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DFA INVESTMENT DIMENSIONS GROUP INC.
VA SMALL VALUE PORTFOLIO
VA LARGE VALUE PORTFOLIO
VA INTERNATIONAL VALUE PORTFOLIO
VA INTERNATIONAL SMALL PORTFOLIO
VA SHORT-TERM FIXED PORTFOLIO
VA GLOBAL BOND PORTFOLIO
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 1998
(UNAUDITED)
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DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
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Statements of Net Assets
VA Small Value Portfolio....... 1-12
VA Large Value Portfolio....... 13-14
Schedules of Investments
VA International Value
Portfolio..................... 15-19
VA International Small
Portfolio..................... 20-27
Statements of Net Assets
VA Short-Term Fixed
Portfolio..................... 28-29
VA Global Bond Portfolio....... 30-31
Statements of Assets and
Liabilities
VA International Value
Portfolio..................... 32
VA International Small
Portfolio..................... 32
Statements of Operations........... 33-34
Statements of Changes in Net
Assets............................ 35-37
Financial Highlights............... 38-40
Notes to Financial Statements...... 41-45
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This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
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DFA INVESTMENT DIMENSIONS GROUP INC.
VA SMALL VALUE PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 1998
(UNAUDITED)
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COMMON STOCKS -- (99.6%)
*3-D Systems Corp..................................... 1,000 $ 11,625
*3D0 Co............................................... 700 2,647
AAR Corp.............................................. 2,100 55,519
*ABT Building Products Corp........................... 400 5,775
*ACT Networks, Inc.................................... 500 6,250
*ACX Technologies, Inc................................ 2,800 63,525
*AEP Industries, Inc.................................. 1,100 30,112
*APS Holding Corp. Class A............................ 1,000 875
*ATL Ultrasound, Inc.................................. 1,100 49,809
Aames Financial Corp.................................. 2,800 40,425
*Aasche Transportation Services, Inc.................. 500 3,156
*Abraxas Petroleum Corp............................... 1,000 9,562
*Accell International Corp............................ 400 1,244
*Acceptance Insurance Companies, Inc.................. 1,300 29,900
*Acclaim Entertainment, Inc........................... 2,500 16,016
Aceto Corp............................................ 660 9,652
*Acme Metals, Inc..................................... 1,000 7,875
*Active Voice Corp.................................... 200 2,325
*Adflex Solutions, Inc................................ 700 11,178
*Advanced Health Corp................................. 1,000 12,500
*Advanced Marketing Services, Inc..................... 500 9,156
Advest Group, Inc..................................... 700 18,331
*Aerovox, Inc......................................... 400 1,300
*Air Methods Corp..................................... 300 1,219
*Alaska Air Group, Inc................................ 1,100 50,944
Albank Financial Corp................................. 1,200 62,100
*Aldila, Inc.......................................... 1,300 8,084
Alfa Corp............................................. 2,100 41,081
Alico, Inc............................................ 200 4,162
*All American Semiconductor, Inc...................... 1,300 2,498
*Allegheny Teledyne, Inc.............................. 1,425 33,131
Alliance Bancorp...................................... 1,000 27,219
*Alliance Entertainment Corp.......................... 2,300 72
*Alliance Semiconductor Corp.......................... 3,500 17,062
*Allied Healthcare Products, Inc...................... 1,700 9,031
*Allied Holdings, Inc................................. 100 1,800
*Allied Research Corp................................. 300 3,731
*Allin Communications Corp............................ 500 2,281
*Allou Health & Beauty Care, Inc. Class A............. 500 5,875
*Allstars Systems, Inc................................ 100 419
*Alpha Beta Technology, Inc........................... 1,100 2,922
*Alpha Technologies Group, Inc........................ 500 2,406
Alpharma, Inc. Class A................................ 1,200 26,100
*Altron, Inc.......................................... 300 3,309
*Amax Gold, Inc....................................... 8,100 25,819
Amcast Industrial Corp................................ 700 15,094
*America West Holdings Corp. Class B.................. 4,400 124,575
*American Banknote Corp............................... 1,600 6,200
American Business Products, Inc....................... 600 13,350
*American Eagle Group, Inc............................ 300 10
*American Ecology Corp................................ 700 919
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*American Freightways Corp............................ 2,900 $ 33,531
American Heritage Life Investment Corp................ 2,400 50,400
*American Homepatient, Inc............................ 1,000 16,687
*American Mobile Satellite Corp....................... 1,700 19,444
*American Oncology Resources, Inc..................... 1,700 21,781
*American Pacific Corp................................ 700 7,503
*American Physicians Services Group, Inc.............. 500 3,594
*American Residential Services, Inc................... 500 5,781
*American Software, Inc. Class A...................... 300 2,316
*American United Global, Inc.......................... 600 816
*American Waste Services, Inc. Class A................ 2,100 9,844
*Amerihost Properties, Inc............................ 400 1,975
*Ameripath, Inc....................................... 200 2,869
*Ameristar Casinos, Inc............................... 1,700 9,137
Ameron, Inc........................................... 300 18,037
Amerus Life Holdings, Inc. Class A.................... 464 14,848
*Ames Department Stores, Inc.......................... 1,100 27,122
Ampco-Pittsburgh Corp................................. 400 5,900
*Amrep Corp........................................... 600 4,950
*Amtech Corp.......................................... 2,300 10,781
*Amtran, Inc.......................................... 800 15,400
*Anadigics, Inc....................................... 400 5,787
Analogic Corp......................................... 100 4,534
Andover Bancorp, Inc. DE.............................. 600 20,475
Angelica Corp......................................... 800 18,000
*Ann Taylor Stores Corp............................... 2,000 43,625
*Antec Corp........................................... 3,000 57,469
*Apertus Technologies, Inc............................ 900 1,153
*Apogee, Inc.......................................... 1,200 2,700
*Applied Extrusion Technologies, Inc.................. 2,000 14,937
*Applied Magnetics Corp............................... 1,700 9,562
*Applied Signal Technologies, Inc..................... 800 9,500
*Apria Healthcare Group, Inc.......................... 500 3,812
*Arcadia Financial, Ltd............................... 2,900 21,750
Arch Coal, Inc........................................ 1,200 29,025
*Arch Communications Group, Inc....................... 3,300 15,262
Arctic Cat, Inc....................................... 1,800 16,312
Argonaut Group, Inc................................... 1,200 38,812
*Argosy Gaming Corp................................... 1,800 6,525
*Arkansas Best Corp................................... 1,700 16,469
Arnold Industries, Inc................................ 2,000 31,375
*Artisoft, Inc........................................ 1,700 5,073
Arvin Industries, Inc................................. 1,900 70,419
*Asante Technologies, Inc............................. 400 1,000
*Ascent Entertainment Group, Inc...................... 2,579 33,043
*Astec Industries, Inc................................ 900 29,531
Astoria Financial Corp................................ 424 23,333
*Asyst Technologies, Inc.............................. 600 9,919
*Atchison Casting Corp................................ 200 3,612
*Atkinson (Guy F.) of California...................... 1,500 117
*Atlantic Gulf Communities Corp....................... 1,500 4,547
*Atlantic Tele-Network, Inc........................... 400 6,050
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*Atlantis Plastics, Inc............................... 200 $ 1,600
Atrion Corp........................................... 200 2,000
*Au Bon Pain, Inc. Class A............................ 600 5,550
*Audiovox Corp. Class A............................... 1,300 6,662
*Auspex Systems, Inc.................................. 600 3,394
*Autoimmune, Inc...................................... 1,100 3,094
*Autoinfo, Inc........................................ 600 169
*Avatar Holdings, Inc................................. 1,000 27,062
*Avatex Corp.......................................... 1,400 3,062
*Aviall, Inc.......................................... 800 11,700
*Avid Technology, Inc................................. 1,900 77,009
*Avigen, Inc.......................................... 500 1,734
*Avondale Industries, Inc............................. 500 14,109
*Aydin Corp........................................... 400 3,800
*Aztar Corp........................................... 3,400 23,800
Aztec Manufacturing Co................................ 500 6,687
BEI Electronics, Inc.................................. 1,600 7,150
BEI Technologies, Inc................................. 1,600 29,700
*BFX Hospitality Group, Inc........................... 300 694
*BI, Inc.............................................. 1,000 9,625
*BPI Packaging Technologies, Inc...................... 300 295
*BRC Holdings, Inc.................................... 1,000 18,625
BSB Bancorp, Inc...................................... 900 28,294
*BT Office Products International, Inc................ 2,000 26,750
*BTG, Inc............................................. 300 2,878
*BTU International, Inc............................... 1,700 8,075
Badger Meter, Inc..................................... 200 7,225
Bairnco Corp.......................................... 900 8,550
Baker (J.), Inc....................................... 2,200 26,812
*Baker (Michael) Corp................................. 700 6,912
Baldwin Piano & Organ Co.............................. 300 4,734
*Baldwin Technology, Inc. Class A..................... 1,400 8,575
*Bancinsurance Corp................................... 500 3,219
*Bank Plus Corp....................................... 1,000 12,875
*Bank United Financial Corp. Class A.................. 200 3,581
BankAtlantic Bancorp, Inc. Class A.................... 562 7,411
BankAtlantic Bancorp, Inc. Class B.................... 1,000 13,687
*Banner Aerospace, Inc................................ 2,300 27,169
*Banyan System, Inc................................... 1,600 12,650
*Basin Exploration, Inc............................... 900 14,231
Bassett Furniture Industries, Inc..................... 2,200 66,481
Battle Mountain Gold Co............................... 9,100 48,344
Bay View Capital Corp................................. 1,200 38,662
*Bayou Steel Corp. Class A............................ 900 5,794
*Beazer Homes USA, Inc................................ 700 15,925
*Bel Fuse, Inc........................................ 400 10,600
*Bell Industries, Inc................................. 860 10,857
*Bell Microproducts, Inc.............................. 1,500 11,109
*Bell Sports Corp..................................... 1,200 11,250
*Bellwether Exploration Co............................ 1,500 13,453
*Ben & Jerry's Homemade, Inc. Class A................. 1,500 29,344
*Benton Oil & Gas Co.................................. 2,100 21,919
*Berlitz International, Inc........................... 900 24,975
*Bertuccis, Inc....................................... 1,200 12,337
*Big 4 Ranch, Inc..................................... 300 0
Bindley Western Industries, Inc....................... 600 21,300
Binks Sames Corp...................................... 300 12,600
*Bio Vascular, Inc.................................... 500 2,391
*Bio-Rad Laboratories, Inc. Class A................... 400 12,700
Birmingham Steel Corp................................. 2,500 35,000
Blair Corp............................................ 500 14,875
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*Bluegreen Corp....................................... 1,500 $ 12,562
Bob Evans Farms, Inc.................................. 2,700 57,459
*Boca Research, Inc................................... 1,000 5,156
*Bombay Co., Inc...................................... 3,000 13,125
*Bon-Ton Stores, Inc.................................. 900 15,187
*Books-a-Million, Inc................................. 1,400 7,131
*Borland International, Inc........................... 1,100 9,109
*Boston Chicken, Inc.................................. 4,900 10,030
Bowne & Co., Inc...................................... 1,800 77,062
*Boyd Gaming Corp..................................... 4,500 30,094
*Brazos Sportswear, Inc............................... 50 237
*Broadway & Seymour, Inc.............................. 1,000 5,937
*Brookstone, Inc...................................... 1,500 21,187
*Brothers Gourmet Coffees, Inc........................ 800 850
*Brown & Sharpe Manufacturing Co. Class A............. 1,200 15,900
*Brown (Tom), Inc..................................... 500 8,344
Brown Group, Inc...................................... 5,600 100,450
Brush Wellman, Inc.................................... 900 21,937
*Buffets, Inc......................................... 4,000 65,250
*Builders Transport, Inc.............................. 400 81
*Building Materials Holding Corp...................... 1,500 20,719
*Bull Run Corp. GA.................................... 2,200 10,381
Burlington Coat Factory Warehouse Corp................ 1,440 28,890
*Business Resource Group.............................. 500 1,687
Butler Manufacturing Co............................... 1,000 35,000
*Buttrey Food & Drug Stores Co........................ 1,700 25,341
*C ATS Software, Inc.................................. 1,000 5,625
*C.P. Clare Corp...................................... 1,000 12,312
*CML Group, Inc....................................... 4,100 13,325
CNA Surety Corp....................................... 1,300 21,044
CNB Bancshares, Inc................................... 414 19,147
*CNS Income........................................... 1,300 5,362
*CPAC, Inc............................................ 1,000 10,937
CPB, Inc.............................................. 1,400 26,775
CPI Corp.............................................. 1,000 25,625
*CSP, Inc............................................. 220 2,234
CTS Corp.............................................. 1,200 37,500
Cadmus Communications Corp............................ 300 7,612
*Caere Corp........................................... 1,500 21,047
Cal-Maine Foods, Inc.................................. 500 2,672
*Calcomp Technology, Inc.............................. 1,500 4,875
Calgon Carbon Corp.................................... 2,800 29,925
*California Amplifier, Inc............................ 1,000 2,625
*California Microwave, Inc............................ 1,000 21,406
Calmat Co............................................. 2,300 57,787
*Cameron Ashley Building Products, Inc................ 200 3,475
*Canandaigua Wine Co., Inc. Class A................... 1,800 82,969
*Capital Pacific Holdings, Inc........................ 1,000 4,125
Capitol Transamerica Corp............................. 300 6,178
*Care Group, Inc...................................... 700 208
Carolina First Corp................................... 159 4,407
Carter-Wallace, Inc................................... 2,900 51,656
Cascade Corp.......................................... 1,000 17,125
Cash America International, Inc....................... 2,400 40,500
*Casino America, Inc.................................. 3,700 14,742
*Casino Data Systems.................................. 1,500 5,156
*Casino Magic Corp.................................... 2,200 4,331
*Castle & Cooke, Inc.................................. 1,400 26,425
*Catalina Lighting, Inc............................... 600 2,287
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*Catalyst Semiconductor, Inc.......................... 500 $ 320
*Catherines Stores Corp............................... 1,500 14,859
Cato Corp. Class A.................................... 2,000 30,125
Cavalier Homes, Inc................................... 1,000 11,187
*Ceanic Corp.......................................... 1,000 14,750
*Celadon Group, Inc................................... 1,000 14,375
*Celebrity, Inc....................................... 500 687
*Cell Genesys, Inc.................................... 500 4,234
*Cellpro, Inc......................................... 1,300 4,550
Cenit Bancorp, Inc.................................... 300 7,312
*Centennial Cellular Corp. Class A.................... 1,600 55,950
*Centigram Communications Corp........................ 700 8,794
*Central Sprinkler Corp............................... 200 1,850
Centris Group, Inc.................................... 600 7,875
*Ceradyne, Inc........................................ 1,200 6,300
*Cerion Technologies, Inc............................. 700 1,247
*Charming Shoppes, Inc................................ 12,300 62,845
*Chart House Enterprises, Inc......................... 700 5,862
*Checkpoint System, Inc............................... 2,000 35,250
*Cherry Corp. Class A................................. 600 10,275
*Cherry Corp. Class B................................. 400 6,925
Chesapeake Energy Corp................................ 7,180 30,964
Chic by His, Inc...................................... 1,000 8,375
Chiquita Brands International, Inc.................... 66 887
*Chock Full O' Nuts Corp.............................. 1,000 7,562
*Chrysalis International Corp......................... 400 681
*Cidco, Inc........................................... 1,000 8,062
*Circuit City Stores, Inc. - Carmax Group............. 100 969
*Circuit Systems, Inc................................. 1,300 5,281
*Cirrus Logic, Inc.................................... 2,700 26,916
*Citadel Holding Corp................................. 300 1,500
*Citation Corp........................................ 2,000 38,625
Citfed Bancorp, Inc................................... 900 43,959
*Citizens, Inc. Class A............................... 1,300 7,881
*Civic Bancorp........................................ 420 7,796
*Clean Harbors, Inc................................... 800 2,162
Cleveland Cliffs, Inc................................. 1,100 58,231
*Clintrials Research, Inc............................. 2,800 15,312
*Coast Distribution System............................ 300 1,162
*Coastal Physician Group, Inc......................... 1,300 650
*Coastcast Corp....................................... 1,000 18,625
*Cobra Electronic Corp................................ 1,000 5,406
*Coeur d'Alene Mines Corp. ID......................... 2,000 17,625
*Coherent, Inc........................................ 2,000 46,125
*Coho Energy, Inc..................................... 1,400 11,594
*Cohr, Inc............................................ 400 2,862
Collagen Corp......................................... 1,100 21,519
*Comdial Corp......................................... 600 6,937
Commercial Intertech Corp............................. 800 15,200
Commercial Metals Co.................................. 1,300 39,894
Commonwealth Bancorp, Inc............................. 500 11,828
Commonwealth Industries, Inc.......................... 1,100 16,225
*Compdent Corp........................................ 200 2,925
*Computer Network Technology Corp..................... 2,100 11,222
*Computer Outsourcing Services, Inc................... 500 4,906
*Concord Camera Corp.................................. 1,000 6,281
*Concord Fabrics, Inc. Class A........................ 200 1,950
*Cone Mills Corp. NC.................................. 2,000 19,250
*Conmed Corp.......................................... 1,200 25,537
*Consolidated Freightways Corp........................ 100 1,481
Cooker Restaurant Corp................................ 500 5,250
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*Copart, Inc.......................................... 900 $ 16,031
*Copley Pharmaceutical, Inc........................... 1,500 9,328
*Coram Healthcare Corp................................ 2,100 4,331
*Cornerstone Imaging, Inc............................. 1,000 7,312
*Corrpro Companies, Inc............................... 300 4,612
*Cortech, Inc......................................... 1,500 773
*Craig Corp........................................... 300 3,900
*Craig Corp. Class A.................................. 300 3,825
*Creative Computers, Inc.............................. 1,000 8,125
*Credit Acceptance Corp............................... 2,500 25,859
*Criticare Systems, Inc............................... 600 1,837
Cross (A.T.) Co. Class A.............................. 800 9,250
*Cross-Continent Auto Retailers, Inc.................. 1,100 8,869
*Crown Central Petroleum Corp. Class A................ 400 5,875
*Crown Central Petroleum Corp. Class B................ 300 4,331
Crown Crafts, Inc..................................... 700 9,931
*Crown Vantage, Inc................................... 1,300 13,325
*Crown-Andersen, Inc.................................. 100 437
Cubic Corp............................................ 750 22,031
*Cuisine Solutions, Inc............................... 700 700
*Cybex International, Inc............................. 400 4,050
*Cyrk, Inc............................................ 1,300 15,397
*Cytotherapeutics, Inc................................ 100 192
*Cytrx Corp........................................... 700 1,794
D&N Financial Corp.................................... 660 17,036
*DII Group, Inc....................................... 400 7,512
*DIY Home Warehouse, Inc.............................. 1,500 3,797
*DVI, Inc............................................. 300 6,394
*Damark International, Inc. Class A................... 800 7,950
Dames & Moore, Inc.................................... 2,000 25,875
*Dan River, Inc. (GA) Class A......................... 800 15,300
Daniel Industries, Inc................................ 300 6,094
*Data Broadcasting Corp............................... 3,600 24,187
*Data I/O Corp........................................ 1,500 7,125
*Data Race, Inc....................................... 400 412
*Data Systems & Software, Inc......................... 1,500 8,344
*Data Systems Network Corp............................ 30 95
*Dataflex Corp........................................ 400 1,594
*Datakey, Inc......................................... 200 1,137
*Datascope Corp....................................... 500 13,953
*Dataware Technologies, Inc........................... 500 1,609
*Datron Systems, Inc.................................. 200 1,525
*Datum, Inc........................................... 300 4,434
*Daw Technologies, Inc................................ 800 2,275
*Dawson Geophysical Co................................ 300 4,791
*Daxor Corp........................................... 400 5,450
Deb Shops, Inc........................................ 2,100 16,537
*Deckers Outdoor Corp................................. 1,000 7,187
Defiance, Inc......................................... 600 5,175
*Del Global Technologies Corp......................... 500 5,687
Delta Woodside Industries, Inc........................ 2,100 12,469
*Designs, Inc......................................... 1,300 1,991
*Detection Systems, Inc............................... 300 3,056
*Detroit Diesel Corp.................................. 1,800 44,100
*Devcon International Corp............................ 400 1,250
*Devlieg-Bullard, Inc................................. 1,000 2,594
*Diamond Home Services, Inc........................... 500 2,773
*Diamond Multimedia Systems, Inc...................... 3,000 23,062
*Dianon Systems, Inc.................................. 500 4,656
*Digi International, Inc.............................. 1,000 22,844
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Dime Community Bancorp, Inc........................... 500 $ 14,391
Dime Financial Corp................................... 400 14,100
Dimon, Inc............................................ 500 6,750
*Discount Auto Parts, Inc............................. 1,500 38,531
Dixie Group, Inc...................................... 1,000 12,812
*Dominion Bridge Corp................................. 2,000 2,469
*Dominion Homes, Inc.................................. 800 10,200
*Donnkenny, Inc....................................... 1,400 4,769
Downey Financial Corp................................. 1,653 54,756
*Dravo Corp........................................... 1,000 11,250
*Dress Barn, Inc...................................... 1,900 55,456
*Drug Emporium, Inc................................... 2,100 8,203
*Durakon Industries, Inc.............................. 300 3,169
Dyersburg Corp........................................ 1,100 7,769
*Dynamics Research Corp............................... 660 7,796
*E-Z-Em, Inc. Class A................................. 300 2,100
*E-Z-Em, Inc. Class B................................. 27 159
*EA Engineering Science & Technology, Inc............. 500 1,656
*ECC International Corp............................... 800 2,750
*EFTC Corp............................................ 300 4,425
*EIS International, Inc............................... 1,500 8,719
*ERLY Industries, Inc................................. 550 1,581
*ESCO Electronics Corp. Trust Receipts................ 900 16,144
Eagle Bancshares, Inc................................. 500 11,625
*Eagle Hardware & Garden, Inc......................... 2,900 52,834
*Eagle Point Software Corp............................ 300 2,081
Eastern Co............................................ 200 5,337
Eaton Vance Corp...................................... 1,600 71,900
Ecology & Environment, Inc. Class A................... 200 1,950
Edo Corp.............................................. 300 2,794
*Egghead, Inc......................................... 2,800 22,487
*Einstein/Noah Bagel Corp............................. 1,600 7,650
*Ekco Group, Inc...................................... 1,600 12,600
*El Paso Electric Co.................................. 1,000 9,500
*Electroglas, Inc..................................... 2,000 27,375
*Electromagnetic Sciences, Inc........................ 600 12,919
*Emcon................................................ 1,700 7,544
*Emerging Communications, Inc......................... 1,000 8,937
*Empire of Carolina, Inc.............................. 400 425
Energen Corp.......................................... 1,800 36,562
Engle Homes, Inc...................................... 1,000 14,312
*Environmental Elements Corp.......................... 600 2,437
*Envirotest Systems Corp. Class A..................... 1,000 16,250
*Equitrac Corp........................................ 300 5,869
*Equity Oil Co........................................ 2,300 5,031
Ethyl Corp............................................ 6,200 43,787
*Evans & Sutherland Computer Corp..................... 700 17,609
Evergreen Bancorp, Inc. DE............................ 800 20,850
*Evergreen Resources, Inc............................. 500 9,031
*Exabyte Corp......................................... 1,800 17,662
*Exar Corp............................................ 1,000 23,156
Excel Industries, Inc................................. 900 17,887
*Executone Information Systems, Inc................... 3,800 8,253
Exide Corp............................................ 2,100 37,931
*Exponent, Inc........................................ 600 5,550
*Ezcorp, Inc. Class A Non-Voting...................... 1,100 11,791
FFY Financial Corp.................................... 500 16,562
*FSI International, Inc............................... 2,400 27,375
*FTP Software, Inc.................................... 3,200 8,500
Fab Industries, Inc................................... 500 13,562
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*Fairchild Corp. Class A.............................. 1,300 $ 25,756
*Fansteel, Inc........................................ 700 6,212
*Farah, Inc........................................... 900 7,987
Farrel Corp........................................... 700 2,319
*Filenes Basement Corp................................ 2,900 17,944
*Finish Line, Inc. Class A............................ 1,500 35,531
*First Cash, Inc...................................... 300 3,403
*First Central Financial Corp......................... 1,000 5
First Coastal Bankshares, Inc......................... 400 6,975
First Defiance Financial Corp......................... 700 10,828
First Essex Bancorp................................... 500 11,344
*First Merchants Acceptance Corp...................... 500 5
First Northern Capital Corp........................... 800 11,000
First Palm Beach Bancorp, Inc......................... 1,300 57,037
*First Republic Bank.................................. 600 19,950
First Savings Bancorp, Inc. North Carolina............ 200 4,737
First Savings Bank.................................... 1,300 33,191
*First Team Sports, Inc............................... 500 1,234
*FirstFed Financial Corp. DE.......................... 900 44,156
*Firstwave Technologies, Inc.......................... 300 1,444
*Fischer Imaging Corp................................. 1,000 4,375
Fleming Companies, Inc................................ 3,100 59,094
Flexsteel Industries, Inc............................. 600 7,762
Florida Rock Industries, Inc.......................... 1,600 49,800
*Florsheim Group, Inc................................. 400 3,700
Fluke Corp............................................ 400 12,850
*Fluor Daniel/GTI, Inc................................ 316 2,311
Flushing Financial Corp............................... 400 10,700
*Foodarama Supermarkets, Inc.......................... 100 3,437
*Forcenergy, Inc...................................... 200 3,725
Forest City Enterprises, Inc. Class A................. 450 25,369
*Foster (L.B.) Co. Class A............................ 800 4,200
*Franklin Electronic Publishers, Inc.................. 500 5,375
Freds, Inc. Class A................................... 2,250 52,875
*Fresh Choice, Inc.................................... 500 1,922
Friedman Industries, Inc.............................. 578 3,833
*Friedmans, Inc. Class A.............................. 1,000 19,750
Frisch's Restaurants, Inc............................. 648 7,735
Frozen Food Express Industries, Inc................... 1,200 11,775
*G-III Apparel Group, Ltd............................. 600 3,619
*GC Companies, Inc.................................... 300 14,962
*GKN Holding Corp..................................... 300 881
*GP Strategies Corp................................... 500 7,750
*GT Bicycles, Inc..................................... 1,000 5,703
*GTI Corp............................................. 500 1,383
*GZA Geoenvironmental Technologies, Inc............... 300 1,556
Gainsco, Inc.......................................... 1,500 10,969
*Galey & Lord, Inc.................................... 300 7,425
*Galileo Corp......................................... 600 8,587
*Galoob Toys, Inc. DE................................. 1,000 11,062
Gamma Biologicals, Inc................................ 300 1,387
*Gantos, Inc.......................................... 500 711
Garan, Inc............................................ 400 11,050
*Garden Botanika, Inc................................. 500 547
*Garden Fresh Restaurant Corp......................... 100 1,794
*Gart Sports Co....................................... 123 1,922
*Gasonics International, Inc.......................... 1,300 13,366
*Gehl Co.............................................. 500 9,219
*General Communications, Inc. Class A................. 3,700 22,142
</TABLE>
4
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*General Datacomm Industries, Inc..................... 1,300 $ 5,931
General Housewares Corp............................... 300 3,009
*General Semiconductor, Inc........................... 2,600 35,100
*General Surgical Innovations, Inc.................... 1,500 6,375
*Geneva Steel Co. Class A............................. 800 2,750
*Genicom Corp......................................... 500 4,016
*Genlyte Group, Inc................................... 1,100 29,150
*Gensym Corp.......................................... 500 2,977
*Genus, Inc........................................... 1,600 2,150
*Genzyme Corp. Tissue Repair.......................... 1,000 6,437
Geon Co............................................... 1,500 32,437
*Geoscience Corp...................................... 200 2,550
Gerber Scientific, Inc................................ 1,400 35,262
*Getty Petroleum Marketing, Inc....................... 900 5,287
*Giant Group, Ltd..................................... 400 2,725
Giant Industries, Inc................................. 1,000 18,812
*Gibraltar Packaging Group, Inc....................... 900 2,700
*Gibraltar Steel Corp................................. 500 10,891
*Gibson Greetings, Inc................................ 1,400 33,600
*Gish Biomedical, Inc................................. 1,000 3,687
Glatfelter (P.H.) Co.................................. 3,000 48,937
Gleason Corp.......................................... 200 5,912
*Glenayre Technologies, Inc........................... 4,900 75,184
*Global Industrial Technologies, Inc.................. 1,900 32,181
*Global Motorsport Group, Inc......................... 500 10,656
*Global Village Communication, Inc.................... 900 900
*Golden Books Family Entertainment, Inc............... 1,000 8,078
*Golden State Bancorp, Inc............................ 580 22,221
*Good Guys, Inc....................................... 1,200 15,300
*Gottschalks, Inc..................................... 600 4,987
*Government Technology Services, Inc.................. 600 3,000
*Gradco Systems, Inc.................................. 700 4,441
*Graham-Field Health Products, Inc.................... 1,730 10,164
*Grand Casinos, Inc................................... 3,300 57,956
Grand Premier Financial, Inc.......................... 669 11,206
Granite Construction, Inc............................. 1,300 36,725
Granite State Bankshares, Inc......................... 300 7,687
Green (A.P.) Industries, Inc.......................... 1,100 23,925
Greenbrier Companies, Inc............................. 1,300 23,400
*Greyhound Lines, Inc................................. 1,800 11,250
*Gryphon Holdings, Inc................................ 1,000 17,687
*Guest Supply, Inc.................................... 500 7,562
Guilford Mills, Inc................................... 1,800 48,600
*Gundle/SLT Environmental, Inc........................ 1,600 8,200
*HCIA, Inc............................................ 800 6,500
HF Financial Corp..................................... 200 7,150
*HMN Financial, Inc................................... 750 13,758
*HS Resources, Inc.................................... 1,000 14,437
HUBCO, Inc............................................ 330 11,622
*Hadco Corp........................................... 300 9,647
Haggar Corp........................................... 600 8,325
*Hampton Industries, Inc.............................. 440 2,915
*Handleman Co......................................... 2,900 35,525
*Harding Lawson Associates Group, Inc................. 400 3,962
Harleysville Group, Inc............................... 2,400 57,975
*Harry's Farmers Market, Inc. Class A................. 500 859
*Hartmarx Corp........................................ 2,800 22,050
*Harvey Entertainment Co.............................. 400 4,475
Harvey's Casino Resorts............................... 500 13,594
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Hathaway Corp........................................ 400 $ 1,000
*Hauser, Inc.......................................... 1,100 8,387
Haven Bancorp, Inc.................................... 1,000 26,750
Haverty Furniture Co., Inc............................ 1,700 37,400
*Health Management Systems, Inc....................... 1,200 13,350
*Healthcare Services Group, Inc....................... 1,500 21,469
*Healthcor Holdings................................... 500 969
*Heartland Wireless Communications, Inc............... 1,200 919
Heilig-Meyers Co...................................... 4,450 53,400
*Hein-Werner Corp..................................... 231 2,902
*Hello Direct, Inc.................................... 300 2,044
*High Plains Corp..................................... 1,600 4,200
*Highlands Insurance Group, Inc....................... 500 10,437
*Hoenig Group, Inc.................................... 500 3,641
Holly Corp............................................ 500 13,687
*Hollywood Casino Corp. Class A....................... 800 1,562
*Hollywood Entertainment Corp......................... 3,200 33,400
*Hollywood Park, Inc.................................. 1,000 12,937
Home Port Bancorp, Inc................................ 200 4,937
*Home State Holdings, Inc............................. 500 78
*Homebase, Inc........................................ 3,400 29,537
*Homestead Village, Inc............................... 1,200 18,000
Horizon Financial Corp................................ 1,230 22,063
Horton (D.R.), Inc.................................... 1,350 24,300
*Hospital Staffing Services, Inc...................... 300 122
*Housecall Medical Resources, Inc..................... 900 1,125
*Hovnanian Enterprises, Inc. Class A.................. 1,300 12,919
Huffy Corp............................................ 800 12,150
Hughes Supply, Inc.................................... 750 25,266
Hunt (J.B.) Transport Services, Inc................... 3,400 101,575
Huntco, Inc. Class A.................................. 300 3,787
*Hurco Companies, Inc................................. 1,000 8,656
*Hutchinson Technology, Inc........................... 1,600 40,100
*Hvide Marine, Inc. Class A........................... 500 7,547
*Hycor Biomedical, Inc................................ 600 1,144
*IA Corp. I........................................... 1,000 2,562
IBS Financial Corp.................................... 400 7,400
*ICF Kaiser International, Inc........................ 1,800 5,175
*ICU Medical, Inc..................................... 1,500 21,984
*IEC Electronics Corp................................. 1,300 9,466
*IHOP Corp............................................ 800 32,000
ISB Financial Corp. LA................................ 100 2,806
*ITEQ, Inc............................................ 744 8,835
*ITI Technologies, Inc................................ 200 5,912
*Ibah, Inc............................................ 3,600 19,012
ICO, Inc.............................................. 1,800 8,550
*Ikos Systems, Inc.................................... 1,000 5,844
*Imation Corp......................................... 3,100 56,381
*Immulogic Pharmaceutical Corp........................ 1,500 2,766
Imperial Holly Corp................................... 1,100 10,587
*In Focus Systems, Inc................................ 1,400 10,981
*In Home Health, Inc.................................. 900 970
*Inacom Corp.......................................... 800 25,950
*Indenet, Inc......................................... 1,000 2,094
*Inference Corp. Class A.............................. 1,500 5,906
*Infonautics Corp. Class A............................ 500 1,719
*Information Resources, Inc........................... 2,200 38,156
*Information Storage Devices, Inc..................... 1,300 7,637
Ingles Market, Inc. Class A........................... 400 4,975
*Innodata Corp........................................ 66 328
*Insituform Technologies, Inc. Class A................ 2,800 36,050
</TABLE>
5
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Inso Corp............................................ 1,000 $ 13,750
Insteel Industries, Inc............................... 700 5,031
Instron Corp.......................................... 1,000 20,000
*Insurance Auto Auctions, Inc......................... 1,000 13,375
*Integ, Inc........................................... 300 909
*Integrated Device Technology, Inc.................... 3,900 36,502
*Integrated Process Equipment Corp.................... 1,500 20,859
*Integrated Silicon Solution, Inc..................... 1,200 8,325
*Intelligent Systems Corp............................. 500 1,906
*Interface Systems, Inc............................... 400 1,225
Interface, Inc. Class A............................... 1,300 50,741
*Intergraph Corp...................................... 4,300 37,759
*Interlinq Software Corp.............................. 1,000 6,062
*Intermagnetics General Corp.......................... 1,000 10,125
International Aluminum Corp........................... 500 16,969
International Multifoods Corp......................... 1,500 44,625
*International Rectifier Corp......................... 4,000 42,250
*International Remote Imaging Systems, Inc............ 100 331
International Shipholding Corp........................ 400 6,600
*International Technology Corp........................ 850 8,872
*International Thoroughbred Breeders, Inc............. 800 2,800
*Interphase Corp...................................... 900 6,806
Interpool, Inc........................................ 1,950 28,884
Interstate Johnson Lane, Inc.......................... 200 5,825
*Intertan, Inc........................................ 900 5,456
Investors Financial Services Corp..................... 43 2,146
Isco, Inc............................................. 200 1,725
*Isolyser Co., Inc.................................... 4,100 9,609
*Iwerks Entertainment, Inc............................ 1,900 3,919
*J & J Snack Foods Corp............................... 1,800 35,212
J & L Specialty Steel, Inc............................ 3,200 22,400
*J. Alexander's Corp.................................. 300 1,481
*JPE, Inc............................................. 200 675
JSB Financial, Inc.................................... 900 52,312
*Jackpot Enterprises, Inc............................. 700 8,575
*Jaclyn, Inc.......................................... 200 1,162
*Jaco Electronics, Inc................................ 300 1,875
*Jacobson Stores, Inc................................. 500 7,031
*Jan Bell Marketing, Inc.............................. 2,200 11,275
*Jason, Inc........................................... 1,700 15,937
*Jean Philippe Fragrances, Inc........................ 500 4,156
John Alden Financial Corp............................. 2,000 44,250
*Johnson Worldwide Associates, Inc. Class A........... 1,500 19,125
Johnston Industries, Inc.............................. 600 3,131
*Johnstown American Industries, Inc................... 1,300 23,562
*Jos. A. Bank Clothiers, Inc.......................... 1,000 7,500
*Jumbosports, Inc..................................... 1,700 2,231
Justin Industries, Inc................................ 2,300 36,512
K Swiss, Inc. Class A................................. 300 5,906
K2, Inc............................................... 1,200 24,000
KCS Energy, Inc....................................... 2,100 24,937
*KLLM Transport Services, Inc......................... 500 6,281
*Kaiser Aluminum Corp................................. 2,700 28,012
*Kaiser Ventures, Inc................................. 1,600 17,900
Kaman Corp. Class A................................... 1,800 33,019
Katy Industries, Inc.................................. 800 14,800
Kellwood Co........................................... 1,800 59,513
*Key Production Co., Inc.............................. 800 9,750
*Key Tronic Corp...................................... 1,000 2,969
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Keystone Consolidated Industries, Inc................ 598 $ 7,344
Kimball International, Inc. Class B................... 2,000 48,750
*Kimmins Corp......................................... 300 1,050
*Kinark Corp.......................................... 100 338
*Kinnard Investment, Inc.............................. 300 1,931
Klamath First Bancorp, Inc............................ 1,300 25,919
Knape & Vogt Manufacturing Co......................... 500 11,375
*Komag, Inc........................................... 4,300 42,328
*Koss Corp............................................ 1,000 10,000
*Kulicke & Soffa Industries, Inc...................... 1,100 18,975
*LCA-Vision, Inc...................................... 143 492
*LTX Corp............................................. 3,900 15,052
Lab Holdings, Inc..................................... 300 6,563
*Laboratory Corp. of America Holdings, Inc............ 1,500 3,188
*Laclede Steel Co..................................... 200 838
*Ladd Furniture, Inc.................................. 1,200 31,500
*Laidlaw Environmental Services, Inc.................. 5,200 20,150
*Lamson & Sessions Co................................. 1,500 10,313
*Landair Services, Inc................................ 300 9,338
Landamerica Financial Group, Inc...................... 800 38,200
*Laserscope........................................... 1,600 4,350
*LaserSight Corporation............................... 1,300 5,911
*Layne Christensen Co................................. 1,000 13,875
*Lazare Kaplan International, Inc..................... 1,000 11,625
*Leap Group, Inc...................................... 1,000 2,797
*Learning Co., Inc.................................... 3,400 96,900
*Lechters, Inc........................................ 2,200 12,788
*Lexford Residential Trust............................ 400 8,550
*Liberty Technologies, Inc............................ 500 1,594
Life USA Holdings, Inc................................ 2,000 32,313
Lifetime Hoan Corp.................................... 800 8,900
Lillian Vernon Corp................................... 800 13,900
Lindberg Corp......................................... 400 9,150
*Liuski International, Inc............................ 400 325
*Lodgenet Entertainment Corp.......................... 2,000 21,875
*Loehmanns, Inc....................................... 200 1,113
*Logic Devices, Inc................................... 700 2,067
Lomak Petroleum, Inc.................................. 1,500 18,188
*Lone Star Steakhouse Saloon.......................... 2,600 43,956
*Loronix Information Systems, Inc..................... 200 525
*Louis Dreyfus Natural Gas Corp....................... 450 7,875
Luby's Cafeterias, Inc................................ 400 7,400
Lufkin Industries, Inc................................ 600 20,325
Lukens, Inc. DE....................................... 1,300 41,681
*Lumisy, Inc.......................................... 100 419
*Luria (L.) & Son, Inc................................ 100 1
*M.H. Meyerson & Co., Inc............................. 200 350
MDC Holdings, Inc..................................... 1,400 21,175
*MEMC Electronic Materials, Inc....................... 1,200 16,275
MI Schottenstein Homes, Inc........................... 800 16,100
*MIM Corp............................................. 200 894
*MK Gold Corp......................................... 1,700 1,673
MMI Companies, Inc.................................... 1,000 22,125
*MRS Technology, Inc.................................. 200 309
*MS Carriers, Inc..................................... 2,100 62,606
MTS Systems Corp...................................... 1,600 29,850
*Main Street & Main, Inc.............................. 1,000 3,469
*Manhattan Bagel Co., Inc............................. 300 347
*Mapinfo Corp......................................... 100 1,188
Marcus Corp........................................... 1,500 26,531
</TABLE>
6
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Mariner Health Group, Inc............................ 2,400 $ 35,850
*Marisa Christina, Inc................................ 600 1,819
Maritrans, Inc........................................ 1,000 9,000
*Marker International................................. 2,300 8,302
*Marlton Technologies, Inc............................ 200 1,325
Marsh Supermarkets, Inc. Class A...................... 300 4,200
Marsh Supermarkets, Inc. Class B...................... 400 5,700
Marshall & Isley Corp................................. 300 16,172
*Marshall Industries.................................. 1,100 34,031
Maryland Federal Bancorp.............................. 630 24,413
*Material Sciences Corp............................... 800 8,050
*Matlack Systems, Inc................................. 200 1,700
*Matria Healthcare, Inc............................... 3,400 13,759
*Matrix Pharmaceutical, Inc........................... 1,700 8,394
*Matrix Service Co.................................... 1,800 14,175
*Mattson Technology, Inc.............................. 1,200 7,931
*Maverick Tube Corp................................... 1,200 18,225
*Maxco, Inc........................................... 700 6,256
*Maxicare Health Plans, Inc........................... 500 4,750
*Maxxam, Inc.......................................... 500 29,469
*Maxxim Medical, Inc.................................. 700 16,363
Medalliance, Inc. Escrow.............................. 800 0
*Medaphis Corp........................................ 6,800 50,788
*Medcath, Inc......................................... 1,500 26,813
Medford Bancorp, Inc.................................. 300 12,656
*Media 100, Inc....................................... 700 2,581
*Medical Assurance, Inc............................... 2,100 58,013
*Medical Graphics Corp................................ 200 913
*Medical Resources, Inc............................... 1,800 5,006
*Medicore, Inc........................................ 500 1,391
*Mego Mortgage Corp................................... 1,500 2,836
Merchants Bancorp, Inc................................ 400 13,425
Mercury Air Group, Inc................................ 400 2,975
*Meridian Data, Inc................................... 1,000 5,188
Meridian Insurance Group, Inc......................... 600 11,625
*Merisel, Inc......................................... 2,500 7,461
*Merix Corp........................................... 500 5,844
*Mesa Air Group, Inc.................................. 3,800 30,400
*Mesaba Holdings, Inc................................. 1,050 22,772
*Metal Management, Inc................................ 1,000 10,063
*Metatec Corp. Class A................................ 1,100 6,050
*Metra Biosystems, Inc................................ 2,000 4,813
*Metrocall, Inc....................................... 5,080 30,639
*Michael Anthony Jewelers, Inc........................ 500 1,219
Michael Foods, Inc.................................... 1,700 47,334
*Michaels Stores, Inc................................. 3,400 101,681
*Micro Linear Corp.................................... 1,000 4,656
*Micro Warehouse, Inc................................. 3,600 63,000
*Microage, Inc........................................ 1,200 16,163
*Micronics Computers, Inc............................. 1,600 3,775
*Microtest, Inc....................................... 1,700 8,288
*Microtouch Systems, Inc.............................. 1,000 15,906
*Microwave Power Dynamics, Inc........................ 400 2,688
Mid America Banccorp.................................. 873 29,682
*Midisoft Corp........................................ 300 150
*Midwest Grain Products, Inc.......................... 600 7,988
Mikasa, Inc........................................... 1,200 14,775
*Mikohn Gaming Corp................................... 1,800 11,813
*Miltope Group, Inc................................... 500 1,391
Mine Safety Appliances Co............................. 500 35,891
Mississippi Chemical Corp............................. 2,800 46,900
*Molten Metal Technology, Inc......................... 1,600 328
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Monarch Casino and Resort, Inc....................... 500 $ 3,063
Monarch Machine Tool Co............................... 300 2,625
*Monro Muffler Brake, Inc............................. 600 9,863
*Moog, Inc. Class A................................... 500 19,563
*Moore Medical Corp................................... 100 1,313
Moore Products Co..................................... 100 3,288
*Morgan Products, Ltd................................. 700 3,763
*Morrison Knudsen Corp................................ 3,900 46,313
*Morrow Snowboards, Inc............................... 100 159
*Mother's Work, Inc................................... 200 1,925
Movado Group, Inc..................................... 937 27,407
*Movie Gallery, Inc................................... 2,100 14,831
*Multiple Zones International, Inc.................... 500 1,672
*Musicland Stores Corp................................ 2,900 41,869
*Mutual Savings Bank FSB Bay City, MI................. 500 6,094
*Mylex Corp........................................... 1,500 10,453
*N & F Worldwide Corp................................. 1,500 14,625
*NABI, Inc............................................ 2,900 10,422
NBT Bancorp........................................... 809 26,217
NCH Corp.............................................. 200 12,738
*NCS Healthcare, Inc.................................. 600 17,213
*NPS Pharmaceuticals, Inc............................. 1,000 8,125
*NS Group, Inc........................................ 1,200 15,300
*NSA International, Inc............................... 200 325
NSC Corp.............................................. 1,269 2,597
NYMAGIC, Inc.......................................... 1,000 29,250
*Napco Security Systems, Inc.......................... 500 2,656
Nash Finch Co......................................... 900 15,272
*Nashua Corp.......................................... 500 7,906
*Nathans Famous, Inc.................................. 400 1,538
*National Auto Credit, Inc............................ 2,630 3,288
*National City Bancorp................................ 798 26,803
*National Discount Brokers Group, Inc................. 1,000 11,250
*National Energy Group, Inc........................... 2,700 4,683
*National Home Centers, Inc........................... 500 844
*National Home Health Care Corp....................... 206 901
*National Media Corp.................................. 1,600 2,100
National Presto Industries, Inc....................... 500 20,219
*National Processing, Inc............................. 600 5,925
National Steel Corp. Class B.......................... 2,800 44,100
National Technical Systems, Inc....................... 100 772
*National Techteam, Inc............................... 1,200 10,838
*Natural Wonders, Inc................................. 700 2,855
Nelson (Thomas), Inc.................................. 300 3,881
*Netmanage, Inc....................................... 3,600 11,869
*Netrix Corp.......................................... 1,300 3,656
*Network Computing Devices, Inc....................... 1,300 11,131
*Network Equipment Technologies, Inc.................. 1,700 26,669
*Network Peripherals, Inc............................. 800 3,475
*Neurocrine Biosciences, Inc.......................... 500 4,219
*Neuromedical Systems, Inc............................ 1,000 1,594
*New Brunswick Scientific Co., Inc.................... 380 3,646
*New Horizons Worldwide, Inc.......................... 600 10,575
New Jersey Resources Corp............................. 1,500 53,906
Newmil Bancorp, Inc................................... 200 2,725
Newport Corp.......................................... 500 10,906
*Nexthealth, Inc...................................... 700 1,356
*Nobel Education Dynamics, Inc........................ 200 1,606
*Noodle Kidoodle, Inc................................. 1,700 9,934
*Nord Resources Corp.................................. 1,900 4,156
</TABLE>
7
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Norland Medical System, Inc.......................... 100 $ 219
*Nortek, Inc.......................................... 1,100 33,825
*Northwestern Steel & Wire Co......................... 3,900 17,733
*Norton McNaughton, Inc............................... 800 5,350
*Novacare, Inc........................................ 5,600 61,600
*Nu Horizons Electronics Corp......................... 400 2,475
*Nu-Kote Holding, Inc. Class A........................ 2,000 844
*Nuevo Energy Co...................................... 1,400 45,500
*Nview Corp........................................... 400 563
O'Sullivan Corp....................................... 1,600 15,600
*O'Sullivan Industries Holdings, Inc.................. 1,100 16,500
*O.I. Corp............................................ 400 1,888
*ODS Networks, Inc.................................... 1,300 8,978
*OHM Corp............................................. 1,900 25,888
*OMI Corp............................................. 3,600 33,075
*Oak Technology, Inc.................................. 3,600 19,631
*Offshore Logistics, Inc.............................. 2,800 57,225
Oil-Dri Corp. of America.............................. 100 1,500
*Old America Stores, Inc.............................. 400 0
*Old Dominion Freight Lines, Inc...................... 1,000 16,688
*Olympic Steel, Inc................................... 1,700 23,959
*One Price Clothing Stores, Inc....................... 1,900 7,719
Oneida, Ltd........................................... 1,350 37,716
*Oneita Industries, Inc............................... 600 390
*Onyx Acceptance Corp................................. 100 1,016
*Opinion Research Corp................................ 200 1,488
*Opta Food Ingredients, Inc........................... 1,300 7,353
*Opti, Inc............................................ 1,200 7,838
Optical Coating Laboratory, Inc....................... 1,000 16,813
*Optika Imaging Systems, Inc.......................... 400 1,175
*Option Care, Inc..................................... 800 2,675
*Orange Co., Inc...................................... 700 4,638
*Oravax, Inc.......................................... 300 370
*Orbital Sciences Corp................................ 2,400 98,250
Oregon Steel Mills, Inc............................... 2,700 65,306
*Oroamerica, Inc...................................... 700 7,634
*Orthologic Corp...................................... 2,000 10,563
Oshkosh Truck Corp. Class B........................... 1,700 39,631
*Oshman's Sporting Goods, Inc......................... 500 2,938
*Ostex International, Inc............................. 2,000 5,063
*Outlook Group Corp................................... 400 2,400
Overseas Shipholding Group, Inc....................... 1,800 34,875
Owosso Corp........................................... 100 706
Oxford Industries, Inc................................ 700 24,413
*PC Service Source, Inc............................... 1,000 4,875
*PIA Merchandising Services, Inc...................... 200 1,338
*PICO Holdings, Inc................................... 2,900 12,959
PLM International, Inc................................ 1,000 8,625
*PPT Vision, Inc...................................... 300 2,063
PS Group Holdings, Inc................................ 500 6,438
PXRE Corp............................................. 1,511 47,597
Pancho's Mexican Buffet, Inc.......................... 400 675
*Par Technology Corp.................................. 1,000 6,563
*Paragon Trade Brands, Inc............................ 500 2,375
Park Electrochemical Corp............................. 1,300 30,875
*Park-Ohio Industries, Inc............................ 1,700 32,088
*Parker Drilling Co................................... 1,000 8,438
*Parlux Fragrances, Inc............................... 2,400 4,875
Patrick Industries, Inc............................... 1,000 15,813
*Paul Harris Stores, Inc.............................. 500 6,438
*Paxson Communications Corp........................... 1,500 17,719
*Payless Cashways, Inc................................ 34 110
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Paymentech, Inc...................................... 2,100 $ 35,700
Penford Corp.......................................... 400 12,500
*Penn Traffic Co...................................... 200 813
*Penn Treaty American Corp............................ 600 18,225
Penn Virginia Corp.................................... 400 11,300
Penncorp Financial Group, Inc......................... 1,100 24,338
Pennfed Financial Services, Inc....................... 1,000 17,438
*Peoples Choice TV Corp............................... 1,000 1,563
*Peoples Telephone Co., Inc........................... 1,400 3,763
*Perfumania, Inc...................................... 1,600 3,950
*Perini Corp.......................................... 400 3,550
*Periphonics Corp..................................... 200 2,038
*Petco Animal Supplies, Inc........................... 500 9,750
*Pete's Brewing Co.................................... 600 3,497
*Petrocorp, Inc....................................... 1,700 13,813
*Phar-Mor, Inc........................................ 1,100 10,519
*Pharmaceutical Resources, Inc........................ 1,600 7,300
*Pharmchem Laboratories, Inc.......................... 500 1,250
*Pharmerica, Inc...................................... 3,200 38,900
*Philip Services Corp................................. 607 2,352
Phillips-Van Heusen Corp.............................. 2,500 32,500
Phoenix Investment Partners, Ltd...................... 3,800 35,625
*Photon Dynamics, Inc................................. 400 1,750
*Phymatrix Corp....................................... 1,100 10,364
*Physician Reliance Network, Inc...................... 4,200 46,331
*Physicians Resource Group, Inc....................... 2,200 11,275
*Physiometrix, Inc.................................... 200 338
Piccadilly Cafeterias, Inc............................ 900 11,588
*Picturetel Corp...................................... 3,300 31,144
Pilgrim Pride Corp.................................... 1,600 27,400
Pinnacle Bancshares, Inc.............................. 200 3,188
*Pinnacle Systems, Inc................................ 200 6,725
Pioneer Standard Electronics, Inc..................... 1,400 17,456
Pittston Co. Burlington Group......................... 1,700 29,856
*Planar Systems, Inc.................................. 1,800 21,825
*Players International, Inc........................... 5,000 27,031
*Pollo Tropical, Inc.................................. 1,000 9,969
*Polymedica Industries, Inc........................... 500 4,313
*Polymer Group, Inc................................... 1,500 17,906
*Pool Energy Services Co.............................. 1,200 24,488
Pope & Talbot, Inc.................................... 1,100 14,919
Portec, Inc........................................... 500 7,969
*Powercerv Corp....................................... 1,300 6,378
*Powerhouse Technologies, Inc......................... 900 8,691
*Powertel, Inc........................................ 2,500 45,469
*Precision Response, Corp............................. 500 3,430
Presidential Life Corp................................ 2,900 63,981
*Price Communications Corp............................ 976 10,614
Price Enterprises, Inc................................ 1,800 32,119
*Pricesmart, Inc...................................... 450 7,003
Prime Bancorp, Inc.................................... 330 15,015
Primesource Corp...................................... 500 4,531
*Procyte Corp......................................... 1,100 1,323
*Proffitts, Inc....................................... 1,400 54,950
*Progress Software Corp............................... 500 16,172
Progressive Bank, Inc................................. 300 12,450
*Proteon, Inc......................................... 1,700 2,125
*Protocol Systems, Inc................................ 1,400 13,475
*Provident American Corp.............................. 400 2,538
*Proxim, Inc.......................................... 900 11,869
*Pure World, Inc...................................... 200 2,900
*Pyramid Breweries, Inc............................... 300 919
</TABLE>
8
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*QMS, Inc............................................. 900 $ 3,994
*Quad Systems Corp.................................... 1,200 4,613
Quaker Chemical Corp.................................. 500 10,406
*Quaker City Bancorp, Inc............................. 500 11,344
*Quaker Fabric Corp................................... 700 18,725
Quaker State Corp..................................... 2,700 45,731
*Quality Dining, Inc.................................. 1,400 5,709
*Quality Semiconductor, Inc........................... 200 628
*Quality Systems, Inc................................. 1,000 8,625
Quanex Corp........................................... 1,600 49,700
*Quest Medical, Inc................................... 200 1,788
*Quintel Entertainment, Inc........................... 1,000 5,438
Quixote Corp.......................................... 1,000 12,938
*R & B, Inc........................................... 1,100 14,300
RLI Corp.............................................. 600 31,275
*RMH Teleservices, Inc................................ 200 747
RPC, Inc.............................................. 2,400 31,650
*RTW, Inc............................................. 1,000 7,938
*Rag Shops, Inc....................................... 200 725
*Railamerica, Inc..................................... 500 3,219
*Railtex, Inc......................................... 1,000 15,469
*Rainforest Cafe, Inc................................. 700 9,734
*Rally's Hamburgers, Inc.............................. 1,300 2,783
*Ramsay Health Care, Inc.............................. 700 1,356
*Rare Hospitality International, Inc.................. 1,800 22,444
*Raster Graphics, Inc................................. 200 213
*Read-Rite Corp....................................... 3,200 28,100
*Reading Entertainment, Inc........................... 400 5,375
*Recoton Corp......................................... 800 25,925
*Redwood Empire Bancorp............................... 200 4,075
*Refac Technology Development Corp.................... 300 3,188
*Regeneron Pharmaceuticals, Inc....................... 2,100 19,688
*Relm Wireless Corp................................... 400 1,563
*Rentrak Corp......................................... 100 589
*Republic Automotive Parts, Inc....................... 300 6,122
*Republic Engineered Steels, Inc...................... 100 334
Resource Bancshares Mortgage Group, Inc............... 1,630 28,474
*Response Oncology, Inc............................... 873 5,538
*Rex Stores Corp...................................... 500 6,719
*Riddell Sports, Inc.................................. 1,700 8,819
*Ride, Inc............................................ 2,000 3,625
Riggs National Corp................................... 2,000 54,875
*Right Management Consultants, Inc.................... 300 4,106
*Rightchoice Managed Care, Inc. Class A............... 300 3,469
*Rio Hotel & Casino, Inc.............................. 700 15,225
Rival Co.............................................. 600 8,756
Roanoke Electric Steel Corp........................... 1,800 36,675
*Roberds, Inc......................................... 500 1,406
*Roberts Pharmaceutical Corp.......................... 2,100 34,650
*Rock Bottom Restaurants, Inc......................... 1,600 10,100
Rock-Tenn Co. Class A................................. 1,400 20,563
*Rocky Shoes & Boots, Inc............................. 100 1,566
*Rodman & Renshaw Capital Group, Inc.................. 600 0
Rollins Truck Leasing Corp............................ 5,850 70,200
*Rottlund, Inc........................................ 500 2,000
Rouge Industries, Inc. Class A........................ 900 11,363
Ruby Tuesday, Inc..................................... 2,000 32,125
*Ryans Family Steak Houses, Inc....................... 4,500 45,984
Ryland Group, Inc..................................... 800 16,050
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*S&K Famous Brands, Inc............................... 400 $ 7,250
*S3, Inc.............................................. 4,200 27,431
*SED International Holdings, Inc...................... 1,000 8,781
*SEMX Corp............................................ 1,000 5,672
*SLH Corp............................................. 450 10,505
*SSE Telecom, Inc..................................... 500 2,078
*STM Wireless, Inc. Class A........................... 200 2,138
*SYNC Research, Inc................................... 1,100 4,091
*Safety 1st, Inc...................................... 200 1,500
*Saint Paul Companies, Inc............................ 366 16,241
*Salant Corp. DE...................................... 1,600 1,000
*San Filippo (John B.) & Son, Inc..................... 800 5,200
Sanderson Farms, Inc.................................. 1,300 15,356
*Sands Regent Casino Hotel............................ 400 875
*Santa Cruz Operation, Inc............................ 2,400 12,075
*Saucony, Inc. Class B................................ 300 1,613
*Scholastic Corp...................................... 1,100 43,622
*Schuler Homes, Inc................................... 1,800 14,963
*Schulman (A.), Inc................................... 2,100 42,000
*Sealright Co., Inc................................... 1,000 13,500
*Secom General Corp................................... 400 675
*Seitel, Inc.......................................... 1,000 17,000
Selective Insurance Group, Inc........................ 2,000 52,375
*Sequa Corp. Class A.................................. 1,000 69,000
*Sequent Computer Systems, Inc........................ 3,100 51,634
*Service Merchandise Co., Inc......................... 8,800 18,700
*Servico, Inc......................................... 500 8,500
*Sharper Image Corp................................... 500 3,094
*Sheldahl, Inc........................................ 1,000 9,563
*Shiloh Industries, Inc............................... 1,100 23,547
*Shoe Carnival, Inc................................... 800 11,150
*Sholodge, Inc........................................ 600 5,588
*Shoney's, Inc........................................ 2,258 10,020
*Shopko Stores, Inc................................... 2,700 94,163
Showboat, Inc......................................... 1,300 39,813
Sifco Industries, Inc................................. 400 9,750
*Sight Resource Corp.................................. 1,700 6,853
*Signal Technology Corp............................... 600 3,375
*Silicon Valley Group, Inc............................ 2,800 51,013
Simmons First National Corp. Class A.................. 200 8,938
Simpson Industries, Inc............................... 1,900 26,541
*Sizzler International, Inc........................... 2,400 6,600
Skyline Corp.......................................... 900 26,213
Skywest, Inc.......................................... 1,100 47,781
Smart & Final Food, Inc............................... 1,000 18,750
*Smartflex Systems, Inc............................... 1,000 8,750
Smith (A.O.) Corp..................................... 800 40,400
Smith (A.O.) Corp. Convertible Class A................ 200 10,100
*Sodak Gaming, Inc.................................... 1,900 12,053
*Softech, Inc......................................... 300 1,838
*Software Spectrum, Inc............................... 1,000 18,063
*Sonosight, Inc....................................... 366 2,425
South Jersey Industries, Inc.......................... 500 13,656
*Southern Energy Homes, Inc........................... 1,200 11,925
*Southwall Technologies, Inc.......................... 500 2,813
Southwest Bancshares, Inc. DE......................... 300 9,563
Southwest Securities Group, Inc....................... 220 5,555
Southwestern Energy Co................................ 2,200 23,238
*Spacelabs Medical, Inc............................... 1,000 16,469
*Spaghetti Warehouse, Inc............................. 500 3,438
*Spartan Motors, Inc.................................. 1,000 7,406
</TABLE>
9
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Sparton Corp......................................... 500 $ 4,250
*Spec's Music, Inc.................................... 400 1,113
*Specialty Chemical Resources, Inc.................... 300 263
*Spectran Corp........................................ 500 4,063
*Speizman Industries, Inc............................. 300 1,688
*Spiegel, Inc. Class A Non-Voting..................... 1,500 8,016
*Sport Chalet, Inc.................................... 600 3,244
*Sport Supply Group, Inc.............................. 300 2,831
*Sports Authority, Inc................................ 1,300 19,581
*Sports Club Co., Inc................................. 600 4,275
Springs Industries, Inc. Class A...................... 300 16,838
St. Paul Bancorp, Inc................................. 3,000 75,563
*Stac, Inc............................................ 100 531
*Staff Builders, Inc. Class A......................... 1,700 2,630
*Standard Commercial Corp............................. 856 9,523
*Standard Management Corp............................. 700 5,206
*Standard Microsystems Corp........................... 1,600 17,750
Standard Motor Products, Inc. Class A................. 1,100 24,200
Standard Pacific Corp. DE............................. 2,600 45,013
Standard Products Co.................................. 1,400 41,125
*Stanley Furniture, Inc............................... 400 8,125
*Starcraft Corp....................................... 200 450
Starrett (L.S.) Co. Class A........................... 200 7,738
*Starter Corp......................................... 2,300 7,763
*Station Casinos, Inc................................. 2,600 38,675
*Steel of West Virginia, Inc.......................... 600 6,525
Steel Technologies, Inc............................... 1,500 16,875
Stepan Co............................................. 500 15,813
Stephan Co............................................ 200 2,550
Sterling Bancorp...................................... 500 13,688
*Sterling Financial Corp. WA.......................... 600 15,750
Stewart & Stevenson Services, Inc..................... 1,900 39,366
Stewart Information Services Corp..................... 500 19,188
Stifel Financial Corp................................. 525 8,203
*Stimsonite Corp...................................... 1,200 9,188
Stone & Webster, Inc.................................. 800 32,400
*Stormedia, Inc. Class A.............................. 1,000 3,281
*Strategic Distribution, Inc.......................... 1,500 8,109
*Stratus Properties, Inc.............................. 1,300 7,475
Strawbridge and Clothier Liquidating Trust............ 900 586
*Strouds, Inc......................................... 1,100 3,644
*Stuart Entertainment, Inc............................ 600 1,013
*Suburban Lodges of America, Inc...................... 1,200 19,275
*Sulcus Computer Corp................................. 1,800 4,725
Sumitomo Bank of California........................... 1,300 48,831
*Summa Four, Inc...................................... 500 5,969
*Summit Technology, Inc............................... 500 2,695
*Summitt Medical Systems, Inc......................... 1,300 4,631
*Sun Television and Appliances, Inc................... 2,400 4,875
*Sunrise Medical, Inc................................. 2,000 31,000
*Sunrise Resources, Inc............................... 1,400 4,638
Superior Surgical Manufacturing Co., Inc.............. 800 12,600
*Suprema Specialties, Inc............................. 1,200 4,988
*Supreme International Corp........................... 1,000 16,875
Susquehanna Bancshares, Inc........................... 1,650 61,566
*Swift Energy Corp.................................... 1,200 21,675
*Swiss Army Brands, Inc............................... 1,700 19,391
*Sybase, Inc.......................................... 2,200 17,531
*Sylvan, Inc.......................................... 400 5,950
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Symmetricom, Inc..................................... 1,100 $ 6,978
*Syms Corp............................................ 1,500 22,313
*Synbiotics Corp...................................... 600 1,894
*Syncor International Corp. DE........................ 900 15,750
*Syntellect, Inc...................................... 1,300 3,372
*Synthetic Industries, Inc............................ 200 4,081
*Syquest Technology, Inc.............................. 900 1,617
*TBC Corp............................................. 2,600 21,369
TCBY Enterprises, Inc................................. 2,200 21,313
*TCSI Corp............................................ 1,800 9,338
*TII Industries, Inc.................................. 1,200 5,175
TJ International, Inc................................. 1,400 40,556
TR Financial Corp..................................... 1,000 44,719
*TRC Companies, Inc................................... 300 1,500
*TRM Copy Centers Corp................................ 1,000 12,938
Tab Products Co. DE................................... 400 5,850
*Taco Cabana, Inc..................................... 2,500 15,859
Talbots, Inc.......................................... 2,300 65,694
*Tandy Brand Accessories, Inc......................... 500 8,813
*Tandy Crafts, Inc.................................... 1,000 4,750
*Tech-Sym Corp........................................ 300 8,681
Technology Research Corp.............................. 300 633
*Tegal Corp........................................... 1,200 4,969
*Tei, Inc............................................. 1,200 2,588
*Telco Systems, Inc................................... 1,000 9,875
Telxon Corp........................................... 500 16,594
Terra Industries, Inc................................. 1,000 10,125
*Tesoro Petroleum Corp................................ 2,100 40,556
*Tesseract Group, Inc................................. 1,000 5,250
Texas Industries, Inc................................. 1,800 106,875
*Texas Micro, Inc..................................... 1,000 3,938
*Thermo Power Corp.................................... 1,000 11,375
Thermo Remediation, Inc............................... 900 4,950
*Thermo Sentron, Inc.................................. 500 6,281
*Thermo Terratech, Inc................................ 500 2,375
*Thermo Voltek Corp................................... 1,000 7,000
Thomas Industries, Inc................................ 450 11,531
Thomaston Mills, Inc.................................. 400 3,100
*Thorn Apple Valley, Inc.............................. 1,500 23,625
*Tipperary Corp....................................... 1,000 3,625
*Titan Corp........................................... 1,546 9,856
Titan International, Inc.............................. 1,200 23,325
Toastmaster, Inc...................................... 600 3,675
*Todd Shipyards Corp.................................. 800 5,150
*Topps, Inc........................................... 3,800 13,003
*Tower Air, Inc....................................... 1,100 4,727
*Trans World Airlines, Inc............................ 3,000 31,125
*Trans World Entertainment Corp....................... 1,600 57,650
*Transfinancial Holdings, Inc......................... 300 2,700
Transtechnology Corp.................................. 500 13,500
*Transworld Healthcare, Inc........................... 1,000 6,438
*Travel Ports of America, Inc......................... 228 762
Treadco, Inc.......................................... 500 4,344
*Tremont Corp. DE..................................... 600 33,750
*Trend-Lines, Inc. Class A............................ 200 1,075
*Trident Microsystems, Inc............................ 800 5,625
*Tridex Corp.......................................... 300 2,063
Trigen Energy Corp.................................... 400 5,550
Trion, Inc............................................ 100 588
*Tripos, Inc.......................................... 100 1,113
*Trism, Inc........................................... 500 1,203
*Truevision, Inc...................................... 1,300 2,681
</TABLE>
10
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Trump Hotels & Casino Resorts, Inc................... 2,000 $ 17,125
*Tseng Laboratories, Inc.............................. 1,600 3,600
*Tultex Corp.......................................... 2,500 7,500
*Turner Corp.......................................... 300 8,063
Twin Disc, Inc........................................ 200 6,400
Tyler Corp............................................ 1,700 15,938
Tyson Foods, Inc. Class A............................. 900 19,013
U.S. Bancorp, Inc..................................... 500 40,031
*U.S. Diagnostic, Inc................................. 2,500 11,211
*URS Corp............................................. 719 11,953
*US Can Corp.......................................... 1,100 18,631
*US Foodservice, Inc.................................. 697 23,088
*Ugly Duckling Corp................................... 1,000 8,781
*Ultimate Electronics, Inc............................ 300 994
*Ultradata Corp....................................... 100 531
*Ultrafem, Inc........................................ 1,000 70
*Ultrak, Inc.......................................... 1,400 13,694
*Ultratech Stepper, Inc............................... 1,700 34,478
*Uni-Marts, Inc....................................... 500 1,813
Unico American Corp................................... 500 7,781
Unifirst Corp......................................... 1,100 28,325
*Unimark Group, Inc................................... 1,000 4,875
*Union Acceptance Corp. Class A....................... 500 3,656
*Unique Casual Restaurants, Inc....................... 500 2,984
*Uniroyal Technology Corp............................. 2,100 19,031
*Unit Corp............................................ 200 1,563
*Unit Instruments, Inc................................ 300 1,950
*United American Healthcare Corp.,.................... 700 700
United Companies Financial Corp....................... 2,300 42,263
United Industrial Corp................................ 1,400 16,800
*United Retail Group, Inc............................. 1,100 12,169
*United States Home Corp.............................. 1,000 40,438
United Wisconsin Services, Inc........................ 1,800 55,800
*Unitrode Corp........................................ 500 6,531
*Universal Electronics, Inc........................... 300 3,019
*Universal International, Inc......................... 400 913
*Universal Standard Medical Labs, Inc................. 500 1,063
*Uno Restaurant Corp.................................. 600 4,425
*Uranuim Resources, Inc............................... 1,900 4,898
*Urocor, Inc.......................................... 1,100 8,113
*Utilx Corp........................................... 800 4,050
*V Band Systems, Inc.................................. 500 172
*VTEL Corp............................................ 1,600 9,250
*Vallen Corp.......................................... 1,000 20,688
*Value City Department Stores, Inc.................... 2,600 46,313
Value Line, Inc....................................... 600 26,175
*Valuevision International, Inc. Class A.............. 2,700 10,884
*Vans, Inc............................................ 500 4,953
*Variflex, Inc........................................ 1,200 6,563
Varlen Corp........................................... 1,665 56,506
*Vaughn Communications, Inc........................... 100 906
*Vectra Technologies, Inc............................. 500 20
*Venture Stores, Inc.................................. 1,500 199
*Verity, Inc.......................................... 1,500 11,531
Vermont Financial Services Corp....................... 200 5,669
*Vertex Communications Corp........................... 200 4,350
*Veterinary Centers of America, Inc................... 1,500 28,078
*Vicorp Restaurants, Inc.............................. 800 12,300
*Video Display Corp................................... 300 3,263
*Video Services Corp.................................. 500 1,781
*Video Update, Inc.................................... 2,175 3,908
*Videonics, Inc....................................... 200 550
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Virco Manufacturing Corp.............................. 900 $ 23,963
*Virtualfund.Com, Inc................................. 900 3,853
*Vista Medical Technologies, Inc...................... 500 2,734
Vital Signs, Inc...................................... 700 12,359
*Vitalink Pharmacy Services, Inc...................... 2,700 58,556
*WFS Financial, Inc................................... 1,800 15,469
*WHX Corp............................................. 2,200 30,250
*WLR Foods, Inc....................................... 1,314 9,362
*WPI Group, Inc....................................... 1,000 7,594
Walbro Corp........................................... 1,600 16,500
*Wall Data, Inc....................................... 600 7,781
*Wandel & Goltermann Technologies, Inc................ 100 1,500
Warren Bancorp, Inc................................... 600 7,500
*Washington Homes, Inc................................ 700 3,500
Washington Savings Bank FSB Waldorf, MD............... 400 2,850
Watkins-Johnson Co.................................... 500 12,594
Watts Industries, Inc. Class A........................ 1,600 37,300
Webb (Del) Corp....................................... 1,600 38,800
Webster Financial Corp................................ 504 16,868
*Weirton Steel Corp................................... 3,600 14,625
Wellman, Inc.......................................... 3,500 84,219
*Wells-Gardner Electronics Corp....................... 200 1,013
Wesbanco, Inc......................................... 700 18,025
*West Coast Entertainment Corp........................ 200 381
West, Inc............................................. 1,300 38,350
Westco Bancorp, Inc................................... 300 9,094
Westcorp, Inc......................................... 1,800 21,825
Westerfed Financial Corp.............................. 500 12,313
*Western Beef, Inc.................................... 500 4,125
*Weston (Roy F.), Inc. Class A........................ 600 2,288
*White Pine Software, Inc............................. 700 1,728
*Whittaker Corp....................................... 700 9,975
*Wickes Lumber Co..................................... 1,200 6,825
*Williams Clayton Energy, Inc......................... 700 7,394
*Wilshire Oil Co. of Texas............................ 515 3,154
Windmere Corp......................................... 1,400 44,363
Winnebago Industries, Inc............................. 1,800 20,138
Wiser Oil Co.......................................... 800 8,350
Wolohan Lumber Co..................................... 600 7,500
*Wolverine Tube, Inc.................................. 400 14,600
*Workgroup Technology Corp............................ 900 3,431
*Worldtex, Inc........................................ 1,200 8,100
*Xetel Corp........................................... 1,300 5,769
*Xicor, Inc........................................... 1,600 3,450
Xtra Corp............................................. 300 15,750
Yankee Energy Systems, Inc............................ 900 21,600
*Yellow Corp.......................................... 2,400 45,150
York Financial Corp................................... 756 16,750
*Zale Corp............................................ 3,000 92,813
*Zaring National Corp................................. 100 1,006
*Zemex Corp........................................... 742 7,374
Zenith National Insurance Corp........................ 1,500 42,938
*Zoll Medical Corp.................................... 900 5,513
Zurn Industries, Inc.................................. 600 24,900
------------
TOTAL COMMON STOCKS
(Cost $15,359,400)................................... 19,326,626
------------
RIGHTS/WARRANTS -- (0.0%)
*Amerus Life Holdings, Inc. Class A Warrants
04/03/02............................................ 46 425
------------
</TABLE>
11
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
<S> <C> <C>
FACE
AMOUNT VALUE+
------------ ------------
<CAPTION>
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (2.9%)
Repurchase Agreements, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes
5.875%, 08/31/99, valued at $569,800) to be
repurchased at $556,243.
(Cost $556,000)..................................... $ 556 $ 556,000
------------
TOTAL INVESTMENTS -- (102.5%)
(Cost $15,915,400)++................................. 19,883,051
------------
OTHER ASSETS AND LIABILITIES -- (-2.5%)
Other Assets.......................................... 21,925
Payable for Investment Securities Purchased........... (439,219)
Payable for Fund Shares Redeemed...................... (44,997)
Other Liabilities..................................... (15,027)
------------
(477,318)
------------
NET ASSETS -- (100.0%) Applicable to 1,245,771
Outstanding $.01 Par Value Shares
(50,000,000 Shares Authorized)....................... $ 19,405,733
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 15.58
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
12
<PAGE>
VA LARGE VALUE PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (99.1%)
AK Steel Holding Corp................................. 2,200 $ 40,975
*AMR Corp............................................. 4,000 615,750
*Advanced Micro Devices, Inc.......................... 5,100 99,450
Advanta Corp. Class A................................. 166 3,444
Advanta Corp. Class B Non-Voting...................... 272 5,159
Aetna, Inc............................................ 5,200 406,575
Agco Corp............................................. 1,100 27,637
*Alexander & Baldwin, Inc............................. 1,600 46,100
*Alleghany Corp....................................... 100 35,500
Alumax, Inc........................................... 2,000 93,625
Ambac, Inc............................................ 2,500 136,719
Amerada Hess Corp..................................... 3,200 173,000
American Financial Group, Inc. (New).................. 1,500 67,781
American General Corp................................. 9,519 638,963
American Greetings Corp. Class A...................... 2,600 123,500
American National Insurance Co........................ 600 63,637
Apache Corp........................................... 1,800 61,537
Archer-Daniels Midland Co............................. 20,720 391,090
Argonaut Group, Inc................................... 300 9,703
*Arrow Electronics, Inc............................... 2,600 65,487
*Asarco, Inc.......................................... 1,700 38,569
*Associates First Capital Corp. Class A............... 10,562 790,170
Astoria Financial Corp................................ 600 33,019
*Atmel Corp........................................... 400 5,912
Avnet, Inc............................................ 1,800 106,200
Ball Corp............................................. 900 35,494
Bear Stearns Companies, Inc........................... 3,161 171,484
Berkley (W.R.) Corp................................... 900 42,412
*Bethlehem Steel Corp................................. 4,200 51,450
*Beverly Enterprises.................................. 2,800 40,075
Black & Decker Corp................................... 3,400 198,475
Block Drug Co., Inc. Class A.......................... 309 13,577
Boise Cascade Corp.................................... 1,800 60,075
Borg Warner Automotive, Inc........................... 400 22,800
Bowater, Inc.......................................... 1,200 60,750
*Burlington Industries, Inc........................... 1,600 28,100
Burlington Northern Santa Fe Corp..................... 5,500 547,250
CIGNA Corp............................................ 7,500 513,750
*CNA Financial Corp................................... 2,300 347,875
CSX Corp.............................................. 7,900 376,237
*Cabletron Systems, Inc............................... 5,600 72,100
Capital Re Corp....................................... 500 37,250
Carpenter Technology Corp............................. 600 31,800
Champion International Corp........................... 3,300 158,400
Chesapeake Corp....................................... 700 24,850
Chiquita Brands International, Inc.................... 2,100 28,219
*Chris-Craft Industries, Inc.......................... 754 39,632
Chrysler Corp......................................... 23,400 1,301,625
Cincinnati Financial Corp............................. 6,390 269,578
Circuit City Stores, Inc. (Circuit City Group)........ 300 12,712
*Circus Circus Enterprises, Inc....................... 3,600 63,900
Citizens Corp......................................... 1,300 41,762
Commerce Group, Inc................................... 1,400 49,962
Comsat Corp. Series 1................................. 1,800 62,775
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Consolidated Freightways Corp........................ 450 $ 6,666
Consolidated Papers, Inc.............................. 3,000 86,812
Coors (Adolph) Co. Class B............................ 1,000 37,531
Countrywide Credit Industries, Inc.................... 3,600 166,500
*Crown Cork & Seal Co., Inc........................... 2,300 119,312
Cummins Engine Co., Inc............................... 1,100 57,200
*Cypress Semiconductor Corp........................... 1,100 9,419
Cyprus Amax Minerals Co., Inc......................... 3,200 50,800
*DSC Communications Corp.............................. 600 10,256
Darden Restaurants, Inc............................... 5,500 84,906
*Digital Equipment Corp............................... 5,300 290,837
Dillards, Inc. Class A................................ 4,000 168,250
*EEX Corp............................................. 5,699 56,278
Echlin, Inc........................................... 200 9,500
Enhance Financial Services Group, Inc................. 500 32,562
Enron Corp............................................ 1,400 70,175
*Extended Stay America, Inc........................... 2,000 22,000
*Federated Department Stores, Inc..................... 7,400 383,412
Fina, Inc. Class A.................................... 700 44,975
Financial Security Assurance Holdings, Ltd............ 900 53,325
Fingerhut Companies, Inc.............................. 1,800 52,762
First Hawaiian, Inc................................... 1,200 45,300
Florida East Coast Industries, Inc.................... 300 37,425
Fluor Corp............................................ 3,400 162,137
Ford Motor Co......................................... 40,300 2,090,562
Foster Wheeler Corp................................... 2,000 50,750
*Fruit of The Loom, Inc. Class A...................... 2,400 86,250
GATX Corp............................................. 600 49,275
General Motors Corp................................... 25,600 1,841,600
General Motors Corp. Class H.......................... 3,700 183,150
*Genesis Health Ventures, Inc......................... 1,200 30,375
Georgia-Pacific Corp.................................. 3,300 211,819
Georgia-Pacific Corp. Timber Group.................... 3,300 77,756
*Golden State Bancorp, Inc............................ 2,000 76,625
Golden West Financial Corp............................ 1,400 151,200
Great Atlantic & Pacific Tea Co., Inc................. 1,100 35,200
Great Lakes Chemical Corp............................. 2,000 80,000
Helmerich & Payne, Inc................................ 1,000 25,250
Hilton Hotels Corp.................................... 1,800 56,587
Hollinger International, Inc. Class A................. 2,500 40,156
IBP, Inc.............................................. 3,100 60,063
*IVAX Corp............................................ 4,300 39,506
Inland Steel Industries, Inc.......................... 1,700 48,663
*Integrated Device Technology, Inc.................... 2,600 24,334
International Paper Co................................ 11,900 547,400
*International Speciality Products, Inc............... 3,500 60,594
*Jacor Communications, Inc............................ 2,000 105,625
*K Mart Corp.......................................... 18,400 356,500
*Komag, Inc........................................... 1,700 16,734
LNR Property Corp..................................... 500 12,938
*LSI Logic Corp....................................... 5,100 108,694
LTV Corp.............................................. 3,900 42,656
Lafarge Corp.......................................... 5,900 221,988
*Lam Research Corp.................................... 1,100 26,159
Lehman Brothers Holdings, Inc......................... 3,700 262,469
</TABLE>
13
<PAGE>
VA LARGE VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Liberty Corp.......................................... 1,000 $ 50,313
Liberty Financial Companies, Inc...................... 1,200 41,925
Lincoln National Corp................................. 3,700 332,538
Loews Corp............................................ 4,100 372,075
Longs Drug Stores Corp................................ 200 6,063
*Longview Fibre Co.................................... 1,900 31,350
*Louisiana-Pacific Corp............................... 4,000 79,750
Mallinckrodt, Inc..................................... 2,500 77,031
Mead Corp............................................. 3,800 118,275
Media General, Inc. Class A........................... 600 27,600
Mercantile Stores Co., Inc............................ 1,500 117,938
*Micron Technology, Inc............................... 8,400 197,925
Morgan (J.P.) & Co., Inc.............................. 3,400 422,238
Murphy Oil Corp....................................... 800 40,250
NAC RE Corp........................................... 500 23,344
*National Semiconductor Corp.......................... 4,000 65,000
*Navistar International Corp.......................... 2,200 66,413
*Nextel Communications Corp. Class A.................. 3,000 70,594
Norfolk Southern Corp................................. 14,000 438,375
*Novell, Inc.......................................... 12,600 132,694
Occidental Petroleum Corp............................. 12,800 353,600
*Octel Corp........................................... 500 10,906
*Officemax, Inc....................................... 4,400 72,325
Ogden Corp............................................ 1,900 54,269
Ohio Casualty Corp.................................... 1,000 48,438
Old Republic International Corp....................... 5,850 166,725
Olsten Corp........................................... 3,000 37,313
Overseas Shipholding Group, Inc....................... 1,100 21,313
*Oxford Health Plans, Inc............................. 1,400 24,106
Pacific Century Financial Corp........................ 3,400 85,213
*Pacificare Health Systems, Inc. Class A.............. 216 17,408
*Pacificare Health Systems, Inc. Class B.............. 1,052 86,987
Penncorp Financial Group, Inc......................... 1,000 22,125
Pep Boys - Manny, Moe & Jack.......................... 2,000 44,500
*Pharmerica, Inc...................................... 1,274 15,487
Phelps Dodge Corp..................................... 2,200 134,200
*Phycor, Inc.......................................... 900 15,159
*Potlatch Corp........................................ 1,200 52,575
Provident Companies, Inc.............................. 3,634 134,004
Pulte Corp............................................ 700 37,319
RJR Nabisco Holdings Corp............................. 12,340 347,834
Rayonier, Inc......................................... 700 32,856
*Read-Rite Corp....................................... 1,000 8,781
Reynolds Metals Co.................................... 2,600 150,800
Russell Corp.......................................... 1,100 29,975
Ryder System, Inc..................................... 3,000 102,188
Safeco Corp........................................... 4,900 228,769
*Saint Paul Companies, Inc............................ 8,712 386,595
*Santa Fe Energy Resources, Inc....................... 1,900 18,881
*Seagate Technology, Inc.............................. 9,300 215,063
*Sensormatic Electronics Corp......................... 2,600 33,313
*Silicon Graphics, Inc................................ 6,600 79,200
Sprint Corp........................................... 11,800 846,650
*Stone Container Corp................................. 3,700 65,675
*Stratus Computer, Inc................................ 500 18,031
*Sun Healthcare Group, Inc............................ 2,000 33,625
TIG Holdings, Inc..................................... 1,700 42,075
Tecumseh Products Co. Class A......................... 200 10,025
*Tele-Communications International, Inc. Class A...... 1,900 32,241
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Telephone & Data Systems, Inc......................... 1,900 $ 83,125
Temple-Inland, Inc.................................... 1,900 111,625
Terra Industries, Inc................................. 3,000 30,375
Timken Co............................................. 2,600 97,825
*Toys R Us, Inc....................................... 6,000 159,000
Transamerica Corp..................................... 2,400 276,000
Tyson Foods, Inc. Class A............................. 3,900 82,388
UMB Financial Corp.................................... 330 18,233
USX-US Steel Group.................................... 2,900 104,038
Union Camp Corp....................................... 2,500 136,719
Union Pacific Corp.................................... 9,500 459,563
Unionbancal Corp...................................... 1,800 176,456
*United States Cellular Corp.......................... 1,900 58,306
Unitrin, Inc.......................................... 1,000 69,688
*Valero Energy Corp................................... 2,200 71,775
Valhi, Inc............................................ 3,900 38,269
*Viacom, Inc. Class A................................. 4,900 269,806
*Viacom, Inc. Class B................................. 10,300 566,500
*Vishay Intertechnology, Inc.......................... 1,764 39,359
Weis Markets, Inc..................................... 1,700 60,031
Wesco Financial Corp.................................. 100 35,550
Westvaco Corp......................................... 3,400 96,900
Weyerhaeuser Co....................................... 7,100 360,769
Whirlpool Corp........................................ 3,300 225,431
*Willamette Industries, Inc........................... 4,100 140,681
Xtra Corp............................................. 500 26,250
*Zale Corp............................................ 600 18,563
------------
TOTAL COMMON STOCKS
(Cost $21,120,000)................................... 28,504,554
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.6%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes
5.75%, 10/31/02, valued at $464,025) to be
repurchased at $453,198.
(Cost $453,000)..................................... $ 453 453,000
------------
TOTAL INVESTMENTS -- (100.7%)
(Cost $21,573,000)++................................. 28,957,554
------------
OTHER ASSETS AND LIABILITIES -- (-0.7%)
Other Assets.......................................... 110,488
Payable for Investment Securities Purchased........... (70,918)
Payable for Fund Shares Redeemed...................... (224,814)
Other Liabilities..................................... (16,024)
------------
...................................................... (201,268)
------------
NET ASSETS -- (100.0%) Applicable to 1,652,020
Outstanding $.01 Par Value Shares (50,000,000 Shares
Authorized).......................................... $ 28,756,286
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 17.41
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
14
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
UNITED KINGDOM -- (19.8%)
COMMON STOCKS -- (19.2%)
ASDA Group P.L.C...................................... 18,900 $ 56,093
Allied Domecq P.L.C................................... 8,000 79,644
Anglian Water P.L.C................................... 2,100 29,707
Arcadia Group P.L.C................................... 2,337 17,912
Arjo Wiggins Appleton P.L.C........................... 5,400 21,662
Associated British Foods P.L.C........................ 10,000 91,320
Associated British Ports Holdings P.L.C............... 4,600 26,479
BAA P.L.C............................................. 11,297 134,758
BG P.L.C.............................................. 34,412 177,186
Barclays P.L.C........................................ 4,500 119,906
Bass P.L.C............................................ 9,464 173,622
British Airways P.L.C................................. 6,000 63,451
British Land Co. P.L.C................................ 5,700 62,323
British Steel P.L.C................................... 16,300 40,270
Capital Shopping Centres P.L.C........................ 4,000 27,820
*Centrica P.L.C....................................... 30,000 48,188
Commercial Union P.L.C................................ 8,174 148,357
Debenhams P.L.C....................................... 4,675 30,647
Diageo P.L.C.......................................... 12,960 146,353
General Accident P.L.C................................ 4,500 102,808
Great Universal Stores P.L.C.......................... 10,100 143,373
Greenalls Group P.L.C................................. 3,000 24,216
Guardian Royal Exchange P.L.C......................... 10,506 69,990
Hanson P.L.C.......................................... 7,000 41,122
Hyder P.L.C........................................... 1,701 27,211
Imperial Chemical Industries P.L.C.................... 8,700 164,713
Inchcape P.L.C........................................ 5,000 18,223
LaPorte P.L.C......................................... 2,000 27,918
Ladbroke Group P.L.C.................................. 12,919 72,892
Lasmo P.L.C........................................... 8,700 41,143
*Lonrho Africa P.L.C.................................. 1,587 1,915
Lonrho P.L.C.......................................... 1,587 7,765
National Power P.L.C.................................. 6,000 55,770
National Westminster Bank P.L.C....................... 16,945 309,206
Pilkington P.L.C...................................... 8,117 19,590
Powergen P.L.C........................................ 6,228 78,608
RMC Group P.L.C....................................... 2,000 37,669
Rank Group P.L.C...................................... 9,323 54,275
Rio Tinto P.L.C....................................... 12,800 159,784
Royal & Sun Alliance Insurance Group, Inc. P.L.C...... 18,619 197,202
Safeway P.L.C......................................... 10,135 61,523
Sainsbury (J.) P.L.C.................................. 16,607 131,208
Scottish & Newcastle P.L.C............................ 6,000 84,145
Scottish Hydro-Electric P.L.C......................... 4,000 36,658
Sears P.L.C........................................... 12,100 12,579
Severn Trent P.L.C.................................... 2,995 48,254
Shell Transport & Trading Co., P.L.C.................. 22,500 166,027
Slough Estates P.L.C.................................. 4,000 24,689
Storehouse P.L.C...................................... 5,000 22,748
Tarmac P.L.C.......................................... 10,000 20,425
Tate & Lyle P.L.C..................................... 4,000 32,484
Tesco P.L.C........................................... 14,659 128,607
Thames Water P.L.C.................................... 2,840 46,057
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Thistle Hotels P.L.C.................................. 7,000 $ 22,545
Unigate P.L.C......................................... 2,600 28,195
Unilever P.L.C........................................ 10,600 116,245
United Assurance Group P.L.C.......................... 3,000 29,891
United Biscuits Holdings P.L.C........................ 5,700 24,376
United Utilities P.L.C................................ 4,670 63,208
Whitbread P.L.C....................................... 4,200 67,873
Yorkshire Water P.L.C................................. 3,165 23,819
------------
TOTAL COMMON STOCKS
(Cost $3,025,989).................................... 4,342,647
------------
INVESTMENT IN
CURRENCY -- (0.6%)
*British Pound Sterling
(Cost $130,564)..................................... 130,852
------------
TOTAL -- UNITED KINGDOM
(Cost $3,156,553).................................... 4,473,499
------------
JAPAN -- (19.5%)
COMMON STOCKS -- (19.5%)
Aichi Steel Works, Ltd................................ 4,000 7,217
Aisin Seiki Co., Ltd.................................. 2,000 18,547
Amada Co., Ltd........................................ 3,000 15,155
*Aoki Corp............................................ 6,000 3,334
Aoyama Trading Co., Ltd............................... 1,100 26,912
Ashikaga Bank, Ltd.................................... 9,000 13,315
Atsugi Nylon Industrial Co., Ltd...................... 5,000 7,325
Calpis Co., Ltd....................................... 2,000 8,732
Canon Sales Co., Inc.................................. 2,000 26,558
Chiba Bank, Ltd....................................... 10,000 35,579
Chichibu Onoda Cement Corp............................ 8,000 12,067
Chiyoda Fire and Marine Insurance Co., Ltd............ 5,000 18,295
Chudenko Corp......................................... 1,000 20,640
Chugoku Bank, Ltd..................................... 2,000 25,576
Chuo Trust and Banking Co., Ltd....................... 2,000 6,235
Citizen Watch Co., Ltd................................ 3,000 22,928
Cosmo Oil Co., Ltd.................................... 10,000 16,238
Dai Tokyo Fire & Marine Insurance Co., Ltd............ 4,000 13,423
Daicel Chemical Industries, Ltd....................... 4,000 6,842
Daido Steel Co., Ltd.................................. 5,000 8,263
*Daikyo, Inc.......................................... 3,000 3,421
Daishi Bank, Ltd...................................... 5,000 15,047
Daito Trust Construction Co., Ltd..................... 2,916 20,813
#Daiwa Bank, Ltd...................................... 15,000 29,228
Daiwa House Industry Co., Ltd......................... 7,000 54,509
Daiwa Securities Co., Ltd............................. 22,000 83,672
Ezaki Glico Co., Ltd.................................. 2,200 11,035
Fuji Photo Film Co., Ltd.............................. 5,000 169,235
*Fujita Corp.......................................... 9,000 5,391
Fukuoka City Bank, Ltd................................ 4,712 16,969
Fukuyama Transporting Co., Ltd........................ 4,000 15,704
*Gunze, Ltd........................................... 4,000 9,064
*Hanwa Co., Ltd....................................... 2,000 2,165
*Haseko Corp.......................................... 8,000 4,792
Higo Bank, Ltd........................................ 3,000 13,813
Hino Motors, Ltd...................................... 5,000 14,578
</TABLE>
15
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hiroshima Bank, Ltd................................... 2,000 $ 5,110
Hitachi Koki Co., Ltd................................. 2,000 7,924
Hitachi Maxell, Ltd................................... 1,000 20,640
Hitachi Metals, Ltd................................... 5,000 18,764
Hitachi Transport System, Ltd......................... 2,000 15,300
Hitachi, Ltd.......................................... 61,000 401,927
*Hokkaido Bank, Ltd................................... 7,000 7,982
Hokuriku Bank, Ltd.................................... 7,000 10,104
House Foods Corp...................................... 2,000 27,568
Hyakugo Bank, Ltd. (105th Bank)....................... 4,000 16,454
Hyakujishi Bank, Ltd.................................. 3,000 13,272
Inax Corp............................................. 2,000 6,784
Itochu Corp........................................... 22,000 49,536
#Kajima Corp.......................................... 13,000 34,901
*Kamagai Gumi Co., Ltd................................ 6,000 3,897
Kamigumi Co., Ltd..................................... 4,000 15,242
Kandenko Co., Ltd..................................... 3,000 17,234
Katokichi Co., Ltd.................................... 1,000 11,136
Keiyo Bank, Ltd....................................... 5,000 12,088
Kinden Corp........................................... 2,000 24,176
Kiyo Bank, Ltd........................................ 5,000 11,727
Kobe Steel, Ltd....................................... 45,000 34,424
Kokusai Denshin Denwa Co., Ltd........................ 900 31,826
Kokusai Securities Co., Ltd........................... 2,000 18,403
Komatsu, Ltd.......................................... 14,000 58,601
Kureha Chemical Industry Co., Ltd..................... 4,000 9,180
Kyudenko Corp......................................... 2,000 13,135
#Long Term Credit Bank of Japan, Ltd.................. 35,000 50,770
Maeda Corp............................................ 2,000 5,701
Makita Corp........................................... 2,000 21,578
Marubeni Corp......................................... 22,000 44,456
Maruetsu, Inc......................................... 3,000 8,552
Matsushita Electric Industrial Co., Ltd............... 38,000 595,100
Matsushita Electric Works, Ltd........................ 4,000 33,457
*Mazda Motor Corp..................................... 11,000 36,835
Meija Seika Kaisha, Ltd. Tokyo........................ 6,000 19,139
Michimen Corp......................................... 5,000 6,495
#Mitsubishi Chemical Corp............................. 33,000 59,063
Mitsubishi Electric Corp.............................. 37,000 87,583
Mitsubishi Gas Chemical Co., Inc...................... 5,000 12,666
Mitsubishi Materials Corp............................. 10,000 19,485
Mitsubishi Motors Corp................................ 14,000 36,272
Mitsubishi Oil Co., Ltd............................... 4,000 5,340
Mitsui Chemicals, Inc................................. 5,000 12,954
#Mitsui Trust & Banking Co., Ltd...................... 16,000 37,527
Mizuno Corp........................................... 2,000 6,813
NKK Corp.............................................. 64,000 54,501
NSK, Ltd.............................................. 7,000 25,259
NTN Corp.............................................. 4,000 10,767
Nagase & Co., Ltd..................................... 2,000 6,856
Nanto Bank, Ltd....................................... 3,000 12,449
Nihon Cement Co., Ltd................................. 3,000 5,196
Nikko Securities Co., Ltd............................. 24,000 75,517
*Nippon Credit Bank, Ltd.............................. 20,000 19,341
Nippon Light Metal Co., Ltd........................... 8,000 9,180
Nippon Oil Co., Ltd................................... 17,000 52,755
Nippon Sheet Glass Co., Ltd........................... 4,000 6,466
Nippon Shinpan Co., Ltd............................... 6,000 8,097
Nishimatsu Construction Co., Ltd...................... 4,000 18,042
Nisshin Steel Co., Ltd................................ 12,000 15,935
Nisshinbo Industries, Inc............................. 3,000 12,601
Nittetsu Mining Co., Ltd.............................. 2,000 7,246
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Nitto Boseki Co., Ltd................................. 7,000 $ 16,772
Noritz Corp........................................... 1,000 7,072
#Oki Electric Industry Co., Ltd....................... 9,000 19,485
Okumura Corp.......................................... 4,000 12,557
Olympus Optical Co., Ltd.............................. 3,000 28,254
Pioneer Electronic.................................... 2,000 38,971
Sakura Bank, Ltd...................................... 43,000 127,543
San In Godo Bank, Ltd................................. 3,000 18,143
*Sankyo Aluminum Industry Co., Ltd.................... 3,000 2,771
Sanyo Electric........................................ 35,000 100,278
Seino Transportation Co., Ltd......................... 2,000 9,988
Sekisui Chemical Co., Ltd............................. 8,000 40,183
Seksui House.......................................... 10,000 73,972
Sharp Corp. Osaka..................................... 19,000 143,016
Shiga Bank, Ltd....................................... 4,000 15,877
#Shimizu Corp......................................... 12,000 32,909
Shinmaywa Industries, Ltd............................. 2,000 5,225
Shionogi & Co., Ltd................................... 3,000 14,982
Snow Brand Milk Products Co., Ltd..................... 4,000 12,355
Sumitomo Corp......................................... 15,000 79,349
Sumitomo Metal Mining Co., Ltd........................ 10,000 42,435
Sumitomo Realty & Development Co., Ltd................ 7,000 32,887
#Taisei Corp.......................................... 14,000 27,280
Tanabe Seiyaku Co., Ltd............................... 4,000 17,609
Teijin, Ltd........................................... 15,000 45,250
Toda Corp............................................. 4,000 14,203
*Tokyo Sowa Bank...................................... 4,000 9,844
Tokyo Steel Manufacturing Co., Ltd.................... 1,500 6,885
Tokyo Style Co., Ltd.................................. 1,000 9,736
*Tokyo Tatemono Co., Ltd.............................. 4,000 7,534
Tostem Corp........................................... 4,000 51,268
Toyo Engineering Corp................................. 3,000 3,421
Toyo Seikan Kaisha, Ltd............................... 3,100 36,713
Toyo Trust & Banking Co., Ltd......................... 11,000 57,554
Toyota Tsusho Corp.................................... 4,000 12,413
Victor Co. of Japan, Ltd.............................. 2,000 15,588
Yakult Honsha Co., Ltd................................ 2,000 10,031
Yamaguchi Bank........................................ 2,000 24,479
Yamato Kogyo Co., Ltd................................. 2,000 15,516
Yasuda Trust & Banking Co., Ltd....................... 13,000 16,324
Yodogawa Steel Works, Ltd............................. 4,000 17,984
Yokogawa Electric Corp................................ 3,000 15,502
------------
TOTAL COMMON STOCKS
(Cost $6,976,872).................................... 4,410,104
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Japanese Yen
(Cost $3)........................................... 3
------------
TOTAL -- JAPAN
(Cost $6,976,875).................................... 4,410,107
------------
GERMANY -- (12.3%)
COMMON STOCKS -- (10.2%)
BASF AG............................................... 10,650 494,032
BHF Bank AG........................................... 1,500 61,589
BHW Holding AG, Berlin................................ 3,000 54,689
Bankgesellschaft Berlin AG............................ 2,700 66,031
Berliner Kraft & Licht Bewag AG....................... 1,000 46,837
Bilfinger & Berger Bau AG, Mannheim................... 600 22,885
</TABLE>
16
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Commerzbank AG....................................... 4,600 $ 186,550
Deutsche Bank AG...................................... 6,500 560,021
Deutsche Lufthansa AG................................. 4,100 102,570
Deutsche Pfandbrief und Hypothekenbank AG, Depfa...... 500 40,050
*Deutsche Telekom AG.................................. 9,000 241,560
FPB Holding AG........................................ 200 35,001
Hochtief AG........................................... 1,200 55,194
Man AG, Muechen....................................... 100 39,825
Merck KGAA............................................ 700 27,132
Siemens AG............................................ 1,700 109,850
Thyssen AG............................................ 550 143,455
Vereins & Westbank AG................................. 112 32,040
------------
TOTAL COMMON STOCKS
(Cost $1,668,325).................................... 2,319,311
------------
INVESTMENT IN
CURRENCY -- (2.1%)
*German Marks
(Cost $472,753)..................................... 471,843
------------
TOTAL -- GERMANY
(Cost $2,141,078).................................... 2,791,154
------------
FRANCE -- (8.4%)
COMMON STOCKS -- (8.0%)
AGF (Assurances Generales de France SA)............... 835 51,500
*Assurances Generales de France, Paris................ 137 39
Banque Nationale de Paris............................. 3,166 270,414
Christian Dior SA..................................... 300 41,519
Credit Commercial de France........................... 700 53,377
Elf Aquitaine......................................... 1,609 223,488
Eridania Beghin-Say SA................................ 200 43,792
*Euro Disney SCA...................................... 11,400 20,007
Groupe Danone......................................... 500 134,637
LaFarge SA............................................ 708 71,832
*LaFarge SA Em 98..................................... 59 6,016
Lyonnais des Eaux SA.................................. 548 93,520
Paribas............................................... 1,846 188,217
Pechiney SA Series A.................................. 600 30,538
Pernod-Ricard......................................... 400 29,645
Peugeot SA............................................ 400 78,158
Rhone-Poulenc SA Series A............................. 1,144 63,484
Saint-Gobain.......................................... 813 160,350
Societe Generale Paris................................ 928 183,808
Thomson-CSF........................................... 900 36,405
*Usinor............................................... 1,200 20,078
------------
TOTAL COMMON STOCKS
(Cost $1,081,974).................................... 1,800,824
------------
INVESTMENT IN
CURRENCY -- (0.4%)
*French Francs
(Cost $87,788)...................................... 88,430
------------
RIGHTS/WARRANTS -- (0.0%)
*AGF (Assurances Generales de France SA) Warrants
06/15/00
(Cost $3,702)....................................... 835 4,020
------------
TOTAL -- FRANCE
(Cost $1,173,464).................................... 1,893,274
------------
SHARES VALUE+
------------ ------------
SWITZERLAND -- (6.6%)
COMMON STOCKS -- (6.6%)
*Baloise-Holding, Basel............................... 120 $ 286,076
Banque Cantonale Vaudois.............................. 110 47,091
Bobst SA, Prilly...................................... 20 37,873
*Financiere Richemont AG Units -A-.................... 80 114,647
Helvetia Patria Holding, St. Gallen................... 20 24,617
Holderbank Financiere Glarus AG, Glarus............... 30 38,427
Julius Baer Holding AG, Zuerich....................... 10 28,878
Oerlikon-Buehrle Holding AG, Zuerich.................. 500 101,445
Pargesa Holding SA, Geneve............................ 50 89,272
Roche Holding AG, Basel............................... 12 198,833
SBG (Schweizerische Bankgesellschaft)................. 190 319,958
Sairgroup, Zuerich.................................... 250 76,591
Schindler Holding AG, Hergiswil....................... 25 43,960
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall.............................. 80 76,016
------------
TOTAL COMMON STOCKS
(Cost $938,050)...................................... 1,483,684
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Swiss Francs
(Cost $1,107)....................................... 1,108
------------
TOTAL -- SWITZERLAND
(Cost $939,157)...................................... 1,484,792
------------
NETHERLANDS -- (6.2%)
COMMON STOCKS -- (6.2%)
ABN Amro Holding NV................................... 6,974 169,049
DSM NV................................................ 531 53,785
Fortis Amev NV........................................ 3,275 196,590
Heineken Holding NV Series A.......................... 3,125 105,770
Ing Groep NV.......................................... 4,990 343,002
KLM (Koninklijke Luchtvaart Mij NV)................... 1,851 73,337
Koninklijke Hoogovens NV.............................. 748 34,104
Koninklijke KNP BT.................................... 2,500 72,794
Nationale Investeringsbank NV
Series A............................................ 203 26,877
Philips Electronics NV................................ 2,800 266,331
Stad Rotterdam........................................ 804 70,232
------------
TOTAL COMMON STOCKS
(Cost $772,526)...................................... 1,411,871
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Netherlands Guilder
(Cost $1,284)....................................... 1,299
------------
TOTAL -- NETHERLANDS
(Cost $773,810)...................................... 1,413,170
------------
ITALY -- (4.9%)
COMMON STOCKS -- (4.7%)
Banca Commerciale Italiana SpA........................ 26,000 153,620
*Banca di Roma........................................ 80,000 165,073
#Fiat SpA............................................. 72,600 325,229
Ifil Finanziaria Partecipazioni SpA, Torino........... 8,000 41,621
</TABLE>
17
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Istituto Bancario San Paolo Torino SpA............... 14,500 $ 227,388
Italcementi Fabbriche Riunite Cemento SpA, Bergamo.... 5,000 51,955
Montedison SpA........................................ 40,000 55,328
Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA.......................................... 2,600 50,393
------------
TOTAL COMMON STOCKS
(Cost $558,711)...................................... 1,070,607
------------
INVESTMENT IN
CURRENCY -- (0.2%)
*Italian Lira
(Cost $41,419)...................................... 41,380
------------
RIGHTS/WARRANTS -- (0.0%)
*Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA Warrants 12/31/00
(Cost $0)........................................... 200 2,550
------------
TOTAL -- ITALY
(Cost $600,130)...................................... 1,114,537
------------
SPAIN -- (3.2%)
COMMON STOCKS -- (3.2%)
Acerinox SA, Madrid................................... 500 74,513
Autopistas Concesionaria Espanola SA.................. 6,900 111,493
Autopistas del Mare Nostrum SA........................ 4,200 85,907
Banco Pastor SA, La Coruna............................ 400 22,205
Compania Espanola de Petroleos SA, Madrid............. 5,700 215,471
Cristaleria Espanola SA, Madrid....................... 300 30,354
DRACONSA (Dragados y Construcciones SA)............... 2,500 77,983
Hidroelectrica del Cantabrico SA, Oviedo.............. 2,400 112,613
------------
TOTAL COMMON STOCKS
(Cost $657,369)...................................... 730,539
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Spanish Peseta
(Cost $3,808)....................................... 3,813
------------
TOTAL -- SPAIN
(Cost $661,177)...................................... 734,352
------------
SWEDEN -- (3.2%)
COMMON STOCKS -- (2.8%)
Assidomaen AB......................................... 1,700 54,055
*Asticus AB........................................... 280 3,111
Avesta Sheffield AB................................... 2,000 11,748
Diligentia AB......................................... 560 5,149
Mo Och Domsjoe AB Series B............................ 2,300 72,546
Naeckebro AB.......................................... 110 1,833
SSAB Swedish Steel Series A........................... 1,200 23,369
Stora Kopparbergs Bergslags AB Series A............... 6,800 110,281
Stora Kopparbergs Bergslags AB Series B............... 1,500 24,326
Svenska Cellulosa AB Series B......................... 2,900 79,990
Svenska Kullagerfabriken AB
Series B............................................ 900 19,193
SHARES VALUE+
------------ ------------
Swedish Match AB (Frueher Svenska Taendsticks AB)..... 900 $ 3,172
Trelleborg AB Series B................................ 1,400 19,844
Volvo AB Series A..................................... 2,400 75,853
Volvo AB Series B..................................... 4,000 127,954
------------
TOTAL COMMON STOCKS
(Cost $558,139)...................................... 632,424
------------
INVESTMENT IN
CURRENCY -- (0.4%)
*Swedish Krona
(Cost $90,403)...................................... 90,165
------------
RIGHTS/WARRANTS -- (0.0%)
*Swedish Match AB (Frueher Svenska Taendsticks AB)
Rights 06/12/98
(Cost $0)........................................... 900 60
------------
TOTAL -- SWEDEN
(Cost $648,542)...................................... 722,649
------------
AUSTRALIA -- (2.6%)
COMMON STOCKS -- (2.3%)
Amcor, Ltd............................................ 4,441 20,584
Australia & New Zealand Banking Group, Ltd............ 6,346 45,074
Boral, Ltd............................................ 8,459 16,849
CSR, Ltd.............................................. 8,813 25,889
Fosters Brewing Group, Ltd............................ 23,356 50,763
GIO Australia Holdings, Ltd........................... 7,677 21,638
MIM Holdings.......................................... 11,765 6,116
News Corp., Ltd....................................... 11,769 72,609
Pioneer International, Ltd............................ 8,037 21,420
Publishing and Broadcasting, Ltd...................... 4,563 21,664
Rio Tinto, Ltd........................................ 5,203 62,714
St. George Bank, Ltd.................................. 4,098 26,438
WMC, Ltd.............................................. 6,730 21,077
Westpac Banking Corp.................................. 14,417 95,268
------------
TOTAL COMMON STOCKS
(Cost $499,520)...................................... 508,103
------------
INVESTMENT IN
CURRENCY -- (0.3%)
*Australian Dollar
(Cost $69,320)...................................... 69,635
------------
TOTAL -- AUSTRALIA
(Cost $568,840)...................................... 577,738
------------
HONG KONG -- (1.9%)
COMMON STOCKS -- (1.8%)
Amoy Properties, Ltd.................................. 68,000 43,657
Chinese Estates Holdings, Ltd......................... 25,304 5,845
*Evergo China Holdings, Ltd........................... 3,838 93
Great Eagle Holdings, Ltd............................. 7,482 7,724
Hang Lung Development Co., Ltd........................ 25,000 25,810
Hong Kong & Shanghai Hotels, Ltd...................... 18,416 9,863
Hopewell Holdings, Ltd................................ 70,000 9,485
Hysan Development Co., Ltd............................ 17,000 17,331
Kerry Properties, Ltd................................. 14,000 13,008
*New World Development Co. Ltd........................ 9,000 21,254
#Paliburg Holdings, Ltd............................... 45,000 29,036
Shangri-la Asia, Ltd.................................. 30,000 19,744
Sino Land Co., Ltd.................................... 46,000 15,731
Swire Pacific, Ltd. Series A.......................... 22,000 81,340
</TABLE>
18
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Tsim Sha Tsui Properties, Ltd......................... 12,000 $ 20,132
Wharf Holdings, Ltd................................... 51,000 65,157
Wheelock and Co., Ltd................................. 34,000 23,255
------------
TOTAL COMMON STOCKS
(Cost $810,283)...................................... 408,465
------------
INVESTMENT IN
CURRENCY -- (0.1%)
*Hong Kong Dollars
(Cost $20,914)...................................... 20,913
------------
RIGHTS/WARRANTS -- (0.0%)
*Great Eagle Holdings, Ltd. Warrants 11/30/98......... 1,435 13
*Hong Kong & Shanghai Hotels, Ltd. Warrants
12/10/98............................................ 1,416 2
*Hysan Development Co., Ltd. Warrants 04/30/99........ 1,700 42
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 57
------------
TOTAL -- HONG KONG
(Cost $831,197)...................................... 429,435
------------
BELGIUM -- (1.4%)
COMMON STOCKS -- (1.4%)
Bekaert SA............................................ 100 78,991
CMB (Cie Martime Belge)............................... 300 22,983
Cofinimmo SA.......................................... 200 21,772
Electrafina SA........................................ 200 27,542
Generale de Belgique SA............................... 500 89,129
Groupe Bruxelles Lambert SA, Bruxelles................ 200 43,979
Solvay SA............................................. 400 29,338
------------
TOTAL COMMON STOCKS
(Cost $214,017)...................................... 313,734
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Belgian Francs
(Cost $3,502)....................................... 3,503
------------
TOTAL -- BELGIUM
(Cost $217,519)...................................... 317,237
------------
MALAYSIA -- (1.1%)
COMMON STOCKS -- (0.8%)
Berjaya Group Berhad.................................. 15,000 2,597
Berjaya Leisure Berhad................................ 11,000 7,103
Golden Hope Plantations Berhad........................ 15,000 16,404
Kuala Lumpur Kepong Berhad............................ 10,000 17,706
Malayan Banking Berhad................................ 28,000 39,370
Malaysia Industrial Development Finance Berhad........ 11,000 3,179
Malaysian Airlines System............................. 13,000 7,785
*Renong Berhad........................................ 17,000 3,586
Sime Darby Berhad (Malaysia).......................... 30,000 23,903
Tan Chong Motor Holdings Berhad....................... 10,000 6,510
Tenaga Nasional Berhad................................ 36,000 59,524
------------
TOTAL COMMON STOCKS
(Cost $448,579)...................................... 187,667
------------
SHARES VALUE+
------------ ------------
INVESTMENT IN
CURRENCY -- (0.3%)
*Malaysian Ringetts
(Cost $71,921)...................................... $ 64,890
------------
TOTAL -- MALAYSIA
(Cost $520,500)...................................... 252,557
------------
DENMARK -- (1.0%)
COMMON STOCKS -- (1.0%)
Bikuben Girobank A.S.................................. 503 29,624
Tele Danmark A.S. Series B............................ 1,087 101,790
Tryg Baltica Forsikring A.S........................... 867 22,978
Unidanmark A.S. Series A.............................. 803 64,909
------------
TOTAL COMMON STOCKS
(Cost $166,963)...................................... 219,301
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Danish Krone
(Cost $14).......................................... 15
------------
TOTAL -- DENMARK
(Cost $166,977)...................................... 219,316
------------
SINGAPORE -- (0.6%)
COMMON STOCKS -- (0.6%)
Fraser & Neave, Ltd................................... 5,000 17,025
Keppel Corp., Ltd..................................... 24,000 47,885
*Neptune Orient Lines, Ltd............................ 23,000 9,068
Singapore Land, Ltd................................... 9,000 18,817
Straits Steamship Land, Ltd........................... 29,000 27,891
United Industrial Corp., Ltd.......................... 43,000 12,715
United Overseas Land, Ltd............................. 12,000 6,595
------------
TOTAL COMMON STOCKS
(Cost $314,206)...................................... 139,996
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $389)......................................... 375
------------
TOTAL -- SINGAPORE
(Cost $314,595)...................................... 140,371
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH
INVESTMENTS -- (7.3%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes
5.25%, 01/31/01, valued at $1,674,525) to be
repurchased at $1,648,721.
(Cost $1,648,000) $ 1,648 1,648,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $21,338,414)++................................. $ 22,622,188
------------
------------
- --------------------
+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.
19
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (23.8%)
COMMON STOCKS -- (23.2%)
Achilles Corp......................................... 6,000 $ 8,227
Aica Kogyo Co., Ltd................................... 3,000 8,898
Aichi Tokei Denki Co., Ltd............................ 3,000 5,629
Aida Engineering, Ltd................................. 3,000 11,410
#Akai Electric Co., Ltd............................... 9,000 10,652
Amada Metrecs Co., Ltd................................ 3,000 17,970
#Arai-Gumi, Ltd....................................... 1,200 2,598
Asahi Denka Kogyo KK.................................. 3,000 10,890
*Asahi Diamond Industrial Co., Ltd.................... 5,000 22,444
Asahi Kogyosha Co., Ltd............................... 3,000 8,011
Asahi Optical Co., Ltd................................ 5,000 14,073
Asahi Organic Chemicals Industry Co., Ltd............. 3,000 8,552
Ashimori Industry Co., Ltd............................ 3,000 6,170
*Asics Corp........................................... 7,000 5,911
Atsugi Nylon Industrial Co., Ltd...................... 19,000 27,835
Azel Corp., Tokyo..................................... 2,000 4,330
Bando Chemical Industries, Ltd........................ 5,000 12,810
*#Bank of Osaka, Ltd.................................. 9,000 13,965
CKD Corp.............................................. 2,000 6,639
#CMK Corp............................................. 2,000 23,960
Central Finance Co., Ltd.............................. 4,000 6,062
Central Glass Co., Ltd................................ 7,000 12,175
#Chiba Kogyo Bank, Ltd................................ 800 14,376
*Chiyoda Corp......................................... 12,000 14,203
*Chori Co., Ltd....................................... 5,000 6,856
Chukyo Coca-Cola Bottling Co., Ltd.................... 3,000 23,599
Chukyo Sogo Bank, Ltd................................. 5,000 14,795
*Cosmo Securities Co., Ltd............................ 22,000 16,036
Dai-Dan Co., Ltd...................................... 3,000 16,671
Daido Hoxan, Inc...................................... 4,000 8,516
*Daiei OMC, Inc....................................... 9,000 10,587
Dainichiseika Colour & Chemicals Manufacturing Co.,
Ltd................................................. 4,000 14,896
Daisan Bank, Ltd...................................... 4,000 13,856
*Daiwa Danchi Co., Ltd................................ 5,000 8,805
Daiwabo Co., Ltd...................................... 8,000 9,526
Denki Kogyo Co., Ltd.................................. 3,000 16,238
Ehime Bank, Ltd....................................... 5,000 17,789
France Bed Co., Ltd................................... 4,000 10,392
*Fuji Kosan Co., Ltd.................................. 6,000 5,456
Fuji Kyuko Co., Ltd................................... 5,000 16,346
Fuji Oil Co., Ltd..................................... 3,000 13,012
Fuji Spinning Co., Ltd., Tokyo........................ 4,000 4,301
#Fujiko Co., Ltd...................................... 4,000 3,753
*Fujitsu General, Ltd................................. 4,000 24,393
*Furukawa Battery Co., Ltd............................ 3,000 4,677
Furukawa Co., Ltd..................................... 18,000 25,721
Fuso Pharmaceutical Industries, Ltd................... 5,000 16,743
*Gakken Co., Ltd...................................... 3,000 5,543
*Godo Steel, Ltd...................................... 6,000 5,976
*#Hazama Corp......................................... 17,000 9,938
Hisamitsu Pharmaceutical Co., Inc..................... 3,000 27,063
Hitachi Electronics, Ltd.............................. 3,000 15,870
Hitachi Medical Corp.................................. 2,000 21,650
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hitachi Plant Engineering & Construction Co., Ltd..... 6,000 $ 16,021
Hitachi Seiki Co., Ltd................................ 4,000 6,697
Hokkaido Gas Co., Ltd................................. 4,000 7,159
Hokuriku Electric Industry Co., Ltd................... 4,000 5,571
Horiba, Ltd........................................... 2,000 21,217
#Howa Machinery, Ltd.................................. 5,000 7,145
Ichikoh Industries, Ltd............................... 4,000 6,928
Inageya Co., Ltd...................................... 2,000 14,867
Intec, Inc............................................ 2,000 15,877
*Iseki & Co., Ltd..................................... 14,000 13,842
Itochu Fuel Corp...................................... 4,000 11,864
Iwasaki Electric Co., Ltd............................. 4,000 7,794
*Iwatsu Electric Co., Ltd............................. 3,000 3,572
#JDC Corp............................................. 6,000 3,984
JGC Corp.............................................. 10,000 20,279
Japan Aviation Electronics Industry, Ltd.............. 3,000 10,609
*#Japan Coated Paper Manufacturing Co., Ltd........... 3,000 2,923
Japan Paperboard Industries Co., Ltd., Tokyo.......... 3,000 4,915
Japan Pulp and Paper Co., Ltd......................... 5,000 13,495
*Japan Steel Works, Ltd............................... 21,000 20,157
Japan Transcity Corp.................................. 3,000 6,170
Japan Vilene Co., Ltd................................. 3,000 6,928
Japan Wool Textile Co., Ltd........................... 6,000 25,115
Joshin Denki Co., Ltd................................. 2,000 4,402
Kagawa Bank, Ltd...................................... 3,000 13,380
Kagome Co., Ltd....................................... 3,000 16,130
Kanematsu Corp........................................ 21,000 21,521
#Kanematsu-NNK Corp................................... 3,000 13,250
*Kansai Kisen Kaisha.................................. 9,000 4,741
Kanto Auto Works, Ltd., Yokosuka...................... 3,000 8,552
Kanto Denka Kogyo Co., Ltd............................ 4,000 9,844
Kawada Industries, Inc................................ 2,000 3,031
Kawai Musical Instruments Manufacturing Co., Ltd...... 5,000 5,340
#Keiyo Co., Ltd....................................... 2,000 7,217
Kenwood Corp.......................................... 5,000 17,356
Kita-Nippon Bank, Ltd................................. 400 16,714
Kokusai Kogyo Co., Ltd................................ 2,000 8,112
Komatsu Forklift Co., Ltd............................. 3,000 6,279
Kosei Securities Co., Ltd............................. 4,000 7,650
Kurabo Industries, Ltd................................ 13,000 16,606
Kuraya Corp........................................... 5,000 26,161
Kyodo Shiryo Co., Ltd................................. 5,000 5,016
Kyushu Bank, Ltd...................................... 4,000 11,345
Life Corp............................................. 2,000 8,646
Marudai Food Co., Ltd................................. 5,000 11,583
Maruha Corp........................................... 18,000 17,927
*Maruyama Manufacturing Co., Inc...................... 3,000 3,659
Maruzen Co., Ltd...................................... 4,000 8,025
Matsuo Bridge Co., Ltd................................ 3,000 4,936
Melco, Inc............................................ 2,000 27,568
Misawa Homes Co., Ltd................................. 9,000 23,707
Mitsubishi Cable Industries, Ltd...................... 14,000 26,774
</TABLE>
20
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Mitsubishi Plastics, Inc............................. 16,000 $ 21,824
*Mitsubishi Shindoh Co., Ltd.......................... 3,000 4,785
*Mitsubishi Steel Manufacturing Co., Ltd.............. 5,000 4,511
#Mitsui Construction Co., Ltd......................... 6,000 6,365
Mitsui Home Co., Ltd.................................. 4,000 21,448
*Mitsui Mining Co., Ltd............................... 5,000 4,186
Mitsuuroko Co., Ltd................................... 3,000 11,042
#Miura Co., Ltd....................................... 2,000 19,514
Miyazaki Bank, Ltd.................................... 6,000 22,733
*Morinaga & Co., Ltd.................................. 16,000 15,357
Nachi-Fujikoshi Corp.................................. 13,000 19,420
*#Nagasakiya Co., Ltd. (Tokyo)........................ 5,000 7,217
Nakamuraya Co., Ltd................................... 3,000 7,859
#Nakayama Steel Works, Ltd............................ 5,000 9,743
Nichias Corp.......................................... 4,000 6,928
Nichiha Corp.......................................... 4,000 27,135
Nichimo Co., Ltd...................................... 5,000 5,232
Nichireki Co., Ltd.................................... 2,000 6,798
Nichiro Corp.......................................... 5,000 4,871
Nifco, Inc............................................ 2,000 14,477
*Niigata Engineering Co., Ltd......................... 14,000 9,093
Nikkiso Co., Ltd...................................... 4,000 20,063
Nippon Beet Sugar Manufacturing Co., Ltd.............. 5,000 6,531
*Nippon Carbon Co., Ltd............................... 5,000 7,073
Nippon Chemi-Con Corp................................. 5,000 17,176
Nippon Chemical Industrial Co., Ltd................... 2,000 5,225
Nippon Columbia Co., Ltd.............................. 3,000 5,586
#Nippon Concrete Industries Co., Ltd.................. 3,000 5,218
Nippon Densetsu Kogyo Co., Ltd........................ 2,000 6,206
*Nippon Kasei Chemical Co., Ltd....................... 5,000 3,969
#Nippon Shinyaku Co., Ltd............................. 3,000 13,099
Nippon Signal Co., Ltd................................ 3,000 12,449
*Nippon Steel Chemical Co., Ltd....................... 6,000 6,019
*Nippon Suisan Kaisha, Ltd............................ 18,000 21,174
Nippon Synthetic Chemical Industry Co., Ltd........... 3,000 4,438
Nippon Thompson Co., Ltd.............................. 3,000 18,793
Nissan Shatai Co., Ltd................................ 11,000 23,816
Nissha Printing Co., Ltd.............................. 3,000 18,836
Nisshin Oil Mills, Ltd................................ 10,000 22,517
Nitsuko Corp.......................................... 3,000 9,699
Nittetsu Mining Co., Ltd.............................. 3,000 10,869
Noritz Corp........................................... 2,000 14,145
North Pacific Bank, Ltd............................... 5,000 15,877
*Odakyu Real Estate Co., Ltd.......................... 4,000 7,072
Okamoto Industries, Inc............................... 9,000 20,200
*Okasan Securities Co., Ltd........................... 7,000 10,003
*Okura and Co., Ltd................................... 6,000 7,578
*Pacific Metals Co., Ltd.............................. 7,000 5,203
Parco Co., Ltd........................................ 2,000 7,866
*Pasco Corp........................................... 5,000 14,542
*Prima Meat Packers, Ltd.............................. 5,000 4,474
Raito Kogyo Co., Ltd.................................. 2,400 17,268
Rasa Industries, Ltd.................................. 3,000 8,877
Rheon Automatic Machinery Co., Ltd.................... 2,000 8,487
Rohto Pharmaceutical Co., Ltd......................... 2,000 15,083
Ryobi, Ltd............................................ 5,000 10,753
Ryoyo Electro Corp.................................... 2,000 24,104
SS Pharmaceutical Co., Ltd., Tokyo.................... 4,000 12,557
SXL Corp.............................................. 3,000 6,495
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sagami Co., Ltd....................................... 3,000 $ 6,452
Sakai Chemical Industry Co., Ltd...................... 3,000 8,877
Sakata Inx Corp....................................... 3,000 10,500
*Sankyo Aluminum Industry Co., Ltd.................... 16,000 14,780
Sankyu, Inc., Tokyo................................... 20,000 24,104
*Sanrio Co., Ltd...................................... 3,000 28,189
Sanyo Shokai, Ltd..................................... 5,000 16,599
Sanyo Special Steel Co., Ltd.......................... 7,000 8,588
Sasebo Heavy Industries Co., Ltd., Tokyo.............. 7,000 8,487
*Seiko Corp........................................... 3,000 13,207
Seiyo Food Systems, Inc............................... 3,000 11,367
#Shikoku Chemicals Corp............................... 3,000 7,145
Shimizu Bank, Ltd..................................... 400 18,273
Shin-Etsu Polymer Co., Ltd............................ 5,000 19,558
Shinagawa Fuel Co., Ltd............................... 3,000 11,150
Shindengen Electric Manufacturing Co., Ltd............ 3,000 17,364
*#Shinko Electric Co., Ltd............................ 6,000 11,258
Shinmaywa Industries, Ltd............................. 5,000 13,062
Showa Electric Wire & Cable Co., Ltd., Kawasaki....... 12,000 19,485
*#Showa Line, Ltd..................................... 10,000 4,041
Showa Sangyo Co., Ltd................................. 10,000 20,063
Sumitomo Construction Co., Ltd........................ 6,000 6,971
*#Sumitomo Light Metal Industries, Ltd................ 11,000 10,876
Sumitomo Precision Products Co., Ltd., Amagasaki
City................................................ 2,000 6,495
Sun Wave Corp......................................... 2,000 5,052
Taisei Rotec Corp..................................... 3,000 4,330
Takaoka Electric Manufacturing Co., Ltd., Tokyo....... 4,000 6,062
Takasago International Corp........................... 3,000 13,315
Takashima & Co., Ltd.................................. 4,000 8,083
Takiron Co., Ltd...................................... 3,000 7,145
Tamura Corp........................................... 4,000 16,628
Tasaki Shinju Co., Ltd................................ 2,000 6,062
Teisan KK............................................. 5,000 13,062
Tenma Corp............................................ 2,000 24,537
Toa Corp.............................................. 12,000 18,100
Toa Doro Kogyo Co., Ltd............................... 3,000 5,088
*Toa Wool Spinning & Weaving Co., Ltd................. 6,000 7,361
Tochigi Bank, Ltd..................................... 3,000 12,557
Toenec Corp........................................... 3,000 9,028
Toho Zinc Co., Ltd.................................... 4,000 9,382
Tokai Carbon Co., Ltd................................. 12,000 20,525
Tokai Rika Co., Ltd................................... 3,000 8,682
Tokico, Ltd........................................... 4,000 7,072
Tokin Corp............................................ 2,000 12,543
#Tokushu Paper Manufacturing Co., Ltd................. 3,000 19,529
Tokyo Kikai Seisakusho, Ltd........................... 3,000 14,939
Tokyo Rope Manufacturing Co., Ltd..................... 4,000 5,283
*Tokyo Securities Co., Ltd............................ 4,000 3,580
Tokyo Tanabe Co., Ltd., Tokyo......................... 8,000 25,115
*Tokyo Tekko Co., Ltd................................. 3,000 2,533
Tokyo Theatres Co., Inc., Tokyo....................... 6,000 7,491
Tokyu Hotel Chain Co., Ltd............................ 12,000 20,784
Tokyu Store Chain Corp................................ 4,000 16,887
Tonami Transportation Co., Ltd........................ 3,000 6,105
Topy Industries, Ltd.................................. 16,000 22,632
</TABLE>
21
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Toshiba Machine Co., Ltd.............................. 6,000 $ 14,030
Totoku Electric Co., Ltd., Tokyo...................... 3,000 5,759
Toyama Chemicals Co., Ltd............................. 6,000 21,217
Toyo Chemical Co., Ltd................................ 3,000 11,020
*Toyo Electric Co., Ltd............................... 5,000 4,907
Toyo Engineering Corp................................. 11,000 12,543
Toyo Exterior Co., Ltd................................ 3,000 29,012
Toyo Kohan Co., Ltd................................... 3,000 16,238
Toyo Tire & Rubber Co., Ltd........................... 8,000 12,990
#Toyo Umpanki Co., Ltd................................ 5,000 13,279
*Tsubaki Nakashima Co., Ltd........................... 4,000 23,383
*Tsumura & Co., Inc................................... 3,000 14,289
Unisia Jecs Corp...................................... 3,000 6,387
Wakachiku Construction Co., Ltd....................... 4,000 8,660
Yokohama Reito Co., Ltd............................... 3,000 21,650
Yomiuri Land Co., Ltd................................. 3,000 7,361
Yondenko Corp......................................... 2,100 7,138
Yonekyu Corp.......................................... 2,000 26,558
Yoshimoto Kogyo Co., Ltd.............................. 2,000 12,081
*Yuasa Corp........................................... 7,000 10,609
Yurtec Corp........................................... 4,000 22,228
Zenchiku Co., Ltd..................................... 4,000 8,631
------------
TOTAL COMMON STOCKS
(Cost $4,953,628).................................... 2,961,626
------------
INVESTMENT IN
CURRENCY -- (0.6%)
*Japanese Yen
(Cost $82,048)...................................... 82,151
------------
TOTAL -- JAPAN
(Cost $5,035,676).................................... 3,043,777
------------
UNITED KINGDOM -- (17.8%)
COMMON STOCKS -- (17.8%)
Abbot Group P.L.C..................................... 7,000 23,800
Amec P.L.C............................................ 9,172 28,942
Ash & Lacy P.L.C...................................... 7,000 19,805
BPP Holdings P.L.C.................................... 1,400 18,036
BSG International P.L.C............................... 13,300 40,341
Bellway P.L.C......................................... 4,000 26,091
Benchmark Group P.L.C................................. 5,000 21,811
Berisford P.L.C....................................... 7,000 29,108
Bespak P.L.C.......................................... 1,360 21,512
Bilton P.L.C.......................................... 4,000 17,710
Black (Peter) Holdings P.L.C.......................... 3,000 19,006
Bluebird Toys P.L.C................................... 5,000 9,417
Body Shop International P.L.C......................... 8,000 17,220
Bradstock Group P.L.C................................. 21,000 20,889
Brake Brothers P.L.C.................................. 2,430 36,654
Brammer (H.) P.L.C.................................... 1,880 22,380
British Polythene Industries P.L.C.................... 2,000 15,736
Bryant Group P.L.C.................................... 10,110 21,020
Bulmer (H.P.) Holdings P.L.C.......................... 2,002 11,737
Canadian Pizza P.L.C.................................. 12,000 24,852
Carpetright P.L.C..................................... 4,000 20,612
City Centre Restaurants P.L.C......................... 9,500 21,998
Courtaulds Textiles P.L.C............................. 4,600 22,316
Courts P.L.C.......................................... 2,320 14,755
Davis Service Group P.L.C............................. 6,666 49,623
Dawson Group P.L.C.................................... 4,000 16,503
Dawson International P.L.C............................ 10,277 8,715
Derwent Valley Holdings P.L.C......................... 2,000 18,737
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Dewhirst Group P.L.C.................................. 6,000 $ 23,336
*Dialog Corp. P.L.C................................... 8,000 18,981
Diploma P.L.C......................................... 3,000 10,812
Ellis & Everard P.L.C................................. 4,300 20,931
Euromoney Publications P.L.C.......................... 990 36,929
Eurotherm P.L.C....................................... 3,270 25,916
Finelist Group P.L.C.................................. 3,000 17,661
First Choice Holidays................................. 11,430 28,238
Forth Ports P.L.C..................................... 2,000 21,623
Geest P.L.C........................................... 3,000 28,252
Gerrard Group P.L.C................................... 3,500 23,030
Go-Ahead Group P.L.C.................................. 2,000 22,748
Graham Group P.L.C.................................... 7,000 21,289
Greene King P.L.C..................................... 2,000 23,645
Greggs P.L.C.......................................... 640 27,526
Greycoat P.L.C........................................ 6,000 23,971
Hazlewood Foods P.L.C................................. 11,000 38,566
Heywood Williams Group P.L.C.......................... 5,000 21,158
Hogg Robinson P.L.C................................... 4,770 25,241
House of Fraser P.L.C................................. 8,000 24,395
How Group P.L.C....................................... 29,000 52,493
Hunting P.L.C......................................... 5,000 21,811
Ibstock P.L.C......................................... 19,000 17,351
Iceland Group P.L.C................................... 8,000 31,766
Jardine Lloyd Thompson Group P.L.C.................... 8,790 27,450
Johnston Press P.L.C.................................. 7,010 26,921
Low & Bonar P.L.C..................................... 5,000 34,082
MacFarlane Group Clansman P.L.C....................... 6,000 15,899
Manchester United P.L.C............................... 12,000 28,766
Meggitt P.L.C......................................... 10,462 39,580
Mersey Docks & Harbour Co. P.L.C...................... 3,580 36,049
*Micro Focus Group P.L.C.............................. 3,575 32,501
Molins P.L.C.......................................... 1,360 5,522
*Oxford Molecular Group P.L.C......................... 6,530 22,255
Perkins Foods P.L.C................................... 6,688 14,505
Photo-Me International P.L.C.......................... 6,000 29,010
Polypipe P.L.C........................................ 8,000 24,591
Psion P.L.C........................................... 4,000 14,709
Quick Group P.L.C..................................... 12,738 33,755
Redrow Group P.L.C.................................... 11,000 30,763
Regent Inns P.L.C..................................... 4,000 25,178
Renishaw P.L.C........................................ 2,904 23,157
SIG P.L.C............................................. 4,300 19,108
*Salvesen (Christian) P.L.C........................... 12,000 24,461
Scholl P.L.C.......................................... 3,700 30,621
Senior Engineering Group P.L.C........................ 12,000 46,964
Shanks & McEwan Group P.L.C........................... 8,000 24,135
St. Modwen Properties P.L.C........................... 23,000 28,505
Stanley Leisure Organisation P.L.C.................... 4,000 19,242
Staveley Industries P.L.C............................. 6,000 11,888
Swan Hill Group P.L.C................................. 13,000 15,263
T & S Stores P.L.C.................................... 7,690 35,802
Taylor Nelson AGB P.L.C............................... 18,000 39,920
Tibbett & Britten Group P.L.C......................... 2,300 22,466
Tilbury Douglas P.L.C................................. 4,500 21,024
Transport Development Group P.L.C..................... 4,126 20,622
*Transport Development Group P.L.C. Series B.......... 7,300 4,226
Vardon P.L.C.......................................... 9,000 28,619
Vaux Group P.L.C...................................... 5,100 24,160
Vitec Group P.L.C..................................... 2,000 24,624
</TABLE>
22
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Vosper Thornycroft Holdings P.L.C..................... 1,460 $ 20,392
Waddington (John) P.L.C............................... 3,980 18,108
Watson & Philip P.L.C................................. 2,300 22,485
Westminster Health Care Holdings P.L.C................ 3,000 14,848
Wilson (Connolly) Holdings P.L.C...................... 8,000 21,852
Wolverhampton & Dudley Breweries P.L.C................ 2,400 20,253
Yates Brothers Wine Lodges P.L.C...................... 3,000 25,904
------------
TOTAL COMMON STOCKS
(Cost $2,007,220).................................... 2,277,180
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $1,956)....................................... 1,968
------------
TOTAL -- UNITED KINGDOM
(Cost $2,009,176).................................... 2,279,148
------------
FRANCE -- (10.4%)
COMMON STOCKS -- (10.4%)
Boiron SA............................................. 300 22,309
#Bollore Technologies SA.............................. 200 40,951
Brioche Pasquier SA................................... 200 24,704
But SA................................................ 400 25,005
*CDE (Comptoir des Entrepeneurs SA)................... 7,678 21,304
Carbone Lorraine...................................... 80 36,505
Cipe France SA........................................ 600 22,785
*Concorde Cie d'Assurances Contre les Risques de Toute
Nature SA........................................... 100 28,348
*DMC (Dollfus Mieg et Cie)............................ 300 8,269
Damart SA............................................. 30 23,167
Dassault Electronique SA.............................. 300 37,207
Dietrich et Cie....................................... 450 32,719
ECIA (Equipements et Composants pour l'Industrie
Automobile)......................................... 200 63,850
Europe 1 Communication................................ 81 19,157
Fimalac SA............................................ 330 41,369
Fonciere Lyonnaise SA................................. 200 32,092
*Fonciere Lyonnaise SA Em 98.......................... 4 607
Fraikin SA............................................ 400 31,958
GFI Industries SA..................................... 100 27,262
GTM Entrepose......................................... 500 46,634
Gaumont............................................... 403 33,209
*Generale de Geophysique SA........................... 300 50,345
*Groupe Andre SA...................................... 304 36,229
Groupe du Louvre SA................................... 700 56,173
Groupement pour le Financement de la Construction
SA.................................................. 300 33,095
Guyenne et Gascogne SA................................ 60 22,465
Havas Advertising SA.................................. 207 43,768
*Immeubles de France.................................. 400 33,095
*Immeubles de France Em 98............................ 6 490
*Infogrames Entertainment SA.......................... 500 31,591
Legris Industries SA.................................. 400 22,391
*Metaleurop SA........................................ 1,500 15,545
*Moulinex SA.......................................... 1,440 40,797
Rue Imperiale de Lyon................................. 20 25,406
SAT SA (SA des Telecommunications).................... 57 25,247
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*SFIM (Societe de Fabrication d'Instruments de
Mesure)............................................. 102 $ 17,646
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)......................... 160 29,257
Skis Rossignol SA..................................... 648 12,997
Sogeparc SA........................................... 300 22,239
Sommer-Allibert SA.................................... 900 46,709
Sopra Conseil et Assistance en Informatique SA........ 100 33,095
Strafor Facom SA...................................... 283 29,564
Sylea SA.............................................. 200 18,988
Union Immobilere de France............................ 300 24,721
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies).................................. 400 33,897
------------
TOTAL COMMON STOCKS
(Cost $945,682)...................................... 1,325,161
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*French Francs
(Cost $1,785)....................................... 1,810
------------
RIGHTS/WARRANTS -- (0.0%)
*Havas Advertising SA Warrants 05/13/01
(Cost $403)......................................... 207 609
------------
TOTAL -- FRANCE
(Cost $947,870)...................................... 1,327,580
------------
GERMANY -- (7.7%)
COMMON STOCKS -- (7.7%)
*AGIV AG fuer Industrie & Verkehrswesen............... 1,700 47,678
Aachener und Muenchener Beteiligungs AG............... 417 47,950
Andreae-Noris Zahn AG, Anzag.......................... 580 20,024
Bayerische Handelsbank AG............................. 83 28,818
*Brau und Brunnen AG.................................. 300 35,674
*Concordia Bau und Boden AG........................... 667 5,051
*DLW AG............................................... 100 17,332
DSL Holding AG........................................ 150 24,737
*Deutsche Babcock AG, Oberhausen...................... 380 26,537
Duerr Beteiligungs AG................................. 500 20,614
Dyckerhoff & Widmann AG............................... 100 13,406
Fag Kugelfischer Georg Schaeffer AG................... 1,250 20,999
*Felten & Guilleaume Energietechnik AG................ 100 13,630
Gerresheimer Glas AG.................................. 1,000 15,425
Goldschmidt AG........................................ 50 17,837
*Harpener AG.......................................... 100 18,959
Holsten-Brauerei AG, Hamburg.......................... 100 21,960
Horten AG............................................. 200 26,924
Iwka AG............................................... 100 24,316
KM Europa Metal AG.................................... 200 28,831
KWS Kleinwanzlebener Saatzucht AG..................... 15 14,724
*Kali und Salz Beteiligungs AG........................ 200 28,831
Kiekert AG............................................ 500 31,622
*Kloeckner-Werke AG................................... 400 30,290
Kraftuebertragungswerke Rheinfelden AG................ 80 22,437
Mannheimer Versicherung AG............................ 40 29,213
Phoenix AG, Hamburg................................... 1,000 22,717
</TABLE>
23
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Plettac AG............................................ 70 $ 10,327
Rheinboden Hypothekenbank AG.......................... 100 19,800
Rheinmetall Berlin AG................................. 990 32,208
Rhoen Klinikum AG..................................... 200 21,652
*Salamander AG, Kornwesteim........................... 100 18,174
*Schmalbach-Lubeca AG................................. 140 37,380
*Strabag AG........................................... 100 8,750
Tarkett AG............................................ 1,200 47,117
Varta AG.............................................. 130 25,522
*Verseidag AG......................................... 200 29,953
Vossloh AG............................................ 400 27,709
Walter AG............................................. 100 44,032
------------
TOTAL COMMON STOCKS
(Cost $849,018)...................................... 979,160
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*German Marks
(Cost $1,273)....................................... 1,280
------------
TOTAL -- GERMANY
(Cost $850,291)...................................... 980,440
------------
HONG KONG -- (4.5%)
COMMON STOCKS -- (4.0%)
ASM Pacific Technology, Ltd........................... 30,000 20,325
*Allied Group, Ltd.................................... 276,000 13,000
Allied Properties (Hong Kong), Ltd.................... 142,000 7,422
Asia Financial Holdings, Ltd.......................... 48,000 9,725
Asia Standard International Group, Ltd................ 70,000 12,737
Champion Technology Holdings, Ltd..................... 168,000 6,612
Chen Hsong Holdings, Ltd.............................. 72,000 13,844
#China Aerospace International Holdings, Ltd.......... 46,800 8,757
China Foods Holdings, Ltd............................. 30,000 8,614
China Motor Bus Co., Ltd.............................. 1,600 13,421
China-Hong Kong Photo Products Holdings, Ltd.......... 90,000 12,776
Continental Mariner Investment Co., Ltd............... 60,000 12,002
Dong-Jun Holdings, Ltd................................ 92,000 15,909
Dynamic Holdings, Ltd................................. 92,000 11,041
Elec & Eltek International Holdings, Ltd.............. 110,000 26,120
FPB Bank Holding Co., Ltd............................. 50,000 6,646
Four Seas Mercantile Holdings, Ltd.................... 60,000 26,713
Giordano International, Ltd........................... 82,000 17,143
Goldlion Holdings, Ltd................................ 37,000 8,117
Grande Holdings, Ltd.................................. 28,000 8,130
Great Wall Electronic International, Ltd.............. 142,640 4,583
Harbour Centre Development, Ltd....................... 9,000 5,575
International Bank of Asia, Ltd....................... 138,285 28,018
JCG Holdings, Ltd..................................... 28,000 8,491
Kumagai Gumi Hong Kong, Ltd........................... 27,000 13,589
Lai Sun Development Co., Ltd.......................... 86,000 19,311
Liu Chong Hing Investment, Ltd........................ 18,000 11,847
Moulin International Holdings, Ltd.................... 94,760 9,416
Ngai Lik Industrial Holdings, Ltd..................... 94,000 23,655
Oriental Press Group, Ltd............................. 85,000 9,872
QPL International Holdings, Ltd....................... 23,000 5,402
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sea Holdings, Ltd..................................... 38,000 $ 14,221
Semi-Tech (Global) Co., Ltd........................... 62,133 4,330
Shaw Brothers Hong Kong, Ltd.......................... 20,000 11,614
Shell Electric Manufacturing (Holdings) Co., Ltd...... 45,600 5,355
Shougang Concord International Enterprises Co.,
Ltd................................................. 90,000 5,401
*Silver Grant International Industries, Ltd........... 40,000 6,091
Sime Darby Hong Kong, Ltd............................. 20,000 6,840
*Star Telecom International Holdings, Ltd............. 74,000 26,023
Sun Hung Kai & Co., Ltd............................... 59,000 4,949
Tai Cheung Holdings, Ltd.............................. 25,000 6,065
Union Bank of Hong Kong, Ltd.......................... 24,000 19,512
------------
TOTAL COMMON STOCKS
(Cost $879,607)...................................... 509,214
------------
INVESTMENT IN
CURRENCY -- (0.5%)
*Hong Kong Dollars
(Cost $58,894)...................................... 58,890
------------
RIGHTS/WARRANTS -- (0.0%)
*Grande Holdings, Ltd. Warrants 10/15/00.............. 5,600 253
*Shell Electric Manufacturing (Holdings) Co., Ltd.
Warrants 05/31/99................................... 7,600 49
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 302
------------
TOTAL -- HONG KONG
(Cost $938,501)...................................... 568,406
------------
SPAIN -- (4.2%)
COMMON STOCKS -- (4.2%)
AGF Union y Fenix Seguros y Reaseguros SA............. 2,100 30,255
Amper SA.............................................. 800 20,461
*Asturiana del Zinc SA................................ 2,100 30,047
Banco de Valencia..................................... 1,000 29,937
Banco Zaragozano SA................................... 1,200 41,952
Cementos Portland SA.................................. 500 36,315
Ebro Agricolas Compania de Alimentacion SA............ 1,700 42,468
*Europistas Concesionaria Espanola SA................. 2,300 19,988
Fabricacion de Automoviles Renault de Espana SA....... 800 29,607
GESA (Gas y Electricidad SA).......................... 400 32,383
Iberica de Autopistas SA Concesionaria de Estado
Iberpistas.......................................... 1,100 30,460
*Inmobiliaria Urbis SA................................ 2,300 32,376
Portland Valderrivas SA............................... 300 37,967
Prosegur Cia de Seguridad SA.......................... 2,200 27,842
Uralita SA............................................ 1,900 26,118
Viscofan Industria Navarra de Envolturas Celulosicas
SA.................................................. 1,300 60,139
------------
TOTAL COMMON STOCKS
(Cost $346,945)...................................... 528,315
------------
</TABLE>
24
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN
CURRENCY -- (0.0%)
*Spanish Peseta
(Cost $1,114)....................................... $ 1,125
------------
TOTAL -- SPAIN
(Cost $348,059)...................................... 529,440
------------
ITALY -- (3.9%)
COMMON STOCKS -- (3.9%)
*Ansaldo Trasporti SpA................................ 7,000 15,779
*CIGA SpA (Compagnia Italiana Grandi Alberghi)........ 50,000 56,637
Cartiere Burgo SpA.................................... 4,000 35,383
Cia Assicuratrice Unipol SpA.......................... 6,000 29,542
*Dalmine SpA.......................................... 82,000 32,766
Falck (Acciaierie & Ferriere Lombarde)................ 5,000 33,868
Gewiss SpA............................................ 2,000 45,537
*Impregilo SpA........................................ 19,000 20,008
Magneti Marelli SpA................................... 15,000 38,209
*Premafin Finanziaria SpA............................. 37,000 32,013
Safilo (Sta Azionaria Fabbrica Italiana Lavorazione
Occhiali SpA)....................................... 1,000 37,568
Sorin Biomedica SpA................................... 7,500 35,519
*Tecnost SpA.......................................... 8,000 24,363
UNICEM (Unione Cementi Marchini Emiliane e di
Augusta-Casale)..................................... 3,000 32,753
Vianini Lavori SpA.................................... 10,000 27,863
------------
TOTAL COMMON STOCKS
(Cost $298,597)...................................... 497,808
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Italian Lira
(Cost $2,174)....................................... 2,181
------------
TOTAL -- ITALY
(Cost $300,771)...................................... 499,989
------------
AUSTRALIA -- (3.7%)
COMMON STOCKS -- (3.6%)
Adelaide Bank, Ltd.................................... 5,745 20,151
Ashton Mining, Ltd.................................... 22,406 15,718
*Aurora Gold, Ltd..................................... 15,600 12,898
Bank of Queensland, Ltd............................... 5,883 18,424
Capral Aluminium, Ltd................................. 8,401 14,312
*Centaur Mining & Exploration, Ltd.................... 16,005 7,619
*Cultus Petroleum NL.................................. 7,573 8,158
Evans Deakin Industries, Ltd.......................... 7,149 18,807
GWA International, Ltd................................ 9,876 17,939
Great Central Mines, Ltd.............................. 10,500 14,035
Hudson Conway, Ltd.................................... 2,329 6,273
Iama, Ltd............................................. 13,820 19,909
Incitec, Ltd.......................................... 4,766 17,015
Jupiters, Ltd......................................... 9,412 15,858
MMI, Ltd.............................................. 3,465 6,164
Metal Manufactures, Ltd............................... 7,600 10,234
North Flinders Mines, Ltd............................. 6,526 21,664
OPSM Protector, Ltd................................... 2,313 4,984
PMP Communications, Ltd............................... 8,900 16,055
Pacific BBA, Ltd...................................... 5,494 14,281
*Petsec Energy, Ltd................................... 4,391 14,824
*Resolute, Ltd........................................ 10,029 7,412
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
SGIO Insurance, Ltd................................... 19,813 $ 17,374
Savage Resources, Ltd................................. 20,705 9,467
Siddons Ramset, Ltd................................... 4,375 17,593
Simsmetal, Ltd........................................ 3,270 14,952
Sons of Gwalia, Ltd................................... 4,212 11,608
Spotless Services, Ltd................................ 28,502 21,780
*Ten Network Holdings, Ltd............................ 15,997 22,344
Westralian Sands, Ltd................................. 8,102 19,132
Wills (W.D. & H.O.) Holdings, Ltd..................... 11,484 19,421
------------
TOTAL COMMON STOCKS
(Cost $608,928)...................................... 456,405
------------
INVESTMENT IN
CURRENCY -- (0.1%)
*Australian Dollar
(Cost $19,442)...................................... 19,568
------------
RIGHTS/WARRANTS -- (0.0%)
*Ashton Mining, Ltd. Rights 07/01/98
(Cost $0)........................................... 2,240 28
------------
TOTAL -- AUSTRALIA
(Cost $628,370)...................................... 476,001
------------
MALAYSIA -- (3.5%)
COMMON STOCKS -- (3.5%)
*AMMB Holdings Berhad................................. 41,800 37,223
Arab Malaysia Corp. Berhad............................ 40,000 12,394
Asiatic Development Berhad............................ 84,000 26,028
Ban Hin Lee Bank Berhad............................... 6,000 7,155
Bandar Raya Developments Berhad....................... 11,000 2,148
Batu Kawan Berhad..................................... 10,500 13,178
Boustead Holdings Berhad.............................. 10,000 7,291
CCM Bioscience........................................ 18 13
Cahya Mata Sarawak Berhad............................. 37,000 19,461
Chemical Co. of Malaysia Berhad....................... 7,000 8,931
#Country Heights Holdings Berhad...................... 14,400 12,073
Esso Malaysia Berhad.................................. 12,000 12,561
Federal Flour Mills Berhad............................ 8,000 6,832
Gadek Capital Berhad.................................. 2,000 393
Ho Hup Construction Co. Berhad........................ 5,000 1,549
*Hock Hua Bank Berhad (Foreign)....................... 5,000 5,130
Hong Leong Industries Berhad.......................... 23,000 18,805
Hong Leong Properties Berhad.......................... 32,000 7,166
Hume Industries (Malaysia) Berhad..................... 26,000 20,581
IGB Corp. Berhad...................................... 18,000 5,577
KFC Holdings (Malaysia) Berhad........................ 10,000 11,717
Kamunting Corp. Berhad................................ 29,000 3,776
Kedah Cement Holdings Berhad.......................... 24,000 4,374
Kelang Container Terminal Berhad...................... 7,000 4,830
Kemayan Corp. Berhad.................................. 11,000 1,532
*Kuala Lumpur Industries Holdings Berhad.............. 12,000 1,578
*Landmarks Berhad..................................... 15,000 2,265
*Lingkaran Trans Kota Holdings Berhad................. 20,000 15,935
*Lingui Development Berhad............................ 22,000 7,161
Lion Land Berhad...................................... 23,000 2,665
*MBF Land Berhad...................................... 30,000 2,851
MCB Holdings Berhad................................... 25,000 3,483
Malaysia Assurance Alliance Berhad.................... 4,000 5,781
Malaysia Industrial Development Finance Berhad........ 43,000 12,428
Malaysian Plantations Berhad.......................... 15,000 3,457
</TABLE>
25
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Metroplex Berhad...................................... 50,000 $ 11,327
Mulpha International Berhad........................... 48,000 5,749
New Straits Times Press (Malaysia) Berhad............. 20,000 14,061
Olympia Industries Berhad............................. 19,000 2,276
Pelangi Berhad........................................ 56,000 21,872
Pernas International Holdings Berhad.................. 24,000 5,593
Phileo Allied Berhad.................................. 12,000 6,249
Phileo Land Berhad.................................... 9,000 2,601
*Promet Berhad........................................ 23,000 2,216
Shangri-la Hotels (Malaysia) Berhad................... 16,000 4,416
Sime UEP Properties Berhad............................ 19,000 15,040
Southern Bank Berhad (Foreign)........................ 15,000 6,952
*Southern Bank Berhad (Foreign) Issue 98.............. 18,750 7,323
Ta Enterprise Berhad.................................. 40,000 7,291
Time Engineering Berhad............................... 51,000 13,412
Tractors Malaysia Holdings Berhad..................... 12,000 4,062
Westmont Land (Asia) Berhad........................... 12,600 1,772
------------
TOTAL COMMON STOCKS
(Cost $1,014,450).................................... 440,534
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Malaysian Ringetts
(Cost $2,325)....................................... 2,290
------------
TOTAL -- MALAYSIA
(Cost $1,016,775).................................... 442,824
------------
SWITZERLAND -- (3.4%)
COMMON STOCKS -- (3.4%)
Attisholz Holding AG, Attisholz....................... 24 14,446
Danzas Holding AG..................................... 100 28,608
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg.......................................... 100 18,565
Feldschloesschen-Huerlimann Holding AG, Rheinfelden... 60 25,564
Financiere Michelin, Granges-Paccot................... 50 31,955
Forbo Holding AG, Eglisau............................. 51 29,145
Generali (Switzerland) Holdings, Adliswil............. 80 24,347
Kraftwerk Laufenburg, Laufenburg...................... 100 18,936
Oz Holding, Zuerich................................... 20 23,806
Phoenix Mecano AG, Stein am Rhein..................... 50 32,801
*Phonak Holding AG Series B........................... 20 18,936
*Porst Holding AG, Jegenstorf......................... 94 13,350
Publicitas Holding SA, Lausanne....................... 110 35,114
Schweizerische National Versicherungs Gesellschaft,
Basel............................................... 10 24,009
Sika Finanz AG, Baar.................................. 90 38,894
Von Roll Holding AG, Gerlafingen...................... 759 25,922
Zuercher Ziegeleien Holding, Zuerich.................. 27 25,290
------------
TOTAL COMMON STOCKS
(Cost $369,181)...................................... 429,688
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Swiss Francs
(Cost $1,045)....................................... 1,049
------------
TOTAL -- SWITZERLAND
(Cost $370,226)...................................... 430,737
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
SWEDEN -- (3.0%)
COMMON STOCKS -- (3.0%)
Allgon AB Series B.................................... 1,400 $ 16,984
*Argonaut AB Series B................................. 13,200 20,396
BTL AB Series B....................................... 8,200 47,540
Bergman & Beving AB Series B.......................... 1,400 31,107
Catena AB Series A.................................... 1,700 20,406
Celsius Industrier AB Series B........................ 1,400 36,292
Enator AB............................................. 1,400 44,158
Esselte AB Series A................................... 1,400 31,286
Esselte AB Series B................................... 1,100 25,846
Garphyttan Industrier AB.............................. 1,680 28,855
Lindex AB............................................. 700 28,604
Marieberg Tidnings AB Series A........................ 1,400 42,460
Rottneros Bruk AB..................................... 11,700 9,189
------------
TOTAL COMMON STOCKS
(Cost $305,977)...................................... 383,123
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Swedish Krona
(Cost $3,361)....................................... 3,338
------------
TOTAL -- SWEDEN
(Cost $309,338)...................................... 386,461
------------
DENMARK -- (2.9%)
COMMON STOCKS -- (2.9%)
Alm Brand A.S. Series B............................... 623 20,639
Bang & Olufsen Holding A.S.
Series B............................................ 450 28,822
Coloplast A.S. Series B............................... 404 38,010
DFDS A.S., Copenhagen................................. 24 22,997
Danske Traelastko..................................... 200 21,202
Falck A.S............................................. 568 32,198
GN Great Nordic, Ltd.................................. 1,600 42,360
Korn-Og Foderstof Kompagnet A.S....................... 700 17,315
Nordiske Kabel og Traadfabrikker Holding A.S.......... 277 22,840
Obel (C.W.) A.S. Series B............................. 89 15,064
Radiometer A.S. Series B.............................. 432 18,382
Sas Danmark A.S....................................... 1,739 32,262
Superfos A.S.......................................... 1,142 32,499
*Topdanmark A.S....................................... 145 25,619
------------
TOTAL COMMON STOCKS
(Cost $343,940)...................................... 370,209
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Danish Krone
(Cost $2,901)....................................... 2,911
------------
TOTAL -- DENMARK
(Cost $346,841)...................................... 373,120
------------
NETHERLANDS -- (2.8%)
COMMON STOCKS -- (2.8%)
ACF Holding NV (Certificate).......................... 800 17,720
Grolsche NV........................................... 800 22,418
Hoek's (W.A.) Machine & Zuurstoffafabriek NV.......... 300 24,071
Hollandsche Beton Groep NV............................ 1,390 29,473
Internatio-Mueller NV................................. 1,230 44,386
Koninklijke Ahrend NV................................. 1,254 40,321
</TABLE>
26
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Koninklijke Frans Maas Groep NV....................... 736 $ 27,658
Nedlloyd Groep NV, Rotterdam.......................... 900 19,934
Otra NV............................................... 1,000 18,416
Schuttersveld NV...................................... 1,284 35,086
Twentsche Kabel Holding NV............................ 606 22,924
Unique International NV............................... 710 23,784
Wegener Arcade NV .................................... 1,550 28,700
------------
TOTAL COMMON STOCKS
(Cost $297,362)...................................... 354,891
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Netherlands Guilder
(Cost $3,249)....................................... 3,230
------------
TOTAL -- NETHERLANDS
(Cost $300,611)...................................... 358,121
------------
SINGAPORE -- (1.9%)
COMMON STOCKS -- (1.9%)
Amtek Engineering, Ltd................................ 15,000 7,258
British-American Tobacco Co. (Singapore), Ltd......... 7,000 18,148
Bukit Sembawang Estates, Ltd.......................... 1,000 5,526
Comfort Group, Ltd.................................... 37,000 12,377
GK Goh Holdings....................................... 17,000 5,890
Haw Par Brothers International, Ltd................... 24,000 26,380
Hitachi Zosen (Singapore), Ltd........................ 22,000 8,542
Hotel Plaza, Ltd...................................... 25,000 5,974
Hotel Properties, Ltd................................. 32,000 11,661
Keppel Telecommunications and Transportation, Ltd..... 27,000 14,193
Kim Eng Holdings, Ltd................................. 22,000 5,388
*Neptune Orient Lines, Ltd............................ 34,000 13,405
Orchard Parade Holdings, Ltd.......................... 11,200 5,821
Overseas Union Enterprise, Ltd........................ 6,000 7,778
Robinson & Co., Ltd................................... 8,000 24,373
Scotts Holdings, Ltd.................................. 25,000 11,798
Shangri-la Hotel, Ltd................................. 7,000 8,405
Sime Singapore, Ltd................................... 49,000 12,294
Times Publishing, Ltd................................. 11,000 18,727
Tuan Sing Holdings, Ltd............................... 44,000 4,731
*Van der Horst, Ltd................................... 4,000 932
Vickers Ballas Holdings, Ltd.......................... 29,000 12,386
------------
TOTAL COMMON STOCKS
(Cost $469,556)...................................... 241,987
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $2,067)....................................... 1,993
------------
RIGHTS/WARRANTS -- (0.0%)
*Overseas Union Enterprise, Ltd. Rights 06/08/98
(Cost $0)........................................... 2,400 0
------------
TOTAL -- SINGAPORE
(Cost $471,623)...................................... 243,980
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
BELGIUM -- (1.3%)
COMMON STOCKS -- (1.3%)
Ackermans & Van Haaren SA............................. 120 $ 45,068
Afrifina.............................................. 140 24,004
CMB (Cie Martime Belge)............................... 300 22,983
Cofinimmo SA.......................................... 200 21,772
Deceuninck Plastics Industries SA..................... 130 38,740
*Immobel (Cie Immobiliere de Belgique SA)............. 200 14,152
------------
TOTAL COMMON STOCKS
(Cost $127,388)...................................... 166,719
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Belgian Francs
(Cost $2,712)....................................... 2,708
------------
TOTAL -- BELGIUM
(Cost $130,100)...................................... 169,427
------------
NEW ZEALAND -- (0.6%)
COMMON STOCKS -- (0.6%)
Enerco New Zealand, Ltd............................... 4,758 14,570
Fernz Corp., Ltd...................................... 6,407 17,149
New Zealand Refining Co., Ltd......................... 1,008 8,958
Ports of Auckland..................................... 5,962 18,512
Warehouse Group, Ltd.................................. 7,154 15,319
------------
TOTAL COMMON STOCKS
(Cost $109,898)...................................... 74,508
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $3,541)....................................... 3,149
------------
TOTAL -- NEW ZEALAND
(Cost $113,439)...................................... 77,657
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH
INVESTMENTS -- (4.6%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes
6.50%, 08/31/01, valued at $603,925) to be
repurchased at $592,259.
(Cost $592,000)...................................... $ 592 592,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $14,709,667)++................................. $ 12,779,108
------------
------------
- --------------------
+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.
27
<PAGE>
VA SHORT-TERM FIXED PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
COMMERCIAL PAPER -- (60.7%)
Abbott Laboratories C.P.
5.470%, 06/01/98................................... $ 450 $ 450,000
Barton Capital Corp. C.P.
5.520%, 06/19/98................................... 450 448,763
Bayer Corp. C.P.
5.620%, 06/01/98................................... 450 450,000
BellSouth Capital Funding Corp. C.P.
5.510%, 06/04/98................................... 450 449,793
CC (USA), Inc. C.P.
5.520%, 07/21/98................................... 450 446,587
Caisse D'Amortissement De Delte Sociale C.P.
5.630%, 06/01/98................................... 450 450,000
Ciesco L.P. C.P.
5.500%, 07/10/98................................... 450 447,333
Coca-Cola Co. C.P.
5.470%, 07/09/98................................... 450 447,402
Commonwealth Bank of Australia C.P.
5.500%, 06/04/98................................... 450 449,793
Den Norske Stats Olejeselskap A.S. C.P.
5.520%, 06/01/98................................... 450 450,000
Enterprise Funding Corp. C.P.
5.520%, 06/23/98................................... 450 448,479
General Electric Capital Corp. C.P.
5.500%, 07/22/98................................... 450 446,519
Hahn Issuing Corp. C.P.
5.540%, 06/29/98................................... 450 448,082
Kellog Corp.
5.480%, 06/01/98................................... 450 450,000
Metlife Funding, Inc. C.P.
5.500%, 06/22/98................................... 450 448,556
National Rural Utilities Cooperative Finance Corp. C.P.
5.520%, 06/05/98................................... 450 449,722
Novartis Finance Corp. C.P.
5.500%, 07/01/98................................... 450 447,930
Paccar Financial Corp. C.P.
5.480%, 06/04/98................................... 450 449,793
Sheffield Receivables Corp. C.P.
5.540%, 06/01/98................................... 450 450,000
Shell Financial U.K. P.L.C. C.P.
5.500%, 07/10/98................................... 500 497,037
Sigma Finance Corp. C.P.
5.540%, 06/15/98................................... 456 455,019
Toyota Motor Credit Corp. C.P.
5.500%, 06/10/98................................... 450 449,378
------------
TOTAL COMMERCIAL PAPER
(Cost $9,930,084).................................... 9,930,186
------------
BONDS -- (14.3%)
Canada (Government of) Bonds
6.400%, 09/10/98................................... 160 160,400
FACE
AMOUNT VALUE+
------------ ------------
(000)
Ford Motor Credit Co. Corporate Bonds
7.250%, 05/15/99................................... $ 200 $ 202,412
Illinois Tool Works, Inc. Corporate Bonds
7.500%, 12/01/98................................... 250 251,675
Michigan Bell Telephone Medium Term Notes
9.250%, 11/15/98................................... 240 243,600
Morgan Guaranty Trust Corporate Bonds
6.000%, 10/01/98................................... 150 149,979
Nippon Telegraph & Telephone Corp. Corporate Bonds
9.500%, 07/27/98................................... 300 301,500
Pepsico, Inc. Corporate Bonds
7.625%, 11/01/98................................... 300 301,686
Pitney Bowes Credit Corp. Medium Term Notes
6.305%, 09/23/98................................... 170 170,252
Sara Lee Corp. Medium Term Notes
5.500%, 12/01/98................................... 250 249,227
St. Paul Companies, Inc. Medium Term Notes
7.590%, 05/19/99................................... 300 304,518
------------
TOTAL BONDS
(Cost $2,333,327).................................... 2,335,249
------------
CERTIFICATES OF DEPOSIT -- (13.2%)
ABN-AMRO North American Certificate of Deposit
5.710%, 10/09/98................................... 400 399,920
Deutsche Bank AG Certificates of Deposit
5.820%, 05/03/99................................... 450 450,090
FCC National Bank Certificate of Deposit
5.820%, 09/18/98................................... 300 300,060
Morgan Trust Certificate of Deposit
5.800%, 07/28/98................................... 300 299,790
National Australia Bank Certificate of Deposit
5.850%, 10/05/98................................... 400 400,160
Swiss Bank Certificate of Deposit
5.805%, 10/01/98................................... 300 300,090
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $2,149,475).................................... 2,150,110
------------
VARIABLE RATE OBLIGATIONS -- (5.8%)
Abbey National Treasury Services P.L.C.
***5.536%, 06/16/98................................ 300 299,970
</TABLE>
28
<PAGE>
VA SHORT-TERM FIXED PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
<S> <C> <C>
FACE
AMOUNT VALUE+
------------ ------------
<CAPTION>
(000)
<S> <C> <C>
American Express Centurion Bank
***5.626%, 06/08/98................................ $ 300 $ 299,973
Key Bank N.A.
***5.625%, 08/20/98................................ 350 349,667
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $949,741)...................................... 949,610
------------
AGENCY OBLIGATIONS -- (1.8%)
Federal Agriculture Mortgage Corp.
7.200%, 10/15/98................................... 150 150,885
Student Loan Marketing Association
6.250%, 06/30/98................................... 150 150,071
------------
TOTAL AGENCY OBLIGATIONS
(Cost $300,764)...................................... 300,956
------------
SUPRANATIONAL OBLIGATIONS -- (0.9%)
Inter-American Development Bank
9.450%, 09/15/98
(Cost $151,434)..................................... 150 151,500
------------
TEMPORARY CASH INVESTMENTS -- (1.3%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes
5.75%, 10/31/02, valued at $216,881) to be
repurchased at $207,091.
(Cost $207,000)..................................... 207 207,000
------------
TOTAL INVESTMENTS -- (98.0%)
(Cost $16,021,825)++................................. 16,024,611
------------
OTHER ASSETS AND LIABILITIES -- (2.0%)
Other Assets.......................................... 342,944
Payable for Fund Shares Redeemed...................... (1,625)
Other Liabilities..................................... (9,719)
------------
331,600
------------
NET ASSETS -- (100.0%) Applicable to 1,621,465
Outstanding $.01 Par Value Shares (50,000,000 Shares
Authorized).......................................... $ 16,356,211
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.09
------------
------------
- --------------------
+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.
29
<PAGE>
VA GLOBAL BOND PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 1998
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
FRANCE -- (25.3%)
BONDS -- (25.3%)
Belgium (Kingdom of)
6.875%, 05/30/02................................... 1,000 $ 180,518
Caisse d'Amortissement et de Dette Sociale
5.500%, 04/25/02................................... 800 138,478
Credit Local de France SA Euro Medium Term Notes
5.375%, 10/11/01................................... 500 85,905
6.000%, 07/01/02................................... 1,000 175,671
European Investment Bank
8.500%, 02/20/02................................... 1,500 285,219
France (Government of) BTAN
5.500%, 10/12/01................................... 1,100 190,388
4.750%, 03/12/02................................... 1,000 169,069
France Telecom SA
9.000%, 07/27/01................................... 1,800 340,097
KFW International Finance, Inc.
8.750%, 06/26/02................................... 1,200 231,044
SNCF (Societe Nationale de Chemins de Fer Francais)
7.750%, 03/01/02................................... 2,200 406,628
Suedwestdeutsche Landesbank Giro & Suedwestlb Capital
Markets P.L.C.
6.000%, 03/08/02................................... 500 87,334
------------
TOTAL BONDS
(Cost $2,304,748).................................... 2,290,351
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*French Francs
(Cost $2)........................................... 2
------------
TOTAL -- FRANCE
(Cost $2,304,750).................................... 2,290,353
------------
GERMANY -- (19.1%)
BONDS -- (19.1%)
Denmark (Kingdom of)
4.750%, 01/07/02................................... 500 282,226
Deutsche Bahn Finance BV
6.875%, 07/19/02................................... 400 242,429
Germany (Republic of)
8.000%, 01/21/02................................... 550 345,495
Japan Finance Corp. for Small Business
4.500%, 08/07/02................................... 600 334,364
LB Rheinland-Pfalz Finance BV
5.375%, 02/12/02................................... 300 173,290
Minnesota Mining & Manufacturing Co.
5.000%, 10/15/01................................... 300 170,564
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
World Bank (International Bank for Reconstruction and
Development)
6.125%, 09/27/02................................... 300 $ 178,440
------------
TOTAL BONDS
(Cost $1,811,826).................................... 1,726,808
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*German Marks
(Cost $6)........................................... 6
------------
TOTAL -- GERMANY
(Cost $1,811,832).................................... 1,726,814
------------
JAPAN -- (18.9%)
BONDS -- (18.9%)
Asian Development Bank
5.000%, 02/05/03................................... 45,000 384,674
Credit Local de France SA
6.000%, 10/31/01................................... 9,000 76,363
Deutsche Siedlungs Landesrentenbank
2.600%, 07/10/02................................... 32,000 246,943
Eksportfinans ASA
2.650%, 07/10/02................................... 20,000 154,584
European Investment Bank
4.625%, 02/26/03................................... 10,000 84,401
Inter-American Development Bank
6.000%, 10/30/01................................... 25,000 212,463
2.250%, 02/05/02................................... 10,000 75,986
Nordic Investment Bank
2.600%, 06/28/02................................... 40,000 308,505
World Bank (International Bank for Reconstruction and
Development)
4.500%, 03/20/03................................... 20,000 168,412
------------
TOTAL -- JAPAN
(Cost $1,886,455).................................... 1,712,331
------------
CANADA -- (10.6%)
BONDS -- (10.6%)
British Columbia (Municipal Finance Authority)
11.200%, 10/24/00.................................. 310 242,893
KFW International Finance, Inc.
7.750%, 10/17/01................................... 250 183,424
Oesterreichische Postsparkasse PSK
10.750%, 08/08/01.................................. 400 315,555
Toyota Credit Canada, Inc.
8.000%, 12/29/00................................... 200 145,090
7.375%, 12/31/01................................... 100 72,683
------------
TOTAL BONDS
(Cost $1,003,208).................................... 959,645
------------
</TABLE>
30
<PAGE>
VA GLOBAL BOND PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
INVESTMENT IN
CURRENCY -- (0.0%)
*Canadian Dollars
(Cost $0)........................................... $ 1
------------
TOTAL -- CANADA
(Cost $1,003,208).................................... 959,646
------------
UNITED STATES -- (6.7%)
COMMERCIAL PAPER -- (6.7%)
Koch Industries, Inc. C.P.
5.620%, 06/01/98................................... 300 300,000
Sheffield Receivables Corp. C.P.
5.650%, 06/01/98................................... 300 300,000
------------
TOTAL UNITED STATES
(Cost $600,000)...................................... 600,000
------------
AUSTRALIA -- (7.1%)
BONDS -- (7.1%)
Airservices Australia
7.375%, 11/15/01................................... 250 166,891
Alberta (Province of)
7.000%, 03/20/02................................... 500 327,581
State Bank of New South Wales
11.750%, 08/16/01.................................. 200 147,957
------------
TOTAL -- AUSTRALIA
(Cost $713,170)...................................... 642,429
------------
NETHERLANDS -- (5.9%)
BONDS -- (5.9%)
Bank Nederlandse Gemeenten
7.625%, 12/16/02................................... 250 138,745
Netherlands (Kingdom of)
5.750%, 09/15/02................................... 750 390,290
------------
TOTAL BONDS
(Cost $549,982)...................................... 529,035
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Netherlands Guilder
(Cost $1)........................................... 1
------------
TOTAL -- NETHERLANDS
(Cost $549,983)...................................... 529,036
------------
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
UNITED KINGDOM -- (0.0%)
INVESTMENT IN
CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $1)........................................... $ 1
------------
TEMPORARY CASH
INVESTMENTS -- (2.0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.25%,
06/01/98 (Collateralized by U.S. Treasury Notes
5.25%, 01/31/01, valued at $191,663) to be
repurchased at $182,080.
(Cost $182,000).................................... 182 182,000
------------
TOTAL INVESTMENTS -- (95.6%)
(Cost $9,051,399)++.................................. 8,642,610
------------
OTHER ASSETS AND
LIABILITIES -- (4.4%)
Other Assets....................................... 290,475
Unrealized Gain on Forward Currency Contracts...... 120,158
Payable for Fund Shares Redeemed................... (3,368)
Other Liabilities.................................. (7,181)
------------
400,084
------------
NET ASSETS -- (100.0%) Applicable to 899,371
Outstanding $.01 Par Value Shares (100,000,000 Shares
Authorized).......................................... $ 9,042,694
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.05
------------
------------
- --------------------
+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.
31
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<CAPTION>
VA INTERNATIONAL VA INTERNATIONAL
VALUE PORTFOLIO SMALL PORTFOLIO
---------------- ----------------
<S> <C> <C>
ASSETS:
Investments at Value...................................................................... $ 22,622 $ 12,779
Collateral for Securities Lending......................................................... 883 308
Cash...................................................................................... 14 17
Receivables
Dividends and Interest.................................................................. 100 54
Investment Securities Sold.............................................................. 585 19
Prepaid Expenses and Other Assets......................................................... 11 4
---------------- ----------------
Total Assets.......................................................................... 24,215 13,181
---------------- ----------------
LIABILITIES:
Payable for Securities Lending............................................................ 883 308
Payable for Investment Securities Purchased............................................... 1,724 313
Payable for Fund Shares Redeemed.......................................................... 135 1
Accrued Expenses and Other Liabilities.................................................... 15 15
---------------- ----------------
Total Liabilities..................................................................... 2,757 637
---------------- ----------------
NET ASSETS................................................................................ $ 21,458 $ 12,544
---------------- ----------------
---------------- ----------------
SHARES OUTSTANDING $.01 PAR VALUE......................................................... 1,725,210 1,455,503
---------------- ----------------
---------------- ----------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE.................................. $ 12.44 $ 8.62
---------------- ----------------
---------------- ----------------
Investments at Cost....................................................................... $ 21,338 $ 14,710
---------------- ----------------
---------------- ----------------
</TABLE>
See accompanying Notes to Financial Statements.
32
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA SMALL VA LARGE VA INTERNATIONAL
VALUE VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
-------- -------- ----------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes withheld of
$0, $0 and $25, respectively)............... $ 71 $ 244 $ 223
Interest...................................... 14 13 20
Income from Securities Lending................ -- -- 8
-------- -------- -------
Total Investment Income................... 85 257 251
-------- -------- -------
EXPENSES
Investment Advisory Services.................. 46 35 41
Accounting & Transfer Agent Fees.............. 11 16 14
Custodians' Fees.............................. 1 2 7
Legal Fees.................................... 1 -- --
Audit Fees.................................... 1 1 1
Filing Fees................................... 1 1 1
Shareholders' Reports......................... 1 3 2
Organization Costs............................ 1 3 2
Other......................................... -- 2 2
-------- -------- -------
Total Expenses............................ 63 63 70
-------- -------- -------
NET INVESTMENT INCOME......................... 22 194 181
-------- -------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment Securities.... 1,000 989 1,493
Net Realized Gain on Foreign Currency
Transactions................................ -- -- 3
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ 523 3,049 1,657
Translation of Foreign Currency
Denominated Amounts..................... -- -- 2
-------- -------- -------
NET GAIN ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY.................................... 1,523 4,038 3,155
-------- -------- -------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................... $1,545 $4,232 $ 3,336
-------- -------- -------
-------- -------- -------
</TABLE>
See accompanying Notes to Financial Statements.
33
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1998
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA VA
INTERNATIONAL SHORT-TERM VA GLOBAL
SMALL FIXED BOND
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ---------- ---------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes withheld of
$16, $0 and $0, respectively)............... $ 134 -- --
Interest...................................... 12 $461 $ 165
Income from Securities Lending................ 4 -- --
------------- ----- ---------
Total Investment Income................... 150 461 165
------------- ----- ---------
EXPENSES
Investment Advisory Services.................. 29 20 10
Accounting & Transfer Agent Fees.............. 9 6 7
Custodians' Fees.............................. 13 1 1
Audit Fees.................................... -- 1 --
Filing Fees................................... -- 1 --
Shareholders' Reports......................... 1 2 1
Organization Costs............................ 1 1 3
Other......................................... 1 1 1
------------- ----- ---------
Total Expenses............................ 54 33 23
------------- ----- ---------
NET INVESTMENT INCOME......................... 96 428 142
------------- ----- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment Securities.... 634 17 1
Net Realized Gain (Loss) on Foreign Currency
Transactions................................ (11) -- 289
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ 453 (6) (108)
Translation of Foreign Currency
Denominated Amounts..................... (5) -- (10)
------------- ----- ---------
NET GAIN ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY.................................... 1,071 11 172
------------- ----- ---------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................... $ 1,167 $439 $ 314
------------- ----- ---------
------------- ----- ---------
</TABLE>
See accompanying Notes to Financial Statements.
34
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
VA SMALL VA LARGE
VALUE PORTFOLIO VALUE PORTFOLIO
---------------------- ----------------------
YEAR YEAR
SIX MONTHS ENDED SIX MONTHS ENDED
ENDED MAY NOV. 30, ENDED MAY NOV. 30,
31, 1998 1997 31, 1998 1997
----------- --------- ----------- ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............. $ 22 $ 59 $ 194 $ 336
Net Realized Gain on Investment
Securities...................... 1,000 1,173 989 1,627
Net Realized Loss on Foreign
Currency Transactions........... -- -- -- (1)
Change in Unrealized Appreciation
of Investment Securities........ 523 2,525 3,049 2,529
----------- --------- ----------- ---------
Net Increase in Net Assets
Resulting from Operations..... 1,545 3,757 4,232 4,491
----------- --------- ----------- ---------
Distributions From:
Net Investment Income............. (63) (22) (198) (290)
Net Realized Gains................ (1,173) (76) (1,625) (481)
----------- --------- ----------- ---------
Total Distributions........... (1,236) (98) (1,823) (771)
----------- --------- ----------- ---------
Capital Share Transactions (1):
Shares Issued..................... 3,628 9,470 7,021 11,914
Shares Issued in Lieu of Cash
Distributions................... 1,236 98 1,823 771
Shares Redeemed................... (3,195) (3,857) (7,042) (5,430)
----------- --------- ----------- ---------
Net Increase From Capital Share
Transactions.................. 1,669 5,711 1,802 7,255
----------- --------- ----------- ---------
Total Increase................ 1,978 9,370 4,211 10,975
NET ASSETS
Beginning of Period............... 17,428 8,058 24,545 13,570
----------- --------- ----------- ---------
End of Period..................... $ 19,406 $ 17,428 $ 28,756 $ 24,545
----------- --------- ----------- ---------
----------- --------- ----------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................... 236 696 424 814
Shares Issued in Lieu of Cash
Distributions.................. 89 8 121 57
Shares Redeemed.................. (207) (262) (419) (354)
----------- --------- ----------- ---------
118 442 126 517
----------- --------- ----------- ---------
----------- --------- ----------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
35
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA INTERNATIONAL VA INTERNATIONAL
VALUE PORTFOLIO SMALL PORTFOLIO
---------------------- ----------------------
YEAR YEAR
SIX MONTHS ENDED SIX MONTHS ENDED
ENDED MAY NOV. 30, ENDED MAY NOV. 30,
31, 1998 1997 31, 1998 1997
----------- --------- ----------- ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............. $ 181 $ 275 $ 96 $ 111
Net Realized Gain on Investment
Securities...................... 1,493 230 634 112
Net Realized Gain (Loss) on
Foreign Currency Transactions... 3 (15) (11) (1)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency.............. 1,657 (1,092) 453 (2,444)
Translation of Foreign Currency
Denominated Amounts........... 2 (3) (5) (1)
----------- --------- ----------- ---------
Net Increase (Decrease) in Net
Assets Resulting from
Operations.................... 3,336 (605) 1,167 (2,223)
----------- --------- ----------- ---------
Distributions From:
Net Investment Income............. (295) (100) (119) (37)
Net Realized Gains................ (227) (44) (112) (136)
----------- --------- ----------- ---------
Total Distributions........... (522) (144) (231) (173)
----------- --------- ----------- ---------
Capital Share Transactions (1):
Shares Issued..................... 4,274 9,487 3,146 7,137
Shares Issued in Lieu of Cash
Distributions................... 522 144 231 173
Shares Redeemed................... (3,762) (1,789) (1,653) (1,037)
----------- --------- ----------- ---------
Net Increase From Capital Share
Transactions.................. 1,034 7,842 1,724 6,273
----------- --------- ----------- ---------
Total Increase................ 3,848 7,093 2,660 3,877
NET ASSETS
Beginning of Period............... 17,610 10,517 9,884 6,007
----------- --------- ----------- ---------
End of Period..................... $ 21,458 $ 17,610 $ 12,544 $ 9,884
----------- --------- ----------- ---------
----------- --------- ----------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................... 360 841 382 757
Shares Issued in Lieu of Cash
Distributions.................. 50 13 32 18
Shares Redeemed.................. (305) (155) (194) (112)
----------- --------- ----------- ---------
105 699 220 663
----------- --------- ----------- ---------
----------- --------- ----------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
36
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA SHORT-TERM VA GLOBAL
FIXED PORTFOLIO BOND PORTFOLIO
---------------------- ----------------------
YEAR YEAR
SIX MONTHS ENDED SIX MONTHS ENDED
ENDED MAY NOV. 30, ENDED MAY NOV. 30,
31, 1998 1997 31, 1998 1997
----------- --------- ----------- ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............. $ 428 $ 623 $ 142 $ 239
Net Realized Gain on Investment
Securities...................... 17 13 1 25
Net Realized Gain on Foreign
Currency Transactions........... -- -- 289 409
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency.............. (6) (14) (108) (354)
Translation of Foreign Currency
Denominated Amounts........... -- -- (10) 119
----------- --------- ----------- ---------
Net Increase in Net Assets
Resulting from Operations..... 439 622 314 438
----------- --------- ----------- ---------
Distributions From:
Net Investment Income............. (415) (595) (662) (388)
Net Realized Gains................ (12) -- (25) (93)
----------- --------- ----------- ---------
Total Distributions........... (427) (595) (687) (481)
----------- --------- ----------- ---------
Capital Share Transactions (1):
Shares Issued..................... 3,111 9,723 2,171 5,358
Shares Issued in Lieu of Cash
Distributions................... 427 595 687 481
Shares Redeemed................... (2,330) (2,998) (515) (2,426)
----------- --------- ----------- ---------
Net Increase From Capital Share
Transactions.................. 1,208 7,320 2,343 3,413
----------- --------- ----------- ---------
Total Increase................ 1,220 7,347 1,970 3,370
NET ASSETS
Beginning of Period............... 15,136 7,789 7,073 3,703
----------- --------- ----------- ---------
End of Period..................... $ 16,356 $ 15,136 $ 9,043 $ 7,073
----------- --------- ----------- ---------
----------- --------- ----------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................... 286 967 218 513
Shares Issued in Lieu of Cash
Distributions.................. 43 59 70 47
Shares Redeemed.................. (209) (298) (51) (230)
----------- --------- ----------- ---------
120 728 237 330
----------- --------- ----------- ---------
----------- --------- ----------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
37
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
VA SMALL VA LARGE
VALUE PORTFOLIO VALUE PORTFOLIO
----------------------------------------------- --------------------------------------------
SIX MONTHS YEAR YEAR OCT. 3, SIX YEAR YEAR JAN. 13,
ENDED ENDED ENDED TO MONTHS ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, ENDED MAY NOV. 30, NOV. 30, NOV. 30,
1998 1997 1997 1995 31, 1998 1997 1996 1995
----------- -------- -------- ----------- --------- -------- --------- ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period.... $ 15.45 $ 11.75 $ 9.69 $ 10.00 $ 16.08 $ 13.46 $ 11.29 $ 10.00
----------- -------- -------- ----------- --------- -------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income.. 0.02 0.06 0.03 0.01 0.12 0.24 0.17 0.19
Net Gains (Losses) on
Securities (Realized
and Unrealized)...... 1.22 3.78 2.05 (0.31) 2.37 3.07 2.12 1.85
----------- -------- -------- ----------- --------- -------- --------- ---------
Total from Investment
Operations......... 1.24 3.84 2.08 (0.30) 2.49 3.31 2.29 2.04
----------- -------- -------- ----------- --------- -------- --------- ---------
LESS DISTRIBUTIONS
Net Investment Income.. (0.06) (0.03) (0.02) (0.01) (0.12) (0.23) (0.12) (0.16)
Net Realized Gains..... (1.05) (0.11) -- -- (1.04) (0.46) -- (0.59)
----------- -------- -------- ----------- --------- -------- --------- ---------
Total
Distributions...... (1.11) (0.14) (0.02) (0.01) (1.16) (0.69) (0.12) (0.75)
----------- -------- -------- ----------- --------- -------- --------- ---------
Net Asset Value, End of
Period................. $ 15.58 $ 15.45 $ 11.75 $ 9.69 $ 17.41 $ 16.08 $ 13.46 $ 11.29
----------- -------- -------- ----------- --------- -------- --------- ---------
----------- -------- -------- ----------- --------- -------- --------- ---------
Total Return............. 8.79%# 33.02% 21.47% (3.04)%# 16.68%# 25.72% 20.45% 20.41%#
Net Assets, End of Period
(thousands)............ $19,406 $ 17,428 $ 8,058 $ 4,848 $28,756 $ 24,545 $ 13,570 $ 6,562
Ratio of Expenses to
Average Net Assets..... 0.69%* 0.71% 1.05% 0.99%* 0.46%* 0.48% 1.03% 1.20%*
Ratio of Net Investment
Income to Average Net
Assets................. 0.24%* 0.45% 0.34% 0.91%* 1.40%* 1.71% 1.59% 2.03%*
Portfolio Turnover
Rate................... 21.61%* 21.18% 5.19% 0.00%* 21.84%* 20.49% 18.54% 65.38%*
Average Commission Rate.. $0.0488 $ 0.0549 $0.0678 N/A $0.0409 $ 0.0479 $ 0.0484 N/A
</TABLE>
- ----------------
* Annualized
# Non-Annualized
See accompanying Notes to Financial Statements.
38
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA INTERNATIONAL VA INTERNATIONAL
VALUE PORTFOLIO SMALL PORTFOLIO
----------------------------------------------- ------------------------------------------------
SIX MONTHS YEAR YEAR OCT. 3, SIX MONTHS YEAR YEAR OCT. 3,
ENDED ENDED ENDED TO ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, MAY 31, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1998 1997 1996 1995
----------- ----------- -------- -------- ----------- ----------- -------- ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period.... $ 10.87 $ 11.41 $ 10.03 $10.00 $ 7.99 $ 10.48 $ 9.71 $ 10.00
----------- ----------- -------- -------- ----------- ----------- -------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss)............... 0.10 0.17 0.11 -- 0.06 0.09 0.06 (0.01)
Net Gains (Losses) on
Securities (Realized
and Unrealized)...... 1.79 (0.56) 1.29 0.03 0.75 (2.30) 0.71 (0.28)
----------- ----------- -------- -------- ----------- ----------- -------- ---------
Total from Investment
Operations......... 1.89 (0.39) 1.40 0.03 0.81 (2.21) 0.77 (0.29)
----------- ----------- -------- -------- ----------- ----------- -------- ---------
LESS DISTRIBUTIONS
Investment Income...... (0.18) (0.10) -- -- (0.09) (0.06) -- --
Net Realized Gains..... (0.14) (0.05) (0.02) -- (0.09) (0.22) -- --
----------- ----------- -------- -------- ----------- ----------- -------- ---------
Total
Distributions...... (0.32) (0.15) (0.02) -- (0.18) (0.28) -- --
----------- ----------- -------- -------- ----------- ----------- -------- ---------
Net Asset Value, End of
Period................. $ 12.44 $ 10.87 $ 11.41 $10.03 $ 8.62 $ 7.99 $ 10.48 $ 9.71
----------- ----------- -------- -------- ----------- ----------- -------- ---------
----------- ----------- -------- -------- ----------- ----------- -------- ---------
Total Return............. 17.92%# (3.45)% 13.92% 0.30%# 10.55%# (21.54)% 7.93% (2.90)%#
Net Assets, End of Period
(thousands)............ $21,458 $ 17,610 $ 10,517 $5,014 $12,544 $ 9,884 $ 6,007 $ 4,856
Ratio of Expenses to
Average Net Assets..... 0.69%* 0.76% 1.17% 1.32%* 0.94%* 0.99% 1.27% 2.52%*
Ratio of Net Investment
Income to Average Net
Assets................. 1.78%* 1.83% 1.29% (0.20)%* 1.68%* 1.32% 0.63% (0.39)%*
Portfolio Turnover
Rate................... 33.82%* 7.95% 4.14% 0.00%* 27.88%* 8.57% 6.40% 0.00%*
Average Commission Rate.. $0.0144 $ 0.0079 $ 0.0080 N/A $0.0082 $0.0118 $ 0.0200 N/A
</TABLE>
- ----------------
* Annualized
# Non-Annualized
See accompanying Notes to Financial Statements.
39
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA SHORT-TERM VA GLOBAL
FIXED PORTFOLIO BOND PORTFOLIO
----------------------------------------------- --------------------------------------------
SIX MONTHS YEAR YEAR OCT. 3, SIX YEAR YEAR JAN. 13,
ENDED ENDED ENDED TO MONTHS ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, ENDED MAY NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 31, 1998 1997 1996 1995
----------- -------- -------- ----------- --------- -------- --------- ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period.... $ 10.08 $ 10.08 $10.04 $ 10.00 $ 10.69 $ 11.14 $ 10.61 $ 10.00
----------- -------- -------- ----------- --------- -------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment
Income............... 0.27 0.53 0.48 0.08 0.23 0.42 0.37 0.48
Net Gains on Securities
(Realized and
Unrealized).......... 0.01 -- 0.04 -- 0.16 0.34 0.57 0.81
----------- -------- -------- ----------- --------- -------- --------- ---------
Total from Investment
Operations......... 0.28 0.53 0.52 0.08 0.39 0.76 0.94 1.29
----------- -------- -------- ----------- --------- -------- --------- ---------
LESS DISTRIBUTIONS
Net Investment
Income............... (0.26) (0.53) (0.48) (0.04) (0.99) (0.94) (0.41) (0.57)
Net Realized Gains..... (0.01) -- -- -- (0.04) (0.27) -- (0.11)
----------- -------- -------- ----------- --------- -------- --------- ---------
Total
Distributions...... (0.27) (0.53) (0.48) (0.04) (1.03) (1.21) (0.41) (0.68)
----------- -------- -------- ----------- --------- -------- --------- ---------
Net Asset Value, End of
Period................. $ 10.09 $ 10.08 $10.08 $ 10.04 $ 10.05 $ 10.69 $ 11.14 $ 10.61
----------- -------- -------- ----------- --------- -------- --------- ---------
----------- -------- -------- ----------- --------- -------- --------- ---------
Total Return............. 2.84%# 5.46% 5.34% 0.81%# 4.00%# 7.58% 9.16% 13.09%#
Net Assets, End of Period
(thousands)............ $16,356 $ 15,136 $7,789 $ 5,041 $ 9,043 $ 7,073 $ 3,703 $ 3,393
Ratio of Expenses to
Average Net Assets..... 0.41%* 0.43% 0.70% 0.63%* 0.58%* 0.65% 1.73% 1.31%*
Ratio of Net Investment
Income to Average Net
Assets................. 5.34%* 5.44% 4.93% 5.11%* 3.63%* 4.09% 3.43% 5.08%*
Portfolio Turnover
Rate................... 0.00%* 72.92% 29.27% 0.00%* 48.70%* 58.35% 88.93% 60.09%*
</TABLE>
- ----------------
(Restated to reflect a 900% stock dividend as of January 2, 1996.)
* Annualized
# Non-Annualized
See accompanying Notes to Financial Statements.
40
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company. The Fund offers thirty portfolios, six of which (the "VA
Portfolios") are included in this report. Of the remaining twenty-four
portfolios, twenty-three are presented in separate reports and the remaining
portfolio has not yet commenced operations. The VA Portfolios are only available
through a select group of insurance products.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by VA Small Value Portfolio and VA
Large Value Portfolio (the "Domestic Equity Portfolios") which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such reported
sale, at the mean between the most recent bid and asked prices. Securities held
by VA International Value Portfolio and VA International Small Portfolio (the
"International Equity Portfolios") which are listed on a securities exchange are
valued at the last quoted sale price. Price information on listed securities is
taken from the exchange where the security is primarily traded.
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. Securities for
which quotations are not readily available are valued in good faith at fair
value using methods determined by the Board of Directors.
Securities held by VA Short-Term Fixed Portfolio and VA Global Bond
Portfolio are valued on the basis of prices provided by a pricing service when
such prices are believed to reflect the fair market value of such securities.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Directors.
2. FOREIGN CURRENCY: Securities, other assets and liabilities of the
International Equity Portfolios and VA Global Bond Portfolio whose values are
initially expressed in foreign currencies are translated to U.S. dollars at the
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. VA Global Bond Portfolio also enters into forward
foreign currency contracts solely for the purpose of hedging against
fluctuations in currency exchange rates. These contracts are also marked to
market daily based on daily exchange rates.
The International Equity Portfolios do not generally isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, VA Global
Bond Portfolio does isolate the effect of fluctuations in foreign currency rates
when determining the gain or loss upon 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
41
<PAGE>
securities transactions, and the difference between amount of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and VA Global Bond Portfolio and the U.S. dollar
equivalent amounts actually received or paid.
3. FEDERAL INCOME TAXES: It is the VA Portfolios' intention to continue to
qualify as a regulated investment company and distribute all of their taxable
income. Accordingly, no provision for Federal taxes is required in the financial
statements.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on the accrual basis. Discount and
premium on debt securities purchased are amortized over the lives of the
respective securities. Expenses directly attributable to a VA Portfolio are
directly charged. Common expenses are allocated using methods determined by the
Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or "the Advisor") provides investment
advisory services to the VA Portfolios. For the six months ended May 31, 1998,
the VA Portfolios' advisory fees were computed daily and paid monthly to the
Advisor based on the following effective annual rates:
<TABLE>
<S> <C>
VA Small Value Portfolio................................. 0.50 of 1%
VA Large Value Portfolio................................. 0.25 of 1%
VA International Value Portfolio......................... 0.40 of 1%
VA International Small Portfolio......................... 0.50 of 1%
VA Short-Term Fixed Portfolio............................ 0.25 of 1%
VA Global Bond Portfolio................................. 0.25 of 1%
</TABLE>
Certain officers of the VA Portfolios are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1998, the VA Portfolios made the following
purchases and sales of investment securities (amounts in thousands):
<TABLE>
<CAPTION>
U.S. OTHER
GOVERNMENT INVESTMENT
SECURITIES SECURITIES
------------------------ ----------------------
PURCHASES SALES PURCHASES SALES
------------- --------- ----------- ---------
<S> <C> <C> <C> <C>
VA Small Value Portfolio....................................................... -- -- $ 3,149 $ 1,971
VA Large Value Portfolio....................................................... -- -- 3,096 2,959
VA International Value Portfolio............................................... -- -- 3,259 3,359
VA International Small Portfolio............................................... -- -- 2,963 1,526
VA Short-Term Fixed Portfolio.................................................. -- -- -- 2,905
VA Global Bond Portfolio....................................................... -- -- 3,112 1,695
</TABLE>
42
<PAGE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1998, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities and foreign currencies was as
follows (amounts in thousands):
<TABLE>
<CAPTION>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
----------------- ----------------- ---------
<S> <C> <C> <C>
VA Small Value Portfolio.................................................... $ 5,278 $ (1,310) $ 3,968
VA Large Value Portfolio.................................................... 7,865 (480) 7,385
VA International Value Portfolio............................................ 4,894 (3,610) 1,284
VA International Small Portfolio............................................ 1,811 (3,742) (1,931)
VA Short-Term Fixed Portfolio............................................... 4 (1) 3
VA Global Bond Portfolio.................................................... -- (409) (409)
</TABLE>
F. FINANCIAL INSTRUMENTS:
In accordance with the VA Portfolios' Investment Objectives and Policies,
the VA Portfolios may invest in certain financial instruments which have
off-balance sheet risk and concentrations of credit risk. These instruments and
their significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The VA Portfolios may purchase money market
instruments subject to the seller's agreement to repurchase them at an agreed
upon date and price. The seller will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Fund's custodian or a third party sub-custodian. All open repurchase
agreements were entered into on May 29, 1998.
2. FORWARD CURRENCY CONTRACTS: VA Global Bond Portfolio may enter into
forward foreign currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies. At May 31, 1998, VA
Global Bond Portfolio had entered into the following contracts and the related
net unrealized foreign exchange gain is reflected in the accompanying financial
statements:
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION CONTRACT VALUE AT MAY EXCHANGE
DATE CURRENCY SOLD AMOUNT 31, 1998 GAIN (LOSS)
- ---------- ---------------------------------------- ------------- ------------- ------------
<C> <C> <S> <C> <C> <C>
06/11/98 241,474,809 Japanese Yen $ 1,817,406 $ 1,742,682 $ 74,724
06/22/98 1,057,083 Australian Dollars 656,871 662,104 (5,233)
06/26/98 14,071,054 French Francs 2,377,791 2,351,929 25,862
06/29/98 3,184,232 German Marks 1,811,564 1,786,095 25,469
06/30/98 1,465,573 Canadian Dollars 1,006,732 1,007,295 (563)
06/30/98 1,108,215 Netherlands Guilders 551,502 551,603 (101)
------------- ------------- ------------
$ 8,221,866 $ 8,101,708 $ 120,158
------------- ------------- ------------
------------- ------------- ------------
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter-parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. VA Global Bond Portfolio will enter into forward contracts only for
hedging purposes.
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
43
<PAGE>
G. 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 by the VA Portfolios were as follows:
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED INTEREST
AVERAGE AVERAGE LOAN NUMBER OF DAYS EXPENSE
INTEREST RATE BALANCE OUTSTANDING INCURRED
--------------- -------------- ----------------- -------------
<S> <C> <C> <C> <C>
VA Small Value Portfolio........................ 5.93% $ 60,167 6 $ 89
VA Large Value Portfolio........................ 5.94% 231,462 22 993
VA International Value Portfolio................ 5.95% 418,000 10 691
<CAPTION>
MAXIMUM AMOUNT
BORROWED DURING
THE PERIOD
-----------------
<S> <C>
VA Small Value Portfolio........................ $ 81,000
VA Large Value Portfolio........................ 612,500
VA International Value Portfolio................ 600,000
</TABLE>
There were no outstanding borrowings under the line of credit at May 31,
1998.
H. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
AT MAY 31, 1998 NET ASSETS CONSIST OF:
(AMOUNTS IN THOUSANDS)
---------------------------------------------------
VA SMALL VA LARGE VA INTERNATIONAL
VALUE VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- --------------- ----------------
<S> <C> <C> <C>
Paid-In Capital.......................................................... $ 14,428 $ 20,288 $ 18,528
Undistributed Net Investment Income...................................... 10 94 138
Undistributed Net Realized Gain.......................................... 1,000 989 1,502
Accumulated Net Realized Foreign Exchange Gain........................... -- -- 3
Unrealized Appreciation of Investment Securities and Foreign Currency.... 3,968 7,385 1,284
Unrealized Net Foreign Exchange Gain..................................... -- -- 3
-------- --------------- --------
$ 19,406 $ 28,756 $ 21,458
-------- --------------- --------
-------- --------------- --------
<CAPTION>
VA INTERNATIONAL VA SHORT-TERM VA GLOBAL
SMALL FIXED BOND
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- --------------- ----------------
<S> <C> <C> <C>
Paid-In Capital.......................................................... $ 13,770 $ 16,264 $ 9,097
Undistributed Net Investment Income (Loss)............................... 85 72 (63)
Undistributed Net Realized Gain.......................................... 634 17 1
Undistributed Net Realized Foreign Exchange Gain (Loss).................. (11) -- 289
Unrealized Appreciation (Depreciation) of Investment Securities and
Foreign Currency....................................................... (1,931) 3 (409)
Unrealized Net Foreign Exchange Gain (Loss).............................. (3) -- 128
-------- --------------- --------
$ 12,544 $ 16,356 $ 9,043
-------- --------------- --------
-------- --------------- --------
</TABLE>
I. SECURITIES LENDING:
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
44
<PAGE>
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 Salomon
Brothers, 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
OVERNIGHT
VALUE OF VALUE OF COLLATERAL REPURCHASE
SECURITIES AND INDEMNIFICATION AGREEMENTS
------------- -------------------- ------------------
<S> <C> <C> <C>
VA International Value Portfolio..................................... $ 848,096 $ 882,798 $ 902,457
VA International Small Portfolio..................................... 285,722 307,980 314,894
</TABLE>
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