABLE>
<CAPTION>
OTHER
U.S. GOVERNMENT INVESTMENT
SECURITIES SECURITIES
-------------------- --------------------
PURCHASES SALES PURCHASES SALES
--------- --------- --------- ---------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
The U.S. Large Company Series............................. -- -- $ 226,780 $ 62,476
The Enhanced U.S. Large Company Series.................... -- -- 18,506 11,621
The U.S. Large Cap Value Series........................... -- -- 236,159 180,682
The U.S. 4-10 Value Series................................ -- -- 76,399 253
The U.S. 6-10 Value Series................................ -- -- 481,156 308,306
The U.S. 6-10 Small Company Series........................ -- -- 109,469 80,116
The U.S. 9-10 Small Company Series........................ -- -- 198,424 207,022
The DFA International Value Series........................ -- -- 160,728 178,857
The Japanese Small Company Series......................... -- -- 23,622 11,134
The Pacific Rim Small Company Series...................... -- -- 34,667 30,583
The United Kingdom Small Company Series................... -- -- 4,361 24,217
The Continental Small Company Series...................... -- -- 474 48,905
The Emerging Markets Series............................... -- -- 37,779 16,037
The Emerging Markets Small Cap Series..................... -- -- 3,091 1,182
The DFA One-Year Fixed Income Series...................... -- -- 28,993 321,697
The DFA Two-Year Global Fixed Income Series............... -- -- 178,918 232,628
</TABLE>
242
<PAGE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1998, gross unrealized appreciation and depreciation for federal
income tax purposes of futures, swap contracts, investment securities and
foreign currencies for each Series were as follows:
<TABLE>
<CAPTION>
GROSS GROSS
UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION NET
-------------- -------------- ----------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. Large Company Series.............................. $ 475,450 $ (7,588) $ 467,862
The Enhanced U.S. Large Company Series..................... 1,150 (242) 908
The U.S. Large Cap Value Series............................ 518,508 (34,681) 483,827
The U.S. 4-10 Value Series................................. 4,135 (4,991) (856)
The U.S. 6-10 Value Series................................. 714,890 (165,957) 548,933
The U.S. 6-10 Small Company Series......................... 131,688 (48,751) 82,937
The U.S. 9-10 Small Company Series......................... 544,230 (206,164) 338,066
The DFA International Value Series......................... 532,694 (291,580) 241,114
The Japanese Small Company Series.......................... 1,462 (223,353) (221,891)
The Pacific Rim Small Company Series....................... 7,758 (112,163) (104,405)
The United Kingdom Small Company Series.................... 46,573 -- 46,573
The Continental Small Company Series....................... 160,015 (26,712) 133,303
The Emerging Markets Series................................ 56,541 (125,323) (68,782)
The Emerging Markets Small Cap Series...................... 3,528 (12,006) (8,478)
The DFA One-Year Fixed Income Series....................... 263 (75) 188
The DFA Two-Year Global Fixed Income Series................ -- (7,889) (7,889)
</TABLE>
At November 30, 1997, The DFA One-Year Fixed Income Series had a capital
loss carryover for federal income tax purposes of approximately $1,867,000 of
which $1,566,000 and $301,000 expire on November 30, 2002 and 2004,
respectively.
F. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
AT MAY 31, 1998 NET ASSETS CONSIST OF:
------------------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS)
UNREALIZED
APPRECIATION
(DEPRECIATION)
OF
UNDISTRIBUTED FUTURES, SWAP
UNDISTRIBUTED NET REALIZED CONTRACTS, UNREALIZED
NET UNDISTRIBUTED FOREIGN INVESTMENT NET FOREIGN
PAID-IN INVESTMENT NET REALIZED EXCHANGE SECURITIES AND EXCHANGE TOTAL NET
CAPITAL INCOME GAIN (LOSS) GAIN FOREIGN CURRENCY GAIN (LOSS) ASSETS
---------- ------------- ------------- ------------- ---------------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
The Enhanced U.S. Large
Company Series.......... $ 45,816 $ 381 $ 4,255 $ 161 $ 908 $ 304 $ 51,825
The U.S. Large Cap Value
Series.................. 1,211,229 6,697 85,407 -- 483,827 -- 1,787,160
The U.S. 4-10 Value
Series.................. 76,015 374 42 -- (856) -- 75,575
The U.S. 6-10 Value
Series.................. 1,904,037 7,128 155,510 -- 548,933 -- 2,615,608
The U.S. 6-10 Small
Company Series.......... 373,812 1,823 36,431 -- 82,937 -- 495,003
The U.S. 9-10 Small
Company Series.......... 1,131,086 3,615 116,224 -- 338,066 -- 1,588,991
The DFA International
Value Series............ 1,582,361 10,103 38,156 512 241,114 (287) 1,871,959
The DFA One-Year Fixed
Income Series........... 839,215 4,139 (389) -- 188 -- 843,153
The DFA Two-Year Global
Fixed Income Series..... 426,405 1,064 45 4,559 (7,889) 3,088 427,272
</TABLE>
243
<PAGE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' Investment Objectives and Policies, the
Series may invest in certain financial instruments which have off-balance sheet
risk and concentrations of credit risk. These instruments and their significant
corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date and
price. The seller will be required on a daily basis to maintain the value of the
collateral subject to the agreement at not less than the repurchase price
(including accrued interest). The agreements are conditioned upon the collateral
being deposited under the Federal Reserve book-entry system with the Trust's
custodian or a third party sub-custodian. All open repurchase agreements were
entered into on May 29, 1998.
2. FORWARD CURRENCY CONTRACTS: The Enhanced U.S. Large Company Series and
The DFA Two-Year Global Fixed Income Series may enter into forward foreign
currency contracts to hedge against adverse changes in the relationship of the
U.S. dollar to foreign currencies. At May 31, 1998, The Enhanced U.S. Large
Company and The DFA Two-Year Global Fixed Income Series had entered into the
following contracts and the related net unrealized foreign exchange gain (loss)
is reflected in the accompanying financial statements:
THE ENHANCED U.S. LARGE COMPANY SERIES
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION CONTRACT VALUE AT EXCHANGE
DATE CURRENCY SOLD AMOUNT MAY 31, 1998 GAIN (LOSS)
- ---------- ------------------------------------------ -------------- ------------------- ------------
<C> <C> <S> <C> <C> <C>
06/29/98 52,169,803 French Francs $ 8,853,257 $ 8,720,008 $ 133,249
06/29/98 23,069,417 German Marks 13,131,463 12,940,064 191,399
06/30/98 2,195,725 Australian Dollars 1,364,306 1,375,294 (10,988)
06/30/98 12,791,692 Canadian Dollars 8,788,038 8,791,783 (3,745)
06/30/98 7,495,750 Netherlands Guilders 3,734,149 3,730,937 3,212
-------------- ------------------- ------------
$ 35,871,213 $ 35,558,086 $ 313,127
-------------- ------------------- ------------
-------------- ------------------- ------------
</TABLE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION VALUE AT EXCHANGE GAIN
DATE CURRENCY SOLD CONTRACT AMOUNT MAY 31, 1998 (LOSS)
- ---------- ------------------------------------------ ---------------- ------------------- -------------
<C> <C> <S> <C> <C> <C>
06/26/98 51,739,784 Netherlands Guilders $ 26,115,583 $ 25,752,974 $ 362,609
06/29/98 180,479,105 German Marks 102,677,662 101,234,079 1,443,583
06/29/98 653,364,918 French Francs 110,757,926 109,207,761 1,550,165
06/30/98 45,889,301 Australian Dollars 28,476,269 28,742,790 (266,521)
06/30/98 157,220,111 Canadian Dollars 107,997,663 108,058,030 (60,367)
---------------- ------------------- -------------
$ 376,025,103 $ 372,995,634 $ 3,029,469
---------------- ------------------- -------------
---------------- ------------------- -------------
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter- parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. The Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed
Income Series will enter into forward contracts only for hedging purposes.
3. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain consideration 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 government 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.
244
<PAGE>
4. FUTURES CONTRACTS. During the six months ended May 31, 1998, The
Enhanced U.S. Large Company Series ("Enhanced") entered into futures contracts
in accordance with its investment objectives. Upon entering into a futures
contract, the Enhanced deposits cash or pledges U.S. Government securities to a
broker, equal to the minimum "initial margin" requirements of the exchange on
which the contract is traded. Subsequent payments are received from or paid to
the broker each day, based on the daily fluctuation in the market value of the
contract. These receipts or payments are known as "variation margin" and are
recorded daily by Enhanced as unrealized gains or losses until the contracts are
closed. When the contracts are closed, Enhanced records a realized gain or loss
equal to the difference between the value of the contract at the time it was
opened and the value at the time it was closed.
At May 31, 1998, Enhanced had outstanding 169 long futures contracts on the
S & P 500 Index all of which expire June 19, 1998. The value of such contracts
on May 31, 1998 was $46,086,300 which resulted in an unrealized gain of
$463,250.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities and from the possibility of an illiquid secondary market for these
instruments.
4. EQUITY INDEX SWAPS. Enhanced may enter into equity index swaps in
accordance with its investment objectives. A swap agreement obligates two
parties to exchange returns realized on a notional amount agreed upon by both
parties. The obligations of the parties are calculated on a net basis based on
the daily fluctuations in the indices on which the contract is based. The daily
net fluctuation is recorded as unrealized gains or losses by Enhanced. At the
termination of the agreement, Enhanced will receive from or pay to the counter
party, the accumulated net unrealized gain or loss, which will then be recorded
as realized.
At May 31, 1998, Enhanced had an outstanding equity index swap with Morgan
Stanley dated January 15, 1998 (which represents approximately 11% of the net
assets of Enhanced), terminating on July 15, 1998. The notional value of the
swap was $5,095,651 and Enhanced had recorded net unrealized appreciation of
$665,739 consisting of $105,513 owed to Morgan Stanley and $771,252 owed to
Enhanced. Payments made by Enhanced are based on the London Interbank Offered
Rate (LIBOR) plus 0.10% per annum calculated on the original notional amount
plus accumulated interest added on the monthly LIBOR reset date. Payments
received by Enhanced are based on the daily value of the S & P 500 Index plus
accumulated dividends as expressed in Index points calculated on the original
notional amount.
Risks may arise upon entering into equity index swaps in the event of the
default or bankruptcy of a swap agreement counter party.
H. LINE OF CREDIT:
The Trust, together with other DFA-advised portfolios, has entered into a
$50 million unsecured line of credit with its domestic custodian bank. Each
series is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each series 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. For the six months ended May 31, 1998 borrowings
under the line were as follows:
<TABLE>
<CAPTION>
MAXIMUM AMOUNT
WEIGHTED WEIGHTED NUMBER OF INTEREST BORROWED
AVERAGE AVERAGE DAYS EXPENSE DURING THE
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED PERIOD
------------- ------------ ----------- ------- --------------
<S> <C> <C> <C> <C> <C>
The U.S. Large Company Series........... 6.23% $5,728,175 16 $19,830 $ 33,400,000
The U.S. 6-10 Small Company Series...... 5.99% 3,337,500 7 4,440 5,102,000
The United Kingdom Small Company
Series................................ 5.97% 160,000 2 53 160,000
</TABLE>
There were no outstanding borrowings under the line of credit at May 31,
1998.
245
<PAGE>
I. SECURITIES LENDING:
Loans of domestic security are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Portfolio or, at the option of
the lending agent, replace the loaned securities. Such cash collateral for May
31, 1998 was reinvested into overnight repurchase agreements with Swiss Bank
Corp., UBS Securities Inc., Salomon Brothers and Barclays De Zoete Wedd which
was in turn collateralized by U.S. Government Treasury Securities. The market
value of securities on loan to brokers, the related collateral cash received by
each Portfolio and value of collateral on overnight repurchase agreements at May
31, 1998, was as follows:
<TABLE>
<CAPTION>
VALUE OF
VALUE OF COLLATERAL ON
COLLATERAL OVERNIGHT
VALUE OF AND REPURCHASE
SECURITIES INDEMNIFICATION AGREEMENTS
---------------- ---------------- ----------------
<S> <C> <C> <C>
DOMESTIC EQUITY PORTFOLIOS
The U.S. Large Company Series..................... $ 149,096,899 $ 154,882,649 $ 158,013,025
The U.S. Large Cap Value Series................... 126,336,012 131,583,374 134,245,296
The U.S. 6-10 Value Series........................ 85,020,027 96,348,244 98,171,052
The U.S. 6-10 Small Company Series................ 40,785,636 45,243,939 45,468,698
The U.S. 9-10 Small Company Series................ 58,014,633 70,883,053 72,242,526
INTERNATIONAL EQUITY PORTFOLIOS
The DFA International Value Series................ $ 311,067,556 $ 328,083,824 $ 339,953,101
The Japanese Small Company Series................. 27,526,167 29,575,413 30,652,794
The Pacific Rim Small Company Series.............. 6,786,009 9,057,049 9,258,003
The Continental Small Company Series.............. 17,011,833 17,755,083 18,149,194
</TABLE>
246
