<PAGE>
- --------------------------------------------------------------------------------
DFA Investment Dimensions Group Inc.
and
The DFA Investment Trust Company
ANNUAL
REPORT
Year Ended November 30, 1997
---------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<S> <C>
Performance Charts.................................................... 1-7
Schedules of Investments
The U.S. 9-10 Small Company Portfolio............................. 8-32
The U.S. 6-10 Small Company Portfolio............................. 33
The U.S. Large Company Portfolio.................................. 33
The Enhanced U.S. Large Company Portfolio......................... 33
The U.S. 6-10 Value Portfolio..................................... 33
The U.S. Large Cap Value Portfolio................................ 33
The DFA Real Estate Securities Portfolio.......................... 34-35
The Japanese Small Company Portfolio.............................. 36
The Pacific Rim Small Company Portfolio........................... 36
The United Kingdom Small Company Portfolio........................ 36
The Continental Small Company Portfolio........................... 36
The International Small Company Portfolio......................... 37
The RWB/DFA International High Book to Market Portfolio........... 37
The Emerging Markets Portfolio.................................... 37
The Large Cap International Portfolio............................. 38-42
The DFA International Small Cap Value Portfolio................... 43-58
The DFA Intermediate Government Fixed Income Portfolio............ 59
The DFA One-Year Fixed Income Portfolio........................... 60
The DFA Five-Year Government Portfolio............................ 60
The DFA Two-Year Global Fixed Income Portfolio.................... 60
The DFA Global Fixed Income Portfolio............................. 61-62
Statements of Assets and Liabilities.................................. 63-65
Statements of Operations.............................................. 66-71
Statements of Changes in Net Assets................................... 72-78
Financial Highlights.................................................. 79-92
Notes to Financial Statements......................................... 93-100
Report of Independent Accountants..................................... 101
</TABLE>
This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
i
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<S> <C>
Performance Charts.................................................... 102-106
Statements of Net Assets
The U.S. 6-10 Small Company Series................................ 107-138
The U.S. Large Company Series..................................... 139-143
The Enhanced U.S. Large Company Series............................ 144-145
The U.S. 6-10 Value Series........................................ 146-161
The U.S. Large Cap Value Series................................... 162-163
The Japanese Small Company Series................................. 164-170
The Pacific Rim Small Company Series.............................. 171-182
The United Kingdom Small Company Series........................... 183-189
The Continental Small Company Series.............................. 190-200
The DFA International Value Series................................ 201-208
The Emerging Markets Series....................................... 209-216
The Emerging Markets Small Cap Series............................. 217-222
The DFA One-Year Fixed Income Series.............................. 223-225
The DFA Two-Year Global Fixed Income Series....................... 226-228
Statements of Operations.............................................. 229-231
Statements of Changes in Net Assets................................... 232-238
Financial Highlights.................................................. 239-244
Notes to Financial Statements......................................... 245-251
Report of Independent Accountants..................................... 252
</TABLE>
ii
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
U.S. 9-10 SMALL COMPANY PORTFOLIO VS.
CRSP 9-10 INDEX
DECEMBER 1987-NOVEMBER 1997
GROWTH OF $10,000
U.S. 9-10 CRSP 9-10 INDEX
SMALL COMPANY PORTFOLIO
<S> <C> <C> <C>
$10,000 $10,000
Dec-87 $10,520 $10,320
$11,105 $11,102
$11,949 $11,851
$12,436 $12,351
$12,696 $12,526
$12,469 $12,197
$13,107 $12,839
$13,075 $12,818
$12,753 $12,539
$13,043 $12,724
$12,882 $12,520
$12,319 $12,049
Dec-88 $12,805 $12,376
$13,322 $12,969
$13,432 $13,065
$13,913 $13,366
$14,302 $13,706
$14,819 $14,098
$14,523 $13,954
$15,114 $14,381
$15,298 $14,669
$15,298 $14,694
$14,374 $13,749
$14,301 $13,632
Dec-89 $14,109 $13,394
$13,031 $12,539
$13,275 $12,716
$13,764 $12,975
$13,397 $12,572
$14,149 $13,073
$14,353 $13,161
$13,805 $12,588
$12,015 $10,964
$11,019 $9,938
$10,389 $9,279
$10,857 $9,641
Dec-90 $11,067 $9,639
$11,998 $10,630
$13,333 $12,175
$14,240 $13,149
$14,288 $13,331
$14,766 $13,685
$14,050 $13,148
$14,621 $13,611
$15,003 $14,026
$15,051 $14,204
$15,528 $14,533
$15,100 $14,027
Dec-91 $16,007 $14,615
$17,813 $16,642
$18,618 $17,537
$18,154 $17,125
$17,423 $16,322
$17,398 $16,341
$16,495 $15,491
$17,105 $15,986
$16,715 $15,533
$16,934 $15,780
$17,373 $16,214
$18,911 $17,787
Dec-92 $19,745 $18,418
$20,817 $19,485
$20,442 $18,939
$21,033 $19,490
$20,389 $18,892
$21,086 $19,610
$21,006 $19,645
$21,355 $19,950
$22,079 $20,796
$22,777 $21,436
$23,849 $22,437
$23,432 $21,820
Dec-93 $23,887 $22,075
$25,363 $23,173
$25,304 $23,085
$24,176 $21,963
$24,321 $21,747
$24,292 $21,730
$23,655 $21,154
$24,091 $21,260
$24,902 $22,210
$25,164 $22,568
$25,453 $22,701
$24,624 $21,825
Dec-94 $24,628 $21,567
$25,325 $22,173
$25,964 $22,894
$26,340 $23,306
$27,267 $23,949
$28,080 $24,466
$29,675 $25,886
$31,589 $27,527
$32,720 $28,633
$33,358 $29,315
$31,733 $27,799
$32,342 $28,252
Dec-95 $33,115 $28,603
$33,208 $29,003
$34,434 $29,891
$35,219 $30,742
$38,205 $33,343
$41,067 $35,731
$38,677 $33,615
$35,029 $30,694
$36,697 $32,177
$37,765 $33,248
$37,104 $32,513
$38,172 $33,307
Dec-96 $38,951 $33,996
$40,587 $35,784
$39,751 $35,169
$37,803 $33,175
$36,760 $31,848
$40,517 $35,361
$42,534 $37,175
$45,108 $39,271
$47,404 $41,054
$51,405 $44,942
$49,420 $43,639
Nov-97 $48,654 $42,748
Annualized One Five Ten
Total Return (%) Year Years Years
27.46 20.80 17.14
The portfolio seeks to capture premium returns and diversification
benefits by investing in a broad cross-section of small companies on a
market cap-weighted basis. The portfolio provides access to publicly
traded U.S. small companies with a market capitalization of
approximately $150 million or less.
The portfolio's return in fiscal 1997 reflected the performance of
decile 9-10 companies in the U.S.
Past performance is not predictive of future performance.
CRSP 9-10 Index courtesy of the Center for Research in Security
Prices, University of Chicago.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
U.S. 6-10 SMALL COMPANY PORTFOLIO VS.
CRSP 6-10 INDEX
APRIL 1992-NOVEMBER 1997
GROWTH OF $10,000
U.S. 6-10 CRSP 6-10 INDEX
SMALL COMPANY PORTFOLIO
<S> <C> <C> <C>
$10,000 $10,000
Apr-92 $9,588 $9,606
$9,567 $9,677
$9,103 $9,289
$9,505 $9,649
$9,309 $9,383
$9,464 $9,587
$9,763 $9,892
$10,670 $10,729
$11,079 $11,096
$11,454 $11,511
$11,193 $11,229
$11,454 $11,581
Apr-93 $11,099 $11,231
$11,547 $11,743
$11,495 $11,788
$11,579 $11,928
$11,975 $12,478
$12,288 $12,837
$12,548 $13,234
$12,240 $12,827
$12,592 $13,215
$12,970 $13,671
$12,873 $13,590
$12,247 $12,850
Apr-94 $12,269 $12,798
$12,204 $12,683
$11,848 $12,355
$12,021 $12,568
$12,593 $13,287
$12,657 $13,335
$12,700 $13,322
$12,267 $12,806
$12,423 $12,974
$12,496 $12,996
$12,908 $13,476
$13,151 $13,764
Apr-95 $13,576 $14,123
$13,854 $14,380
$14,557 $15,173
$15,453 $16,141
$15,889 $16,559
$16,180 $16,913
$15,343 $16,050
$15,794 $16,609
$16,172 $17,019
$16,211 $17,132
$16,752 $17,712
$17,114 $18,127
Apr-96 $18,250 $19,490
$19,192 $20,439
$18,315 $19,505
$16,791 $17,703
$17,772 $18,756
$18,326 $19,529
$18,055 $19,158
$18,752 $19,740
$19,029 $20,137
$19,659 $20,864
$19,239 $20,365
$18,329 $19,257
Apr-97 $18,118 $18,938
$20,176 $21,347
$21,213 $22,657
$22,473 $23,897
$23,300 $24,731
$25,092 $26,811
$24,000 $25,762
Nov-97 $23,636 $25,327
Annualized One Five From
Total Return (%) Year Years April 1992
26.04 17.24 16.39
The portfolio seeks to capture premium returns and diversification
benefits by investing in the U.S. 6-10 Small Company Series of the DFA
Investment Trust Company which in turn invests in a broad cross-section
of U.S. small companies on a market cap-weighted basis.
The portfolio's return in fiscal 1997 reflected the performance of
decile
6-10 companies in the U.S.
Past performance is not predictive of future performance.
CRSP 6-10 Index courtesy of the Center for Research in Security Prices,
University of Chicago.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500 INDEX
JANUARY 1991-NOVEMBER 1997
GROWTH OF $10,000
U.S. LARGE S&P 500 INDEX
COMPANY PORTFOLIO
<S> <C> <C> <C>
$10,000 $10,000
Jan-91 $10,440 $10,442
$11,180 $11,190
$11,441 $11,456
$11,461 $11,488
$11,954 $11,980
$11,409 $11,432
$11,936 $11,967
$12,220 $12,249
$12,008 $12,048
$12,171 $12,209
$11,680 $11,716
$13,012 $13,055
Jan-92 $12,774 $12,812
$12,939 $12,976
$12,690 $12,722
$13,053 $13,092
$13,126 $13,163
$12,928 $12,972
$13,440 $13,495
$13,168 $13,222
$13,315 $13,374
$13,357 $13,422
$13,810 $13,875
$13,963 $14,056
Jan-93 $14,069 $14,159
$14,250 $14,350
$14,546 $14,659
$14,184 $14,299
$14,557 $14,686
$14,590 $14,734
$14,526 $14,665
$15,064 $15,223
$14,957 $15,111
$15,259 $15,418
$15,117 $15,273
$15,306 $15,460
Jan-94 $15,800 $15,978
$15,372 $15,547
$14,711 $14,871
$14,910 $15,064
$15,141 $15,310
$14,774 $14,931
$15,251 $15,426
$15,872 $16,053
$15,504 $15,667
$15,839 $16,025
$15,275 $15,437
$15,503 $15,663
Jan-95 $15,898 $16,070
$16,518 $16,693
$16,995 $17,187
$17,481 $17,688
$18,184 $18,386
$18,606 $18,818
$19,220 $19,445
$19,255 $19,498
$20,077 $20,314
$19,996 $20,243
$20,856 $21,134
$21,250 $21,525
Jan-96 $21,979 $22,265
$22,164 $22,479
$22,381 $22,695
$22,706 $23,029
$23,273 $23,623
$23,366 $23,720
$22,327 $22,664
$22,804 $23,145
$24,072 $24,445
$24,727 $25,115
$26,587 $27,021
$26,058 $26,492
Jan-97 $27,681 $28,137
$27,894 $28,365
$26,742 $27,185
$28,336 $28,808
$30,047 $30,577
$31,387 $31,940
$33,883 $34,476
$31,995 $32,559
$33,739 $34,344
$32,612 $33,197
Nov-97 $34,096 $34,734
Annualized One Five From
Total Return (%) Year Years January 1991
28.25 19.81 19.40
The portfolio provides access to U.S. large companies by investing in
the
U.S. Large Company Series of the DFA Investment Trust Company
which in turn invests primarily in the securities comprising the
S&P 500 Index.
The portfolio's return in fiscal 1997 reflected the performance of
the S&P 500 Index.
Past performance is not predictive of future performance.
</TABLE>
1
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
ENHANCED U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500 INDEX
AUGUST 1996-NOVEMBER 1997
GROWTH OF $10,000
ENHANCED U.S. S&P 500 INDEX
LARGE COMPANY PORTFOLIO
<S> <C> <C>
$10,000 $10,000
Aug-96 $10,203 $10,212
$10,802 $10,786
$11,167 $11,081
$12,010 $11,923
$11,709 $11,689
$12,455 $12,415
Feb-97 $12,553 $12,515
$11,947 $11,995
$12,697 $12,711
$13,525 $13,491
$14,105 $14,093
$15,242 $15,212
Aug-97 $14,407 $14,366
$15,156 $15,153
$14,730 $14,647
Nov-97 $15,279 $15,325
Annualized One From
Total Return (%) Year August 1996
27.22 37.43
The portfolio invests in the Enhanced U.S. Large Company
Series of the DFA Investment Trust Company, which in turn seeks
to capture return premiums associated with an enhanced cash
portfolio in combination with the S&P 500 Index futures and swaps.
The portfolio's returns in fiscal 1997 reflected the performance of
its strategy.
Past performance is not predictive of future performance.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
U.S. 6-10 VALUE PORTFOLIO VS.
FAMA-FRENCH SMALL CAP VALUE INDEX
APRIL 1993-NOVEMBER 1997
GROWTH OF $10,000
U.S. 6-10 FAMA-FRENCH
VALUE PORTFOLIO SMALL CAP VALUE INDEX
<S> <C> <C>
$10,000 $10,000
Apr-93 $9,788 $9,687
$10,050 $10,081
$10,050 $10,069
$10,353 $10,209
$10,685 $10,536
$11,058 $10,727
$11,431 $11,156
$11,228 $10,978
$11,453 $11,257
$12,044 $11,791
$12,003 $11,720
$11,606 $11,235
Apr-94 $11,687 $11,317
$11,717 $11,279
$11,503 $11,047
$11,696 $11,320
$12,094 $11,726
$12,053 $11,676
$11,879 $11,477
$11,472 $11,096
$11,591 $11,188
$11,705 $11,370
$12,118 $11,831
$12,262 $11,968
Apr-95 $12,696 $12,344
$13,046 $12,607
$13,563 $13,023
$14,295 $13,547
$14,750 $13,982
$14,936 $14,215
$14,203 $13,581
$14,731 $13,963
$14,986 $14,182
$14,933 $14,382
$15,260 $14,606
$15,682 $15,099
Apr-96 $16,494 $15,619
$17,137 $16,233
$16,779 $15,975
$15,735 $15,124
$16,453 $15,750
$17,001 $16,151
$17,126 $16,105
$17,938 $16,842
$18,331 $17,081
$18,797 $17,686
$18,797 $17,774
$18,299 $17,307
Apr-97 $18,224 $17,184
$19,948 $18,815
$21,194 $19,808
$22,462 $20,842
$23,252 $21,618
$25,040 $23,189
$24,152 $22,716
Nov-97 $23,946 $22,575
Annualized One From
Total Return (%) Year April 1993
33.49 20.58
The portfolio seeks to capture return premiums associated with
high book-to-market ratios by investing in the U.S. 6-10 Value
Series
of the DFA Investment Trust Company which in turn invests on a
market cap-weighted basis in companies that have market caps of
approximately $600 million or less and book-to-market ratios in the
upper 30% of publicly traded U.S. companies.
The portfolio's returns in fiscal 1997 reflected the performance of
small U.S. companies with high book-to-market ratios.
Past performance is not predictive of future performance.
Fama-French Small Cap Value Index courtesy of
Fama-French and CRSP, University of Chicago.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
U.S. LARGE CAP VALUE PORTFOLIO VS.
FAMA-FRENCH LARGE CAP VALUE INDEX
MARCH 1993-NOVEMBER 1997
GROWTH OF $10,000
U.S. LARGE CAP FAMA-FRENCH
VALUE PORTFOLIO LARGE CAP VALUE INDEX
<S> <C> <C>
$10,000 $10,000
Mar-93 $10,109 $10,302
$10,080 $10,247
$10,189 $10,333
$10,396 $10,501
$10,545 $10,623
$10,802 $10,980
$10,614 $10,869
$10,743 $10,907
$10,633 $10,742
$10,895 $11,018
$11,198 $11,242
$10,694 $10,748
Mar-94 $10,261 $10,273
$10,422 $10,418
$10,351 $10,291
$10,136 $10,097
$10,575 $10,542
$10,881 $10,821
$10,563 $10,423
$10,769 $10,621
$10,286 $10,372
$10,400 $10,404
$10,639 $10,809
$11,243 $11,312
Mar-95 $11,419 $11,355
$11,827 $11,718
$12,443 $12,346
$12,715 $12,550
$13,272 $12,927
$13,661 $13,163
$14,134 $13,695
$13,553 $13,395
$14,296 $13,887
$14,390 $14,234
$14,800 $14,571
$15,016 $14,568
Mar-96 $15,534 $14,807
$15,794 $14,823
$16,053 $15,047
$15,582 $15,044
$14,886 $14,212
$15,484 $14,676
$15,785 $14,962
$16,298 $15,414
$17,478 $16,281
$17,299 $16,233
$17,919 $16,643
$18,268 $16,926
Mar-97 $17,431 $16,222
$18,007 $16,493
$19,395 $17,535
$19,990 $18,114
$21,995 $19,449
$21,668 $19,171
$22,807 $20,139
$21,637 $19,785
Nov-97 $21,864 $20,574
Annualized One From
Total Return (%) Year March 1993
25.10 18.36
The portfolio seeks to capture return premiums associated
with high book-to-market ratios by investing in the U.S. Large
Cap Value Series of the DFA Investment Trust Company which in
turn invests on a market cap-weighted basis in companies that have
market caps of approximately $600 million or more and book-to-
market ratios in the upper 30% of publicly traded companies.
The portfolio's returns in fiscal 1997 reflected the performance of
large U.S. companies with high book-to-market ratios.
Past performance is not predictive of future performance.
Fama-French Large Cap Value Index courtesy of
Fama-French and CRSP, University of Chicago.
</TABLE>
2
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DFA REAL ESTATE SECURITIES PORTFOLIO VS.
S&P 500 INDEX
JANUARY 1993-NOVEMBER 1997
GROWTH OF $10,000
DFA REAL ESTATE S&P 500 INDEX
SECURITIES PORTFOLIO
<S> <C> <C>
$10,000 $10,000
Jan-93 $10,370 $10,073
$10,420 $10,209
$10,779 $10,428
$10,339 $10,173
$10,350 $10,448
$10,660 $10,482
$10,941 $10,433
$11,341 $10,830
$11,851 $10,750
$11,691 $10,968
$11,109 $10,865
$11,546 $10,999
Jan-94 $11,801 $11,367
$11,740 $11,061
$11,096 $10,579
$11,065 $10,717
$11,004 $10,892
$10,729 $10,623
$10,760 $10,974
$10,944 $11,421
$10,588 $11,146
$10,148 $11,401
$9,804 $10,982
$10,577 $11,143
Jan-95 $10,278 $11,432
$10,449 $11,876
$10,428 $12,228
$10,375 $12,583
$10,791 $13,080
$11,015 $13,388
$11,143 $13,834
$11,218 $13,871
$11,410 $14,452
$11,047 $14,402
$11,178 $15,035
$11,854 $15,313
Jan-96 $11,967 $15,840
$12,115 $15,992
$12,125 $16,146
$12,115 $16,383
$12,375 $16,806
$12,601 $16,875
$12,658 $16,124
$13,111 $16,466
$13,395 $17,391
$13,723 $17,868
$14,335 $19,224
$15,864 $18,847
Jan-97 $15,959 $20,017
$15,900 $20,179
$15,996 $19,340
$15,484 $20,495
$15,938 $21,753
$16,784 $22,723
$17,225 $24,527
$17,143 $23,164
$18,704 $24,433
$18,181 $23,617
Nov-97 $18,515 $24,710
Annualized One From
Total Return (%) Year January 1993
29.16 13.35
The portfolio invests in equity REITs. The portfolio
invests on a market cap-weighted basis.
The portfolio does not purchase health care REITs.
The portfolio's returns in fiscal 1997 reflected the performance
of
U.S. Equity REITs.
Past performance is not predictive of future performance.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
JAPANESE SMALL COMPANY PORTFOLIO VS.
JAPANESE LARGE COMPANY STOCKS
DECEMBER 1987-NOVEMBER 1997
GROWTH OF $10,000
JAPANESE SMALL JAPANESE LARGE
COMPANY PORTFOLIO COMPANY STOCKS
<S> <C> <C> <C>
$10,000 $10,000
Dec-87 $10,939 $10,136
$11,324 $10,640
$12,056 $11,479
$12,831 $12,306
$13,639 $12,431
$14,515 $11,883
$13,968 $11,465
$13,131 $11,928
$12,659 $11,077
$12,697 $11,617
$13,368 $12,460
$14,762 $13,681
Dec-88 $14,489 $13,718
$15,535 $13,694
$15,832 $14,000
$15,636 $13,515
$16,536 $13,517
$16,033 $12,825
$15,516 $12,163
$17,201 $13,784
$16,547 $12,764
$18,761 $13,666
$18,354 $13,303
$19,284 $13,980
Dec-89 $20,069 $14,016
$19,710 $13,115
$19,034 $11,776
$16,074 $9,514
$14,653 $9,604
$17,499 $10,974
$17,660 $10,443
$18,492 $10,338
$15,698 $9,298
$13,144 $7,782
$17,229 $9,719
$13,669 $8,506
Dec-90 $13,374 $8,945
$12,769 $9,204
$15,674 $10,298
$15,248 $9,646
$15,791 $9,964
$15,535 $9,885
$14,486 $9,173
$14,447 $9,477
$12,851 $8,947
$14,492 $9,729
$15,546 $10,204
$13,888 $9,437
Dec-91 $14,325 $9,734
$13,822 $9,298
$13,172 $8,515
$11,686 $7,594
$10,528 $7,129
$11,969 $7,710
$10,862 $7,005
$10,026 $6,913
$11,388 $8,146
$11,293 $7,947
$10,631 $7,590
$10,693 $7,788
Dec-92 $10,586 $7,679
$10,359 $7,633
$10,911 $7,966
$12,660 $9,089
$14,868 $10,669
$16,833 $10,973
$15,908 $10,823
$16,518 $11,554
$16,779 $11,809
$15,884 $11,205
$14,583 $11,176
$11,712 $9,340
Dec-93 $12,084 $9,602
$14,495 $11,219
$15,221 $11,698
$15,521 $11,205
$16,133 $11,648
$16,294 $11,920
$17,674 $12,531
$17,038 $12,078
$16,834 $12,162
$16,073 $11,844
$16,499 $12,198
$15,177 $11,580
Dec-94 $15,648 $11,731
$15,114 $10,971
$14,110 $10,500
$14,922 $11,450
$15,455 $12,026
$13,850 $11,264
$13,113 $10,757
$14,186 $11,545
$14,199 $11,155
$13,709 $11,169
$13,225 $10,613
$14,184 $11,236
Dec-95 $15,089 $11,825
$15,412 $11,656
$15,127 $11,452
$15,658 $11,850
$17,295 $12,536
$16,588 $11,898
$16,404 $11,953
$15,121 $11,408
$14,698 $10,900
$14,755 $11,269
$13,718 $10,527
$13,294 $10,732
Dec-96 $11,651 $10,015
$10,521 $8,910
$10,432 $9,112
$9,675 $8,833
$9,512 $9,138
$11,089 $10,161
$11,265 $10,908
$9,980 $10,571
$8,904 $9,630
$7,558 $9,521
$7,754 $8,640
Nov-97 $6,394 $8,105
Annualized One Five Ten
Total Return (%) Year Years Years
-51.90 -9.77 -4.37
The portfolio's objective is to capture premium returns and
diversification benefits by investing in the Japanese Small Company
Series of the DFA Investment Trust Company which in turn invests in
a broad cross-section of small companies on a market cap-weighted basis.
The Japanese Small Company Series provides access to publicly traded
small companies listed on the lower half of companies on the First
Section of Tokyo Stock Exchange.
Prior to August 9, 1996, the portfolio invested directly
in Japanese small company stocks.
The portfolio's returns in fiscal 1997 reflected the performance of
small cap companies in Japan.
Past performance is not predictive of future performance.
Japanese Large Company Stocks courtesy of Morgan Stanley Capital
International.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
PACIFIC RIM SMALL COMPANY PORTFOLIO VS.
PACIFIC RIM LARGE COMPANY STOCKS
FEBRUARY 1993-NOVEMBER 1997
GROWTH OF $10,000
PACIFIC RIM PACIFIC RIM
SMALL COMPANY PORTFOLIO LARGE COMPANY STOCKS
<S> <C> <C>
$10,000 $10,000
Feb-93 $10,741 $10,770
$11,294 $10,953
$12,401 $11,512
$13,419 $11,949
$13,043 $11,591
$13,281 $11,996
$13,626 $12,908
$14,179 $13,153
$16,017 $15,284
$16,374 $14,826
$19,035 $17,909
$17,986 $17,426
Feb-94 $18,177 $16,572
$16,257 $14,782
$16,677 $15,462
$16,687 $15,972
$16,226 $15,270
$16,685 $16,079
$17,655 $17,156
$18,255 $16,710
$18,416 $16,977
$17,073 $15,619
$16,739 $15,385
$14,953 $14,062
Feb-95 $15,494 $15,370
$15,548 $15,539
$15,299 $15,741
$15,830 $16,811
$15,895 $16,492
$16,923 $17,168
$16,610 $16,721
$16,752 $16,939
$16,242 $16,634
$16,005 $16,784
$16,260 $17,438
$17,383 $18,589
Feb-96 $17,486 $18,868
$17,760 $19,113
$19,181 $19,648
$18,631 $19,452
$18,115 $19,082
$17,508 $18,128
$18,012 $18,944
$18,288 $19,437
$18,483 $19,961
$19,056 $21,039
$18,595 $21,081
$18,991 $20,828
Feb-97 $20,045 $21,120
$19,153 $20,148
$18,695 $19,745
$19,389 $20,970
$19,550 $21,431
$19,464 $21,388
$18,372 $18,415
$17,554 $19,041
$13,278 $15,005
Nov-97 $11,803 $14,539
Annualized One From
Total Return (%) Year Feb-93
-38.06 -3.49
The portfolio's objective is to capture premium returns
and diversification benefits by investing in the Pacific Rim Small
Company Series of the DFA Investment Trust Company
which in turn invests in a broad cross-section of small
companies on a market cap-weighted basis. The Pacific Rim Small
Company Series provides access to publicly traded small
companies listed on the major exchanges of Australia, Hong Kong,
Malaysia, New Zealand, and Singapore.
Prior to August 9, 1996, the portfolio invested directly in
Pacific Rim small company stocks.
The portfolio's return in fiscal 1997 reflected the performance of
small companies in the Pacific Rim Region.
Past performance is not predictive of future performance.
Pacific Rim Large Company Stocks courtesy of Morgan Stanley
Capital International.
</TABLE>
3
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
UNITED KINGDOM SMALL COMPANY PORTFOLIO VS. UNITED KINGDOM
LARGE COMPANY STOCKS
DECEMBER 1987-NOVEMBER 1997
GROWTH OF $10,000
UNITED KINGDOM UNITED KINGDOM
SMALL COMPANY PORTFOLIO LARGE COMPANY STOCKS
<S> <C> <C> <C>
$10,000 $10,000
Dec-87 $10,931 $11,300
$10,852 $11,136
$10,830 $11,007
$11,722 $11,765
$12,015 $12,172
$12,055 $11,901
$11,622 $11,593
$11,840 $11,641
$11,132 $10,902
$11,286 $11,412
$12,113 $12,188
$12,366 $12,410
Dec-88 $11,663 $12,106
$12,359 $13,340
$12,721 $13,184
$12,670 $13,214
$12,679 $13,478
$11,816 $12,613
$11,625 $12,614
$12,762 $14,481
$11,960 $14,073
$12,164 $14,122
$10,527 $12,785
$10,461 $13,430
Dec-89 $10,932 $14,592
$11,499 $14,823
$11,218 $14,396
$10,676 $14,006
$10,014 $13,111
$10,796 $14,920
$11,589 $15,815
$12,225 $16,595
$10,996 $15,531
$9,868 $14,144
$10,365 $15,212
$10,229 $15,805
Dec-90 $10,203 $15,829
$9,912 $16,233
$10,936 $17,548
$10,953 $16,612
$10,920 $16,729
$10,661 $16,595
$9,810 $15,314
$10,268 $17,059
$10,635 $17,503
$11,756 $18,343
$11,648 $17,857
$11,513 $17,100
Dec-91 $11,710 $18,548
$11,554 $18,417
$11,498 $18,150
$10,920 $16,953
$12,138 $19,337
$13,183 $20,424
$12,654 $19,803
$11,387 $18,878
$11,004 $18,839
$10,397 $18,643
$9,214 $17,133
$9,103 $17,342
Dec-92 $10,075 $18,077
$10,708 $17,795
$10,513 $17,444
$11,354 $18,808
$12,131 $19,425
$12,282 $19,577
$12,068 $19,279
$11,860 $19,231
$12,834 $20,600
$12,788 $20,411
$12,829 $21,125
$12,418 $21,043
Dec-93 $13,160 $22,703
$14,945 $23,940
$14,881 $22,830
$14,024 $21,442
$14,529 $22,117
$14,077 $21,024
$13,648 $21,031
$13,982 $22,250
$14,470 $23,414
$14,276 $22,396
$14,546 $23,704
$13,890 $22,646
Dec-94 $13,771 $22,601
$13,729 $22,271
$13,514 $22,436
$14,077 $24,018
$14,438 $24,505
$14,936 $25,093
$14,894 $25,116
$15,536 $26,487
$15,517 $26,026
$15,829 $26,903
$15,614 $27,016
$15,056 $27,008
Dec-95 $15,251 $27,732
$15,318 $27,677
$15,860 $28,106
$16,336 $28,286
$17,113 $29,015
$17,743 $29,532
$17,582 $29,222
$16,993 $29,163
$17,575 $30,706
$17,702 $31,283
$18,553 $32,866
$19,082 $34,490
Dec-96 $19,794 $35,776
$19,549 $34,649
$20,198 $35,682
$20,335 $36,142
$19,995 $36,428
$19,893 $37,863
$19,676 $38,431
$19,027 $39,788
$19,518 $39,195
$20,225 $42,264
$20,939 $40,970
Nov-97 $20,694 $41,151
Annualized One Five Ten
Total Return (%) Year Years Years
8.44 17.85 7.54
The portfolio's objective is to capture premium returns and
diversification benefits by investing in the U.K. Small Company
Series of the DFA Investment Trust Company which in turn
invests in a broad cross-section of small companies on a market
cap-weighted basis. The United Kingdom Small Company Series
provides access to publicly traded small companies in the lower
half by market cap of companies traded on the International
Stock Exchange of the United Kingdom.
Prior to August 9, 1996, the portfolio invested directly in
United Kingdom small company stocks.
The portfolio's returns in fiscal 1997 reflected the performance of
small companies in the United Kingdom.
Past performance is not predictive of future performance.
United Kingdom Large Company Stocks courtesy of Morgan Stanley
Capital International.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CONTINENTAL SMALL COMPANY PORTFOLIO VS.
CONTINENTAL LARGE COMPANY STOCKS
JULY 1988-NOVEMBER 1997
GROWTH OF $10,000
CONTINENTAL CONTINENTAL
SMALL COMPANY PORTFOLIO LARGE COMPANY STOCKS
<S> <C> <C> <C>
$10,000 $10,000
Jul-88 $9,841 $9,978
$9,792 $9,679
$10,437 $10,245
$11,399 $11,289
$11,906 $11,445
$12,046 $11,676
$12,256 $11,570
$12,316 $11,557
$12,476 $11,655
$13,285 $12,090
$13,005 $11,617
$13,465 $12,333
Jul-89 $14,475 $13,557
$14,496 $13,490
$15,755 $13,909
$15,196 $13,236
$16,146 $13,994
$17,429 $15,559
$17,347 $15,447
$17,049 $15,113
$17,832 $15,684
$18,274 $15,576
$18,789 $16,355
$19,437 $16,733
Jul-90 $20,631 $17,439
$18,285 $15,290
$16,371 $13,246
$17,328 $14,401
$16,711 $14,174
$16,720 $13,916
$16,248 $14,357
$17,363 $15,682
$15,950 $14,493
$15,950 $14,374
$16,013 $15,020
$15,081 $13,772
Jul-91 $15,413 $14,323
$15,413 $14,520
$15,874 $14,886
$15,371 $14,627
$15,189 $14,532
$16,031 $15,606
$15,766 $15,710
$15,686 $15,934
$15,490 $15,605
$15,420 $15,857
$16,017 $16,768
$16,086 $16,684
Jul-92 $15,684 $16,119
$15,742 $16,067
$14,833 $15,826
$13,662 $14,829
$13,086 $14,711
$12,851 $14,872
$13,253 $15,140
$13,253 $15,670
$13,962 $16,281
$14,577 $16,574
$14,600 $16,806
$13,832 $16,521
Jul-93 $13,772 $16,653
$15,274 $18,301
$15,309 $18,338
$15,427 $19,145
$15,083 $18,456
$16,102 $19,858
$17,316 $20,950
$17,545 $20,385
$18,110 $20,262
$18,807 $21,174
$18,531 $20,391
$18,351 $20,044
Jul-94 $18,808 $21,086
$19,000 $21,487
$18,580 $20,714
$18,591 $21,459
$17,827 $20,708
$17,875 $20,895
$17,753 $20,832
$18,082 $21,499
$18,349 $22,186
$18,715 $23,118
$19,020 $23,581
$19,276 $23,911
Jul-95 $19,753 $25,130
$18,791 $23,974
$18,802 $24,717
$18,193 $24,569
$17,591 $24,766
$17,879 $25,632
$18,247 $25,914
$19,036 $26,536
$19,338 $27,094
$19,338 $27,148
$19,785 $27,311
$19,955 $27,830
Jul-96 $19,522 $27,245
$19,600 $27,763
$19,338 $28,318
$19,680 $28,658
$20,048 $30,034
$20,441 $30,394
$20,923 $31,002
$20,965 $31,157
$21,705 $32,528
$21,108 $32,007
$21,961 $33,352
$22,714 $35,619
Jul-97 $22,657 $37,294
$22,288 $34,459
$23,866 $37,974
$23,184 $35,924
Nov-97 $22,657 $36,678
Annualized One Five From
Total Return (%) Year Years July 1988
13.02 11.60 09.07
The portfolio's objective is to capture premium
returns and diversification benefits by
investing in the Continental Small Company
Series of the DFA Investment Trust Company
which in turn invests in a broad cross-section
of small companies on a market cap-weighted
basis. The Continental Small Company Series
provides access to publicly traded small
companies listed on the major exchanges of
Belgium, Denmark, France, Germany, Italy, the
Netherlands, Spain, Sweden, and Switzerland.
Prior to August 9, 1996, the portfolio
invested directly in Continental small company
stocks.
The portfolio's returns in fiscal 1997
reflected the performance of small companies in
Continental Europe.
Past performance is not predictive of future
performance.
Continental Large Company Stocks courtesy of
Morgan Stanley Capital International.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
INTERNATIONAL SMALL COMPANY PORTFOLIO VS. EAFE INDEX
OCTOBER 1996-NOVEMBER 1997
GROWTH OF $10,000
INTERNATIONAL EAFE INDEX
SMALL COMPANY
PORTFOLIO
<S> <C> <C>
$10,000 $10,000
Oct-96 $9,910 $9,900
$9,960 $10,296
$9,637 $10,162
$9,416 $9,806
$9,526 $9,973
$9,346 $10,013
Apr-97 $9,146 $10,073
$9,808 $10,728
$9,988 $11,318
$9,578 $11,499
$9,147 $10,648
$8,926 $11,244
$8,525 $10,379
Nov-97 $7,834 $10,275
Annualized One From
Total Return (%) Year October-1996
-21.34 -18.88
The portfolio invests in four international series of the
DFA Investment Trust Company. The portfolio invests 30% in
the Japanese Small Company Series, 20% in the Pacific Rim
Small Company Series, 35% in the Continental Small Company
Series, and 15% in the United Kingdom Small Company Series.
The portfolio's returns in fiscal 1997 reflected the performance
of
its strategy.
Past performance is not predictive of future performance.
EAFE Index courtesy of Morgan Stanley Capital International.
</TABLE>
4
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
RWB/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO VS. EAFE INDEX
JULY 1993-NOVEMBER 1997
GROWTH OF $10,000
RWB/DFA EAFE INDEX
INTERNATIONAL
HIGH BOOK TO MARKET PORTFOLIO
<S> <C> <C>
$10,000 $10,000
Jul-93 $10,383 $10,350
$10,983 $10,909
$10,777 $10,669
$11,046 $11,000
$10,291 $10,043
$11,111 $10,766
$12,045 $11,681
$11,921 $11,646
$11,599 $11,145
$11,983 $11,624
$12,056 $11,555
$12,191 $11,716
Jul-94 $12,430 $11,833
$12,617 $12,117
$12,170 $11,742
$12,679 $12,141
$12,011 $11,558
$12,085 $11,628
$11,602 $11,186
$11,570 $11,152
$12,253 $11,855
$12,632 $12,305
$12,558 $12,158
$12,433 $11,951
Jul-95 $13,126 $12,704
$12,675 $12,221
$12,748 $12,466
$12,506 $12,129
$12,845 $12,469
$13,471 $12,980
$13,599 $13,032
$13,684 $13,084
$13,877 $13,359
$14,413 $13,746
$14,273 $13,499
$14,326 $13,580
Jul-96 $13,941 $13,186
$13,994 $13,212
$14,240 $13,569
$14,100 $13,433
$14,721 $13,970
$14,534 $13,789
$14,038 $13,306
$14,170 $13,532
$14,214 $13,587
$14,137 $13,668
$15,216 $14,557
$15,866 $15,357
Jul-97 $16,086 $15,603
$15,029 $14,448
$15,579 $15,257
$14,765 $14,083
Nov-97 $14,137 $13,942
Annualized One From
Total Return (%) Year July 1993
-3.96 8.15
The portfolio invests in the DFA International Value
Series of the DFA Investment Trust Company which in turn
invests in companies with market capitalization of at least $800
million and book-to-market ratios in the upper 30% of
large publicly traded non-U.S. companies. Country weightings
reflect the EAFE Index market capitalization weight, with
Japan limited to 38%.
The portfolio's returns in fiscal 1997 reflected the performance of
large, non-U.S. companies with high book-to-market ratios.
Past performance is not predictive of future performance.
EAFE Index courtesy of Morgan Stanley Capital International.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
EMERGING MARKETS PORTFOLIO VS. MSCI EMERGING MARKETS FREE
EQUAL-WEIGHTED INDEX
MAY 1994-NOVEMBER 1997
GROWTH OF $10,000
EMERGING MSCI EMERGING MARKETS
MARKETS FREE EQUAL-WEIGHTED INDEX
PORTFOLIO
<S> <C> <C>
$10,000 $10,000
May-94 $10,150 $10,456
$10,200 $10,170
$10,939 $10,928
$11,919 $12,247
$12,040 $12,316
$11,680 $12,126
$11,300 $11,594
$10,480 $10,722
$9,509 $9,530
$9,449 $9,352
$9,860 $9,719
$10,340 $10,340
May-95 $11,070 $11,054
$11,129 $11,012
$11,569 $11,368
$11,129 $10,815
$10,919 $10,637
$10,539 $10,226
$10,399 $10,090
$10,705 $10,517
$11,850 $11,591
$11,599 $11,438
$11,689 $11,510
$12,021 $11,845
May-96 $12,021 $11,941
$12,111 $12,105
$11,076 $11,107
$11,387 $11,456
$11,629 $11,746
$11,367 $11,436
$11,769 $11,940
$11,925 $12,123
$13,130 $13,532
$13,292 $13,705
$12,917 $13,339
$12,421 $12,812
May-97 $13,028 $13,408
$13,565 $13,750
$13,575 $13,777
$11,599 $11,545
$12,075 $12,084
$10,282 $10,151
Nov-97 $9,735 $9,601
Annualized One From
Total Return (%) Year May 1994
-17.29 -0.75
The portfolio invests in the Emerging Markets Series
of the DFA Investment Trust Company which in turn provides access
to non-U.S. large companies in "emerging market" countries
including Argentina, Brazil, Indonesia, Israel, Malaysia, Mexico,
Philippines, Portugal, South Korea, Thailand, and Turkey. The
portfolio invests across all market capitalizations, specifically those
deemed to be value stocks.
The portfolio's returns in fiscal 1997 reflected the performance of
an equally-weighted emerging markets country portfolio.
Past performance is not predictive of future performance.
MSCI Emerging Markets Free Equal-Weighted Index is created by
equal-weighting the MSCI country returns for the 11 countries that
Dimensional is currently invested in. Courtesy of Morgan Stanley Capital
International.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LARGE CAP INTERNATIONAL PORTFOLIO VS. EAFE INDEX
AUGUST 1991-NOVEMBER 1997
GROWTH OF $10,000
LARGE CAP EAFE INDEX
INTERNATIONAL
PORTFOLIO
<S> <C> <C> <C>
$10,000 $10,000
Aug-91 $9,865 $9,799
$10,338 $10,354
$10,636 $10,503
$10,288 $10,015
$10,880 $10,535
$10,540 $10,313
$10,073 $9,947
$9,402 $9,293
$9,392 $9,340
$9,966 $9,968
$9,539 $9,499
$9,412 $9,258
Aug-92 $10,121 $9,843
$9,868 $9,656
$9,295 $9,154
$9,363 $9,245
$9,451 $9,291
$9,362 $9,291
$9,607 $9,579
$10,364 $10,413
$11,090 $11,402
$11,326 $11,641
$11,130 $11,467
$11,494 $11,868
Aug-93 $12,103 $12,509
$11,819 $12,234
$12,143 $12,613
$11,194 $11,516
$11,894 $12,345
$12,730 $13,394
$12,362 $13,354
$12,004 $12,780
$12,432 $13,329
$12,313 $13,249
$12,503 $13,435
$12,661 $13,569
Aug-94 $12,970 $13,895
$12,502 $13,464
$13,010 $13,922
$12,398 $13,254
$12,525 $13,333
$12,164 $12,827
$12,079 $12,788
$12,886 $13,594
$13,342 $14,110
$13,183 $13,941
$12,981 $13,704
$13,715 $14,567
Aug-95 $13,173 $14,014
$13,396 $14,294
$13,204 $13,908
$13,559 $14,297
$14,159 $14,884
$14,126 $14,943
$14,082 $15,003
$14,374 $15,318
$14,762 $15,762
$14,579 $15,479
$14,665 $15,571
$14,244 $15,120
Aug-96 $14,308 $15,150
$14,729 $15,559
$14,599 $15,404
$15,278 $16,020
$15,057 $15,811
$14,385 $15,258
$14,605 $15,517
$14,804 $15,579
$14,925 $15,673
$15,871 $16,692
$16,971 $17,610
$17,268 $17,891
Aug-97 $16,080 $16,568
$17,125 $17,495
$15,716 $16,148
Nov-97 $15,705 $15,987
Annualized One Five From
Total Return (%) Year Years August 1991
2.79 10.90 7.39
The portfolio provides access to non-U.S. large companies
in Europe, Australia and the Far East (currently 13 countries).
Investment will be approximately market cap weighted, with
investments made in the largest 50% of companies in each
country. Country weighting is designed to reflect each country's
market capitalization relative to the overall index, adjusted
to reflect cross-ownership.
The portfolio's returns in fiscal 1997 reflected the performance
of
its strategy.
Past performance is not predictive of future performance.
EAFE Index courtesy of Morgan Stanley Capital International.
</TABLE>
5
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS. EAFE INDEX
JANUARY 1995-NOVEMBER 1997
GROWTH OF $10,000
DFA INTERNATIONAL EAFE INDEX
SMALL CAP
VALUE PORTFOLIO
<S> <C> <C>
$10,000 $10,000
Jan-95 $9,930 $9,620
$9,780 $9,591
$10,100 $10,195
$10,359 $10,583
$10,170 $10,456
$9,980 $10,278
$10,370 $10,926
$10,110 $10,510
$9,960 $10,721
$9,640 $10,431
$9,729 $10,723
$10,116 $11,163
Jan-96 $10,317 $11,208
$10,428 $11,252
$10,569 $11,489
$11,121 $11,822
$11,181 $11,609
$11,030 $11,679
$10,578 $11,340
$10,527 $11,363
$10,527 $11,669
$10,397 $11,553
$10,507 $12,015
$10,211 $11,859
Jan-97 $9,959 $11,444
$10,042 $11,638
$9,958 $11,685
$9,727 $11,755
$10,378 $12,519
$10,535 $13,207
$10,127 $13,419
$9,665 $12,426
$9,486 $13,122
$9,108 $12,111
Nov-97 $8,342 $11,990
Annualized One From
Total Return (%) Year January 1995
-20.60 -06.02
This portfolio invests in companies with market capitalizations
no larger than $800 million and book-to-market ratios in the upper 30%
of small publicly traded international companies. Country weightings
reflect the EAFE Index market capitalization weight, with Japan
limited
to 38%.
The portfolio's returns in fiscal 1997 reflected the performance of
its strategy.
Past performance is not predictive of future performance.
EAFE Index courtesy of Morgan Stanley Capital International.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
VS. LEHMAN TREASURY INDEX
NOVEMBER 1990-NOVEMBER 1997
GROWTH OF $10,000
DFA INTERMEDIATE LEHMAN
GOVERNMENT TREASURY INDEX
FIXED INCOME PORTFOLIO
<S> <C> <C> <C>
$10,000 $10,000
Nov-90 $10,263 $10,221
$10,450 $10,380
$10,573 $10,492
$10,649 $10,547
$10,680 $10,601
$10,794 $10,718
$10,862 $10,757
$10,828 $10,741
$10,972 $10,867
$11,234 $11,119
$11,509 $11,353
$11,637 $11,454
Nov-91 $11,796 $11,569
$12,214 $11,969
$11,970 $11,778
$11,985 $11,824
$11,901 $11,753
$12,036 $11,827
$12,244 $12,044
$12,486 $12,219
$12,862 $12,531
$13,035 $12,650
$13,256 $12,834
$13,018 $12,646
Nov-92 $12,941 $12,620
$13,143 $12,835
$13,459 $13,111
$13,784 $13,374
$13,869 $13,419
$13,982 $13,523
$13,973 $13,508
$14,293 $13,811
$14,335 $13,892
$14,653 $14,202
$14,773 $14,258
$14,802 $14,310
Nov-93 $14,603 $14,153
$14,671 $14,208
$14,875 $14,404
$14,536 $14,095
$14,183 $13,779
$14,006 $13,671
$13,989 $13,655
$13,944 $13,625
$14,185 $13,873
$14,232 $13,876
$14,004 $13,681
$13,986 $13,673
Nov-94 $13,915 $13,646
$13,976 $13,729
$14,232 $13,983
$14,607 $14,281
$14,683 $14,371
$14,912 $14,559
$15,564 $15,147
$15,692 $15,267
$15,613 $15,211
$15,794 $15,387
$15,929 $15,535
$16,152 $15,775
Nov-95 $16,428 $16,020
$16,643 $16,249
$16,776 $16,351
$16,466 $16,016
$16,270 $15,877
$16,120 $15,775
$16,061 $15,750
$16,277 $15,950
$16,308 $15,988
$16,263 $15,955
$16,555 $16,216
$16,940 $16,573
Nov-96 $17,246 $16,860
$17,037 $16,686
$17,068 $16,703
$17,083 $16,723
$16,873 $16,542
$17,111 $16,781
$17,270 $16,925
$17,457 $17,114
$17,988 $17,606
$17,763 $17,428
$18,052 $17,693
$18,379 $18,001
Nov-97 $18,412 $18,094
Annualized One Five From
Total Return (%) Year Years November 1990
6.76 7.31 9.00
The portfolio employs a buy and hold strategy
investing in securities with a maturity
generally between five and fifteen years and
ordinarily maintaining an average weighted
maturity of seven to ten years. The investment
universe includes obligations of the U.S.
Government, U.S. Government Agencies and
AAA-rated dollar denominated obligations of
foreign securities and supranationals.
Performance is expected to match or exceed the
returns of the Lehman Brothers Treasury Index
without exceeding the volatility of that index.
This portfolio's returns in fiscal 1997
reflected the performance of its strategy.
Past performance is not predictive of future
performance.
Lehman Treasury Index courtesy of Lehman
Brothers.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DFA ONE-YEAR FIXED INCOME PORTFOLIO VS. ONE MONTH CD'S
DECEMBER 1987-NOVEMBER 1997
GROWTH OF $10,000
DFA ONE-YEAR ONE MONTH CD'S
FIXED INCOME PORTFOLIO
<S> <C> <C> <C>
$10,000 $10,000
Dec-87 $10,081 $10,054
$10,192 $10,105
$10,273 $10,159
$10,321 $10,214
$10,355 $10,266
$10,384 $10,324
$10,464 $10,384
$10,502 $10,443
$10,552 $10,514
$10,644 $10,582
$10,727 $10,652
$10,761 $10,720
Dec-88 $10,827 $10,792
$10,914 $10,874
$10,958 $10,945
$11,039 $11,034
$11,146 $11,113
$11,264 $11,208
$11,361 $11,293
$11,457 $11,379
$11,534 $11,462
$11,612 $11,539
$11,705 $11,631
$11,787 $11,709
Dec-89 $11,866 $11,782
$11,953 $11,866
$12,026 $11,938
$12,103 $12,014
$12,178 $12,094
$12,283 $12,176
$12,376 $12,252
$12,490 $12,336
$12,565 $12,417
$12,641 $12,491
$12,742 $12,580
$12,833 $12,661
Dec-90 $12,944 $12,743
$13,033 $12,824
$13,114 $12,894
$13,195 $12,960
$13,289 $13,031
$13,371 $13,093
$13,422 $13,151
$13,517 $13,219
$13,627 $13,280
$13,741 $13,341
$13,825 $13,400
$13,938 $13,452
Dec-91 $14,074 $13,503
$14,120 $13,553
$14,167 $13,591
$14,196 $13,635
$14,290 $13,677
$14,363 $13,714
$14,458 $13,755
$14,566 $13,795
$14,636 $13,829
$14,731 $13,863
$14,740 $13,893
$14,724 $13,925
Dec-92 $14,803 $13,963
$14,897 $13,995
$14,958 $14,024
$15,028 $14,058
$15,100 $14,089
$15,111 $14,117
$15,174 $14,148
$15,220 $14,179
$15,291 $14,212
$15,348 $14,242
$15,377 $14,270
$15,405 $14,303
Dec-93 $15,456 $14,334
$15,533 $14,366
$15,502 $14,395
$15,496 $14,429
$15,486 $14,464
$15,519 $14,507
$15,570 $14,552
$15,662 $14,597
$15,721 $14,647
$15,748 $14,695
$15,800 $14,750
$15,789 $14,803
Dec-94 $15,836 $14,863
$15,985 $14,930
$16,137 $14,991
$16,236 $15,060
$16,341 $15,122
$16,514 $15,195
$16,607 $15,262
$16,693 $15,330
$16,777 $15,398
$16,850 $15,461
$16,940 $15,532
$17,019 $15,599
Dec-95 $17,099 $15,663
$17,173 $15,735
$17,240 $15,796
$17,316 $15,856
$17,375 $15,921
$17,432 $15,983
$17,524 $16,041
$17,605 $16,111
$17,689 $16,176
$17,794 $16,241
$17,922 $16,307
$18,026 $16,369
Dec-96 $18,087 $16,438
$18,176 $16,507
$18,250 $16,570
$18,281 $16,641
$18,402 $16,714
$18,490 $16,788
$18,599 $16,863
$18,726 $16,939
$18,780 $17,010
$18,891 $17,088
$19,001 $17,165
Nov-97 $19,058 $17,236
Annualized One Five Ten
Total Return (%) Year Years Years
5.72 5.30 6.66
The portfolio maximizes expected returns by investing in the DFA
One-Year Fixed Income Series of the DFA Investment Trust Company
which uses a strategy of shifting maturities based on changes in the
yield curve. Using current prices, the strategy creates a matrix of
expected returns from different buy and sell strategies and
identifies the optimal maturity range for the highest expected
returns. Issues which meet maturity and quality level are further
evaluated for business risk. Maturities are shifted if sufficient
premiums can be documented.
The portfolio's returns in fiscal 1997 reflected the performance of
its strategy.
Past performance is not predictive of future performance.
</TABLE>
6
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DFA FIVE-YEAR GOVERNMENT PORTFOLIO VS.
LEHMAN INTERMEDIATE GOVERNMENT INDEX
DECEMBER 1987-NOVEMBER 1997
GROWTH OF $10, 000
DFA FIVE-YEAR LEHMAN
GOVERNMENT INTERMEDIATE
PORTFOLIO GOVERNMENT INDEX
<S> <C> <C> <C>
$10,000 $10,000
Dec-87 $10,118 $10,105
$10,426 $10,364
$10,534 $10,479
$10,459 $10,439
$10,431 $10,421
$10,384 $10,375
$10,533 $10,540
$10,502 $10,518
$10,497 $10,534
$10,671 $10,717
$10,829 $10,863
$10,713 $10,771
Dec-88 $10,757 $10,780
$10,851 $10,894
$10,893 $10,848
$10,961 $10,893
$11,071 $11,111
$11,182 $11,331
$11,318 $11,617
$11,424 $11,855
$11,454 $11,702
$11,508 $11,757
$11,631 $12,006
$11,713 $12,120
Dec-89 $11,777 $12,154
$11,844 $12,076
$11,911 $12,121
$11,955 $12,137
$11,987 $12,094
$12,157 $12,360
$12,262 $12,526
$12,397 $12,700
$12,337 $12,648
$12,449 $12,746
$12,650 $12,893
$12,851 $13,089
Dec-90 $13,051 $13,269
$13,178 $13,404
$13,245 $13,511
$13,293 $13,603
$13,446 $13,751
$13,514 $13,835
$13,485 $13,845
$13,669 $14,000
$13,945 $14,267
$14,217 $14,513
$14,392 $14,678
$14,578 $14,847
Dec-91 $14,960 $15,209
$14,780 $15,071
$14,813 $15,130
$14,724 $15,071
$14,892 $15,203
$15,124 $15,439
$15,404 $15,667
$15,751 $15,979
$15,951 $16,139
$16,214 $16,359
$15,940 $16,146
$15,830 $16,085
Dec-92 $16,051 $16,300
$16,364 $16,616
$16,616 $16,879
$16,686 $16,946
$16,831 $17,082
$16,757 $17,044
$17,022 $17,312
$17,027 $17,353
$17,351 $17,629
$17,417 $17,702
$17,457 $17,749
$17,329 $17,650
Dec-93 $17,385 $17,731
$17,595 $17,928
$17,278 $17,663
$16,976 $17,371
$16,805 $17,253
$16,830 $17,265
$16,820 $17,227
$17,047 $17,475
$17,096 $17,529
$16,922 $17,368
$16,918 $17,366
$16,788 $17,288
Dec-94 $16,837 $17,349
$17,029 $17,640
$17,209 $18,005
$17,295 $18,108
$17,422 $18,333
$17,746 $18,886
$17,847 $19,013
$17,918 $19,015
$18,051 $19,188
$18,139 $19,326
$18,266 $19,540
$18,357 $19,796
Dec-95 $18,446 $20,004
$18,534 $20,176
$18,608 $19,940
$18,664 $19,839
$18,701 $19,769
$18,756 $19,753
$18,924 $19,963
$18,981 $20,023
$19,019 $20,039
$19,247 $20,317
$19,532 $20,677
$19,741 $20,950
Dec-96 $19,664 $20,816
$19,743 $20,897
$19,763 $20,936
$19,703 $20,792
$19,881 $21,037
$20,018 $21,212
$20,164 $21,405
$20,424 $21,840
$20,424 $21,730
$20,585 $21,982
$20,746 $22,226
Nov-97 $20,806 $22,275
Annualized One Five Ten
Total Return (%) Year Years Years
5.39 5.62 7.60
The portfolio maximizes expected returns by shifting maturities
based on changes in the yield curve. Using current prices, the
strategy creates a matrix of expected returns from different
buy and sell strategies and identifies the optimal maturity range
for the highest expected returns. Maturities are shifted if sufficient
premiums can be documented. Investments are made in U.S. government
securities with a maximum maturity of five years.
This portfolio's returns in fiscal 1997 reflected the performance of
its strategy.
Past performance is not predictive of future performance.
Lehman Intermediate Government Index courtesy of Lehman Brothers.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
MERRILL LYNCH GOVERNMENTS, U.S. TREASURY, SHORT TERM (1-2.99 YEARS)
MARCH 1996-NOVEMBER 1997
GROWTH OF $10,000
MERRILL LYNCH GOVERNMENTS,
DFA TWO-YEAR GLOBAL U.S. TREASURY, SHORT TERM
FIXED INCOME PORTFOLIO (1-2.99 YEARS)
<S> <C> <C>
$10,000 $10,000
Mar-96 $10,046 $9,991
$10,096 $9,999
$10,147 $10,020
$10,184 $10,092
$10,256 $10,131
$10,357 $10,166
Sep-96 $10,429 $10,258
$10,520 $10,374
$10,592 $10,454
$10,635 $10,454
$10,709 $10,503
$10,750 $10,528
Mar-97 $10,747 $10,523
$10,811 $10,610
$10,884 $10,682
$10,962 $10,755
$11,016 $10,874
$11,059 $10,884
Sep-97 $11,128 $10,966
$11,171 $11,047
Nov-97 $11,204 $11,074
Annualized Total Return (%) One Year From March 1996
5.77 6.71
The portfolio invests in the DFA Two-Year Global Fixed Income Series
of the DFA Investment Trust Company, which in turn seeks to maximize
expected returns by shifting maturities based on changes in the yield
curve.
Using current prices, the strategy creates a matrix of expected returns
from different buy and sell strategies and identifies the optimal maturity
range for the highest expected returns. Maturities are shifted if
sufficient premiums can be documented. Investments are made in U.S.
government securities, high-quality corporate securities and
currency hedged global bonds with a maximum maturity of two years.
The portfolio's returns in fiscal 1997 reflected the performance
of its strategy.
Past performance is not predictive of future performance.
Merrill Lynch Governments, U.S. Treasury, Short-Term
(1-2.99 Years) courtesy of Merrill Lynch.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DFA GLOBAL FIXED INCOME PORTFOLIO VS.
SALOMON WORLD GOVERNMENT BOND INDEX
DECEMBER 1990-NOVEMBER 1997
GROWTH OF $10,000
DFA GLOBAL FIXED SALOMON WORLD FIXED
INCOME PORTFOLIO INCOME INDEX
<S> <C> <C> <C>
$10,000 $10,000
Dec-90 $10,060 $10,126
$10,126 $10,277
$10,185 $10,375
$10,214 $10,405
$10,320 $10,491
$10,427 $10,540
$10,425 $10,508
$10,529 $10,621
$10,706 $10,807
$10,871 $11,012
$10,994 $11,095
$11,100 $11,170
Dec-91 $11,396 $11,461
$11,252 $11,422
$11,278 $11,464
$11,208 $11,396
$11,309 $11,432
$11,481 $11,592
$11,675 $11,700
$11,924 $11,882
$12,066 $11,960
$12,254 $12,143
$12,068 $12,192
$11,988 $12,185
Dec-92 $12,135 $12,340
$12,350 $12,533
$12,537 $12,769
$12,568 $12,762
$12,573 $12,806
$12,565 $12,833
$12,807 $13,092
$12,916 $13,210
$13,156 $13,483
$13,187 $13,561
$13,323 $13,681
$13,358 $13,690
Dec-93 $13,538 $13,871
$13,628 $13,881
$13,314 $13,602
$12,981 $13,429
$12,897 $13,344
$12,796 $13,275
$12,684 $13,174
$12,778 $13,315
$12,876 $13,238
$12,813 $13,194
$12,837 $13,218
$12,969 $13,317
Dec-94 $12,953 $13,353
$13,057 $13,537
$13,249 $13,749
$13,513 $13,973
$13,697 $14,181
$14,032 $14,676
$14,059 $14,698
$14,181 $14,798
$14,282 $14,922
$14,483 $15,128
$14,631 $15,312
$14,947 $15,603
Dec-95 $15,032 $15,764
$15,157 $15,914
$14,998 $15,688
$15,109 $15,741
$15,197 $15,803
$15,344 $15,882
$15,401 $16,034
$15,535 $16,117
$15,773 $16,258
$16,055 $16,567
$16,355 $16,871
$16,610 $17,175
Dec-96 $16,652 $17,136
$16,795 $17,285
$16,955 $17,361
$16,839 $17,260
$16,969 $17,450
$17,098 $17,556
$17,361 $17,818
$17,573 $18,171
$17,606 $18,131
$17,770 $18,424
$17,836 $18,618
Nov-97 $17,918 $18,735
From December
Annualized Total Return (%) One Year Five Years 1990
7.87 8.37 8.69
The portfolio invests in U.S. and
international government bonds, debt
guaranteed by foreign governments, high
quality corporate debt, bank obligations, and
debt of supranational issuers with maturities
of 5 years or less. Eligible countries
include the United States, Canada, United
Kingdom, Germany, Japan, France, Australia, and
the Netherlands. The portfolio is diversified
across countries. Using current prices, the
strategy creates a matrix of expected horizon
returns from different buy and sell
strategies and identifies the maturity range
with the highest expected returns. Maturities
are shifted only if sufficient premiums warrant
it. Country weighting is increased or reduced
based on expected returns. The portfolio may be
concentrated in the U.S. if international
curves are inverted.
The portfolio's returns in fiscal 1997
reflected the performance of its strategy.
Past performance is not predictive of future
performance.
Salomon World Fixed Income Index courtesy of
Salomon Brothers.
</TABLE>
7
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
COMMON STOCKS -- (97.5%)
*3-D Geophysical, Inc................................ 20,800 $ 137,150
*3-D Systems Corp.................................... 83,700 700,988
*3D0 Co.............................................. 120,100 365,930
*4 Health, Inc....................................... 6,700 43,131
*4Front Software International, Inc.................. 26,400 229,350
*7Th Level, Inc...................................... 11,200 22,750
*AAON, Inc........................................... 39,490 296,175
ABC Bancorp.......................................... 26,825 450,995
*ABC Rail Products Corp.............................. 67,000 1,352,563
*ABT Building Products Corp.......................... 3,000 54,000
*ACT Manufacturing, Inc.............................. 8,800 125,125
*ACT Networks, Inc................................... 44,000 360,250
*AEP Industries, Inc................................. 31,850 1,029,153
*AER Energy Resources, Inc........................... 120,200 219,741
*AFC Cable Systems, Inc.............................. 46,625 1,255,961
*AG Associates, Inc.................................. 13,200 79,200
*AG Services America, Inc............................ 23,650 427,178
*#AMBI, Inc.......................................... 124,200 306,619
*AML Communications, Inc............................. 26,600 162,094
*AMX Corp............................................ 34,300 222,950
*APS Holding Corp. Class A........................... 75,900 292,927
*ARI Network Services, Inc........................... 23,875 76,102
*ARV Assisted Living, Inc............................ 66,000 1,010,625
*ASV, Inc............................................ 11,200 296,100
*#ATC Communications Group, Inc...................... 9,100 21,044
*ATC Group Services, Inc............................. 65,800 740,250
*ATMI, Inc........................................... 33,300 1,088,494
*ATS Medical, Inc.................................... 154,900 900,356
Aaron Rents, Inc. Class A............................ 41,500 658,813
Aaron Rents, Inc. Class B............................ 139,800 2,315,438
*#Aasche Transportation
Services, Inc...................................... 19,300 59,709
*Aavid Thermal Technologies, Inc..................... 22,400 653,800
*Abaxis, Inc......................................... 74,800 194,013
Abington Bancorp, Inc................................ 18,400 669,300
*Abiomed, Inc........................................ 35,500 600,172
*Able Telcom Holding Corp............................ 45,500 378,219
Abrams Industries, Inc............................... 12,900 99,975
*Abraxas Petroleum Corp.............................. 50,000 818,750
*Acacia Research Corp................................ 2,400 19,500
*Accell International Corp........................... 97,293 367,889
*#Access Beyond, Inc................................. 89,033 481,335
*Acclaim Entertainment, Inc.......................... 42,100 171,689
*Accumed International, Inc.......................... 19,000 37,109
*Ace Cash Express, Inc............................... 35,150 637,094
Aceto Corp........................................... 20,681 411,035
*Acme Electric Corp.................................. 28,784 181,699
*Acme Metals, Inc.................................... 108,500 1,349,469
*Acme United Corp.................................... 28,707 166,859
*Active Apparel Group, Inc........................... 5,600 12,775
*Active Voice Corp................................... 4,500 62,438
*#Activision, Inc.................................... 106,600 1,705,600
*#Actrade International, Ltd......................... 33,200 952,425
*Adage, Inc.......................................... 50,941 316,795
*Adam Software, Inc.................................. 2,000 5,594
Adams Resources & Energy, Inc........................ 74,150 1,102,981
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Adelphia Communications Corp. Class A............... 43,500 $ 628,031
*Adept Technology, Inc............................... 79,000 930,719
*Adflex Solutions, Inc............................... 41,900 807,884
*Advanced Digital Information Corp................... 48,000 885,000
*Advanced Magnetics, Inc............................. 57,550 535,934
*Advanced Marketing Services, Inc.................... 36,900 477,394
*Advanced Photonix, Inc. Class A..................... 90,950 125,056
*Advanced Polymer Systems, Inc....................... 144,000 1,053,000
*Advanced Promotion Technologies, Inc................ 159,451 2,551
Advantage Bancorp, Inc............................... 11,225 705,772
*Advent Software, Inc................................ 24,000 577,500
Advest Group, Inc.................................... 42,800 973,700
*Advocat, Inc........................................ 50,700 430,950
*Aeroflex, Inc....................................... 102,152 874,677
*Aerosonic Corp. DE.................................. 17,100 181,688
*Aerovox, Inc........................................ 41,800 227,288
*Aetrium, Inc........................................ 39,500 733,219
Affiliated Community Bancorp......................... 13,000 371,313
*Affinity Technology Group, Inc...................... 140,300 403,363
*Ag-Chem Equipment Co., Inc.......................... 48,600 807,975
*Agri-Nutrition Group, Ltd........................... 16,800 24,150
*Air & Water Technologies Corp. Class A.............. 272,000 340,000
*Air Methods Corp.................................... 39,700 145,153
*Airtran Holdings, Inc............................... 60,700 310,139
*Akorn, Inc.......................................... 32,100 125,892
Alabama National Bancorporation...................... 11,400 284,288
Alamo Group, Inc..................................... 42,500 871,250
*Alaris Medical, Inc................................. 84,600 452,081
*Alarmguard Holdings, Inc............................ 40,106 431,140
*Alba-Waldensian, Inc................................ 21,000 115,500
*Alcide Corp......................................... 11,100 659,063
*Aldila, Inc......................................... 77,500 356,016
*Alfin, Inc.......................................... 217 115
Alico, Inc........................................... 55,700 1,364,650
*Align-Rite International, Inc....................... 17,700 298,688
*Alkermes, Inc....................................... 7,900 156,519
*All American Semiconductor, Inc..................... 38,400 70,200
*Allcity Insurance Co................................ 200 1,550
Allen Organ Co. Class B.............................. 4,200 179,025
Alliance Bancorp..................................... 40,456 1,061,970
Alliance Bancorp of New England, Inc................. 266 4,672
*Alliance Entertainment Corp......................... 113,000 9,040
*Alliance Gaming Corp................................ 274,189 1,126,745
*Allied Capital Advisers, Inc........................ 58,500 352,828
Allied Capital Lending Corp.......................... 25,100 518,472
*Allied Digital Technologies Corp.................... 3,200 8,400
*Allied Healthcare Products, Inc..................... 54,600 431,681
*Allied Holdings, Inc................................ 66,435 1,307,939
Allied Life Financial Corp........................... 20,000 422,500
Allied Products Corp................................. 79,141 1,909,277
*Allied Research Corp................................ 41,040 507,870
*Allou Health & Beauty Care, Inc. Class A............ 29,200 229,950
</TABLE>
8
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Allstate Financial Corp............................. 11,500 $ 70,438
*Alltrista Corp...................................... 38,874 1,122,487
*Aloette Cosmetics, Inc.............................. 7,200 21,375
*Alpha Beta Technology, Inc.......................... 108,000 320,625
*Alpha Industries, Inc............................... 89,700 1,670,663
*Alpha Microsystems, Inc............................. 48,600 57,713
*Alpha Technologies Group, Inc....................... 107,200 395,300
*Alpine Group, Inc................................... 159,544 3,121,080
*Alpine Lace Brands, Inc............................. 28,500 258,281
*Alrenco, Inc........................................ 15,100 244,431
*Alta Gold Co........................................ 127,043 202,475
*Alteon, Inc......................................... 117,000 676,406
*Alternative Living Services......................... 22,850 608,381
*Altris Software, Inc................................ 52,750 209,352
*Altron, Inc......................................... 93,000 1,482,188
*Amati Communications Corp........................... 214,500 4,256,484
Amcast Industrial Corp............................... 34,600 856,350
*Amedisys, Inc....................................... 12,700 73,819
*America Services Group, Inc......................... 29,000 503,875
American Bancorporation Ohio......................... 400 8,850
American Bank of Connecticut......................... 6,100 287,081
*American Banknote Corp.............................. 100,400 539,650
American Biltrite, Inc............................... 57,850 1,352,244
*American Biogenetic Sciences, Inc. Class A.......... 130,700 269,569
*American Buildings Co............................... 50,000 1,362,500
*American Claims Evaluation, Inc..................... 3,100 6,588
*American Classic Voyages Co......................... 100,200 1,728,450
*American Coin Merchandising, Inc.................... 5,800 99,325
*American Communications Services, Inc............... 9,000 119,813
*American Eagle Group, Inc........................... 54,500 2,507
*American Eagle Outfitters, Inc...................... 38,600 1,305,163
*American Ecology Corp............................... 62,800 92,238
*American Educational Products, Inc.................. 2,760 19,061
*American Healthcorp, Inc............................ 68,700 884,513
*American Homestar Corp.............................. 130,218 1,863,745
American Indemnity Financial Corp.................... 16,700 211,881
*American International Petroleum Corp............... 40,400 222,200
*American Locker Group, Inc.......................... 8,800 204,600
*American Media, Inc. Class A........................ 29,600 229,400
*American Medical Electronics, Inc. (Escrow-Bonus)... 102,100 0
*American Medical Electronics, Inc.
(Escrow-Earnings).................................. 102,100 0
*American Mobile Satellite Corp...................... 17,800 140,175
*American Oilfield Divers, Inc....................... 56,900 748,591
*American Pacific Corp............................... 73,500 542,063
*American Paging, Inc................................ 112,200 224,400
*American Physicians Services Group, Inc............. 46,800 339,300
American Precision Industries, Inc................... 160,375 3,508,203
*American Safety Razor Co............................ 48,400 910,525
*American Science & Engineering, Inc................. 75,000 853,125
*American Shared Hospital Services................... 14,800 21,275
*American Software, Inc. Class A..................... 140,800 1,311,200
*American Superconductor Corp........................ 54,500 572,250
*American Technical Ceramics Corp.................... 17,200 276,275
*American Telecasting, Inc........................... 22,000 30,938
*American United Global, Inc......................... 46,900 95,998
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*#American Waste Services, Inc. Class A.............. 123,800 $ 185,700
American Woodmark Corp............................... 44,329 969,697
Americana Bancorp, Inc............................... 18,199 359,449
*Amerihost Properties, Inc........................... 63,600 419,363
*AmeriLink Corp...................................... 16,800 423,150
*Ameristar Casinos, Inc.............................. 126,350 665,312
*Ameriwood Industries International Corp............. 52,900 333,931
Ameron, Inc.......................................... 15,500 999,750
*Ames Department Stores, Inc......................... 93,000 1,569,375
*Amistar Corp........................................ 28,300 102,588
Ampco-Pittsburgh Corp................................ 72,100 1,369,900
*Ampex Corp. Class A................................. 90,700 235,253
Amplicon, Inc........................................ 58,000 960,625
*Amrep Corp.......................................... 63,610 349,855
*Amtech Corp......................................... 84,800 394,850
*Amtran, Inc......................................... 88,200 711,113
Amvestors Financial Corp............................. 88,268 1,936,379
Amwest Insurance Group, Inc.......................... 46,850 652,972
*Amylin Pharmaceuticals, Inc......................... 10,500 71,203
*Analogy, Inc........................................ 20,600 113,300
Analysis & Technology, Inc........................... 26,800 633,150
*Analytical Surveys, Inc............................. 19,900 514,913
*#Anaren Microwave, Inc.............................. 41,700 839,213
Anchor Bancorp Wisconsin, Inc........................ 20,200 632,513
*Andersen Group, Inc................................. 15,000 112,500
Andover Bancorp, Inc. DE............................. 25,780 965,944
*Andrea Electronics Corp............................. 34,900 706,725
*Anergen, Inc........................................ 138,300 363,038
*Anesta Corp......................................... 86,700 1,384,491
*Angeion Corp........................................ 109,600 359,625
Angelica Corp........................................ 85,700 1,842,550
*Anicom, Inc......................................... 60,500 1,054,969
*Ansaldo Signal N.V.................................. 56,000 253,750
*Apertus Technologies, Inc........................... 126,300 217,078
*Aphton Corp......................................... 52,600 601,613
*Apogee, Inc......................................... 39,900 97,256
*Appliance Recycling Centers of America, Inc......... 3,500 10,281
*Applied Digital Access, Inc......................... 83,900 608,275
*Applied Extrusion Technologies, Inc................. 70,000 553,438
*Applied Innovation, Inc............................. 89,600 641,200
*Applied Microsystems Corp........................... 32,200 313,950
*Applied Science & Technology, Inc................... 22,300 469,694
*Applied Signal Technologies, Inc.................... 75,000 1,129,688
*Applied Voice Technology, Inc....................... 28,300 787,094
*Applix, Inc......................................... 36,300 200,217
*#Aquagenix, Inc..................................... 22,300 165,159
Aquarion Co.......................................... 27,400 832,275
*Aquila Biopharmaceuticals, Inc...................... 44 206
*Arabian Shield Development Co....................... 66,200 161,363
*Arch Communications Group, Inc...................... 135,800 929,381
*Arch Petroleum, Inc................................. 85,826 240,045
*Argosy Gaming Corp.................................. 199,300 809,656
*Ariad Pharmaceuticals, Inc.......................... 168,500 821,438
*Ariel Corp.......................................... 89,400 645,356
*#Ark Restaurants Corp............................... 17,200 196,725
*Arkansas Best Corp.................................. 151,500 1,675,969
*Aronex Pharmaceuticals, Inc......................... 133,550 671,923
*Arrhythmia Research Technology, Inc................. 11,375 23,461
</TABLE>
9
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*#Arris Pharmaceutical Corp.......................... 105,000 $ 1,004,063
*Arrow Automotive Industries, Inc.................... 31,300 101,725
Arrow Financial Corp................................. 26,159 858,365
*Arthrocare Corp..................................... 32,500 375,781
*Artisoft, Inc....................................... 54,400 117,300
*Artistic Greetings, Inc............................. 29,200 138,700
*Artra Group, Inc.................................... 65,200 191,525
*Arts Way Manufacturing Co., Inc..................... 100 1,038
*Asahi/Amer, Inc..................................... 3,300 21,863
*Asante Technologies, Inc............................ 45,000 219,375
*Aseco Corp.......................................... 20,100 201,000
*Ashworth, Inc....................................... 102,200 1,101,844
*#Assisted Living Concepts, Inc...................... 78,800 1,349,450
*Astea International, Inc............................ 15,700 35,816
*Astec Industries, Inc............................... 98,100 1,581,863
Astro-Med, Inc....................................... 58,175 479,944
*Astronics Corp...................................... 22,850 214,219
*Asyst Technologies, Inc............................. 35,800 1,103,088
Atalanta Sosnoff Capital Corp........................ 20,900 246,881
*Atchison Casting Corp............................... 46,900 809,025
*Athey Products Corp................................. 31,085 133,083
*Atkinson (Guy F.) of California..................... 33,200 121,388
*Atlantic American Corp.............................. 112,825 567,651
*Atlantic Bank and Trust Co.......................... 9,200 135,700
*Atlantic Coast Airlines, Inc........................ 65,000 1,523,438
*Atlantic Gulf Communities Corp...................... 74,300 311,131
*Atlantic Premium Brands, Ltd........................ 20,000 65,000
*Atlantic Tele-Network, Inc.......................... 76,100 922,713
*Atlantis Plastics, Inc.............................. 31,400 178,588
Atrion Corp.......................................... 59,850 879,047
*Atrix Labs, Inc..................................... 51,506 753,275
*Au Bon Pain, Inc. Class A........................... 64,900 588,156
*Audiovox Corp. Class A.............................. 72,500 638,906
Audits & Surveys Worldwide, Inc...................... 52,922 145,536
*Ault, Inc........................................... 34,500 238,266
*Aura Systems, Inc................................... 11,200 41,825
Autocam Corp......................................... 58,448 767,130
*Autoimmune, Inc..................................... 70,500 204,891
*Autoinfo, Inc....................................... 73,413 43,589
*Autologic Information International, Inc............ 27,500 206,250
*Automobile Protection Corp.......................... 49,800 298,800
*Autonomous Technologies Corp........................ 10,000 54,063
*Autote Corp. Class A................................ 247,000 663,813
*#Avatex Corp........................................ 26,200 45,850
*Avecor Cardiovascular, Inc.......................... 65,700 542,025
*Avert, Inc.......................................... 17,400 140,288
*Aviall, Inc......................................... 41,700 591,619
*Avigen, Inc......................................... 58,000 192,125
*Aviva Petroleum, Inc. Deposit Shares (Representing 5
Shares)............................................ 5,000 7,500
*Avondale Financial Corp............................. 9,400 150,400
*Avondale Industries, Inc............................ 34,800 985,275
*Axent Technologies, Inc............................. 30,000 630,000
*Axiohm Transaction Solutions, Inc................... 3,136 52,724
*Axsys Technologies, Inc............................. 8,900 176,888
*Aydin Corp.......................................... 43,250 497,375
Aztec Manufacturing Co............................... 55,826 952,531
*BCT International, Inc.............................. 14,200 45,263
*BEC Group, Inc...................................... 58,300 342,513
BEI Electronics, Inc................................. 42,100 168,400
*BEI Technologies, Inc............................... 42,100 505,200
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*BFX Hospitality Group, Inc.......................... 33,000 $ 86,625
BGS Systems, Inc..................................... 12,800 426,400
BHA Group Holdings, Inc. Class A..................... 77,231 1,419,120
*BI, Inc............................................. 85,900 606,669
*BPI Packaging Technologies, Inc..................... 19,800 21,347
*BRC Holdings, Inc................................... 8,300 346,006
BSB Bancorp, Inc..................................... 111,562 3,479,340
BT Financial Corp.................................... 13,304 616,973
*BTG, Inc............................................ 21,000 225,750
*BTU International, Inc.............................. 42,700 242,856
*BWAY Corp........................................... 83,550 1,801,547
*Back Bay Restaurant Group, Inc...................... 26,600 171,238
Badger Meter, Inc.................................... 48,100 1,996,150
Badger Meter, Inc. Class B........................... 16,500 684,750
Badger Paper Mills, Inc.............................. 200 1,688
Bairnco Corp......................................... 105,400 1,040,825
Baker (J.), Inc...................................... 114,000 780,188
*Baker (Michael) Corp................................ 72,214 681,520
*Baker (Michael) Corp. Class B....................... 15,400 145,338
Balchem Corp......................................... 5,200 98,150
*Baldwin Piano & Organ Co............................ 37,900 625,350
*Baldwin Technology, Inc. Class A.................... 135,000 675,000
*Ballantyne Omaha, Inc............................... 81,600 1,499,400
*Baltek Corp......................................... 21,562 202,144
Bancfirst Ohio Corp.................................. 8,200 363,875
*Bancinsurance Corp.................................. 30,200 145,338
Bancorp Connecticut, Inc............................. 9,640 383,190
Bangor Hydro-Electric Co............................. 52,600 299,163
Bank of Southington.................................. 210 4,331
*Bank Plus Corp...................................... 100,000 1,106,250
*Bank United Financial Corp. Class A................. 16,700 216,056
BankAtlantic Bancorp, Inc. Class B................... 40,212 569,251
*Banner Aerospace, Inc............................... 178,100 1,691,950
*Banyan System, Inc.................................. 155,000 518,281
*Barnwell Industries, Inc............................ 11,800 210,925
*Barra, Inc.......................................... 113,100 3,110,250
*Barrett Business Services, Inc...................... 49,800 602,269
*#Barringer Technologies, Inc........................ 28,600 310,131
*Barrister Information Systems Corp.................. 7,866 11,307
*Barry (R.G.) Corp................................... 178,235 2,083,122
*Barrys Jewelers, Inc................................ 192 30
*#Base Ten Systems, Inc. Class A..................... 35,800 456,450
*Basin Exploration, Inc.............................. 87,000 1,620,375
*Baycorp Holdings, Ltd............................... 4,200 30,975
*Bayou Steel Corp. Class A........................... 45,150 163,669
*Beard Co............................................ 26,533 142,615
Beauticontrol Cosmetics, Inc......................... 32,200 262,631
*Beazer Homes USA, Inc............................... 61,800 1,102,744
*Bel Fuse, Inc....................................... 86,500 1,692,156
*Bell Industries, Inc................................ 76,472 1,271,347
*Bell Microproducts, Inc............................. 52,200 440,438
*Bell Sports Corp.................................... 119,112 1,001,285
*Bellwether Exploration Co........................... 84,700 884,056
*Belmont Homes, Inc.................................. 10,700 80,919
*Ben & Jerry's Homemade, Inc. Class A................ 29,200 469,025
*Benchmark Electronics, Inc.......................... 42,600 1,198,125
*Benchmarq Microelectron............................. 34,300 623,831
*Benihana, Inc....................................... 9,500 121,125
*Benihana, Inc. Class A.............................. 1,400 15,925
*Bentley Pharmaceuticals, Inc........................ 14,850 40,838
Berkshire Gas Co..................................... 8,300 141,619
</TABLE>
10
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Berlitz International, Inc.......................... 67,100 $ 1,732,019
*Bertuccis, Inc...................................... 51,500 328,313
*Bethlehem Corp...................................... 200 638
Binks Sames Corp..................................... 61,300 2,635,900
*Bio Vascular, Inc................................... 5,000 17,656
*Bio-Logic Systems Corp.............................. 23,400 118,463
*Bio-Plexus, Inc..................................... 13,200 71,363
*Bio-Response, Inc................................... 68,000 3,400
*#Biocircuits Corp................................... 25,250 20,516
*Biocryst Pharmaceuticals, Inc....................... 76,900 557,525
*Biomatrix, Inc...................................... 86,400 2,575,800
*Biomerica, Inc...................................... 26,100 59,541
*Biosepra, Inc....................................... 37,900 85,275
*#Biosource International, Inc....................... 70,000 417,813
*Biospecifics Technologies Corp...................... 21,000 120,750
*#Biospherics, Inc................................... 38,300 222,619
*Bird Corp........................................... 36,400 147,875
*Black Hawk Gaming & Development, Inc................ 10,500 76,125
Blair Corp........................................... 55,300 1,054,156
Blessings Corp....................................... 161,912 2,307,246
Blimpie International................................ 41,450 182,639
*Bluegreen Corp...................................... 89,134 389,961
*Boca Research, Inc.................................. 43,600 307,925
*Bolt Technology Corp................................ 10,350 79,566
*Bombay Co., Inc..................................... 96,800 502,150
*Bon-Ton Stores, Inc................................. 52,100 820,575
*Bonded Motors, Inc.................................. 13,400 110,131
*Bone Care International, Inc........................ 40,500 410,063
*Bontex, Inc......................................... 2,200 12,650
*Books-a-Million, Inc................................ 140,000 949,375
Boston Acoustics, Inc................................ 37,300 1,002,438
*Boston Communications Group, Inc.................... 67,000 626,031
Bostonfed Bancorp, Inc............................... 8,000 164,500
Bowl America, Inc. Class A........................... 56,160 475,605
*Bowmar Instrument Corp.............................. 55,800 115,088
*Box Energy Corp. Class B............................ 129,100 931,941
*Boyds Wheels, Inc................................... 5,300 9,606
*Bradley Pharmaceuticals, Inc. Class A............... 8,400 15,094
Branford Savings Bank CT............................. 610 3,584
*Brauns Fashions Corp................................ 13,500 129,938
*Brazos Sportswear, Inc.............................. 5,570 50,130
Brenton Banks, Inc................................... 242 7,933
*Brewer (C.) Homes, Inc. Class A..................... 39,300 80,442
Bridgford Foods Corp................................. 60,200 903,000
*Brite Voice Systems, Inc............................ 104,000 955,500
Broad National Bancorporation........................ 17,820 365,310
*Broadband Technologies, Inc......................... 57,200 337,838
*Broadway & Seymour, Inc............................. 66,600 649,350
*Brock International, Inc............................ 34,700 143,138
#Brooke Group, Ltd................................... 106,600 959,400
*Brooks Automation, Inc.............................. 22,100 469,625
*Brookstone, Inc..................................... 57,800 700,825
*Brooktrout Technology, Inc.......................... 90,150 1,025,456
*Brothers Gourmet Coffees, Inc....................... 58,600 71,419
*Brown & Sharpe Manufacturing Co. Class A............ 95,675 980,669
Bryn Mawr Bank Corp.................................. 1,000 47,063
*Buckhead America Corp............................... 3,500 28,875
*Builders Transport, Inc............................. 52,100 156,300
*Building Materials Holding Corp..................... 104,900 1,186,681
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Bull Run Corp. GA................................... 171,700 $ 525,831
*Business Resource Group............................. 16,200 59,738
*Butler International, Inc........................... 41,727 704,143
Butler Manufacturing Co.............................. 7,000 237,125
*Buttrey Food & Drug Stores Co....................... 51,000 551,438
C & D Technologies, Inc.............................. 35,800 1,653,513
*C ATS Software, Inc................................. 21,900 124,556
*C-COR Electronics, Inc.............................. 43,700 682,813
*#C-Phone Corp....................................... 36,300 283,594
*C.P. Clare Corp..................................... 37,100 498,531
CB Bancshares, Inc. HI............................... 818 33,947
*CCA Industries, Inc................................. 33,300 81,169
*CE Software Holdings, Inc........................... 2,180 5,450
*CEM Corp............................................ 41,500 448,719
*CET Environmental Services, Inc..................... 7,000 47,688
*CFI Proservices, Inc................................ 35,600 449,450
CFSB Bancorp, Inc.................................... 6,497 230,644
CFW Communications Co................................ 2,500 57,031
CFX Corp............................................. 77,000 2,136,750
*CMC Industries, Inc................................. 40,800 497,250
*CMG Information Services, Inc....................... 41,000 863,563
CMI Corp. Class A.................................... 264,699 1,422,757
*CML Group, Inc...................................... 263,800 923,300
CNA Surety Corp...................................... 35,200 510,400
*CNS Income.......................................... 80,600 639,763
*CPAC, Inc........................................... 37,453 402,620
CPB, Inc............................................. 23,800 494,594
*#CPI Aerostructures, Inc............................ 2,500 8,438
*CSP, Inc............................................ 59,300 459,575
*CTC Communications Corp. Class 1.................... 58,000 859,125
CVB Financial Corp................................... 28,325 814,344
*Cache, Inc.......................................... 80,125 315,492
*Caci International, Inc. Class A.................... 8,100 160,228
*Cade Industries, Inc................................ 22,900 55,819
*Cadiz Land, Inc..................................... 134,400 974,400
Cadmus Communications Corp........................... 58,900 1,258,988
*Caere Corp.......................................... 105,000 920,391
Cagle's, Inc. Class A................................ 104,900 1,226,019
*Cal-Maine Foods, Inc................................ 3,000 18,750
*Calcomp Technology, Inc............................. 27,800 125,100
*California Amplifier, Inc........................... 62,900 208,356
*#California Culinary Academy, Inc................... 17,300 131,913
*California Micro Devices Corp....................... 48,200 298,238
California State Bank................................ 20,459 662,360
*#Callon Petroleum Co................................ 45,900 817,594
*Calumet Bancorp, Inc................................ 5,925 191,081
*Cambex Corp......................................... 82,300 15,431
*Cambridge Heart, Inc................................ 32,000 291,000
*Cambridge Neuroscience, Inc......................... 80,900 170,648
*Cambridge Soundworks, Inc........................... 14,400 152,100
*Cameron Ashley Building Products, Inc............... 23,500 368,656
Cameron Financial Corp............................... 8,200 160,925
*Campo Eletronics, Appliances & Computers, Inc....... 49,700 48,923
*Candela Laser Corp.................................. 28,200 154,219
*Candies, Inc........................................ 57,000 388,313
*Canisco Resources, Inc.............................. 8,600 24,188
*Cannon Express, Inc. Class A........................ 3,250 26,609
*#Cannondale Corp.................................... 73,200 1,512,038
*Cantel Industries, Inc. Class B..................... 26,000 188,500
*Canyon Resources Corp............................... 226,000 268,375
</TABLE>
11
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
Cape Cod Bank & Trust Co............................. 29,600 $ 1,154,400
*Capital Associates, Inc............................. 21,050 61,834
*Capital Pacific Holdings, Inc....................... 55,700 186,247
Capitol Bancorp, Ltd................................. 13,904 377,146
Capitol Transamerica Corp............................ 19,845 468,838
*Cardiotech International, Inc....................... 12,957 37,251
*Cardiovascular Diagnostics.......................... 28,900 180,625
*Cardiovascular Dynamics, Inc........................ 54,036 293,821
*Care Group, Inc..................................... 77,100 39,755
*Caretenders Healthcorp.............................. 6,500 54,844
*Carlyle Industries, Inc............................. 4,675 7,306
Carnegie Bancorp..................................... 6,160 190,960
*Carnegie Group, Inc................................. 25,000 107,813
Carolina First Corp.................................. 73,861 1,442,615
*Carr-Gottstein Foods Co............................. 71,766 354,345
*Carrington Laboratories, Inc........................ 76,300 379,116
*Carson, Inc......................................... 4,000 32,500
*Carver Corp. WA..................................... 60,803 62,703
Cascade Corp......................................... 50,900 916,200
Cascade Natural Gas Corp............................. 51,300 872,100
*Casco International, Inc............................ 5,022 18,833
Cash America International, Inc...................... 102,700 1,283,750
*Casino America, Inc................................. 200,500 576,438
*Casino Data Systems................................. 90,200 408,719
*Casino Magic Corp................................... 71,300 86,897
*Casino Resource Corp................................ 10,700 15,047
*Castelle............................................ 12,400 48,050
*Catalina Lighting, Inc.............................. 60,600 374,963
*Catalyst International, Inc......................... 18,400 104,650
*Catalyst Semiconductor, Inc......................... 58,300 93,827
*Catalytica, Inc..................................... 173,500 1,794,641
*Catherines Stores Corp.............................. 59,900 376,247
Cato Corp. Class A................................... 194,900 1,827,188
Cavalier Homes, Inc.................................. 81,530 794,918
*Cayenne Software, Inc............................... 91,600 224,706
*Cel-Sci Corp........................................ 23,700 186,638
*Celadon Group, Inc.................................. 69,000 1,043,625
*Celebrity, Inc...................................... 54,000 108,000
*Celeritek, Inc...................................... 43,000 698,750
*Celestial Seasonings, Inc........................... 18,200 561,925
*Celgene Corp........................................ 115,300 1,037,700
*#Cell Genesys, Inc.................................. 216,005 1,849,543
*Cellpro, Inc........................................ 71,400 200,813
*Cellular Technical Services Co., Inc................ 83,300 234,281
*Celtrix Pharmaceuticals, Inc........................ 91,800 219,459
Cenfed Financial Corp................................ 27,695 1,110,396
Cenit Bancorp, Inc................................... 2,500 170,938
*Centennial Bancorp.................................. 34,142 970,913
*Centigram Communications Corp....................... 50,600 830,156
Central Co-Operative Bank Somerville, MA............. 7,500 198,750
Central Reserve Life Corp............................ 33,700 168,500
*Central Sprinkler Corp.............................. 41,600 748,800
Central Vermont Public Service Corp.................. 49,000 679,875
Centris Group, Inc................................... 54,100 1,173,294
*Centura Software Corp............................... 63,100 106,481
Century Bancorp Income Class A....................... 1,000 18,250
*Ceradyne, Inc....................................... 115,100 530,539
Cerberonics, Inc. Class A............................ 3,500 33,250
*Cerion Technologies, Inc............................ 30,000 65,625
*Cerprobe Corp....................................... 33,800 605,231
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Chad Therapeutics................................... 69,458 $ 642,487
#Champion Industries, Inc............................ 42,000 813,750
*Charles, JW Financial Services, Inc................. 5,600 68,600
*Chart House Enterprises, Inc........................ 72,900 510,300
Chart Industries, Inc................................ 104,600 2,418,875
*Charter Federal Savings Bank (Escrow)............... 43,340 0
Charter Financial, Inc............................... 17,700 392,166
*Chartwell Leisure, Inc.............................. 49,600 829,250
*Chase Corp.......................................... 10,500 137,813
*Chase Industries, Inc............................... 60,500 1,474,688
*Chattem, Inc........................................ 39,500 604,844
*Chaus (Bernard), Inc................................ 53,600 50,250
*Check Technology Corp............................... 30,900 122,634
*Checkmate Electronics, Inc.......................... 26,600 196,175
*Chemfab Corp........................................ 141,300 3,241,069
*#Chemtrak, Inc...................................... 31,250 38,086
*Cherry Corp. Class A................................ 3,600 55,013
*Cherry Corp. Class B................................ 9,900 144,788
Chesapeake Utilities Corp............................ 21,575 436,894
Chester Valley Bancorp............................... 957 25,600
*Chic by His, Inc.................................... 80,000 590,000
Chicago Rivet & Machine Co........................... 20,000 595,000
*Chicos Fas, Inc..................................... 66,900 485,025
*Children's Comprehensive Services, Inc.............. 27,000 464,063
*Children's Discovery Centers of America, Inc. Class
A.................................................. 52,100 423,313
*Childrens Broadcasting Corp......................... 27,000 102,938
*Childtime Learning Centers, Inc..................... 22,500 310,781
*#Chock Full O' Nuts Corp............................ 92,330 663,622
*Cholestech Corp..................................... 71,000 938,531
*Christiana Companies, Inc........................... 22,100 828,750
*Chromcraft Revington, Inc........................... 56,000 1,771,000
*Chronimed, Inc...................................... 63,800 737,688
*Chrysalis International Corp........................ 90,000 354,375
*Chyron Corp......................................... 14,553 63,669
*Cidco, Inc.......................................... 15,900 324,956
*Cima Laboratories, Inc.............................. 45,500 261,625
*Cinergi Pictures Entertainment, Inc................. 39,200 91,875
*Ciprico, Inc........................................ 41,895 527,615
*Circon Corp......................................... 42,322 648,056
*Circuit Systems, Inc................................ 25,100 111,381
*Citadel Holding Corp................................ 35,000 142,188
*Citation Computer System, Inc....................... 30,000 204,375
*Citation Corp....................................... 12,000 204,750
Citfed Bancorp, Inc.................................. 25,700 1,301,063
*Citizens, Inc. Class A.............................. 60,550 420,066
City Holding Co...................................... 2,142 88,358
*Civic Bancorp....................................... 39,690 642,482
*Claremont Technology Group, Inc..................... 90,000 1,636,875
*Clark (Dick) Productions, Inc....................... 11,600 165,300
*Clean Harbors, Inc.................................. 82,400 160,938
*Clintrials Research, Inc............................ 150,600 1,289,513
*Coast Distribution System........................... 43,600 147,150
Coastal Bancorp, Inc................................. 29,400 856,275
*Coastal Physician Group, Inc........................ 58,400 65,700
*Coastcast Corp...................................... 58,200 818,438
*Cobra Electronic Corp............................... 125,100 992,981
*Cocensys, Inc....................................... 168,700 579,906
*Code-Alarm, Inc..................................... 20,300 48,213
*Coeur d'Alene Mines Corp. ID........................ 20,000 172,500
</TABLE>
12
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Cognitronics Corp................................... 57,450 $ 1,030,509
*Coho Energy, Inc.................................... 139,000 1,416,063
*Cohr, Inc........................................... 28,700 354,266
*Cold Metal Products, Inc............................ 50,400 302,400
*Cole (Kenneth) Productions, Inc. Class A............ 62,400 1,041,300
Collagen Corp........................................ 51,200 1,017,600
*Collagenex Pharmaceuticals, Inc..................... 20,000 273,750
Collins Industries, Inc.............................. 86,325 577,298
Colonial Gas Co...................................... 25,650 642,853
*Columbia Banking System, Inc........................ 23,329 621,135
*Columbus Energy Corp................................ 14,825 127,866
*Comarco, Inc........................................ 47,200 1,126,900
*Comdial Corp........................................ 151,433 1,608,976
*#Comforce Corp...................................... 83,200 629,200
Commercial Bancshares, Inc........................... 18,060 443,599
Commercial Bank of New York.......................... 12,550 284,728
Commercial Intertech Corp............................ 53,400 954,525
*#Commodore Applied Technologies, Inc................ 20,000 33,750
*Commodore Applied Technologies, Inc. (Private
Placement)......................................... 157,700 239,507
Commonwealth Industries, Inc......................... 37,800 633,150
*Communications Central, Inc......................... 22,000 221,375
Communications Systems, Inc.......................... 118,500 2,170,031
Community Bank System, Inc........................... 53,600 1,547,700
Community Banks, Inc................................. 231 9,760
*Community Medical Transport, Inc.................... 15,300 26,297
*Comnet Corp......................................... 30,300 234,825
*Compdent Corp....................................... 36,000 744,750
*Competitive Technologies, Inc....................... 109,100 954,625
*#Complete Management, Inc........................... 68,099 1,132,146
*Comprehensive Care Corp............................. 22,820 201,101
*Comptek Research, Inc............................... 59,300 429,925
*Computational Systems, Inc.......................... 12,400 365,800
Computer Data Systems, Inc........................... 104,700 4,246,894
Computer Language Research, Inc...................... 83,800 979,413
*Computer Manangement Sciences, Inc.................. 22,700 373,131
*Computer Network Technology Corp.................... 164,300 662,334
*Computer Outsourcing Services, Inc.................. 16,400 144,525
*Computervision Corp................................. 31,400 115,788
*Computrac, Inc...................................... 59,900 59,900
*Comshare, Inc....................................... 63,150 371,006
*Comstock Resources, Inc............................. 59,400 779,625
*Comtech Telecommunications Corp..................... 9,300 42,286
*Concentra Corp...................................... 30,200 163,269
*Concord Camera Corp................................. 27,700 116,859
*Concord Fabrics, Inc. Class A....................... 45,500 408,078
*Concord Fabrics, Inc. Class B....................... 25,700 229,694
*Concurrent Computer Corp............................ 57,180 162,606
*Conductus, Inc...................................... 34,500 159,563
*Cone Mills Corp. NC................................. 38,000 299,250
*Congoleum Corp. Class A............................. 21,800 222,088
*Conmed Corp......................................... 26,199 618,951
Connecticut Energy Corp.............................. 22,650 586,069
Connecticut Water Services, Inc...................... 42,350 1,286,381
*Connitics Corp...................................... 29,100 83,663
*Consep, Inc......................................... 49,700 94,741
*Consilium, Inc...................................... 68,700 234,009
*Conso Products Co................................... 59,000 468,313
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Consolidated Delivery and Logistics, Inc............ 9,500 $ 26,125
*Consolidated Products, Inc.......................... 5,000 96,250
*Consolidated Stainless, Inc......................... 16,150 7,570
Consolidated Tokoma Land Co.......................... 6,100 114,375
*Consumer Portfolio Services, Inc.................... 112,000 1,162,000
*Consumers Financial Corp............................ 26,000 30,875
Consumers Water Co................................... 37,000 694,906
*Continental Can, Inc. DE............................ 20,500 451,000
*Continental Circuits Corp........................... 31,800 584,325
Continental Homes Holding Corp....................... 70,100 2,282,631
*Continental Materials Corp.......................... 9,700 265,538
*Converse, Inc....................................... 73,800 539,663
Cooker Restaurant Corp............................... 82,600 820,838
*Cooper Development Co............................... 13 5,688
*Cooperative Bankshares, Inc......................... 3,000 51,563
*Copart, Inc......................................... 34,250 597,234
*Copley Pharmaceutical, Inc.......................... 52,400 373,350
*Copytele, Inc....................................... 12,000 42,375
*Cor Therapeutics, Inc............................... 75,600 1,724,625
*Coram Healthcare Corp............................... 155,000 561,875
*Corcom, Inc......................................... 63,400 622,113
*Core Materials Corp................................. 1,200 4,650
*Core, Inc........................................... 31,200 326,625
*Cornerstone Imaging, Inc............................ 54,900 262,491
*Corporate Express, Inc.............................. 5,060 79,537
*Correctional Services Corp.......................... 32,500 360,547
*Corrpro Companies, Inc.............................. 32,700 461,888
*Cortech, Inc........................................ 114,300 71,438
*Corvas International, Inc........................... 95,100 427,950
*Corvel Corp......................................... 6,200 228,625
*Cosmetic Centers, Inc. Class C...................... 8,570 26,781
*Cotelligent Group, Inc.............................. 83,700 1,605,994
Cotton States Life Insurance Co...................... 8,000 148,500
Courier Corp......................................... 31,700 879,675
*Covenant Transport, Inc. Class A.................... 63,000 1,002,094
*Cover-All Technologies, Inc......................... 83,445 325,957
Covest Bancshares, Inc............................... 30,000 795,000
*Coyote Network Systems, Inc......................... 11,930 82,210
Craftmade International, Inc......................... 45,000 457,031
*#Craig (Jenny), Inc................................. 51,050 382,875
*Craig Corp.......................................... 43,900 839,588
*Creative Biomolecules, Inc.......................... 131,100 1,032,413
*Creative Computers, Inc............................. 40,800 492,150
*Cree Research, Inc.................................. 90,600 1,945,069
*Criticare Systems, Inc.............................. 45,400 184,438
Cross (A.T.) Co. Class A............................. 63,200 683,350
*Crossman Communities, Inc........................... 90,000 2,047,500
*Crowley, Milner & Co................................ 12,200 125,050
*Crown Books Corp.................................... 11,900 88,878
*Crown Central Petroleum Corp. Class A............... 21,700 436,713
*Crown Central Petroleum Corp. Class B............... 21,300 404,700
Crown Crafts, Inc.................................... 35,500 576,875
*Crown Resources Corp................................ 117,700 511,259
*Crown Vantage, Inc.................................. 17,800 178,000
*Crown-Andersen, Inc................................. 10,500 70,875
*Cruise America, Inc................................. 37,100 340,856
*Cryolife, Inc....................................... 73,400 1,068,888
*Crystal Oil Co...................................... 5,000 195,000
Cubic Corp........................................... 29,850 958,931
</TABLE>
13
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Cuisine Solutions, Inc.............................. 211,800 $ 284,606
Culp, Inc............................................ 178,580 3,326,053
*Curative Health Services, Inc....................... 44,100 1,259,606
*Cyanotech Corp...................................... 42,050 168,200
*Cyberguard Corp..................................... 34,500 215,625
*Cyberonics, Inc..................................... 84,700 963,463
*Cyberoptics Corp.................................... 29,600 804,750
*Cybex Corp.......................................... 26,600 691,600
*Cybex International, Inc............................ 72,300 786,263
*Cypros Pharmaceutical Corp.......................... 99,900 518,231
*Cyrk, Inc........................................... 100,200 1,171,088
*Cytel Corp.......................................... 170,500 338,336
*Cytogen Corp........................................ 145,700 468,972
*Cytotherapeutics, Inc............................... 131,100 667,791
*Cytrx Corp.......................................... 43,300 179,966
D&N Financial Corp................................... 57,800 1,405,263
*DBA Systems, Inc.................................... 27,500 194,219
*DDL Electronics, Inc................................ 171,500 128,625
*DIY Home Warehouse, Inc............................. 70,000 280,000
*DLB Oil & Gas, Inc.................................. 7,600 85,500
*DM Management Co.................................... 21,100 375,844
*DNAP Holding Corp................................... 5,400 25,313
*#DRS Technologies, Inc.............................. 30,700 377,994
*DSP Group, Inc...................................... 45,700 1,496,675
*DSP Technology, Inc................................. 8,200 88,150
*DVI, Inc............................................ 73,100 1,334,075
*Daily Journal Corp.................................. 200 8,100
*Dakotah, Inc........................................ 8,700 17,672
*Daktronics, Inc..................................... 12,200 78,538
*Damark International, Inc. Class A.................. 32,000 396,000
Dames & Moore, Inc................................... 49,300 610,088
Daniel Industries, Inc............................... 101,369 1,881,662
*Danielson Holding Corp.............................. 153 1,243
*Darling International, Inc.......................... 53,400 513,975
Dart Group Corp. Class A............................. 200 23,350
*Data Broadcasting Corp.............................. 100,336 708,623
*Data Dimensions, Inc................................ 12,000 217,875
*Data I/O Corp....................................... 65,600 483,800
*Data Processing Resources Corp...................... 5,900 134,594
*#Data Race, Inc..................................... 23,300 110,675
Data Research Association, Inc....................... 44,950 592,778
*Data Systems & Software, Inc........................ 46,400 247,950
*Data Systems Network Corp........................... 3,641 42,327
*Data Translation, Inc............................... 20,650 65,822
*Data Transmission Network Corp...................... 21,300 574,434
*Dataflex Corp....................................... 38,325 164,079
*Datakey, Inc........................................ 11,100 44,747
*Datamarine International, Inc....................... 200 838
*Datametrics Corp.................................... 56,000 129,500
*Datapoint Corp...................................... 117,600 338,100
*Dataram Corp........................................ 14,300 123,338
*Datastream Systems, Inc............................. 50,000 1,587,500
*Dataware Technologies, Inc.......................... 46,000 146,625
*Datawatch Corp...................................... 58,600 159,319
*Dataworks Corp...................................... 20,573 392,173
*Datron Systems, Inc................................. 23,200 236,350
*Datum, Inc.......................................... 72,600 1,365,788
*Davco Restaurants, Inc.............................. 56,300 1,104,888
*Dave and Busters, Inc............................... 21,150 549,900
*Davel Communications Group, Inc..................... 27,100 660,563
*Davox Corp.......................................... 40,650 1,341,450
*#Daw Technologies, Inc.............................. 100,600 204,344
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Dawson Geophysical Co............................... 44,700 $ 852,094
Daxor Corp........................................... 46,000 552,000
*Day Runner, Inc..................................... 26,050 1,019,206
*Dayton Superior Corp. Class A....................... 600 10,275
Deb Shops, Inc....................................... 66,400 381,800
*Deckers Outdoor Corp................................ 44,800 373,800
Decorator Industries, Inc............................ 12,050 109,956
*Deeptech International, Inc......................... 89,900 994,519
Defiance, Inc........................................ 65,200 518,544
*Deflecta-Shield Corp................................ 20,200 317,519
*Del Global Technologies Corp........................ 59,016 582,783
Del Laboratories, Inc................................ 123,690 4,506,954
Delta Natural Gas Co., Inc........................... 18,800 340,750
Delta Woodside Industries, Inc....................... 144,000 846,000
*Denamerica Corp..................................... 41,800 109,725
*Dendrite International, Inc......................... 34,500 657,656
*Dense-Pac Microsystems, Inc......................... 48,800 167,750
*Depotech Corp....................................... 56,600 868,456
*Designer Holdings, Ltd.............................. 74,900 702,188
*Designs, Inc........................................ 129,600 443,475
*Desktop Data, Inc................................... 41,500 330,703
*Detection Systems, Inc.............................. 66,186 976,244
*Detrex Corp......................................... 9,500 97,969
*Devcon International Corp........................... 25,100 123,931
*Devlieg-Bullard, Inc................................ 105,000 452,813
*Dewolfe Companies, Inc.............................. 4,400 25,300
*Diagnostic Health Services, Inc..................... 75,000 883,594
*#Diametrics Medical, Inc............................ 129,300 747,516
*Dianon Systems, Inc................................. 33,900 286,031
*Digene Corp......................................... 59,500 542,938
*Digi International, Inc............................. 51,200 1,001,600
*Digital Biometrics, Inc............................. 72,000 147,375
*Digital Communications Technology Corp.............. 3,675 919
*Digital Generation Systems, Inc..................... 24,100 85,856
*Digital Link Corp................................... 72,700 1,658,469
*Digital Power Corp.................................. 11,000 89,375
*Digital Sound Corp.................................. 17,900 20,697
Dime Financial Corp.................................. 22,200 692,363
*Diodes, Inc......................................... 31,400 376,800
*Dixie Group, Inc.................................... 47,119 518,309
*Dixon Ticonderoga Co................................ 27,450 386,016
*#Dominion Bridge Corp............................... 74,600 145,703
*Dominion Homes, Inc................................. 26,500 241,398
Donegal Group, Inc................................... 18,533 384,560
Donnelly Corp. Class A............................... 59,750 1,097,906
*Donnkenny, Inc...................................... 60,500 207,969
*Dorsey Trailers, Inc................................ 39,000 109,688
*Dotronix, Inc....................................... 87,000 82,922
*Dravo Corp.......................................... 63,500 631,031
*Drew Industries, Inc................................ 84,200 1,073,550
*#Drexler Technology Corp............................ 112,550 1,255,636
*Driver-Harris Co.................................... 23,498 261,415
*Drug Emporium, Inc.................................. 90,000 354,375
*#Drypers Corp....................................... 46,300 258,991
*Duckwall-Alco Stores, Inc........................... 37,200 577,763
*Ducommun, Inc....................................... 52,100 1,689,994
Duff & Phelps Credit Rating Co....................... 16,300 585,781
*Durakon Industries, Inc............................. 54,500 495,609
*Duramed Pharmaceuticals, Inc........................ 98,000 422,625
*Dwyer Group, Inc.................................... 14,700 30,319
*Dycom Industries, Inc............................... 100,700 2,265,750
</TABLE>
14
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
Dyersburg Corp....................................... 94,500 $ 1,172,391
*Dynamic Healthcare Technologies, Inc................ 32,000 132,000
*Dynamic Materials Corp.............................. 2,300 18,688
*Dynamics Research Corp.............................. 59,382 745,986
*E-Z-Em, Inc. Class A................................ 37,000 272,875
*E-Z-Em, Inc. Class B................................ 52,733 362,539
*EA Engineering Science & Technology, Inc............ 78,975 160,418
*#EA Industries, Inc................................. 42,050 244,416
*ECC International Corp.............................. 139,750 550,266
*ECCS, Inc........................................... 6,900 53,044
*EFI Electronics Corp................................ 65,400 157,369
*EFTC Corp........................................... 36,100 539,244
*EIP Microwave, Inc.................................. 3,140 6,379
*EIS International, Inc.............................. 83,300 551,863
*ELXSI Corp.......................................... 8,300 109,975
EMC Insurance Group, Inc............................. 20,300 271,513
*ERLY Industries, Inc................................ 28,834 207,244
*ESCO Electronics Corp. Trust Receipts............... 101,076 1,655,120
*ESSEF Corp.......................................... 107,140 1,727,633
*EXX, Inc. Class A................................... 300 1,313
*EXX, Inc. Class B................................... 100 394
Eagle Bancshares, Inc................................ 37,500 714,844
*Eagle Finance Corp.................................. 24,200 39,325
Eagle Financial Corp................................. 54,527 2,808,141
*Eagle Food Centers, Inc............................. 82,600 413,000
*Eagle Point Software Corp........................... 40,500 140,484
Easco, Inc........................................... 68,800 804,100
Eastern Co........................................... 26,000 468,000
*Eastern Environment Services, Inc................... 36,700 867,038
*Eateries, Inc....................................... 16,600 81,963
*Eclipse Surgical Technologies, Inc.................. 10,000 83,125
*Ecogen, Inc......................................... 35,700 87,019
Ecology & Environment, Inc. Class A.................. 11,400 126,825
*Edelbrock Corp...................................... 47,200 767,000
*#Edison Brothers Stores, Inc........................ 24,300 0
*Edison Control Corp................................. 7,000 32,594
Edo Corp............................................. 51,200 454,400
*Education Alternatives, Inc......................... 49,100 227,088
Educational Development Corp......................... 2,800 15,838
*Educational Insights, Inc........................... 50,900 124,864
*Egghead, Inc........................................ 124,700 907,972
*Ekco Group, Inc..................................... 134,900 944,300
*El Chico Restaurants, Inc........................... 84,400 975,875
*Elantec Semiconductor, Inc.......................... 40,500 243,000
Elcor Corp........................................... 76,250 1,849,063
*Elcotel, Inc........................................ 39,700 258,050
*Electric Fuel Corp.................................. 87,200 569,525
*Electro Rent Corp................................... 99,325 3,718,480
Electro Sensors, Inc................................. 2,300 9,056
*Electromagnetic Sciences, Inc....................... 142,199 2,541,807
*Electronic Retailing System International, Inc...... 16,400 91,225
Electronic Tele Communications, Inc. Class A......... 15,500 35,359
*#Elek-Tek, Inc...................................... 40,000 4,000
Ellett Brothers, Inc................................. 44,000 250,250
*Eltron International, Inc........................... 43,900 1,388,338
*Embrex, Inc......................................... 123,200 716,100
*Emcee Broadcast Products, Inc....................... 30,000 100,313
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Emcon............................................... 71,450 $ 395,208
*Emcor Group, Inc.................................... 31,900 626,038
Emerald Isle Bancorp, Inc............................ 937 30,101
*Emergent Group, Inc................................. 17,200 228,975
*Emerson Radio Corp.................................. 77,100 38,550
*Emisphere Technologies, Inc......................... 46,000 930,063
*Empi, Inc........................................... 34,300 746,025
*#Empire of Carolina, Inc............................ 42,500 85,000
*Employee Solutions, Inc. Class B.................... 195,800 1,083,019
*Emulex Corp......................................... 53,800 857,438
*Encore Computer Corp................................ 318,300 129,389
*Encore Wire Corp.................................... 75,450 2,598,309
*Endosonics Corp..................................... 100,900 1,179,269
*Energy Biosystems Corp.............................. 89,000 342,094
*Energy Conversion Devices, Inc...................... 61,400 959,375
*Energy Research Corp................................ 18,000 263,250
Energynorth, Inc..................................... 32,526 750,131
Engineered Support Systems, Inc...................... 22,000 474,375
*Engineering Measurements Co......................... 28,400 152,206
Engle Homes, Inc..................................... 34,700 508,572
*Enlighten Software Solutions, Inc................... 5,300 13,084
Ennis Business Forms, Inc............................ 139,200 1,383,300
*Enstar, Inc......................................... 9,266 75,286
*Envirogen, Inc...................................... 13,900 31,492
*Environmental Elements Corp......................... 47,800 131,450
*Environmental Technologies Corp..................... 32,600 222,088
*Environmental Tectonics Corp........................ 12,900 117,713
*Envirosource, Inc................................... 345,100 970,594
*Envirotest Systems Corp. Class A.................... 74,100 407,550
*Enzon, Inc.......................................... 128,500 766,984
*#Epitope, Inc....................................... 79,800 486,281
*Equimed, Inc........................................ 6,533 118,002
*Equinox Systems, Inc................................ 14,400 265,050
*Equitex, Inc........................................ 1,300 1,259
*Equitrac Corp....................................... 15,000 252,188
*Equity Marketing, Inc............................... 25,400 735,013
*Equity Oil Co....................................... 109,700 363,381
*Ergo Science Corp................................... 52,700 879,431
Eskimo Pie Corp...................................... 27,000 285,188
Espey Manufacturing & Electronics Corp............... 21,000 362,250
Essex County Gas Co.................................. 1,400 43,925
*Evans & Sutherland Computer Corp.................... 33,100 1,017,825
*Evans Systems, Inc.................................. 10,185 18,142
*Evans, Inc.......................................... 102,900 247,603
Evergreen Bancorp, Inc. DE........................... 43,800 1,037,513
*Evergreen Resources, Inc............................ 39,100 608,494
*Exabyte Corp........................................ 11,500 112,484
*Exar Corp........................................... 59,400 1,488,713
*Excalibur Technologies Corp......................... 115,500 1,263,281
Excel Industries, Inc................................ 91,500 1,778,531
*Excel Technology, Inc............................... 41,822 529,310
*Excite, Inc......................................... 18,500 474,641
*Executive Telecard, Ltd............................. 86,575 224,554
*Executone Information Systems, Inc.................. 190,500 413,742
*Exogen, Inc......................................... 43,900 168,741
*Expert Software, Inc................................ 50,000 328,125
*Ezcorp, Inc. Class A Non-Voting..................... 69,900 792,928
F & M Bancorp (MD)................................... 16,175 578,256
F & M Bancorporation, Inc............................ 10,285 383,116
FCB Financial Corp................................... 17,500 479,063
FCNB Corp............................................ 5,900 172,575
</TABLE>
15
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
FDP Corp............................................. 84,300 $ 869,344
FFLC Bancorp......................................... 12,733 289,676
FFVA Financial Corp.................................. 2,700 90,788
FFY Financial Corp................................... 19,400 579,575
*FLIR Systems, Inc................................... 32,350 622,738
*FM Properties, Inc.................................. 51,900 257,878
FNB Rochester Corp................................... 17,100 291,769
*FPA Corp............................................ 101,400 117,244
*FRP Properties, Inc................................. 31,700 1,101,575
FSF Financial Corp................................... 5,600 111,650
*FTP Software, Inc................................... 135,800 307,672
Fab Industries, Inc.................................. 29,500 877,625
*Factset Research Systems, Inc....................... 10,000 252,500
*Failure Group, Inc.................................. 73,000 688,938
Falcon Products, Inc................................. 62,290 957,709
*Fansteel, Inc....................................... 73,951 656,315
*Farah, Inc.......................................... 87,100 451,831
*Farr Co............................................. 48,975 768,295
Farrel Corp.......................................... 25,000 88,281
*Fastcomm Communications Corp........................ 50,200 183,544
*Faulding Corp....................................... 63,900 842,681
*Featherlite Manufacturing, Inc...................... 29,200 228,125
Fed One Bancorp...................................... 2,500 61,563
Fedders Corp......................................... 15,000 87,188
Fedders Corp. Class A................................ 23,712 134,862
Federal Screw Works.................................. 21,600 1,298,700
*Female Health Co.................................... 40,900 176,381
*Ferrofluidics Corp.................................. 36,700 227,081
*Fibermark, Inc...................................... 49,275 1,044,014
*Fiberstars, Inc..................................... 14,600 82,125
Fidelity Bancorp, Inc................................ 242 6,353
Fidelity Bancorp, Inc. Delaware...................... 13,300 304,238
Fidelity Federal Bancorp............................. 16,500 160,875
*Fieldcrest Cannon, Inc.............................. 50,000 1,684,375
*Figgie International, Inc. Class A.................. 10,000 138,438
*Filenes Basement Corp............................... 176,050 1,105,814
Financial Bancorp., Inc.............................. 15,000 374,063
*Financial Federal Corp.............................. 110,250 2,349,703
*Finishmaster, Inc................................... 27,600 208,725
First Albany Companies, Inc.......................... 2,794 41,387
*First Alert, Inc.................................... 125,300 352,406
*First American Health Concepts, Inc................. 4,200 16,538
First Bancorp........................................ 400 11,900
*First Banks America, Inc............................ 4,879 86,145
First Bell Bancorp, Inc.............................. 1,200 20,700
*First Cash, Inc..................................... 16,400 133,763
First Central Financial Corp......................... 78,000 43,875
First Charter Corp................................... 6,960 171,825
First Defiance Financial Corp........................ 38,592 595,764
*#First Enterprise Financial Group, Inc.............. 25,000 75,000
First Essex Bancorp.................................. 31,700 624,094
First Federal Capital Corp........................... 74,850 2,077,088
First Federal Savings & Loan Association of East
Hartford, CT....................................... 24,100 891,700
First Financial Holdings, Inc........................ 42,200 1,796,138
First Home Bancorp, Inc. NJ.......................... 266 6,185
First Indiana Corp................................... 92,450 2,415,256
*First Investors Financial Services Group, Inc....... 27,800 205,025
First Liberty Financial Corp......................... 48,800 1,338,950
*#First Merchants Acceptance Corp.................... 39,100 1,222
First Merchants Corp................................. 25,550 859,119
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
First Midwest Financial, Inc......................... 9,400 $ 192,113
First Mutual Bancorp, Inc............................ 6,100 122,000
First Mutual Savings Bank............................ 14,985 270,667
First Northern Capital Corp.......................... 35,400 469,050
First Oak Brook Bancshares, Inc. Class A............. 10,000 412,500
First Palm Beach Bancorp, Inc........................ 21,400 834,600
*First Republic Bank................................. 157,149 4,341,241
First Savings Bancorp, Inc. North Carolina........... 19,400 465,600
First Savings Bank................................... 16,000 403,000
*First Team Sports, Inc.............................. 41,550 158,409
First Western Bancorp, Inc........................... 48,075 1,334,081
First Years, Inc..................................... 34,000 807,500
First Federal Financial Services Corp................ 16,832 744,838
*Fischer Imaging Corp................................ 50,800 292,100
Flag Financial Corp.................................. 4,500 83,813
*Flagstar Companies, Inc............................. 12,500 2,375
Flamemaster Corp..................................... 206 753
*Flanigan's Enterprises, Inc......................... 10,300 93,988
Flexsteel Industries, Inc............................ 61,800 726,150
Florida Public Utilities Co.......................... 5,200 118,300
*Florsheim Group, Inc................................ 41,700 376,603
*Flow International Corp............................. 158,200 1,567,169
*Fluor Daniel/GTI, Inc............................... 4,008 37,325
Flushing Financial Corp.............................. 20,500 451,000
*Foilmark, Inc....................................... 19,700 62,486
*Foodarama Supermarkets, Inc......................... 22,000 486,750
*Foothill Independent Bancorp........................ 18,567 301,714
*Forefront Group, Inc................................ 15,500 123,516
*#Forensic Technologies International Corp........... 27,000 326,531
*Forte Software, Inc................................. 29,000 291,813
*Fortune Natural Resources Corp...................... 49,107 135,044
*Fossil, Inc......................................... 47,500 1,050,938
*Foster (L.B.) Co. Class A........................... 126,600 664,650
*Fountain Oil, Inc................................... 98,300 107,516
*Fountain Powerboat Industries, Inc.................. 22,700 265,306
*Four Kids Entertainment, Inc........................ 19,900 72,138
*Four Media Co....................................... 20,000 153,750
*Fourth Shift Corp................................... 48,500 147,016
Frankfort First Bancorp, Inc......................... 4,300 40,581
Franklin Bank National Associaton Southfield, MI..... 15,876 263,939
*Franklin Electronic Publishers, Inc................. 39,000 555,750
Freds, Inc. Class A.................................. 60,000 1,470,000
*French Fragrances, Inc.............................. 41,500 409,813
Frequency Electronics, Inc........................... 41,693 1,084,018
*Fresh America Corp.................................. 17,800 433,875
*Fresh Choice, Inc................................... 50,000 210,938
Friedman Industries, Inc............................. 135,454 948,178
*Friedmans, Inc. Class A............................. 53,700 782,006
Frisch's Restaurants, Inc............................ 64,568 855,526
Frontier Adjusters of America, Inc................... 1,000 3,125
Frozen Food Express Industries, Inc.................. 100,000 987,500
*#Fuisz Technologies, Ltd............................ 51,200 454,400
*Funco, Inc.......................................... 50,500 953,188
*Fuqua Enterprises, Inc.............................. 40,500 1,230,188
Furon Co............................................. 43,100 1,702,450
*G-III Apparel Group, Ltd............................ 43,470 226,859
GBC Bancorp.......................................... 56,700 3,107,869
</TABLE>
16
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*GKN Holding Corp.................................... 12,700 $ 53,181
*GNI Group, Inc...................................... 76,800 446,400
*GRC International, Inc.............................. 131,600 838,950
*GT Bicycles, Inc.................................... 35,600 241,413
*GTI Corp............................................ 53,600 318,250
*GTS Duratek, Inc.................................... 104,800 1,224,850
*GZA Geoenvironmental Technologies, Inc.............. 15,800 80,481
*#Gadzooks, Inc...................................... 28,400 789,875
Gainsco, Inc......................................... 90,300 756,263
*Galey & Lord, Inc................................... 95,000 1,710,000
*Galileo Corp........................................ 69,300 775,294
*Galoob Toys, Inc. DE................................ 17,400 206,625
*Game Financial Corp................................. 22,600 241,538
Gamma Biologicals, Inc............................... 39,200 196,000
*Gantos, Inc......................................... 27,300 32,419
Garan, Inc........................................... 32,900 814,275
*Garden Botanika, Inc................................ 33,200 145,250
*Garden Fresh Restaurant Corp........................ 19,600 278,075
*Garden Ridge Corp................................... 18,000 275,063
*Gardenburger, Inc................................... 55,200 534,750
*Gardner Denver Machinery, Inc....................... 35,200 1,320,000
*Garnet Resources Corp............................... 44,200 10,359
*Gasonics International, Inc......................... 112,000 1,491,000
*Gatefield Corp...................................... 170,800 269,544
*Gateway Industries, Inc............................. 11,120 27,455
*#Geerling & Wade, Inc............................... 18,000 80,438
*Gehl Co............................................. 26,300 599,969
Gencor Industries, Inc............................... 15,200 262,200
*Genelabs Technologies, Inc.......................... 168,600 500,531
*Genemedicine, Inc................................... 131,400 689,850
*General Acceptance Corp............................. 12,500 27,734
*General Communications, Inc. Class A................ 32,400 223,763
*#General Datacomm Industries, Inc................... 90,000 472,500
General Employment Enterprises, Inc.................. 18,471 251,667
*General Host Corp................................... 104,986 557,738
General Housewares Corp.............................. 34,830 326,531
*General Magic, Inc.................................. 7,500 13,359
General Magnaplate Corp.............................. 4,200 64,050
*General Microwave Corp.............................. 8,600 81,700
*General Scanning, Inc............................... 20,200 527,725
*General Surgical Innovations, Inc................... 70,100 324,213
Genesee Corp. Class B................................ 200 8,975
*#Geneva Steel Co. Class A........................... 108,300 270,750
*Genicom Corp........................................ 109,900 1,511,125
*Genlyte Group, Inc.................................. 67,100 1,161,669
*Genome Therapeutics Corp............................ 131,600 1,056,913
Genovese Drug Stores, Inc. Class A................... 116,895 2,133,334
*Gensia Sicor, Inc................................... 205,100 1,031,909
*Gensym Corp......................................... 38,500 208,141
*Genus, Inc.......................................... 104,100 445,678
*Genzyme Transgenics Corp............................ 69,200 702,813
George Mason Bankshares, Inc......................... 30,300 1,166,550
*Geoscience Corp..................................... 25,000 306,250
*#Geotek Communications, Inc......................... 11,200 21,875
*Geoworks............................................ 68,000 871,250
*Getty Petroleum Marketing, Inc...................... 104,500 555,156
Getty Realty Corp.................................... 28,900 559,938
*Giant Cement Holding, Inc........................... 42,000 1,015,875
*Giant Group, Ltd.................................... 53,300 399,750
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
Giant Industries, Inc................................ 87,500 $ 1,607,813
*Gibraltar Packaging Group, Inc...................... 33,100 88,956
*Gibraltar Steel Corp................................ 8,000 164,500
*Giga-Tronics, Inc................................... 35,000 353,281
*Gish Biomedical, Inc................................ 74,750 364,406
Glacier Bancorp, Inc................................. 15,880 333,480
*Glacier Water Services, Inc......................... 30,600 921,825
Gleason Corp......................................... 233,400 6,053,813
*Gliatech, Inc....................................... 63,100 678,325
*Global Motorsport Group, Inc........................ 36,300 501,394
*Global Payment Technologies, Inc.................... 8,800 88,000
*Global Village Communication, Inc................... 97,000 190,969
*Globalink, Inc...................................... 30,500 95,313
*Globe Business Resources, Inc....................... 15,900 330,919
*Go Video, Inc....................................... 86,400 210,600
*Golden Books Family Entertainment, Inc.............. 12,000 113,250
Golden Enterprises, Inc.............................. 31,600 224,163
*Golden Oil Co. DE................................... 69 32
*Good Guys, Inc...................................... 114,500 944,625
GoodMark Foods, Inc.................................. 90,400 1,525,500
Gorman-Rupp Co....................................... 35,000 656,250
*Gottschalks, Inc.................................... 57,700 494,056
*Government Technology Services, Inc................. 41,000 217,813
*Gradco Systems, Inc................................. 146,411 1,189,589
*Graham Corp......................................... 13,450 282,450
*Graham-Field Health Products, Inc................... 63,500 948,531
Grand Premier Financial, Inc......................... 1,450 20,527
Granite State Bankshares, Inc........................ 14,250 317,953
Gray Communications Systems, Inc..................... 10,700 294,919
Great Southern Bancorp, Inc.......................... 10,700 237,406
*Great Train Store Co., Inc.......................... 6,100 42,700
*Greate Bay Casino Corp.............................. 50,819 52,407
Greater Bay Bancorp.................................. 4,279 221,171
Green (A.P.) Industries, Inc......................... 123,100 1,431,038
*Green Mountain Coffee, Inc.......................... 2,700 21,094
Green Mountain Power Corp............................ 38,500 688,188
*Greenbriar Corp..................................... 5,700 106,163
Greenbrier Companies, Inc............................ 111,000 1,900,875
*Greyhound Lines, Inc................................ 168,900 665,044
*Grist Mill & Co..................................... 60,450 562,941
*Gristede's Sloans, Inc.............................. 33,339 75,013
*Grossmans, Inc...................................... 130,500 1,175
*Group 1 Software, Inc............................... 31,400 266,900
*Group Technologies Corp............................. 106,000 337,875
*Grow Biz International, Inc......................... 53,600 649,900
*Grubb & Ellis Co.................................... 37,352 464,566
*Gryphon Holdings, Inc............................... 54,000 887,625
Guarantee Life Companies, Inc........................ 2,300 57,644
*Guest Supply, Inc................................... 107,100 1,472,625
*Gulfmark Offshore, Inc.............................. 51,600 1,735,050
*Gull Laboratories, Inc.............................. 33,100 341,344
*Gundle/SLT Environmental, Inc....................... 149,600 738,650
*HCIA, Inc........................................... 42,100 506,516
*HD Vest, Inc........................................ 10,500 56,438
*HEI, Inc............................................ 18,700 82,981
HF Financial Corp.................................... 11,900 303,450
*HMI Industries, Inc................................. 84,200 473,625
*HMN Financial, Inc.................................. 18,700 485,031
*HPR, Inc............................................ 82,500 2,193,984
*HPSC, Inc........................................... 74,800 439,450
</TABLE>
17
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*HS Resources, Inc................................... 45,528 $ 725,603
Hach Co.............................................. 300 3,188
Hach Co. Class A..................................... 300 2,822
Haggar Corp.......................................... 53,500 849,313
*Hahn Automotive Warehouse, Inc...................... 35,368 225,471
*Hain Food Group, Inc................................ 38,200 384,388
Halifax Corp......................................... 8,450 92,950
*Hallmark Capital Corp............................... 7,000 104,125
*Hallwood Group, Inc................................. 969 34,642
*Halsey Drug Co., Inc................................ 64,422 136,897
*Hammons (John Q.) Hotels, Inc. Class A.............. 55,700 480,413
*Hampshire Group, Ltd................................ 4,900 93,100
*Hampton Industries, Inc............................. 39,440 340,170
Hancock Fabrics, Inc................................. 108,100 1,526,913
*Handleman Co........................................ 257,000 1,718,688
Handy & Harman....................................... 15,900 355,763
*Hanger Orthopedic Group, Inc........................ 46,700 577,913
*Harbor Federal Bancorp, Inc......................... 100 2,138
*Harcor Energy, Inc.................................. 130,500 387,422
*Harding Lawson Associates Group, Inc................ 41,700 398,756
Hardinge Brothers, Inc............................... 9,800 360,150
Harleysville National Corp PA........................ 2,215 81,678
Harmon Industries, Inc............................... 54,300 1,435,556
*Harmonic Lightwaves, Inc............................ 86,000 1,112,625
*Harolds Stores, Inc................................. 37,996 261,223
*Harris & Harris Group, Inc.......................... 31,600 112,575
*#Harry's Farmers Market, Inc. Class A............... 20,200 42,294
*Hartmarx Corp....................................... 159,200 1,293,500
*Harvey Entertainment Co............................. 30,000 423,750
Harvey's Casino Resorts.............................. 67,800 1,343,288
Haskel International, Inc............................ 22,500 272,109
Hastings Manufacturing Co............................ 6,850 280,850
*Hathaway Corp....................................... 34,580 99,418
*Hauser, Inc......................................... 51,800 346,413
Haven Bancorp, Inc................................... 18,700 804,100
Haverty Furniture Co., Inc........................... 74,200 953,006
Haverty Furniture Co., Inc. Class A.................. 13,550 169,375
*Hawaiian Airlines, Inc.............................. 69,800 279,200
Hawkins Chemical, Inc................................ 41,284 425,741
*Hawthorne Financial Corp............................ 14,100 295,219
*Health Management Systems, Inc...................... 73,000 451,688
*Health Power, Inc................................... 13,700 106,175
*Health Professionals, Inc........................... 4,922 3,231
*Health Risk Management, Inc......................... 34,700 373,025
*Health Systems Design Corp.......................... 6,500 80,844
*Health-Chem Corp.................................... 68,645 42,903
*Healthcare Services Group, Inc...................... 78,800 1,002,238
*Healthcor Holdings.................................. 30,000 138,750
*Healthdyne Information Enterprises, Inc............. 16,800 30,450
*Healthdyne Technologies, Inc........................ 95,931 1,846,672
Healthplan Services Corp............................. 874 16,880
*Healthy Planet Products, Inc........................ 6,000 22,125
*#Heartland Wireless Communications, Inc............. 27,700 53,669
*Heartstream, Inc.................................... 45,500 554,531
*Hector Communications Corp.......................... 21,300 193,031
Heico Corp........................................... 113,532 3,831,705
*Hein-Werner Corp.................................... 38,904 274,760
*Heist (C.H.) Corp................................... 10,600 73,206
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Hello Direct, Inc................................... 43,500 $ 315,375
*Hemasure, Inc....................................... 56,400 57,281
Heritage Financial Services, Inc..................... 20,100 515,063
*Herley Industries, Inc.............................. 15,333 211,308
*Hf Bancorp, Inc..................................... 13,750 230,313
*Hi-Lo Automotive, Inc............................... 92,456 254,254
*Hi-Shear Technology Corp............................ 22,500 177,188
*Hi-Tech Pharmacal, Inc.............................. 37,500 189,844
*Hibbett Sporting Goods, Inc......................... 16,000 437,000
*High Plains Corp.................................... 137,576 434,224
*#Highway Master Communications, Inc................. 193,100 1,267,219
Hilb Rogal Hamilton Co............................... 39,435 754,194
Hilite Industries, Inc............................... 11,200 77,000
Hingham Institution for Savings MA................... 1,900 51,656
*Hirsch International Corp. Class A.................. 53,900 1,062,841
Hoenig Group, Inc.................................... 32,900 187,119
*Holiday RV Superstores, Inc......................... 9,600 15,000
Holly Corp........................................... 45,000 1,212,188
*Hollywood Casino Corp. Class A...................... 213,400 526,831
*Hologic, Inc........................................ 21,930 570,180
*Holopak Technologies, Inc........................... 32,000 112,000
*Holophane Corp...................................... 12,800 297,600
Home Federal Bancorp................................. 33,300 899,100
*Home Health Corp. of America........................ 23,800 223,125
Home Port Bancorp, Inc............................... 2,400 56,700
*Home Products International, Inc.................... 32,000 358,000
*Home State Holdings, Inc............................ 60,000 9,360
*Homecorp, Inc....................................... 300 7,538
*Homeowners Group, Inc............................... 47,800 39,602
*Hondo Oil and Gas Co................................ 55,300 435,488
Hooper Holmes, Inc................................... 125,600 1,993,900
Horizon Financial Corp............................... 30,408 507,434
*Hospital Staffing Services, Inc..................... 54,789 51,365
*Housecall Medical Resources, Inc.................... 23,600 76,700
*Hovnanian Enterprises, Inc. Class A................. 109,800 802,913
#Howell Corp......................................... 108,200 2,103,138
*#Howtek, Inc........................................ 37,500 63,281
Hudson Chartered Bancorp, Inc........................ 11,100 238,650
Hudson General Corp.................................. 25,300 1,227,050
*#Hudson Technologies, Inc........................... 21,800 101,506
Huffy Corp........................................... 105,800 1,593,613
*Hugoton Energy Corp................................. 152,900 1,462,106
Hunt Corp............................................ 59,200 1,272,800
Huntco, Inc. Class A................................. 41,200 520,150
*Hurco Companies, Inc................................ 46,900 395,719
*Hycor Biomedical, Inc............................... 69,316 147,297
*Hyde Athletic Industries, Inc. Class A.............. 56,700 260,466
*Hyde Athletic Industries, Inc. Class B.............. 63,800 319,000
Hydron Technologies, Inc............................. 97,500 59,414
*I-Stat Corp......................................... 41,900 776,459
IBS Financial Corp................................... 13,300 231,919
*ICC Technologies, Inc............................... 32,100 103,322
*ICF Kaiser International, Inc....................... 199,000 422,875
ICO, Inc............................................. 171,518 1,045,188
*ICU Medical, Inc.................................... 72,550 793,516
*#IDM Environmental Corp............................. 36,000 222,750
*#IDT Corp........................................... 165,000 3,552,656
*IEC Electronics Corp................................ 59,800 919,425
IFR Systems, Inc..................................... 62,935 1,903,784
</TABLE>
18
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*IGEN, Inc........................................... 63,800 $ 929,088
*IGI, Inc............................................ 65,500 282,469
*II-VI, Inc.......................................... 39,200 962,850
*ILC Technology, Inc................................. 54,600 791,700
IMCO Recycling, Inc.................................. 59,800 941,850
*IMP, Inc............................................ 250,800 254,719
*IPC Information Systems, Inc........................ 44,800 820,400
*IQ Software Corp.................................... 23,200 181,250
ISB Financial Corp. LA............................... 23,000 593,688
*ITC Learning Corp................................... 25,300 112,269
*ITEQ, Inc........................................... 99,555 1,172,882
*ITI Technologies, Inc............................... 27,500 685,781
*ITLA Capital Corp................................... 24,400 437,675
*#IVI Publishing, Inc................................ 65,000 197,031
*Ibah, Inc........................................... 190,200 647,869
*Ibis Technology Corp................................ 25,600 236,800
*Identix, Inc........................................ 88,600 886,000
*Ikos Systems, Inc................................... 51,550 414,011
*#Illinois Superconductor Corp....................... 25,800 79,819
*Image Entertainment, Inc............................ 107,600 430,400
*Imagyn Medical Technologies, Inc.................... 107,200 326,625
*Imatron, Inc........................................ 219,200 753,500
*Imclone Systems, Inc................................ 143,000 956,313
*Immucor, Inc........................................ 54,000 529,875
*Immulogic Pharmaceutical Corp....................... 88,900 202,803
*Immune Response Corp. DE............................ 150,100 1,763,675
*Immunogen, Inc...................................... 58,200 57,291
*Immunomedics, Inc................................... 131,700 633,806
*#Imnet Systems, Inc................................. 71,100 1,168,706
*Impact Systems, Inc................................. 192,100 351,183
*Impath, Inc......................................... 22,700 638,438
*Impco Technologies, Inc............................. 28,000 318,500
#Imperial Holly Corp................................. 83,200 899,600
*In Focus Systems, Inc............................... 11,100 365,606
*In Home Health, Inc................................. 27,500 30,508
*Incontrol, Inc...................................... 72,700 577,056
*Indenet, Inc........................................ 150,350 331,240
Independence Holding Co.............................. 10,919 133,758
Independent Bank Corp. MA............................ 118,100 1,926,506
Independent Bank East................................ 11,867 381,969
Independent Bankshares, Inc.......................... 982 16,019
*Individual, Inc..................................... 114,000 407,906
Industrial Acoustics Co., Inc........................ 900 10,013
Industrial Bancorp, Inc.............................. 700 12,600
*#Industrial Holdings, Inc........................... 27,100 364,156
Industrial Scientific Corp........................... 10,000 220,000
*Inference Corp. Class A............................. 60,000 307,500
*Infinium Software, Inc.............................. 30,600 395,888
*Infonautics Corp. Class A........................... 11,400 29,569
*Information Resource Engineering, Inc............... 25,300 205,563
*Information Storage Devices, Inc.................... 64,000 452,000
*Infu-tech, Inc...................................... 12,600 74,025
*Inhale Therapeutic Systems.......................... 60,500 1,883,063
*Innerdyne, Inc...................................... 139,700 475,853
*Innodata Corp....................................... 8,350 6,915
*Innoserv Technologies, Inc.......................... 13,640 32,821
*Innovative Gaming Corp. of America.................. 32,350 98,061
Innovex, Inc......................................... 74,100 1,718,194
*Insight Enterprises, Inc............................ 27,000 1,053,000
*Insite Vision, Inc.................................. 83,300 296,756
Insituform East, Inc................................. 19,600 52,675
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Insituform Technologies, Inc. Class A............... 116,500 $ 1,033,938
*Inso Corp........................................... 69,100 742,825
Insteel Industries, Inc.............................. 59,944 449,580
Instron Corp......................................... 118,200 2,009,400
*Insurance Auto Auctions, Inc........................ 50,000 531,250
*Integra Lifesciences Corp........................... 28,600 92,056
*Integramed America, Inc............................. 62,200 119,541
*Integrated Circuit Systems, Inc..................... 18,800 527,575
*Integrated Measurement System, Inc.................. 33,700 615,025
*Integrated Orthopedics, Inc......................... 45,000 376,875
*Integrated Packaging Assembly Corp.................. 23,500 24,969
*Integrated Silicon Solution, Inc.................... 75,200 742,600
*Integrated Systems Consulting Group, Inc............ 21,000 217,875
*Intellicall, Inc.................................... 68,907 378,989
*Intellicorp, Inc.................................... 6,900 25,444
*Intellidata Technologies Corp....................... 12,000 25,875
*Intelligent Electronics, Inc........................ 110,274 568,600
*Intelligent Systems Corp............................ 21,300 111,825
Intercargo Corp...................................... 36,800 496,800
Interchange Financial Services Corp. Saddle Brook.... 21,420 610,470
*Interdigital Communications Corp.................... 21,700 93,581
*Interface Systems, Inc.............................. 29,800 89,400
*Interferon Sciences, Inc............................ 61,400 573,706
*Interlake Corp...................................... 196,200 895,163
*Interleaf, Inc...................................... 143,100 527,681
*Interlink Electronics............................... 21,700 161,394
*Interlinq Software Corp............................. 34,200 145,350
*Interlott Technologies, Inc......................... 14,400 116,100
*Intermagnetics General Corp......................... 162,119 1,448,939
International Aluminum Corp.......................... 6,800 210,800
*#International Lottery & Totalizer Systems, Inc..... 34,700 53,677
*International Microcomputer Software, Inc........... 4,000 63,250
*International Remote Imaging Systems, Inc........... 34,350 137,400
International Shipholding Corp....................... 53,950 967,728
*International Technology Corp....................... 76,175 628,444
*International Thoroughbred Breeders, Inc............ 56,650 198,275
*Interphase Corp..................................... 33,500 216,703
*Interpore International............................. 50,000 356,250
*Intersolv, Inc...................................... 60,200 961,319
Interstate Johnson Lane, Inc......................... 22,850 591,244
*Interstate National Dealers Services, Inc........... 12,700 118,269
*Intersystems, Inc................................... 52,700 111,988
*Intertan, Inc....................................... 71,900 408,931
*Intervisual Books, Inc. Class A..................... 1,500 3,844
*Intervoice, Inc..................................... 59,500 581,984
Interwest Bancorp.................................... 18,200 706,388
*Intevac, Inc........................................ 61,200 612,000
Investors Title Co................................... 24,000 525,000
*#Invision Technologies, Inc......................... 28,800 216,000
*Invivo Corp......................................... 13,700 119,019
*#Ion Laser Technology, Inc.......................... 26,400 84,150
*Iridex Corp......................................... 32,000 314,000
Iroquois Bancorp..................................... 400 10,100
</TABLE>
19
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
Isco, Inc............................................ 101,341 $ 931,070
*Isolyser Co., Inc................................... 227,900 683,700
*Iwerks Entertainment, Inc........................... 100,924 372,157
*J & J Snack Foods Corp.............................. 40,000 650,000
*J. Alexander's Corp................................. 120,200 653,588
*#JMAR Industries, Inc............................... 82,400 289,688
*JPE, Inc............................................ 29,500 169,625
*Jackpot Enterprises, Inc............................ 50,775 615,647
Jacksonville Bancorp, Inc............................ 11,300 215,406
*Jaclyn, Inc......................................... 23,227 101,618
*Jaco Electronics, Inc............................... 18,873 127,393
*Jacobson Stores, Inc................................ 49,700 546,700
*Jalate, Ltd......................................... 11,000 21,313
*Jan Bell Marketing, Inc............................. 224,900 632,531
*Jason, Inc.......................................... 97,400 748,763
*Jean Philippe Fragrances, Inc....................... 69,000 534,750
Jeffbanks, Inc....................................... 13,587 525,647
Jefferson Savings Bancorp, Inc....................... 40,000 1,715,000
*Jennifer Convertibles, Inc.......................... 41,000 102,521
*Jerry's Famous Deli, Inc............................ 25,300 69,180
*Johnson Worldwide Associates, Inc. Class A.......... 64,000 1,072,000
Johnston Industries, Inc............................. 197,813 1,026,155
*Johnstown American Industries, Inc.................. 86,700 915,769
*Jos. A. Bank Clothiers, Inc......................... 57,900 405,300
*Joule, Inc.......................................... 42,100 247,338
*Jumbosports, Inc.................................... 174,400 512,300
*Just Toys, Inc...................................... 28,300 30,953
*K & G Men's Center, Inc............................. 56,500 1,077,031
K Swiss, Inc. Class A................................ 31,200 516,750
*K-Tel International, Inc............................ 9,700 70,931
*K-Tron International, Inc........................... 63,400 1,117,425
*K-V Pharmaceutical Co. Class A...................... 29,250 639,844
*K-V Pharmaceutical Co. Class B...................... 19,400 428,013
*KBK Capital Corp.................................... 5,000 49,375
*#KFX, Inc........................................... 38,000 118,750
*KLLM Transport Services, Inc........................ 37,400 474,513
*KTI, Inc............................................ 22,619 361,904
*KVH Industries, Inc................................. 1,100 7,013
*Kaiser Ventures, Inc................................ 78,900 1,065,150
*Kaneb Services, Inc................................. 162,300 821,644
*Karrington Health, Inc.............................. 35,000 406,875
Katy Industries, Inc................................. 48,200 843,500
*Katz Digital Technologies, Inc...................... 14,800 56,888
Kaye Group, Inc...................................... 41,000 276,750
Keithley Instruments, Inc............................ 6,600 70,125
*Kelley Oil & Gas Corp............................... 56,100 166,547
Kenan Transport Co................................... 200 4,975
*Kensey Nash Corp.................................... 10,400 175,500
*Kent Financial Services, Inc........................ 14,278 85,668
*Kentucky Electric Steel, Inc........................ 15,700 111,863
Kentucky First Bancorp, Inc.......................... 2,700 39,150
Kewaunee Scientific Corp............................. 20,400 240,975
*Key Energy Group, Inc............................... 12,658 307,748
*Key Production Co., Inc............................. 48,172 514,838
*Key Technology, Inc................................. 27,000 340,875
*Key Tronic Corp..................................... 129,100 718,119
*Keystone Consolidated Industries, Inc............... 88,600 1,129,650
Keystone Heritage Group, Inc......................... 29,600 1,583,600
*Kimmins Corp........................................ 16,400 77,900
*Kinark Corp......................................... 52,800 171,600
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Kinnard Investment, Inc............................. 26,900 $ 158,878
*Kit Manufacturing Co................................ 12,000 105,000
Klamath First Bancorp, Inc........................... 41,800 901,313
Knape & Vogt Manufacturing Co........................ 54,599 1,078,330
*Knickerbocker (L.L.) Co., Inc....................... 60,000 420,000
*Knight Transportation, Inc.......................... 16,000 439,000
*Koala Corp.......................................... 11,300 178,681
Kollmorgen Corp...................................... 41,800 731,500
*Koo Koo Roo, Inc.................................... 216,111 746,258
*Kopin Corp.......................................... 85,900 1,825,375
*Koss Corp........................................... 52,000 715,000
*Krauses Furniture, Inc.............................. 2,933 8,249
*Kronos, Inc......................................... 29,000 899,000
*Krug International Corp............................. 32,465 204,935
*#L.A. Gear, Inc..................................... 45,600 19,950
LCS Industries, Inc.................................. 21,460 380,915
LSB Bancshares, Inc. NC.............................. 18,472 487,199
LSB Industries, Inc.................................. 108,900 476,438
LSI Industries, Inc.................................. 143,403 2,482,664
*LTX Corp............................................ 93,000 517,313
*LXR Biotechnology, Inc.............................. 63,300 114,731
*La Jolla Pharmceutical Co........................... 139,300 683,441
*LaBarge, Inc........................................ 221,650 997,425
LaCrosse Footwear, Inc............................... 13,300 187,863
Lab Holdings, Inc.................................... 1,800 42,469
Labone, Inc.......................................... 7,400 123,488
*Labor Ready, Inc.................................... 8,750 196,328
*Laclede Steel Co.................................... 25,450 119,297
*Ladd Furniture, Inc................................. 46,333 709,474
*Laidlaw Environmental Services, Inc................. 200 900
*Lakeland Industries, Inc............................ 11,900 89,994
Lakeview Financial Corp.............................. 7,000 172,813
*Lamson & Sessions Co................................ 143,800 934,700
*Lancer Corp......................................... 99,225 1,227,909
*Lancit Media Productions, Ltd....................... 53,200 131,338
*Landair Services, Inc............................... 50,100 1,384,013
Landauer, Inc........................................ 71,000 1,899,250
*Landec Corp......................................... 55,900 265,525
*Lanvision Systems, Inc.............................. 4,700 28,788
*Larson Davis, Inc................................... 5,600 25,725
*Laser Vision Centers, Inc........................... 13,500 108,000
*Lasermaster Technologies, Inc....................... 98,700 428,728
*Laserscope.......................................... 66,600 353,813
*#LaserSight Corporation............................. 41,600 143,000
*Lawrence Savings Bank MA............................ 7,700 105,394
Lawyers Title Corp................................... 57,300 1,819,275
*Layne Christensen Co................................ 41,800 728,888
*Lazare Kaplan International, Inc.................... 72,800 1,041,950
*Leasing Solutions, Inc.............................. 66,100 1,582,269
*Leather Factory, Inc................................ 200 131
*Lechters, Inc....................................... 124,500 708,094
*Lectec Corp......................................... 18,380 96,495
Lesco, Inc........................................... 87,100 1,853,597
*Leslie Building Products, Inc....................... 27,800 53,001
*Level 8 Systems, Inc................................ 29,400 431,813
*Levitz Furniture, Inc............................... 122,200 53,463
*Lexford, Inc........................................ 22,100 678,194
*Lexington Global Asset Managers, Inc................ 7,800 68,738
Liberty Homes, Inc. Class A.......................... 200 2,050
*Liberty Technologies, Inc........................... 21,000 59,063
*Lidak Pharmaceuticals Class A....................... 118,000 252,594
</TABLE>
20
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
Life Bancorp, Inc.................................... 4,300 $ 133,300
*Life Medical Sciences, Inc.......................... 70,100 357,072
*Life Quest Medical, Inc............................. 8,100 36,956
*Life USA Holdings, Inc.............................. 85,400 1,433,119
*Lifecore Biomedical, Inc............................ 48,900 950,494
*Lifeline Systems, Inc............................... 21,500 481,063
Lifetime Hoan Corp................................... 81,092 826,125
Lillian Vernon Corp.................................. 49,000 682,938
*Lindal Cedar Homes, Inc............................. 40,777 165,657
Lindberg Corp........................................ 53,200 771,400
*Liposome Co., Inc................................... 15,000 89,531
Liqui Box Corp....................................... 12,400 460,350
Litchfield Financial Corp............................ 22,863 452,973
*Littlefield, Adams & Co............................. 16,500 5,676
*Liuski International, Inc........................... 7,700 7,219
*Lodgenet Entertainment Corp......................... 79,500 1,003,688
*Loehmanns, Inc...................................... 54,500 357,656
*Logans Roadhouse, Inc............................... 34,000 608,813
*#Logic Devices, Inc................................. 49,300 138,656
*Logic Works, Inc.................................... 94,000 787,250
*Loronix Information Systems, Inc.................... 17,700 36,506
*Louis Dreyfus Natural Gas Corp...................... 32,472 671,765
Lufkin Industries, Inc............................... 28,400 1,008,200
*Lumisy, Inc......................................... 25,300 156,544
*Lunar Corp.......................................... 83,100 1,885,331
*Lund International Holdings, Inc.................... 15,800 204,413
*#Luria (L.) & Son, Inc.............................. 79,297 1,150
*Lynch Corp.......................................... 29,600 2,545,600
*M-Wave, Inc......................................... 10,600 44,388
*#M.H. Meyerson & Co., Inc........................... 25,150 135,181
M/A/R/C, Inc......................................... 20,757 396,978
*MAI Systems Corp.................................... 42,507 146,118
#MDC Holdings, Inc................................... 141,400 1,564,238
MFB Corp............................................. 3,700 84,638
*MFRI, Inc........................................... 20,000 195,000
*MGI Pharma, Inc..................................... 137,700 589,528
*MHM Services, Inc................................... 75 84
*MI Schottenstein Homes, Inc......................... 43,800 648,788
*MK Gold Corp........................................ 58,500 86,836
*MLX Corp............................................ 22,645 441,578
*MRS Technology, Inc................................. 47,500 48,984
*MS Carriers, Inc.................................... 42,600 1,027,725
MSB Bancorp, Inc..................................... 6,200 179,025
*MTI Technology Corp................................. 18,500 253,219
MTS Systems Corp..................................... 30,400 1,160,900
*#MVSI, Inc.......................................... 25,400 146,844
MYR Group, Inc....................................... 39,200 874,650
*Macheezmo Mouse Restaurants, Inc.................... 10,800 4,223
*MacNeal-Schwendler Corp............................. 123,500 1,258,156
*Madden (Steven), Ltd................................ 3,200 22,400
*Magainin Pharmaceuticals, Inc....................... 135,600 1,097,513
*#Magnum Hunter Resources, Inc....................... 68,000 391,000
*Main Street & Main, Inc............................. 9,850 28,627
Maine Public Service Co.............................. 32,700 412,838
Mainstreet Bankgroup, Inc............................ 20,600 566,500
*Mallon Resources Corp............................... 21,175 211,750
*Managed Care Solutions, Inc......................... 19,700 54,175
*Manatron, Inc....................................... 115 225
*#Manhattan Bagel Co., Inc........................... 33,100 44,995
*Mapics, Inc......................................... 73,900 808,281
*Mapinfo Corp........................................ 46,000 621,000
*Marcam Solutions, Inc............................... 34,550 300,153
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Marisa Christina, Inc............................... 72,200 $ 342,950
Maritrans, Inc....................................... 65,900 593,100
*Mark VII, Inc....................................... 95,600 1,720,800
*Marker International................................ 83,900 393,281
*Marlton Technologies, Inc........................... 62,300 412,738
Marsh Supermarkets, Inc. Class A..................... 15,700 241,388
Marsh Supermarkets, Inc. Class B..................... 18,500 278,656
*Martek Biosciences Corp............................. 60,700 677,184
*Marten Transport, Ltd............................... 35,200 765,600
Maryland Federal Bancorp............................. 34,230 893,189
Mason Dixon Bancshares, Inc.......................... 8,400 236,775
Massbank Corp. Reading, MA........................... 11,000 492,938
*Mastering, Inc...................................... 116,000 1,007,750
*Matec Corp. DE...................................... 23,800 98,175
*Material Sciences Corp.............................. 9,367 137,578
*Mathsoft, Inc....................................... 40,100 131,578
*Matlack Systems, Inc................................ 75,650 657,209
*Matria Healthcare, Inc.............................. 106,000 556,500
*Matrix Pharmaceutical, Inc.......................... 152,000 536,750
*Matrix Service Co................................... 83,600 663,575
*Matthews Studio Equipment Group..................... 30,500 122,000
*Mattson Technology, Inc............................. 123,000 1,203,094
*Maverick Tube Corp.................................. 80,000 2,287,500
*Max & Ermas Restaurants, Inc........................ 15,657 95,899
*Maxco, Inc.......................................... 17,100 197,719
*Maxicare Health Plans, Inc.......................... 12,000 155,250
*Maxim Group, Inc.................................... 76,000 1,168,500
*Maxwell Technologies, Inc........................... 58,492 1,551,866
*Maxxim Medical, Inc................................. 69,479 1,519,853
Mayflower Co-Operative Bank Middleboro............... 200 5,025
*Maynard Oil Co...................................... 103,200 1,264,200
*Mays (J.W.), Inc.................................... 2,100 20,770
*McClain Industries, Inc............................. 91,066 415,489
McGrath Rent Corp.................................... 58,200 1,282,219
*McMoran Oil & Gas Co................................ 57,800 187,850
*McWhorter Technologies, Inc......................... 11,000 261,250
*Meadow Valley Corp.................................. 1,300 7,759
Meadowbrook Insurance Group, Inc..................... 35,800 845,775
*Measurement Specialties, Inc........................ 12,550 50,984
*Mecklermedia Corp................................... 34,100 752,331
*Mecon, Inc.......................................... 58,000 393,313
*Medalliance, Inc. Liquidating Trust Escrow.......... 25,000 0
*Medar, Inc.......................................... 105,500 570,359
*Medarex, Inc........................................ 121,200 712,050
*#Medcath, Inc....................................... 26,700 450,563
*Medco Research, Inc................................. 54,000 877,500
Medford Savings Bank MA.............................. 37,900 1,407,038
*Media 100, Inc...................................... 82,600 384,606
*Media Arts Group, Inc............................... 47,400 524,363
*#Media Logic, Inc................................... 21,800 29,975
*Medical Action Industries, Inc...................... 35,500 127,578
*Medical Graphics Corp............................... 12,700 53,181
*Medical Resources, Inc.............................. 93,600 845,325
*Medicalcontrol, Inc................................. 16,400 88,150
*Medicore, Inc....................................... 47,500 109,844
*Medicus Systems Corp................................ 42,000 307,125
*Mediq, Inc.......................................... 72,000 733,500
*Medplus, Inc........................................ 47,000 447,969
*Medquist Inc........................................ 81,900 2,165,231
*Medstone International, Inc......................... 43,700 434,269
</TABLE>
21
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
Merchants Bancorp, Inc............................... 20,000 $ 483,750
Merchants Bancshares, Inc............................ 9,600 268,800
Merchants Group, Inc................................. 11,200 218,400
Merchants New York Bancorp, Inc...................... 800 22,875
#Mercury Air Group, Inc.............................. 30,053 173,744
*Mercury Interactive Corp............................ 10,800 263,250
*Meridian Data, Inc.................................. 61,600 259,875
Meridian Diagnostics, Inc............................ 118,854 1,266,538
Meridian Insurance Group, Inc........................ 20,000 368,750
*Meridian Medical Technology, Inc.................... 17,900 156,625
*Meridian Resource Corp.............................. 127,772 1,365,563
*#Merisel, Inc....................................... 240,800 1,136,275
*Merit Medical Systems, Inc.......................... 36,450 230,091
*Merix Corp.......................................... 48,000 717,000
Merrill Corp......................................... 60,200 1,215,288
Merrimac Industries, Inc............................. 12,332 174,190
*Mesa Air Group, Inc................................. 200,500 1,115,281
*Mesa Labs, Inc...................................... 17,800 137,950
*Mesaba Holdings, Inc................................ 104,700 2,303,400
*Mestek, Inc......................................... 118,750 2,115,234
*Met-Coil Systems Corp............................... 27,500 86,804
Met-Pro Corp......................................... 151,665 2,474,035
*#Metal Management, Inc.............................. 106,906 2,238,344
*Metatec Corp. Class A............................... 65,100 325,500
*Metra Biosystems, Inc............................... 71,100 268,847
*#Metricom, Inc...................................... 68,400 912,713
*Metrocall, Inc...................................... 158,399 836,545
*Metrologic Instruments, Inc......................... 57,300 809,363
*Metrotrans Corp..................................... 7,000 78,313
Metrowest Bank MA.................................... 64,700 525,688
*Michael Anthony Jewelers, Inc....................... 74,300 204,325
*Micrion Corp........................................ 19,700 426,628
*#Micro Component Technology, Inc.................... 22,000 54,313
*Micro Linear Corp................................... 93,500 715,859
*Microage, Inc....................................... 86,200 1,740,163
*Microdyne Corp...................................... 64,500 465,609
*Microfluidics International Corp.................... 12,500 37,891
*Micrografx, Inc..................................... 78,500 740,844
*Microlog Corp....................................... 26,000 183,625
*Micronics Computers, Inc............................ 108,600 230,775
*Microprose, Inc..................................... 95,600 457,088
*Micros to Mainframes, Inc........................... 10,100 47,344
*Microsemi Corp...................................... 135,875 2,326,859
*Microtest, Inc...................................... 64,200 384,197
*Microtouch Systems, Inc............................. 71,200 1,486,300
*#Microware Systems Corp............................. 36,900 154,519
*Microwave Power Dynamics, Inc....................... 80,000 600,000
Mid America Banccorp................................. 32,004 968,126
*#Midcom Communications, Inc......................... 129,000 60,469
*Middleby Corp....................................... 65,200 670,338
Middlesex Water Co................................... 15,600 295,425
*#Midisoft Corp...................................... 58,300 71,068
Midland Co........................................... 14,700 888,431
*Midwest Grain Products, Inc......................... 30,100 421,400
Mikasa, Inc.......................................... 1,000 13,313
*Mikohn Gaming Corp.................................. 66,650 551,945
*Miller Building Systems, Inc........................ 72,800 614,250
*Miltope Group, Inc.................................. 50,500 173,594
*Mindspring Enterprises, Inc......................... 31,600 922,325
Minntech Corp........................................ 29,930 347,942
Minuteman International, Inc......................... 15,000 161,250
*Mitcham Industries, Inc............................. 45,100 1,265,619
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Mity-Lite, Inc...................................... 28,100 $ 554,975
*Mobile America Corp................................. 9,200 109,250
Mobile Gas Service Corp.............................. 34,100 1,325,638
*Mobile Mini, Inc.................................... 28,100 149,281
Modern Controls, Inc................................. 84,975 993,145
*Modtech, Inc........................................ 29,000 601,750
*Molecular Biosystems, Inc........................... 121,400 1,236,763
*Molecular Devices Corp.............................. 18,500 379,250
*Molecular Dynamics, Inc............................. 51,100 1,037,969
*#Molten Metal Technology, Inc....................... 103,000 32,188
*Monaco Coach Corp................................... 25,100 633,775
*Monaco Finance, Inc. Class A........................ 16,300 17,319
*Monarch Casino and Resort, Inc...................... 82,100 431,025
Monarch Machine Tool Co.............................. 39,761 332,998
*Moneygram Payment Systems, Inc...................... 33,500 433,406
*Monro Muffler Brake, Inc............................ 33,686 486,342
*Monroc, Inc......................................... 15,500 170,500
Monterey Bay Bancorp, Inc............................ 9,600 186,000
*#Monterey Pasta Co.................................. 32,400 45,563
*Moog, Inc. Class A.................................. 25,250 918,469
*Moog, Inc. Class B.................................. 1,500 55,125
*Moore Handley, Inc.................................. 1,500 4,125
*Moore Medical Corp.................................. 25,100 279,238
*Moore Products Co................................... 21,900 791,138
*Moovies, Inc........................................ 106,500 133,125
*Morgan Products, Ltd................................ 65,300 399,963
*#Morrow Snowboards, Inc............................. 12,000 32,250
*Morton's Restaurant Group, Inc...................... 54,900 1,235,250
*Mosaix, Inc......................................... 96,900 884,213
*Moscom Corp......................................... 36,100 250,444
*#Mossimo, Inc....................................... 128,750 675,938
*Mother's Work, Inc.................................. 33,500 301,500
*Motor Car Parts & Accessories, Inc.................. 40,500 674,578
*Motor Club of America............................... 20,500 279,313
Movado Group, Inc.................................... 18,150 326,700
*Movie Gallery, Inc.................................. 110,000 360,938
*Moviefone, Inc. Class A............................. 28,300 189,256
Mueller (Paul) Co.................................... 26,700 1,034,625
*Multi Color Corp.................................... 9,600 62,400
*Multigraphics, Inc.................................. 3,400 8,925
*Musicland Stores Corp............................... 210,600 1,145,138
*Mutual Savings Bank FSB Bay City, MI................ 19,700 253,638
*Mylex Corp.......................................... 42,000 338,625
*Myriad Genetics, Inc................................ 3,300 90,234
*Mysoftware Co....................................... 14,000 34,125
*N & F Worldwide Corp................................ 80,100 770,963
*NABI, Inc........................................... 160,600 677,531
*NAI Technologies, Inc............................... 82,813 186,329
NBT Bancorp.......................................... 38,655 997,802
NN Ball & Roller, Inc................................ 124,300 1,064,319
*NPS Pharmaceuticals, Inc............................ 75,600 699,300
*NS Group, Inc....................................... 60,000 1,125,000
*NSA International, Inc.............................. 30,500 52,422
NSC Corp............................................. 79,800 187,031
*NTN Communications, Inc............................. 167,500 251,250
NUI Corp............................................. 24,200 595,925
NYMAGIC, Inc......................................... 62,700 1,598,850
*Nanometrics, Inc.................................... 30,300 268,913
*Nantucket Industries, Inc........................... 28,135 12,309
*Napco Security Systems, Inc......................... 64,100 396,619
*#Napro Biotherapeutics, Inc......................... 90,500 576,938
</TABLE>
22
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
Nash Finch Co........................................ 30,500 $ 571,875
*Nashua Corp......................................... 43,200 564,300
*Nastech Pharmaceutical Co., Inc..................... 6,300 85,444
*Nathans Famous, Inc................................. 17,500 66,719
*National Auto Credit, Inc........................... 35,300 237,172
*National Beverage Corp.............................. 49,200 485,850
*National City Bancorp............................... 26,067 729,876
*National Dentex Corp................................ 32,900 703,238
*National Energy Group, Inc.......................... 185,700 795,028
National Gas & Oil Co................................ 137,489 1,589,727
*National Home Centers, Inc.......................... 60,000 69,375
*National Home Health Care Corp...................... 22,077 117,288
National Insurance Group............................. 45,200 477,425
*National Media Corp................................. 127,000 523,875
*National Patent Development Corp.................... 69,850 942,975
*National Record Mart, Inc........................... 15,200 57,475
*National RV Holdings, Inc........................... 29,100 697,491
National Security Group, Inc......................... 10,500 179,156
*National Standard Co................................ 96,500 566,938
National Technical Systems, Inc...................... 47,184 402,539
*National Techteam, Inc.............................. 88,300 960,263
*National Vision Association, Ltd.................... 123,800 646,081
*Natural Alternatives International, Inc............. 47,000 425,938
*Natural Wonders, Inc................................ 35,900 271,494
*Navarre Corp........................................ 54,200 159,213
*Navigators Group, Inc............................... 20,520 388,598
Nelson (Thomas), Inc................................. 39,400 449,406
*Neogen Corp......................................... 25,800 287,025
*Neopath, Inc........................................ 30,100 500,413
*Neoprobe Corp....................................... 63,000 507,938
*Neorx Corp.......................................... 139,700 772,716
*Neose Technologies, Inc............................. 31,600 548,063
*#Neoware Systems, Inc............................... 27,200 79,900
*Netcom On-Line Communication Services, Inc.......... 38,500 770,000
*Netmanage, Inc...................................... 97,300 276,697
*Netrix Corp......................................... 83,200 111,800
*Netvantage, Inc. Class A............................ 12,200 86,163
*Network Computing Devices, Inc...................... 130,000 1,072,500
*#Network Imaging Corp............................... 85,000 104,922
*Network Peripherals, Inc............................ 56,800 298,200
*Network Six, Inc.................................... 775 2,083
*Neurex Co........................................... 57,100 897,541
*Neurobiological Technologies, Inc................... 14,600 28,288
*Neuromedical Systems, Inc........................... 77,700 288,947
*New Brunswick Scientific Co., Inc................... 37,537 290,912
New England Community Bancorp, Inc. Class A.......... 18,600 434,775
New Hampsire Thrift BancShares, Inc.................. 200 4,125
*New Horizons Worldwide, Inc......................... 57,400 889,700
*New Jersey Steel Corp............................... 29,800 671,431
*New Mexico & Arizona Land Co........................ 33,046 495,690
Newcor, Inc.......................................... 86,126 742,837
Newmil Bancorp, Inc.................................. 44,200 618,800
#Newport Corp........................................ 74,600 1,258,875
*Nexthealth, Inc..................................... 26,700 29,620
*#Niagara Corp....................................... 4,500 41,906
*Nichols Research Corp............................... 55,250 1,277,656
*Nimbus CD International, Inc........................ 17,500 173,906
*Nitches, Inc........................................ 10,194 61,164
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Nobel Education Dynamics, Inc....................... 23,050 $ 137,580
*Nobility Homes...................................... 11,250 175,781
*Noel Group, Inc..................................... 43,600 155,325
Noland Co............................................ 500 11,938
*Noodle Kidoodle, Inc................................ 65,000 186,875
*Nord Resources Corp................................. 138,700 242,725
*Norland Medical System, Inc......................... 31,300 235,728
*Norstan, Inc........................................ 90,400 2,192,200
*Nortek, Inc......................................... 19,700 480,188
North Carolina Natural Gas Corp...................... 14,450 478,656
North Central Bancshares, Inc........................ 9,400 178,306
Northern Technologies International.................. 17,600 198,000
*#Northfield Laboratories, Inc....................... 59,200 669,700
#Northland Cranberries, Inc. Class A................. 56,800 796,975
Northrim Bank........................................ 8,300 115,163
*Northwest Pipe Co................................... 11,000 250,938
*Northwest Teleproductions, Inc...................... 15,800 37,525
*Northwestern Steel & Wire Co........................ 159,100 596,625
*Norton McNaughton, Inc.............................. 62,500 378,906
Norwich Financial Corp............................... 23,800 709,538
*Norwood Promotional Products, Inc................... 31,200 473,850
*Novadigm, Inc....................................... 26,100 129,684
*Novametrix Medical Systems, Inc..................... 59,700 453,347
*Novavax, Inc........................................ 65,500 286,563
*Noven Pharmaceuticals, Inc.......................... 85,900 614,722
*Novitron International, Inc......................... 4,283 12,046
*Nu Horizons Electronics Corp........................ 71,054 501,819
*Nu-Kote Holding, Inc. Class A....................... 101,700 55,617
*#Nuko Information Systems, Inc...................... 29,200 13,987
*Numerex Corp. Class A............................... 11,500 84,094
*Nutramax Products, Inc.............................. 44,000 514,250
*Nview Corp.......................................... 20,650 25,167
*O'Charleys, Inc..................................... 60,650 1,080,328
O'Sullivan Corp...................................... 78,600 781,088
*O'Sullivan Industries Holdings, Inc................. 133,400 1,700,850
*O.I. Corp........................................... 13,800 60,375
*ODS Networks, Inc................................... 47,900 405,653
*OEC Medical Systems, Inc............................ 62,100 1,335,150
*OHM Corp............................................ 43,600 370,600
*OSI Pharmaceutical, Inc............................. 132,400 947,488
*#OTR Express, Inc................................... 16,600 98,563
*Oacis Healthcare Holdings Corp...................... 33,000 158,813
*Oak Hill Sportswear Corp............................ 21,600 83,700
*Objectshare, Inc.................................... 40,300 28,336
*Ocal, Inc........................................... 11,000 33,000
*#Odwalla, Inc....................................... 21,100 166,163
Oglebay Norton Co.................................... 50,000 1,531,250
Ohio Art Co.......................................... 1,000 15,000
Oil-Dri Corp. of America............................. 60,900 1,020,075
*Old America Stores, Inc............................. 14,700 4,138
*Old Dominion Freight Lines, Inc..................... 71,600 1,132,175
*Olympic Steel, Inc.................................. 94,000 1,318,938
*Omega Environmental, Inc............................ 88,600 5,538
*Omni Multimedia Group, Inc.......................... 6,700 2,513
*On Assignment, Inc.................................. 40,800 923,100
*On Technology Corp.................................. 25,000 49,219
*On-Point Technology Systems, Inc.................... 2,200 5,981
*Oncor, Inc.......................................... 185,800 812,875
*Oncormed, Inc....................................... 32,300 213,988
*One Price Clothing Stores, Inc...................... 65,600 135,300
*Oneita Industries, Inc.............................. 59,020 20,288
*Onyx Acceptance Corp................................ 8,500 65,875
</TABLE>
23
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Opinion Research Corp............................... 15,500 $ 77,500
*Opta Food Ingredients, Inc.......................... 93,600 479,700
*Optek Technology, Inc............................... 300 5,738
*Opti, Inc........................................... 60,000 371,250
Optical Coating Laboratory, Inc...................... 67,092 1,031,540
*Option Care, Inc.................................... 44,900 193,631
Orange Co., Inc...................................... 91,747 733,976
*Oravax, Inc......................................... 27,400 82,200
*Orbit International Corp............................ 27,600 68,138
*Orcad, Inc.......................................... 6,000 50,063
*Oriole Homes Corp. Class A Convertible.............. 66,300 314,925
*Oriole Homes Corp. Class B.......................... 23,000 109,250
*Orion Network Systems, Inc.......................... 25,700 440,916
*Oroamerica, Inc..................................... 45,200 251,425
*Orphan Medical, Inc................................. 40,500 222,750
*Ortel Corp.......................................... 38,100 678,656
*Orthologic Corp..................................... 128,200 661,031
Oshkosh Truck Corp. Class B.......................... 43,200 761,400
*Oshman's Sporting Goods, Inc........................ 50,200 288,650
*Osmonics, Inc....................................... 9,600 139,200
*Osteotech, Inc...................................... 54,100 1,633,144
*Ostex International, Inc............................ 104,500 329,828
Ottawa Financial Corp................................ 3,140 86,939
*Outlook Group Corp.................................. 37,900 253,456
Owosso Corp.......................................... 29,500 229,547
Oxford Industries, Inc............................... 53,100 1,865,138
*#Oxigene, Inc....................................... 19,800 358,875
*Oxis International, Inc............................. 89,800 56,125
*P&F Industries, Inc. Class A........................ 600 3,956
*PAM Transportation Services, Inc.................... 33,650 331,242
*PC Quote, Inc....................................... 54,100 74,388
*PC Service Source, Inc.............................. 24,200 136,125
PCA International, Inc............................... 32,900 806,050
*#PHP Healthcare Corp................................ 39,490 636,776
*PICO Holdings, Inc.................................. 48,559 295,906
PLM International, Inc............................... 41,900 235,688
*PMR Corp............................................ 29,400 663,338
*PPT Vision, Inc..................................... 46,200 363,825
PS Group Holdings, Inc............................... 2,000 28,500
*PSC, Inc............................................ 53,600 619,750
*PST Vans, Inc....................................... 17,800 77,875
*Pacific Aerospace and Electroncis, Inc.............. 7,700 48,727
*Pacific Pharmaceuticals, Inc........................ 28,200 42,300
Pacific Scientific Co................................ 71,900 1,141,413
*Pacific Sunwear of California, Inc.................. 1,750 57,203
*Pagemart Wireless, Inc. Class A..................... 22,600 224,588
*Pages, Inc.......................................... 31,000 60,063
*Palatin Technologies, Inc........................... 875 6,234
Palfed, Inc.......................................... 22,350 596,466
*Palmer (Arnold) Golf Co............................. 33,700 91,622
*Pamida Holdings Corp................................ 52,000 279,500
Pamrapo Bancorp, Inc................................. 12,200 298,138
*Panaco, Inc......................................... 9,800 44,713
Pancho's Mexican Buffet, Inc......................... 47,600 105,613
*#Panda Project, Inc................................. 19,000 122,906
*Par Technology Corp................................. 81,800 874,238
*Paragon Trade Brands, Inc........................... 40,800 918,000
*Parallel Petroleum Corp............................. 79,800 451,369
*Paris Corp.......................................... 200 338
*Park-Ohio Industries, Inc........................... 141,225 2,533,223
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*#Parkervision, Inc.................................. 44,800 $ 856,800
Parkvale Financial Corp.............................. 55,356 1,622,623
*Parlex Corp......................................... 29,850 452,414
*Parlux Fragrances, Inc.............................. 108,200 246,831
*Patina Oil & Gas Corp............................... 53,989 438,661
Patrick Industries, Inc.............................. 46,050 661,969
*Paul Harris Stores, Inc............................. 79,175 1,667,623
*#Paul-Son Gaming Corp............................... 32,500 540,313
*Paxar Corp.......................................... 17,900 268,500
*Payless Cashways, Inc............................... 212,000 10,812
*Pediatric Services of America, Inc.................. 51,200 998,400
Peerless Manufacturing Co............................ 9,250 108,688
*Penederm, Inc....................................... 70,000 796,250
Penn Engineering & Manufacturing Corp. Class A....... 33,600 866,250
Penn Engineering & Manufacturing Corp. Non-voting.... 100,800 2,646,000
*Penn National Gaming, Inc........................... 85,000 969,531
*#Penn Traffic Co.................................... 87,800 768,250
*Penn Treaty American Corp........................... 44,400 1,434,675
Penn Virginia Corp................................... 74,200 2,008,038
Penn-America Group, Inc.............................. 36,500 670,688
Pennfed Financial Services, Inc...................... 20,300 670,534
Pennfirst Bancorp, Inc............................... 220 4,098
Pennsylvania Enterprises, Inc........................ 800 20,150
Penobscot Shoe Co.................................... 32,000 193,000
*Pentech International, Inc.......................... 28,900 83,991
Penwest, Ltd......................................... 26,200 971,038
Peoples Bancorp...................................... 300 6,975
Peoples Bancshares, Inc. Massachusetts............... 24,545 486,298
*Peoples Choice TV Corp.............................. 110,596 252,297
*Peoples Telephone Co., Inc.......................... 64,800 234,900
*Perceptron, Inc..................................... 32,050 713,113
*Performance Food Group Co........................... 107,150 2,276,938
*Performance Technologies, Inc....................... 20,400 304,725
*Perfumania, Inc..................................... 43,700 145,439
*Perini Corp......................................... 40,000 352,500
*Periphonics Corp.................................... 59,900 582,153
*Perseptive Biosystems, Inc.......................... 108,300 1,299,600
*Personnel Management, Inc........................... 9,000 110,250
*Pete's Brewing Co................................... 23,000 114,281
*Petrocorp, Inc...................................... 36,100 327,156
*Petroleum Development Corp.......................... 44,000 269,500
Petroleum Heat & Power Co., Inc. Class A............. 148,300 424,045
*Phar-Mor, Inc....................................... 8,500 71,984
*#Pharmaceutical Marketing Services, Inc............. 117,600 1,205,400
*Pharmaceutical Resources, Inc....................... 84,055 131,336
*Pharmacopeia, Inc................................... 33,800 640,088
*Pharmchem Laboratories, Inc......................... 47,800 143,400
*#Pharmos Corp....................................... 88,000 199,375
*Phildelphia Consolidated Holding Corp............... 54,000 901,125
*Phillips (R.H.), Inc................................ 2,300 8,194
*Phoenix Gold International, Inc..................... 13,000 63,375
*Phoenix Network, Inc................................ 89,200 61,325
*Phoenix Technologies, Ltd........................... 24,000 354,750
*Photo Control Corp.................................. 1,000 2,813
*Photon Dynamics, Inc................................ 26,800 115,575
*Photran Corp........................................ 3,300 15,263
</TABLE>
24
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Physician Support Systems, Inc...................... 16,800 $ 250,950
*Physicians Health Services, Inc. Class A............ 21,000 580,125
*Physicians Resource Group, Inc...................... 17,000 96,688
*Physiometrix, Inc................................... 31,500 80,719
Piccadilly Cafeterias, Inc........................... 60,100 755,006
*Pico Products, Inc.................................. 34,400 53,750
#Piedmont Bancorp, Inc............................... 250 2,594
*Piercing Pagoda, Inc................................ 41,400 1,076,400
*Pilgrim America Capital Corp........................ 42,000 805,875
Pillowtex Corp....................................... 66,700 1,767,550
*Pinkertons, Inc..................................... 19,350 442,631
Pinnacle Bancshares, Inc............................. 400 6,550
Pinnacle Financial Services, Inc..................... 29,449 1,229,496
*#Pinnacle Micro, Inc................................ 32,700 8,175
*Pinnacle Systems, Inc............................... 65,900 1,598,075
Pitt-Des Moines, Inc................................. 36,450 1,262,081
Pittston Co. Minerals Group.......................... 72,200 658,825
*Plains Resources, Inc............................... 70,700 1,166,550
*Planar Systems, Inc................................. 86,100 1,017,056
*Plasma-Therm, Inc................................... 27,900 235,406
Plasti-Line, Inc..................................... 10,000 136,875
*Platinum Software Corp.............................. 179,400 1,401,563
*Play By Play Toys and Novelties, Inc................ 16,300 269,969
*Playboy Enterprises, Inc. Class A................... 1,500 18,281
*Playboy Enterprises, Inc. Class B................... 136,400 1,866,975
*Players International, Inc.......................... 217,900 701,366
Plenum Publishing Corp............................... 14,800 711,325
*Plexus Corp......................................... 9,800 260,925
*Plymouth Rubber, Inc. Class A....................... 100 575
*Plymouth Rubber, Inc. Class B non-voting............ 5 21
*Polk Audio, Inc..................................... 5,000 45,313
*Pollo Tropical, Inc................................. 69,300 459,113
*Polycom, Inc........................................ 92,600 555,600
*Polymedica Industries, Inc.......................... 41,950 388,038
*Polyphase Corp...................................... 46,000 48,875
*Pomeroy Computer Resource, Inc...................... 39,442 986,050
Pope & Talbot, Inc................................... 9,000 148,500
*Porta Systems Corp.................................. 12,640 42,660
Portec, Inc.......................................... 37,237 516,663
*Positive Response Television, Inc. Escrow........... 9,750 0
*Positron Corp....................................... 12,600 7,875
*Possis Medical, Inc................................. 97,800 1,369,200
Poughkeepsie Financial Corp.......................... 61,400 610,163
*Powell Industries, Inc.............................. 44,000 616,000
*Powercerv Corp...................................... 100,000 293,750
*Praegitzer Industries, Inc.......................... 86,500 1,097,469
*Precision Standard, Inc............................. 1,000 719
*Premenos Technology Corp............................ 73,600 970,600
Premier Bancshares, Inc.............................. 19,700 398,925
*#Premier Laser Systems, Inc. Class A................ 45,200 435,050
Premiumwear, Inc..................................... 6,145 28,805
*President Casinos, Inc.............................. 16,666 64,581
*Presley Companies Class A........................... 8,900 7,788
*Price Communications Corp........................... 71,257 783,827
*Prima Energy Corp................................... 23,500 475,875
Prime Bancorp, Inc................................... 19,042 643,858
*Prime Medical Services, Inc......................... 93,200 1,240,725
Primesource Corp..................................... 24,843 301,221
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Primus Telecommunications Group, Inc................ 130,000 $ 1,787,500
*Printrak International, Inc......................... 50,000 493,750
*Printronix, Inc..................................... 67,050 1,198,519
*Prism Solutions, Inc................................ 11,400 60,563
*Procept, Inc........................................ 10,114 18,332
*Procyte Corp........................................ 45,700 49,984
*Professional Bancorp, Inc........................... 10,720 163,480
*Profit Recovery Group International, Inc............ 77,000 1,179,063
*Programmers Paradise, Inc........................... 20,200 198,213
Progress Financial Corp.............................. 11,080 168,278
*Progress Software Corp.............................. 56,000 1,162,000
Progressive Bank, Inc................................ 43,650 1,489,556
*Project Software & Development, Inc................. 95,700 1,860,169
*Pronet, Inc......................................... 47,300 209,894
#Protection One, Inc................................. 23,300 270,134
*Proteon, Inc........................................ 58,150 94,494
*Protocol Systems, Inc............................... 71,600 738,375
Provena Foods, Inc................................... 200 563
Providence & Worcester Railroad Co................... 5,000 77,500
Providence Energy Corp............................... 61,950 1,173,178
*Provident American Corp............................. 83,600 224,675
*Proxim, Inc......................................... 42,200 501,125
*Proxima Corp........................................ 62,100 457,988
*Proxymed, Inc....................................... 27,300 246,553
Psychemedics Corp.................................... 105,577 620,265
Pulaski Furniture Corp............................... 15,400 296,450
*Pure World, Inc..................................... 66,300 430,950
*Pyramid Breweries, Inc.............................. 23,600 63,425
*Q Logic Corp........................................ 53,800 1,765,313
*QMS, Inc............................................ 72,300 230,456
*Quad Systems Corp................................... 35,700 228,703
Quaker Chemical Corp................................. 30,300 570,019
*Quaker City Bancorp, Inc............................ 18,125 369,297
*Quaker Fabric Corp.................................. 72,300 1,432,444
*Quality Dining, Inc................................. 98,400 408,975
*Quality Semiconductor, Inc.......................... 43,400 250,906
*Quality Systems, Inc................................ 44,500 328,188
*Quarterdeck Office Systems, Inc..................... 298,000 628,594
*Quest Medical, Inc.................................. 98,928 689,405
*Quickresponse Services, Inc......................... 10,000 351,875
*Quickturn Design Systems, Inc....................... 114,650 1,339,972
*Quidel Corp......................................... 110,100 421,477
*Quiksilver, Inc..................................... 63,400 1,672,175
*Quintel Entertainment, Inc.......................... 36,700 211,025
*Quipp, Inc.......................................... 13,800 236,325
Quixote Corp......................................... 67,600 587,275
*R & B, Inc.......................................... 68,600 660,275
*RCM Technologies, Inc............................... 13,500 211,781
*RDM Sports Group, Inc............................... 301,000 2,408
*RF Monolithics, Inc................................. 26,000 321,750
RPC, Inc............................................. 52,100 1,393,675
*RTI, Inc............................................ 5,890 48,224
*RTW, Inc............................................ 27,200 181,050
*Racotek, Inc........................................ 130,500 173,320
*Rag Shops, Inc...................................... 32,000 99,500
*Ragan (Brad), Inc................................... 40,900 1,390,600
*#Railamerica, Inc................................... 20,400 123,675
*Railtex, Inc........................................ 40,500 599,906
</TABLE>
25
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Rainbow Technologies, Inc........................... 48,800 $ 1,177,300
*Rally's Hamburgers, Inc............................. 171,800 590,563
Ramapo Financial Corp................................ 34,800 319,725
*Ramsay Health Care, Inc............................. 51,366 223,121
*Ramtron International Corp.......................... 75,650 491,725
*Rare Hospitality International, Inc................. 66,562 715,542
Raritan Bancorp, Inc. DE............................. 1,125 30,656
*Raster Graphics, Inc................................ 9,000 52,313
Raven Industries, Inc................................ 99,150 2,048,067
*Rawlings Sporting Goods, Inc........................ 64,700 727,875
*Raytech Corp. DE.................................... 27,795 149,398
*Reading Entertainment, Inc.......................... 16,300 205,788
*Recoton Corp........................................ 91,916 1,252,356
*Recovery Engineering, Inc........................... 19,100 496,600
*Recycling Industries, Inc........................... 37,100 288,684
*#Redhook Ale Brewery, Inc........................... 45,000 298,125
*#Redwood Empire Bancorp............................. 9,900 155,306
*Reeds Jewelers, Inc................................. 11,495 79,028
Refac Technology Development Corp.................... 45,597 632,658
*Regeneron Pharmaceuticals, Inc...................... 37,400 366,988
*Rehabcare Group, Inc................................ 27,900 754,172
*Rehabilicare, Inc................................... 17,700 69,694
*Reliability, Inc.................................... 120,000 2,561,250
Reliv International, Inc............................. 45,960 175,223
*#Reno Air, Inc...................................... 79,700 465,747
*#Rent-Way, Inc...................................... 57,000 985,031
*Rentrak Corp........................................ 56,500 280,734
*Repligen Corp....................................... 54,000 54,844
*#Reptron Electronics, Inc........................... 25,500 381,703
*Republic Automotive Parts, Inc...................... 39,200 588,000
Republic Bancorp, Inc................................ 51,152 882,375
*Republic Bankshares, Inc............................ 1,740 43,826
*Republic Engineered Steels, Inc..................... 173,000 254,094
*Republic First Bancorp, Inc......................... 5,900 77,069
Republic Group, Inc.................................. 111,804 2,131,264
Republic Security Financial Corp..................... 45,932 467,932
*#Res-Care, Inc...................................... 67,800 1,584,825
Research, Inc........................................ 20,200 220,938
*Resound Corp........................................ 123,900 762,759
Resource America, Inc................................ 15,060 714,409
*Response Oncology, Inc.............................. 92,740 904,215
*Retirement Care Association, Inc.................... 43,035 373,867
*Retix, Inc.......................................... 95,200 458,150
*Rex Stores Corp..................................... 72,600 825,825
*Rexhall Industries, Inc............................. 11,025 54,436
*Rexworks, Inc....................................... 6,000 28,875
*Rheometric Scientific, Inc.......................... 110 124
*Ribi Immunochem Research, Inc....................... 158,200 622,913
Richardson Electronics, Ltd.......................... 41,700 484,763
*Richton International Corp.......................... 1,500 9,563
*Riddell Sports, Inc................................. 38,582 155,534
*Ride, Inc........................................... 46,700 119,669
*Right Management Consultants, Inc................... 49,450 547,041
*Right Start, Inc.................................... 48,200 97,906
*Rightchoice Managed Care, Inc. Class A.............. 25,100 271,394
*Rimage Corp......................................... 29,000 184,875
*Ringer Corp......................................... 76,600 113,703
Rival Co............................................. 33,700 499,181
*River Oaks Furniture, Inc........................... 41,500 72,625
*Riverside Group, Inc................................ 1,300 1,788
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Riviera Holdings Corporation........................ 6,200 $ 84,863
Roanoke Electric Steel Corp.......................... 41,500 923,375
*Roberds, Inc........................................ 31,400 123,638
*Robertson-Ceco Corp................................. 46,957 428,483
Robinson Nugent, Inc................................. 42,100 226,288
*Robotic Vision Systems, Inc......................... 11,235 154,832
*Rochester Medical Corp.............................. 19,100 261,431
*Rock Bottom Restaurants, Inc........................ 45,700 491,275
*Rockford Industries, Inc............................ 33,500 285,797
*Rocky Mountain Chocolate Factory.................... 25,000 121,875
*Rocky Shoes & Boots, Inc............................ 21,500 366,844
*Rodman & Renshaw Capital Group, Inc................. 19,000 7,125
*Rogers Corp......................................... 122,100 4,983,206
*Ross Systems, Inc................................... 116,437 433,000
Rotonics Manufacturing, Inc.......................... 11,300 16,244
*Rottlund, Inc....................................... 18,150 72,600
Rouge Industries, Inc. Class A....................... 28,400 433,100
Rowe Furniture Corp.................................. 115,062 769,477
*Royal Appliance Manufacturing Co.................... 197,500 1,370,156
Royal Bancshares of Pennsylvania Class A............. 232 5,003
*Royal Energy, Inc................................... 1,500 6,656
*Royal Gold, Inc..................................... 114,700 681,031
*Royal Precision, Inc................................ 5,600 47,425
*Rural Cellular Corp. Class A........................ 12,100 148,981
Ryan Beck & Co....................................... 210 1,391
Ryland Group, Inc.................................... 90,900 1,982,756
*S&K Famous Brands, Inc.............................. 31,700 429,931
*SABA Petroleum Co................................... 42,900 426,319
*SBE, Inc............................................ 11,000 158,469
*SBM Industries, Inc................................. 500 1,500
*SBS Technologies, Inc............................... 30,200 877,688
*SDL, Inc............................................ 47,400 802,838
*SED International Holdings, Inc..................... 35,300 451,178
SEMCO Energy, Inc.................................... 49,700 877,516
SI Handling, Inc..................................... 41,625 561,938
SIS Bancorp, Inc..................................... 19,700 662,413
SJNB Financial Corp.................................. 5,000 183,750
SJW Corp............................................. 16,600 946,200
SL Industries, Inc................................... 96,685 1,256,905
*SMC Corp............................................ 52,200 398,025
*SOS Staffing Services, Inc.......................... 31,600 655,700
*SPSS, Inc........................................... 40,700 1,014,956
*SSE Telecom, Inc.................................... 30,500 150,594
*STB Systems, Inc.................................... 29,250 820,828
*STM Wireless, Inc. Class A.......................... 36,500 536,094
*STV Group, Inc...................................... 17,500 141,094
*SYNC Research, Inc.................................. 46,700 188,259
*Safeguard Health Enterprises, Inc................... 84,600 1,105,088
*Safety 1st, Inc..................................... 54,500 374,688
*Safety Components International, Inc................ 41,100 565,125
*Saga Communications, Inc. Class A................... 67,577 1,326,199
*Salant Corp. DE..................................... 80,500 155,969
Salient 3 Communications, Inc. Class A............... 45,000 576,563
*Salton/Maxim Housewares, Inc........................ 58,000 565,500
*San Filippo (John B.) & Son, Inc.................... 67,400 532,881
Sanderson Farms, Inc................................. 50,700 611,569
*Sands Regent Casino Hotel........................... 42,210 89,037
Sandwich Bancorp, Inc................................ 15,400 652,575
</TABLE>
26
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Sano Corp........................................... 9,900 $ 215,944
*Santa Cruz Operation, Inc........................... 94,200 553,425
*Santa Fe Gaming Corp................................ 22,450 16,838
Santa Monica Bank CA................................. 41,900 1,157,488
*Satcon Technology Corp.............................. 36,600 361,425
*Savoir Technology Group, Inc........................ 37,500 386,719
*Scan-Optics, Inc.................................... 56,200 500,531
*ScanSource, Inc..................................... 15,800 299,706
Schawk, Inc. Class A................................. 26,200 298,025
*Schein (Henry), Inc................................. 60,637 2,139,349
*Scherer Healthcare, Inc............................. 200 738
*Schieb (Earl), Inc.................................. 74,400 651,000
*Schlotzskys, Inc.................................... 28,200 493,500
*Schmitt Industries, Inc............................. 8,100 75,938
Schnitzer Steel Industries, Inc. Class A............. 5,200 145,600
*Schuler Homes, Inc.................................. 143,700 1,014,881
Schult Homes Corp.................................... 42,960 762,540
Schultz Sav-O Stores, Inc............................ 60,000 952,500
*Sciclone Pharmaceuticals, Inc....................... 125,800 507,131
*Scientific Games Holdings Corp...................... 4,500 94,781
Scientific Technologies, Inc......................... 25,700 276,275
*Scios-Nova, Inc..................................... 257,700 1,956,909
Scope Industries, Inc................................ 18,650 1,146,975
*Scott's Liquid Gold, Inc............................ 84,000 330,750
Seacoast Banking Corp. Class A....................... 21,600 753,300
*Sealright Co., Inc.................................. 36,300 451,481
*Seattle Filmworks, Inc.............................. 145,575 1,430,729
Seaway Food Town, Inc................................ 16,000 352,000
*Secom General Corp.................................. 25,000 56,250
Second Bancorp, Inc.................................. 600 15,525
*Secure Computing Corp............................... 50,700 605,231
*Security Capital Corp............................... 5 17
Security First Corp.................................. 17,200 326,800
*Seeq Technology, Inc. DE............................ 179,600 637,019
*Segue Software, Inc................................. 36,000 391,500
*Seibels Bruce Group, Inc............................ 2,400 18,750
Selas Corp. of America............................... 44,700 463,763
*Selfcare, Inc....................................... 10,900 115,813
*Semiconductor Packaging Materials Co., Inc.......... 49,100 444,969
*Semitool, Inc....................................... 85,200 1,325,925
*Semtech Corp........................................ 56,000 2,730,000
*Seneca Foods Corp. Class A.......................... 200 3,350
*Seneca Foods Corp. Class B.......................... 6,300 106,313
*Sentry Technology Corp.............................. 60,555 128,679
*Sequana Therapeutics, Inc........................... 71,200 885,550
*Sequus Pharmaceuticals, Inc......................... 177,000 1,377,281
*Seragen, Inc........................................ 51,600 26,058
*Servico, Inc........................................ 31,300 541,881
*Servotronics, Inc................................... 24,804 279,045
Sevenson Environmental Services, Inc................. 13,280 159,360
*#Shaman Pharmaceuticals............................. 141,100 696,681
*Shared Technologies Fairchild, Inc.................. 76,000 1,113,875
*Sharper Image Corp.................................. 67,300 277,613
*Shaw Group, Inc..................................... 15,450 376,594
*Sheffield Medical Technologies, Inc................. 68,300 128,063
Shelby Williams Industries, Inc...................... 74,600 1,212,250
*Sheldahl, Inc....................................... 84,650 1,293,558
Shelter Components, Inc.............................. 52,608 914,064
*Sheridan Healthcare, Inc............................ 26,300 343,544
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Sherwood Group, Inc................................. 53,300 $ 659,588
*Shiloh Industries, Inc.............................. 111,500 2,104,563
*Sho Me Financial Corp............................... 400 19,000
*Shoe Carnival, Inc.................................. 85,000 780,938
*Sholodge, Inc....................................... 52,300 846,606
*Shoney's, Inc....................................... 204,000 892,500
Shoreline Financial Corp............................. 8,358 286,262
*Showscan Entertainment, Inc......................... 44,350 101,173
*Shuffle Master, Inc................................. 51,700 415,216
Sierrawest Bancorp................................... 6,410 201,114
Sifco Industries, Inc................................ 46,275 948,638
*Sight Resource Corp................................. 45,300 206,681
*Sigma Circuits, Inc................................. 15,200 118,275
*Sigma Designs, Inc.................................. 53,400 270,338
*Sigmatron International, Inc........................ 10,100 124,356
*#Signal Apparel Co., Inc. Class A................... 73,600 121,900
*Signal Technology Corp.............................. 62,000 325,500
*Signature Brands USA, Inc........................... 54,700 256,406
*Silicon Storage Technology, Inc..................... 92,000 327,750
*Siliconix, Inc...................................... 7,800 383,175
*#Silverado Foods, Inc............................... 12,800 8,800
Simmons First National Corp. Class A................. 13,650 482,442
Simpson Industries, Inc.............................. 126,900 1,467,281
*Simula, Inc......................................... 77,250 1,236,000
*Sirena Apparel Group, Inc........................... 17,100 63,056
*Sizzler International, Inc.......................... 218,400 641,550
Skaneateles Bancorp, Inc............................. 16,800 456,750
Skywest, Inc......................................... 87,300 2,127,938
*Smartflex Systems, Inc.............................. 22,200 220,613
*Smith Environmental Technologies Corp............... 700 8
*Sodak Gaming, Inc................................... 85,700 755,231
*#Softech, Inc....................................... 35,300 82,734
*Softnet Systems, Inc................................ 34,836 250,384
*#Software Spectrum, Inc............................. 36,100 485,094
*Somatogen, Inc...................................... 87,650 503,988
Somerset Group, Inc.................................. 312 6,006
*Somerset Savings Bank............................... 440 2,173
Sonesta International Hotels Corp. Class A........... 200 2,900
*Sonic Corp.......................................... 19,000 525,469
*Sonic Solutions..................................... 32,450 212,953
*Sonics & Materials, Inc............................. 1,000 2,563
*Sound Advice, Inc................................... 60,425 98,191
Southern California Water Co......................... 40,000 902,500
*Southern Energy Homes, Inc.......................... 127,125 1,195,770
*Southern Mineral Corp............................... 3,600 22,725
*Southwall Technologies, Inc......................... 74,600 592,138
Southwest Bancorp, Inc............................... 11,700 292,500
Southwest Bancshares, Inc. DE........................ 5,550 141,178
Southwest National Corp.............................. 6,000 309,000
Southwest Securities Group, Inc...................... 39,600 935,550
Southwest Water Co................................... 15,110 275,285
*Spacehab, Inc....................................... 19,000 195,938
*Spacelabs Medical, Inc.............................. 37,500 815,625
*Spacetec IMC Corp................................... 14,100 51,553
*Spaghetti Warehouse, Inc............................ 51,900 353,569
Span-American Medical System, Inc.................... 40,500 308,813
Spartan Motors, Inc.................................. 119,300 682,247
*Sparton Corp........................................ 69,200 709,300
*Spec's Music, Inc................................... 44,866 47,670
</TABLE>
27
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Special Devices, Inc................................ 29,200 $ 766,500
*Specialty Chemical Resources, Inc................... 37,800 40,163
*Specialty Teleconstructors, Inc..................... 19,600 285,425
*Spectran Corp....................................... 51,000 584,906
*Spectranetics Corp.................................. 114,702 430,133
*Spectrian Corp...................................... 42,600 870,638
*Spectrum Control, Inc............................... 68,800 365,500
*Speizman Industries, Inc............................ 28,900 180,625
*Spice Entertainment Companies, Inc.................. 71,600 271,856
*Spire Corp.......................................... 56,200 1,046,725
*Sport Chalet, Inc................................... 55,000 264,688
*Sport Supply Group, Inc............................. 40,700 320,513
*Sport-Haley, Inc.................................... 19,600 233,975
*#Sportmart, Inc..................................... 24,700 74,100
*Sportmart, Inc. Class A............................. 31,000 83,313
*Sports Club Co., Inc................................ 41,300 335,563
*#Spyglass, Inc...................................... 20,500 155,031
St. Francis Capital Corp............................. 24,400 942,450
St. Joseph Light & Power Co.......................... 52,500 885,938
*Staar Surgical Co................................... 79,175 1,380,614
*#Stac, Inc.......................................... 41,400 244,519
*Stacey's Buffet, Inc................................ 13,900 21,719
*Staff Builders, Inc. Class A........................ 86,000 235,156
*Staff Builders, Inc. Class B........................ 118,100 322,930
*Stage II Apparel Corp............................... 14,600 17,338
*Standard Commercial Corp............................ 52,176 906,558
*Standard Management Corp............................ 23,565 163,482
*Standard Microsystems Corp.......................... 73,900 801,353
Standard Motor Products, Inc. Class A................ 45,600 897,750
*Stanford Telecommunications, Inc.................... 108,100 2,405,225
*Stanley Furniture, Inc.............................. 17,700 486,750
*Star Multi Care Services, Inc....................... 16,729 96,192
*Starcraft Corp...................................... 16,500 44,344
*Starmet Corp........................................ 126,100 3,341,650
Starret Corp......................................... 102,300 1,227,600
Starrett (L.S.) Co. Class A.......................... 13,500 519,750
*Starter Corp........................................ 85,400 288,225
State Financial Services Corp. Class A............... 4,400 115,500
*State of the Art, Inc............................... 48,300 733,556
*Steck-Vaughn Publishing Corp........................ 33,900 507,441
*Steel of West Virginia, Inc......................... 50,700 494,325
Steel Technologies, Inc.............................. 48,900 556,238
Stepan Co............................................ 51,700 1,441,138
Stephan Co........................................... 24,100 307,275
Sterling Bancorp..................................... 150,400 3,299,400
Sterling Bancshares.................................. 61,375 1,179,551
*Sterling Electronics Corp........................... 55,455 1,150,691
*Sterling Financial Corp. WA......................... 25,250 538,141
*#Sterling Vision, Inc............................... 52,300 379,175
*Stevens International, Inc. Class A................. 59,800 71,013
Stewart Information Services Corp.................... 25,550 691,447
Stifel Financial Corp................................ 16,394 235,664
*Stimsonite Corp..................................... 49,800 256,781
*Stokely USA, Inc.................................... 92,200 70,591
*Storage Computer Corp............................... 71,292 481,221
*Stormedia, Inc. Class A............................. 14,400 53,550
*#Stratasys, Inc..................................... 17,600 235,400
*Strategic Diagnostics, Inc.......................... 48,000 103,500
*Strategic Distribution, Inc......................... 254,048 1,222,606
*Strattec Security Corp.............................. 17,000 425,000
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
Strawbridge and Clothier Liquidating Trust........... 5,200 $ 47,128
*Strouds, Inc........................................ 72,800 143,325
*Stuart Entertainment, Inc........................... 20,100 49,622
*#Submicron Systems Corp............................. 102,700 311,309
*Substance Abuse Technologies, Inc................... 91,400 777
*Successories, Inc................................... 24,200 161,081
Suffolk Bancorp...................................... 17,800 551,800
*Sugen, Inc.......................................... 74,800 1,047,200
*Sulcus Computer Corp................................ 78,600 240,713
*Summa Four, Inc..................................... 43,300 506,069
*Summa Industries, Inc............................... 200 1,963
Summit Bancshares, Inc............................... 11,500 428,375
*Summit Care Corp.................................... 40,900 649,288
*Summitt Medical Systems, Inc........................ 89,300 248,366
*Sun City Industries, Inc............................ 150 131
*Sun Coast Industries, Inc........................... 33,000 165,000
*Sun Television and Appliances, Inc.................. 147,300 333,727
*Sunair Electronics, Inc............................. 33,900 88,988
*Sunbelt Nursery Group, Inc.......................... 6,800 6,800
*Sundance Homes, Inc................................. 50,000 62,500
*Sunrise Resources, Inc.............................. 35,300 103,694
*Superconductor Technologies, Inc.................... 33,950 93,363
*Supergen, Inc....................................... 400 6,600
*#Superior Energy Services, Inc...................... 68,000 720,375
*Superior National Insurance Group, Inc.............. 8,400 119,175
Superior Surgical Manufacturing Co., Inc............. 90,100 1,362,763
*Supertex, Inc....................................... 177,300 2,205,169
*Suprema Specialties, Inc............................ 37,300 121,225
*Supreme Industries, Inc............................. 64,527 580,743
*Supreme International Corp.......................... 28,650 333,056
*Surety Capital Corp................................. 23,250 148,219
*Surgical Laser Technologies, Inc.................... 54,500 103,891
*Swing-n-Slide Corp.................................. 24,194 101,312
*Swisher International, Inc.......................... 8,500 75,969
*Swiss Army Brands, Inc.............................. 65,500 671,375
*Sybron Chemicals, Inc............................... 33,200 1,064,475
*Sylvan, Inc......................................... 54,800 760,350
*Symetrics Industries, Inc........................... 4,400 24,613
*Symix Systems, Inc.................................. 48,200 716,975
*Symmetricom, Inc.................................... 136,600 1,750,188
*Syms Corp........................................... 75,900 877,594
Synalloy Corp. DE.................................... 89,158 1,331,798
*Synaptic Pharmaceutical Corp........................ 65,700 823,303
*Synbiotics Corp..................................... 34,200 115,959
*Syncor International Corp. DE....................... 60,900 970,594
*Syntellect, Inc..................................... 114,200 242,675
*Synthetech, Inc..................................... 29,100 157,322
*#Syquest Technology, Inc............................ 277,600 906,538
*Systemsoft Corp..................................... 111,400 807,650
*T Cell Sciences, Inc................................ 142,300 329,069
*T-Netix, Inc........................................ 30,200 294,450
*TBC Corp............................................ 135,000 1,375,313
TCBY Enterprises, Inc................................ 80,300 506,894
*TCC Industries, Inc................................. 23,800 99,663
*TCI International, Inc.............................. 32,060 186,349
*TCI Music, Inc. Class A............................. 51,450 385,875
*TCSI Corp........................................... 110,000 684,063
*TESSCO Technologies, Inc............................ 15,800 353,525
TF Financial Corp.................................... 3,100 85,250
</TABLE>
28
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*TFC Enterprises, Inc................................ 101,000 $ 132,563
*TII Industries, Inc................................. 35,620 208,154
*TII Industries, Inc. Class B........................ 13,440 77,280
*#TMBR/Sharp Drilling, Inc........................... 21,900 475,641
*TRC Companies, Inc.................................. 60,400 234,050
*TRM Copy Centers Corp............................... 61,000 579,500
*#TRO Learning, Inc.................................. 28,200 183,300
TSI, Inc. MN......................................... 93,200 926,175
*#TSR, Inc........................................... 102,000 1,555,500
*TST/Impreso, Inc.................................... 16,100 152,950
Tab Products Co. DE.................................. 41,750 605,375
*Taco Cabana, Inc.................................... 134,700 690,338
*Talley Industries, Inc.............................. 89,700 1,059,581
*Tandy Brand Accessories, Inc........................ 55,977 818,664
*Tandy Crafts, Inc................................... 138,200 621,900
*Tanknology Environmental, Inc....................... 19,800 38,053
*Targeted Genetics Corp.............................. 134,000 422,938
Tasty Baking Co...................................... 53,200 1,250,200
*Team, Inc........................................... 44,400 160,950
*Tech-Sym Corp....................................... 67,300 2,040,031
Tech/Ops Sevcon, Inc................................. 61,400 840,413
*Techdyne, Inc....................................... 7,300 26,919
Teche Holding Co..................................... 1,100 24,063
*Techforce Corp...................................... 9,100 64,553
*#Technical Chemicals & Products, Inc................ 42,000 543,375
*Technical Communications Corp....................... 7,300 58,400
Technology Research Corp............................. 25,800 85,463
*Technology Service Group, Inc....................... 21,000 127,313
*Tegal Corp.......................................... 36,700 267,222
*Telco Systems, Inc.................................. 88,300 877,481
*Telcom Semiconductor, Inc........................... 108,200 889,269
*#Telemundo Group, Inc. Class A...................... 26,500 1,098,094
*Teltrend, Inc....................................... 6,000 100,875
*#Telular Corp....................................... 70,300 195,522
Telxon Corp.......................................... 45,000 1,108,125
*Temtex Industries, Inc.............................. 34,100 103,366
*Tetra Technologies, Inc............................. 20,100 471,094
*Texas Biotechnology Corp............................ 111,000 672,938
*Texas Micro, Inc.................................... 72,900 350,831
Texas Regional Banchshares, Inc. Class A............. 6,600 182,325
*Texfi Industries, Inc............................... 75,200 390,100
*Thackeray Corp...................................... 74,700 266,119
*Theratech, Inc. UT.................................. 82,600 833,744
*Thermo Fibergen, Inc................................ 13,500 128,250
*Thermo Power Corp................................... 105,100 959,038
Thermo Remediation, Inc.............................. 71,600 447,500
*Thermo Sentron, Inc................................. 71,900 790,900
*Thermo Terratech, Inc............................... 75,800 660,881
*#Thermo Voltek Corp................................. 120,450 760,341
*Thermospectra Corp.................................. 21,500 201,563
*Thermwood Corp...................................... 4,600 10,350
*Thomas Group, Inc................................... 50,800 606,425
Thomaston Mills, Inc................................. 11,400 99,750
Thor Industries, Inc................................. 26,800 845,875
*Thoratec Laboratories Corp.......................... 7,200 36,900
*Thorn Apple Valley, Inc............................. 49,900 701,719
*Three-Five Systems, Inc............................. 33,100 659,931
Timberline Software Corp............................. 28,281 399,473
*Tipperary Corp...................................... 54,300 278,288
*#Titan Corp......................................... 138,200 889,663
Titan Holdings, Inc.................................. 77,264 1,632,202
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
Toastmaster, Inc..................................... 39,600 $ 207,900
*#Today's Man, Inc................................... 63,600 172,913
*Todd Shipyards Corp................................. 38,600 173,700
Todd-AO Corp. Class A................................ 12,100 120,244
*Toddhunter International, Inc....................... 48,000 490,500
*Tokheim Corp........................................ 64,800 1,219,050
*Tollgrade Communications, Inc....................... 4,500 107,156
Tompkins County Trustco, Inc......................... 220 9,020
*#Top Source Technologies, Inc....................... 68,500 102,750
*Topps, Inc.......................................... 273,600 709,650
*Tops Appliance City, Inc............................ 27,900 32,259
*Toreador Royalty Corp............................... 41,700 172,013
*Torotel, Inc........................................ 24,235 19,691
*Total-Telephone USA Communications, Inc............. 10,200 297,713
*#Touchstone Software Corp........................... 18,200 48,913
*Tower Air, Inc...................................... 129,000 653,063
*Tractor Supply Co................................... 68,500 1,087,438
*Trak Auto Corp...................................... 92,000 1,150,000
*Trans World Entertainment Corp...................... 80,000 2,865,000
*Transact Technologies, Inc.......................... 39,496 593,674
*Transaction Network Services, Inc................... 102,900 1,775,025
*Transcend Services, Inc............................. 43,800 126,609
*Transfinancial Holdings, Inc........................ 25,800 241,875
*Transition Analysis Component Technology............ 2,538 16,656
*Transmation, Inc.................................... 7,600 58,900
Transmedia Network, Inc.............................. 43,850 274,063
*TransNet Corp....................................... 29,200 78,475
*Transport Industries, Inc........................... 1,000 10,875
Transport Leasing International, Inc................. 14,800 144,300
#Transport Lux Corp.................................. 14,245 196,759
*Transpro, Inc....................................... 5,000 45,000
Transtechnology Corp................................. 99,100 2,675,700
*Transwitch Corp..................................... 102,000 969,000
*Transworld Healthcare, Inc.......................... 47,650 357,375
Tranzonic Companies Class A.......................... 66,850 1,884,334
*#Travel Ports of America, Inc....................... 25,440 97,785
Treadco, Inc......................................... 43,900 447,231
*Trega Biosciences, Inc.............................. 62,400 228,150
*Trend-Lines, Inc. Class A........................... 50,650 371,961
*Trescom International, Inc.......................... 19,500 187,688
*Tri-Lite, Inc....................................... 109 0
*Triad Guaranty, Inc................................. 47,600 1,386,350
*Triad Park L.L.C.................................... 111,100 141,097
Triangle Bancorp, Inc................................ 32,600 902,613
Trico Bancshares..................................... 4,700 131,894
*Tricord Systems, Inc................................ 81,000 64,547
*Trident Microsystems, Inc........................... 98,400 1,122,375
*Trident Rowan Group, Inc............................ 7,000 33,688
*Tridex Corp......................................... 44,300 227,038
*#Trikon Technologies, Inc........................... 13,000 28,031
*Trimark Holdings, Inc............................... 6,400 36,000
*Trimedyne, Inc...................................... 48,800 112,850
*Trinitec Systems, Inc. Class A...................... 35,600 213,600
Trion, Inc........................................... 67,550 291,309
*Triple S Plastics, Inc.............................. 7,800 54,113
*Tripos, Inc......................................... 12,200 184,525
*Triquint Semiconductor, Inc......................... 52,200 1,045,631
*Trism, Inc.......................................... 35,900 145,844
*Tristar Corp........................................ 3,300 35,063
*Truevision, Inc..................................... 102,700 343,403
</TABLE>
29
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Trump Hotels & Casino Resorts, Inc.................. 31,900 $ 278,128
*Tseng Laboratories, Inc............................. 76,200 154,781
*Tuesday Morning Corp................................ 54,000 1,346,625
*Tultex Corp......................................... 123,800 557,100
*Turner Corp......................................... 43,900 1,015,188
Tuscarora, Inc....................................... 36,650 687,188
Twin Disc, Inc....................................... 41,200 1,333,850
*Tyler Corp.......................................... 152,800 783,100
U.S. Bancorp, Inc.................................... 11,525 746,263
*U.S. Bioscience, Inc................................ 18,000 166,500
*U.S. China Industrial Exchange, Inc................. 2,400 7,200
*U.S. Diagnostic, Inc................................ 73,900 321,003
*UFP Technologies, Inc............................... 6,700 27,009
UNR Industries, Inc.................................. 169,000 876,688
*URS Corp............................................ 75,986 1,215,776
*US Can Corp......................................... 89,300 1,473,450
*#US Servis, Inc..................................... 23,500 66,094
*US Xpress Enterprises, Inc. Class A................. 9,000 196,313
*#USA Detergents, Inc................................ 20,800 221,000
*USA Truck, Inc...................................... 5,600 70,000
*USANA, Inc.......................................... 2,600 47,125
*USCI, Inc........................................... 59,400 400,950
*USData Corp......................................... 35,900 151,453
*USLD Communications Corp............................ 52,400 1,090,575
USX-Delhi Group...................................... 80,000 1,570,000
*UTI Energy Corp..................................... 18,400 515,200
*Ultimate Electronics, Inc........................... 41,200 136,475
*Ultra Pacific, Inc.................................. 16,200 161,494
*Ultradata Corp...................................... 18,000 69,750
*Ultradata Systems, Inc.............................. 11,400 75,169
*#Ultrafem, Inc...................................... 62,400 234,000
*Ultrak, Inc......................................... 65,000 733,281
*#Ultralife Batteries, Inc........................... 33,400 482,213
*#Unapix Entertainment, Inc.......................... 28,200 130,425
Uni-Marts, Inc....................................... 64,600 290,700
Unico American Corp.................................. 117,600 1,447,950
*UniComp, Inc........................................ 38,200 374,838
Unifirst Corp........................................ 16,900 436,231
*Uniflex, Inc........................................ 16,150 100,938
Uniforce Temporary Personnel, Inc.................... 72,200 2,274,300
*Unify Corp.......................................... 13,300 34,497
*Unigene Laboratories, Inc........................... 204,400 657,913
*Unilab Corp......................................... 600 1,013
*Unimark Group, Inc.................................. 42,400 192,125
*Unimed Pharmaceuticals, Inc......................... 35,700 303,450
*Union Acceptance Corp. Class A...................... 16,900 94,534
*Union Corp. DE...................................... 20,700 521,381
*Unique Casual Restaurants, Inc...................... 42,267 290,586
*Unique Mobility, Inc................................ 58,100 493,850
*Uniroyal Technology Corp............................ 112,900 624,478
*Unison Software, Inc................................ 85,500 1,298,531
*Unit Corp........................................... 155,400 1,699,688
*Unit Instruments, Inc............................... 35,680 361,260
*United American Healthcare Corp.,................... 53,850 154,819
*United Capital Corp................................. 50,754 1,230,785
United Financial Corp. MN............................ 700 18,288
*United Foods, Inc. Class A.......................... 1,496 3,927
*United Foods, Inc. Class B.......................... 13,166 36,207
United Guardian, Inc................................. 41,020 235,865
United Industrial Corp............................... 102,800 1,130,800
United National Bancorp.............................. 35,427 912,245
*United Retail Group, Inc............................ 51,200 192,000
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*United States Energy Corp........................... 54,470 $ 541,296
United States Lime & Minerals, Inc................... 14,300 116,188
*Unitel Video, Inc................................... 23,200 165,300
Unitil Corp.......................................... 39,552 865,200
Unitog Co............................................ 5,850 131,625
*Universal American Financial Corp................... 3,200 9,200
*Universal Electronics, Inc.......................... 25,000 262,500
Universal Forest Products, Inc....................... 125,700 1,901,213
*Universal Hospital Services, Inc.................... 46,300 685,819
*Universal International, Inc........................ 15,700 40,967
*Universal Seismic Association, Inc.................. 17,800 30,038
*Universal Stainless & Alloy Products, Inc........... 25,100 371,794
*Universal Standard Medical Labs, Inc................ 27,300 76,781
*University Genetics Co. Class A..................... 76,100 0
*Uno Restaurant Corp................................. 231,491 1,475,755
Upper Peninsula Energy Corp.......................... 20,400 494,700
*Uranuim Resources, Inc.............................. 98,100 469,041
*Urban Outfitters, Inc............................... 46,000 816,500
*Urocor, Inc......................................... 23,800 177,756
*Urogen Corp. (Restricted)........................... 28,200 0
*Urologix, Inc....................................... 25,700 512,394
*#Uromed Corp........................................ 91,300 453,647
*Utah Medical, Inc................................... 34,900 274,838
*Utilx Corp.......................................... 144,800 918,575
*V Band Systems, Inc................................. 5,300 7,784
*V Mark Software, Inc................................ 35,464 316,960
*VTEL Corp........................................... 83,406 603,390
*Valence Technology, Inc............................. 170,100 1,116,281
*Vallen Corp......................................... 61,400 1,239,513
Valley Forge Corp.................................... 3,525 52,655
Valley Resources, Inc................................ 36,687 405,850
*Value City Department Stores, Inc................... 11,700 88,481
*Valuevision International, Inc. Class A............. 117,600 474,075
*Vans, Inc........................................... 89,500 1,440,391
*#Vari L Co., Inc.................................... 17,600 173,800
*Variflex, Inc....................................... 51,100 300,213
Varlen Corp.......................................... 46,692 1,278,194
*Vaughn Communications, Inc.......................... 28,100 172,113
*Vectra Banking Corp................................. 20,200 537,194
*Vectra Technologies, Inc............................ 34,500 2,070
*Ventana Medical Systems, Inc........................ 78,500 1,202,031
*Venture Stores, Inc................................. 153,800 240,313
*Venturian Corp...................................... 14,000 140,000
*Verilink Corp....................................... 5,000 32,969
*Verity, Inc......................................... 82,900 406,728
Vermont Financial Services Corp...................... 35,826 989,693
*Vermont Teddy Bear, Inc............................. 15,500 19,859
*Versar, Inc......................................... 46,100 242,025
*Versatility, Inc.................................... 1,000 5,719
*Vertex Communications Corp.......................... 43,300 1,060,850
*Veterinary Centers of America, Inc.................. 18,000 228,375
*Viatel, Inc......................................... 80,000 510,000
*Vical, Inc.......................................... 89,700 1,244,588
*Vicon Industries, Inc............................... 46,250 335,313
*Vicorp Restaurants, Inc............................. 64,300 1,008,706
*Vidamed, Inc........................................ 72,000 414,000
*Video Display Corp.................................. 41,750 383,578
*Video Lottery Technologies, Inc..................... 49,000 560,438
*Video Services Corp................................. 5,000 15,156
</TABLE>
30
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Video Update, Inc................................... 153,900 $ 408,797
*Videonics, Inc...................................... 5,400 30,038
*Vidioserver, Inc.................................... 51,800 777,000
*View Technology, Inc................................ 26,000 175,500
*Viewlogic Systems, Inc.............................. 10,200 269,981
*Vimrx Pharmaceuticals, Inc.......................... 44,500 98,039
Virco Manufacturing Corp............................. 103,990 2,482,761
Virginia Beach Federal Financial Corp................ 87,950 1,467,666
Virginia First Financial Corp........................ 21,570 539,250
*#Vision Sciences, Inc............................... 23,250 34,875
*Visioneer, Inc...................................... 104,200 371,213
Vital Signs, Inc..................................... 101,500 2,023,656
*Vitalcom, Inc....................................... 59,000 303,297
*#Vivid Technologies, Inc............................ 19,000 298,063
*Vodavi Technology, Inc.............................. 6,000 30,188
*Voice Control Systems, Inc.......................... 33,400 121,075
#Vulcan International Corp........................... 10,951 428,458
*WCI Steel, Inc. (Escrow)............................ 194,000 0
*#WHX Corp........................................... 18,000 212,625
WLR Foods, Inc....................................... 30,340 273,060
*WPI Group, Inc...................................... 27,250 204,375
*WSFS Financial Corp................................. 12,200 241,713
*#WSMP, Inc.......................................... 2,375 57,891
*WTD Industries, Inc................................. 51,740 113,181
Wackenhut Corp. Class A.............................. 26,897 581,648
Wackenhut Corp. Class B Non-Voting................... 91,592 1,814,667
*Wainoco Oil Corp.................................... 209,300 1,465,100
Wainwright Bank & Trust Co........................... 200 2,100
#Walbro Corp......................................... 36,400 525,525
*Walker Interactive Systems, Inc..................... 109,000 1,423,813
*Wall Data, Inc...................................... 79,050 1,289,503
*Wall Street Deli, Inc............................... 13,200 49,088
*Walsh International, Inc............................ 5,800 51,838
Walshire Assurance Co................................ 36,963 418,144
*Wandel & Goltermann Technologies, Inc............... 19,600 243,775
*Warrantech Corp..................................... 55,800 652,163
Warren Bancorp, Inc.................................. 81,400 1,663,613
*Washington Homes, Inc............................... 59,600 230,950
Washington Savings Bank FSB Waldorf, MD.............. 28,912 213,226
Waters Instruments, Inc.............................. 500 3,344
Watkins-Johnson Co................................... 21,600 675,000
*Wave Technologies International, Inc................ 14,900 120,364
*#Wavephore, Inc..................................... 64,400 601,738
Waverly, Inc......................................... 62,200 2,643,500
*Waxman Industries, Inc.............................. 50,400 189,000
*Waxman Industries, Inc. Class B..................... 9,750 36,563
*Webco Industries, Inc............................... 21,350 152,119
*Weirton Steel Corp.................................. 179,900 528,456
*Wellcare Management Group, Inc...................... 15,700 45,138
Wellco Enterprises, Inc.............................. 12,300 176,813
*Wells-Gardner Electronics Corp...................... 35,000 203,438
West Coast Bancorp................................... 24,150 636,956
*West Coast Entertainment Corp....................... 71,000 124,250
*#Westbridge Capital Corp............................ 33,700 23,169
Westco Bancorp, Inc.................................. 1,600 43,400
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
*Westerbeke Corp..................................... 20,000 $ 85,000
Westerfed Financial Corp............................. 21,800 518,431
*Western Beef, Inc................................... 42,386 323,193
*#Western Pacific Airlines, Inc...................... 35,100 14,259
*Western Staff Services, Inc......................... 29,300 487,113
*Western Water Co.................................... 39,900 508,725
*Weston (Roy F.), Inc. Class A....................... 28,100 116,352
*Whitehall Corp...................................... 123,200 2,094,126
*Whitman Education Group, Inc........................ 118,100 760,269
*Whittaker Corp...................................... 88,800 804,750
*Wickes Lumber Co.................................... 53,500 193,938
*Williams Clayton Energy, Inc........................ 50,000 803,125
*Williams Controls, Inc.............................. 61,900 142,177
*Wilshire Financial Services Group, Inc.............. 19,900 547,250
Wilshire Oil Co. of Texas............................ 138,811 789,488
Winnebago Industries, Inc............................ 132,100 1,015,519
*Winsloew Furniture, Inc............................. 20,700 305,325
*Winston Resources, Inc.............................. 3,900 22,669
Wireless Telecom Group, Inc.......................... 149,200 1,072,375
Wiser Oil Co......................................... 56,500 861,625
Wolf (Howard B.), Inc................................ 6,000 36,375
Wolohan Lumber Co.................................... 47,700 626,063
*Wonderware Corp..................................... 87,600 1,606,913
Woodhead Industries, Inc............................. 176,550 3,365,484
*Workgroup Technology Corp........................... 27,200 97,750
*World Acceptance Corp............................... 174,000 913,500
*#World Airways, Inc................................. 16,000 125,500
World Fuel Services Corp............................. 55,147 1,551,009
*Worldcorp, Inc...................................... 136,000 153,000
*Worldtex, Inc....................................... 141,800 1,205,300
Worthington Foods, Inc............................... 67,066 1,542,518
*Wyant Corp.......................................... 500 3,313
*Xcellent, Inc....................................... 25,100 315,319
*Xeta Corp........................................... 2,000 43,125
*Xetel Corp.......................................... 13,400 54,856
*Xicor, Inc.......................................... 79,700 386,047
*Xircom, Inc......................................... 10,100 107,944
*Xoma Corp........................................... 113,000 775,109
*Xpedite Systems, Inc................................ 36,100 967,931
Yankee Energy Systems, Inc........................... 400 9,513
Yardville National Bancorp........................... 6,600 220,275
*#Yes Entertainment Corp............................. 28,600 41,113
York Financial Corp.................................. 37,006 964,475
*York Research Corp.................................. 62,000 490,188
*Youth Services International, Inc................... 65,500 949,750
*Zaring National Corp................................ 19,800 186,863
*Zemex Corp.......................................... 51,413 488,424
Ziegler Co., Inc..................................... 500 10,688
*Zila, Inc........................................... 6,435 40,420
*Zing Technologies, Inc.............................. 12,700 121,444
*Zitel Corp.......................................... 12,000 134,625
*Zoll Medical Corp................................... 50,500 349,555
*Zoran Corp.......................................... 25,500 435,094
*Zygo Corp........................................... 33,700 722,444
*Zytec Corp.......................................... 37,300 969,800
---------------
TOTAL COMMON STOCKS (Cost $1,112,848,600).............. 1,489,400,848
---------------
</TABLE>
31
<PAGE>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
---------- ---------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Amvestors Financial Corp. Warrants Class A
04/02/02........................................... 5,588 $ 45,403
*Buell Industries, Inc. Contingent Payment Rights.... 59,800 0
*Fusion Systems Corp. Contingent Payment Rights
03/31/99........................................... 26,400 28,463
*National Mercantile Bancorp Warrants 06/02/99....... 50 0
*PC Quote, Inc. Rights 12/19/97...................... 54,100 112,771
*Today's Man, Inc. Rights 12/05/97................... 47,700 0
*Xytronyx, Inc. Warrants 08/11/01.................... 492 0
---------------
TOTAL RIGHTS/WARRANTS (Cost $69,156)................... 186,637
---------------
PREFERRED STOCKS -- (0.0%)
*Fonar Corp. Class A (Cost $0)....................... 34,390 0
---------------
FACE
AMOUNT
----------
(000)
TEMPORARY CASH INVESTMENTS -- (2.5%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
6.25%, 07/31/98, valued at $38,006,719) to be
repurchased at $37,457,004. (Cost $37,440,000)..... $ 37,440 37,440,000
---------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,150,357,756)++.............................. $ 1,527,027,485
---------------
---------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++The cost for federal income tax purposes is $1,151,311,005.
</TABLE>
See accompanying Notes to Financial Statements.
32
<PAGE>
SCHEDULES OF INVESTMENTS
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ----------------
<S> <C> <C>
Investment in The U.S. 6-10 Small Company Series of The DFA Investment Trust Company....... 24,456,741 $ 338,105,164
----------------
Total Investments (100%) (Cost $235,193,064)++......................................... $ 338,105,164
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $236,907,235.
THE U.S. LARGE COMPANY PORTFOLIO
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C> <C>
Investment in The U.S. Large Company Series of The DFA Investment Trust Company.............. $ 343,544,108
----------------
Total Investments (100%) (Cost $223,539,451)++........................................... $ 343,544,108
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $224,936,543.
THE ENHANCED U.S. LARGE COMPANY PORTFOLIO
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------- --------------
<S> <C> <C>
Investment in The Enhanced U.S. Large Company Series of The DFA Investment Trust Company... 3,791,304 $ 47,616,211
--------------
Total Investments (100%) (Cost $41,060,537)++.......................................... $ 47,616,211
--------------
--------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE U.S. 6-10 VALUE PORTFOLIO
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ------------------
<S> <C> <C>
Investment in The U.S. 6-10 Value Series of The DFA Investment Trust Company............... 99,478,673 $ 2,099,208,823
------------------
Total Investments (100%) (Cost $1,396,176,298)++....................................... $ 2,099,208,823
------------------
------------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $1,398,838,397.
THE U.S. LARGE CAP VALUE PORTFOLIO
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ----------------
<S> <C> <C>
Investment in The U.S. Large Cap Value Series of The DFA Investment
Trust Company............................................................................ 46,451,172 $ 840,114,346
----------------
Total Investments (100%) (Cost $604,893,770)++......................................... $ 840,114,346
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $606,745,914.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
33
<PAGE>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (99.0%)
AMLI Residential Properties Trust.................... 15,900 $ 365,700
Agree Realty Corp.................................... 4,300 90,300
Alexandria Real Estate Equities, Inc................. 100 3,112
Ambassador Apartments................................ 3,700 73,769
American General Hospitality Corp.................... 12,100 328,212
*American Industrial Properties...................... 2,000 27,000
American Real Estate Investment Corp................. 1,600 24,100
American Realty Trust, Inc........................... 15,300 224,241
Apartment Investment & Management Co. Class A........ 28,800 1,018,800
Arbor Property Trust................................. 15,400 165,550
Arden Realty Group, Inc.............................. 29,000 882,687
Associated Estates Realty Corp....................... 16,700 376,794
Avalon Properties, Inc............................... 37,500 1,153,125
BRE Properties, Inc. Class A......................... 36,060 1,036,725
Bay Apartment Communities, Inc....................... 20,100 802,744
Beacon Properties Corp............................... 54,300 2,443,500
Bedford Property Investors, Inc...................... 10,950 223,791
Berkshire Realty Co.................................. 25,200 286,650
Boddie-Noell Properties, Inc......................... 3,000 43,312
Boston Properties, Inc............................... 32,900 1,073,362
Boykin Lodging Trust, Inc............................ 9,300 241,219
Bradley Real Estate, Inc............................. 21,355 432,439
Brandywine Realty Trust.............................. 17,200 416,025
Burnham Pacific Properties, Inc...................... 23,000 329,187
CBL & Associates Properties, Inc..................... 23,500 565,469
Cali Realty Corp..................................... 40,500 1,607,344
Camden Property Trust................................ 26,180 855,759
*Capital Trust Class A............................... 8,900 108,469
Carramerica Realty Corp.............................. 56,100 1,690,012
Centerpoint Properties Corp.......................... 18,500 612,812
Chateau Communities, Inc............................. 24,776 755,668
Chelsea GCA Realty, Inc.............................. 13,600 516,800
*Clevetrust Realty Investors......................... 5,800 8,337
Colonial Properties Trust............................ 20,400 585,225
Commercial Net Lease Realty, Inc..................... 23,000 370,875
Cornerstone Properties, Inc.......................... 42,000 811,125
Cousins Properties, Inc.............................. 28,700 868,175
Crescent Real Estate Equities, Inc................... 99,400 3,826,900
Crown American Realty Trust.......................... 27,200 243,100
Developers Diversified Realty Corp................... 25,700 1,000,694
Duke Realty Investments, Inc......................... 62,000 1,426,000
*EQK Realty Investors................................ 7,000 7,000
Eastgroup Properties, Inc............................ 13,177 283,305
Equity Inns, Inc..................................... 31,000 470,812
*#Equity Office Properties Trust..................... 124,400 4,035,225
Equity Residential Properties Corp................... 68,853 3,442,650
Essex Property Trust................................. 13,600 491,300
Evans Withycombe Residential, Inc.................... 19,900 495,012
Excel Realty Trust, Inc.............................. 18,500 564,250
*FAC Realty, Inc..................................... 12,000 87,000
Federal Realty Investment Trust...................... 38,300 964,681
Felcor Suite Hotels, Inc............................. 32,200 1,169,262
First Industrial Realty Trust, Inc................... 29,600 1,045,250
First Union Real Estate Equity & Mortgage
Investments........................................ 27,300 406,087
First Washington Realty Trust, Inc................... 5,100 128,456
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Franklin Select Realty Trust Class A................. 12,100 $ 80,162
Gables Residential Trust............................. 19,100 519,281
General Growth Properties............................ 34,300 1,264,812
Glenborough Realty Trust, Inc........................ 17,800 480,600
Glimcher Realty Trust................................ 21,500 471,656
*HMG Courtland Properties, Inc....................... 1,100 6,531
HRE Properties, Inc.................................. 5,000 91,250
Haagen (Alexander) Properties, Inc................... 4,700 81,662
Highwood Properties, Inc............................. 35,200 1,265,000
Home Properties of New York, Inc..................... 6,800 180,625
Horizon Group, Inc................................... 23,400 277,875
Hospitality Properties Trust......................... 32,000 1,138,000
IRT Property Co...................................... 31,400 378,762
Innkeepers USA Trust................................. 28,200 452,962
Irvine Apartment Communities, Inc.................... 24,500 761,031
JDN Realty Corp...................................... 15,200 472,150
JP Realty, Inc....................................... 17,300 432,500
Jameson Inns, Inc.................................... 9,600 111,300
Kimco Realty Corp.................................... 35,600 1,223,750
Koger Equity, Inc.................................... 20,700 432,112
Kranzco Realty Trust, Inc............................ 10,200 194,438
Lexington Corp. Properties, Inc...................... 11,200 163,100
Liberty Property Trust............................... 38,700 1,081,181
MGI Properties....................................... 13,400 310,713
Macerich Co.......................................... 25,400 688,975
#Malan Realty Investors, Inc......................... 3,400 61,200
Manufactured Home Communities, Inc................... 24,500 667,625
Mark Centers Trust................................... 10,000 90,000
Merry Land & Investment Co., Inc..................... 37,500 878,906
Mid-America Apartment Communities, Inc............... 13,200 364,650
Mid-America Realty Investments, Inc.................. 8,200 84,050
Mid-Atlantic Realty Trust............................ 7,800 107,250
*Milestone Properties, Inc........................... 3,300 2,063
Mills Corp........................................... 21,900 606,356
Monmouth Real Estate Investment Corp. Class A........ 3,700 23,009
National Golf Properties, Inc........................ 11,000 349,250
New Plan Realty Trust................................ 57,700 1,399,225
Oasis Residential, Inc............................... 16,000 349,000
*Pacific Gateway Properties, Inc..................... 3,800 19,238
Pacific Gulf Properties, Inc......................... 14,000 313,250
Parkway Properties, Inc.............................. 5,650 186,097
Patriot American Hospitality, Inc.................... 42,300 1,321,875
Pennsylvania Real Estate Investment Trust............ 7,800 186,713
Post Properties, Inc................................. 29,670 1,146,004
Prentiss Properties Trust............................ 25,800 667,575
Price Real Estate Investment Trust, Inc. Class B..... 10,500 414,750
Prime Retail, Inc.................................... 28,800 415,800
Property Capital Trust............................... 9,300 36,038
Public Storage Properties XI, Inc. Class A........... 1,600 36,000
Public Storage Properties XX, Inc. Class A........... 800 16,800
Public Storage, Inc.................................. 93,596 2,585,590
RFS Hotel Investors, Inc............................. 23,900 454,100
</TABLE>
34
<PAGE>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Realty Income Corp................................... 22,600 $ 591,838
Reckson Associates Realty Corp....................... 33,700 895,156
Regency Realty Corp.................................. 19,500 517,969
Saul Centers, Inc.................................... 12,100 213,263
Security Capital Atlantic, Inc....................... 40,300 871,488
Security Capital Industrial Trust.................... 97,300 2,450,744
Security Capital Pacific Trust....................... 71,400 1,735,913
Shurgard Storage Centers, Inc. Class A............... 27,200 749,700
Simon Debartolo Group, Inc........................... 92,648 3,028,432
Sizeler Property Investors, Inc...................... 8,200 81,488
Smith (Charles E.) Residential Realty, Inc........... 11,800 407,100
Sovran Self Storage, Inc............................. 10,900 332,450
Spieker Properties, Inc.............................. 38,700 1,572,188
#Starwood Lodging Trust.............................. 44,550 2,388,994
Storage Trust Realty................................. 12,100 300,988
Storage USA, Inc..................................... 25,000 976,563
Summit Properties, Inc............................... 22,700 471,025
Sun Communities, Inc................................. 14,400 524,700
Sunstone Hotel Investors, Inc........................ 18,100 317,881
Tanger Factory Outlet Centers, Inc................... 6,100 176,519
Taubman Centers, Inc................................. 45,300 560,588
Town & Country Trust................................. 14,000 248,500
Transcontinental Realty Investors, Inc............... 3,500 48,125
Trinet Corporate Realty Trust, Inc................... 18,100 696,850
United Dominion Realty Trust, Inc.................... 78,082 1,146,829
United Mobile Homes, Inc............................. 5,800 68,875
Urban Shopping Centers, Inc.......................... 15,200 506,350
*Value Property Trust................................ 10,000 157,500
#Vornado Realty Trust................................ 47,300 2,119,631
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Walden Residential Properties, Inc.................. 15,600 $ 380,250
Washington Real Estate Investment Trust.............. 31,500 511,875
Weeks Corp........................................... 15,600 499,200
Weingarten Realty Investors.......................... 23,800 992,163
*Wellsford Real Properties, Inc...................... 4,081 64,021
Western Investment Real Estate Trust................. 15,300 210,375
Winston Hotels, Inc.................................. 14,100 197,400
------------
TOTAL COMMON STOCKS
(Cost $77,132,442)................................... 93,861,171
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
6.25%, 07/31/98, valued at $962,325) to be
repurchased at $945,429 (Cost $945,000)............ $ 945 945,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $78,077,442)++................................. $ 94,806,171
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++The cost for federal income tax purposes is $76,255,921.
</TABLE>
See accompanying Notes to Financial Statements.
35
<PAGE>
SCHEDULES OF INVESTMENTS
THE JAPANESE SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
VALUE+
-------------
<S> <C>
Investment in The Japanese Small Company Series of The DFA Investment Trust Company....... $ 114,071,679
-------------
Total Investments (100%) (Cost $282,514,843 )++....................................... $ 114,071,679
-------------
-------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $285,504,014.
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
VALUE+
-------------
<S> <C>
Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company.... $ 111,369,054
-------------
Total Investments (100%) (Cost $162,813,076)++........................................ $ 111,369,054
-------------
-------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $268,688,645.
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
VALUE+
-------------
<S> <C>
Investment in The United Kingdom Small Company Series of The DFA Investment Trust
Company................................................................................. $ 130,935,477
-------------
Total Investments (100%) (Cost $103,397,410)++........................................ $ 130,935,477
-------------
-------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE CONTINENTAL SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
VALUE+
-------------
<S> <C>
Investment in The Continental Small Company Series of The DFA Investment Trust Company.... $ 232,840,670
-------------
Total Investments (100%) (Cost $188,032,876)++........................................ $ 232,840,670
-------------
-------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
36
<PAGE>
SCHEDULES OF INVESTMENTS
THE INTERNATIONAL SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
VALUE+
-------------
<S> <C>
Investment in The Japanese Small Company Series of The DFA Investment Trust Company (27%)
(Cost $110,458,178)..................................................................... $ 61,270,285
Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company
(16%) (Cost $55,467,072)................................................................ 36,425,552
Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company
(18%) (Cost $38,350,242)................................................................ 40,914,178
Investment in The Continental Small Company Series of The DFA Investment Trust Company
(39%) (Cost $85,204,841)................................................................ 90,767,862
Temporary Cash Investments (0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%, 12/01/97 (collateralized by U.S.
Treasury Notes 8.50%, 11/15/00, valued at $638,881) to be repurchased at $627,285. (Cost
$627,000)............................................................................... 627,000
-------------
Total Investments (100%) (Cost $290,107,333)++........................................ $ 230,004,877
-------------
-------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE RWB/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------- -------------
<S> <C> <C>
Investment in The DFA International Value Series of The DFA Investment
Trust Company........................................................... 25,249,539 $ 275,097,834
-------------
Total Investments (100%) (Cost $257,996,572 )++....................... $ 275,097,834
-------------
-------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $259,230,053.
THE EMERGING MARKETS PORTFOLIO
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
VALUE+
-------------
<S> <C>
Investment in The Emerging Markets Series of The DFA Investment Trust Company............. $ 212,113,671
-------------
Total Investments (100%) (Cost $266,677,080)++........................................ $ 212,113,671
-------------
-------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $268,688,645.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
37
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (25.2%)
COMMON STOCKS -- (25.2%)
Acom Co., Ltd........................................ 1,000 $ 54,143
Advantest Corp....................................... 700 48,431
Ajinomoto Co., Inc................................... 11,000 99,980
#All Nippon Airways Co., Ltd......................... 24,000 114,523
#Asahi Bank, Ltd..................................... 41,000 173,477
Asahi Breweries, Ltd................................. 3,000 42,076
Asahi Chemical Industry Co., Ltd..................... 21,000 90,500
Asahi Glass Co., Ltd................................. 21,000 134,104
#Bank of Tokyo-Mitsubishi, Ltd....................... 94,200 1,365,485
Bank of Yokohama, Ltd................................ 20,000 62,057
Bridgestone Corp..................................... 13,000 282,155
Canon, Inc........................................... 15,000 361,998
#Chiba Bank, Ltd..................................... 11,000 42,923
Chubu Electric Power Co., Ltd........................ 12,600 202,390
Chugoku Electric Power Co., Ltd...................... 6,600 98,257
Dai Nippon Printing Co., Ltd......................... 13,000 257,708
#Dai-Ichi Kangyo Bank, Ltd........................... 56,000 438,785
Daiwa Bank, Ltd...................................... 23,000 41,450
Daiwa House Industry Co., Ltd........................ 9,000 72,635
Daiwa Securities Co., Ltd............................ 22,000 76,709
#Denso Corp.......................................... 15,000 273,849
East Japan Railway Co................................ 32 145,426
Fanuc, Ltd........................................... 4,300 161,724
#Fuji Bank, Ltd...................................... 52,000 279,099
Fuji Photo Film Co., Ltd............................. 9,000 323,683
#Fujitsu, Ltd........................................ 31,000 347,346
*Hanwa Co., Ltd...................................... 5,000 8,737
Hitachi, Ltd......................................... 59,000 418,374
Honda Motor Co., Ltd................................. 17,000 615,397
#Industrial Bank of Japan............................ 45,120 403,031
Ito-Yokado Co., Ltd.................................. 7,000 315,926
Itochu Corp.......................................... 21,000 54,464
*#Japan Air Lines Co., Ltd........................... 14,000 43,549
Jusco Co., Ltd....................................... 2,000 33,536
#Kajima Corp......................................... 17,000 55,945
Kansai Electric Power Co., Inc....................... 17,600 299,252
Kao Corp............................................. 6,000 79,922
Kawasaki Steel Corp.................................. 58,000 95,436
Kinki Nippon Railway Co., Ltd........................ 29,000 160,650
Kirin Brewery Co., Ltd............................... 18,000 138,641
*Kobe Steel, Ltd..................................... 42,000 40,149
Komatsu, Ltd......................................... 15,000 90,029
Kubota Corp.......................................... 25,000 86,386
Kyocera Corp......................................... 2,000 96,533
Kyushu Electric Power Co., Inc....................... 8,500 130,539
Long Term Credit Bank of Japan, Ltd.................. 40,000 67,385
Marubeni Corp........................................ 22,000 54,989
Marui Co., Ltd....................................... 2,000 31,342
Matsushita Communication Industrial Co., Ltd......... 1,000 30,245
Matsushita Electric Industrial Co., Ltd.............. 38,000 592,517
#Matsushita Electric Works, Ltd...................... 11,000 89,638
Mitsubishi Chemical Corp............................. 16,000 31,216
Mitsubishi Corp...................................... 26,000 202,907
Mitsubishi Electric Corp............................. 36,000 99,573
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Mitsubishi Estate Co., Ltd........................... 17,000 $ 197,140
Mitsubishi Heavy Industries, Ltd..................... 60,000 236,004
Mitsubishi Trust & Banking Corp...................... 23,000 306,366
Mitsui & Co., Ltd.................................... 26,000 180,701
Mitsui Trust & Banking Co., Ltd...................... 20,000 33,692
Murata Manufacturing Co., Ltd........................ 1,000 30,245
#NEC Corp............................................ 26,000 275,024
NKK Corp............................................. 63,000 63,679
#Nikko Securities Co., Ltd........................... 24,000 73,340
Nintendo Co., Ltd., Kyoto............................ 1,000 103,428
#Nippon Credit Bank, Ltd............................. 26,000 23,021
Nippon Express Co., Ltd.............................. 19,000 99,448
Nippon Oil Co., Ltd.................................. 22,000 76,709
Nippon Steel Corp.................................... 124,000 229,297
Nissan Motor Co., Ltd................................ 42,000 182,644
Nomura Securities Co., Ltd........................... 35,000 433,301
Osaka Gas Co., Ltd................................... 37,000 82,625
Pioneer Electronic................................... 2,000 34,789
Ricoh Co., Ltd., Tokyo............................... 5,000 60,333
*SMC Corp............................................ 500 44,270
#Sakura Bank, Ltd.................................... 61,000 213,171
Sankyo Co., Ltd...................................... 4,000 127,561
#Sanwa Bank, Ltd..................................... 52,000 570,421
Sanyo Electric....................................... 33,000 93,085
Secom Co., Ltd....................................... 2,000 125,367
Sega Enterprises, Ltd................................ 1,500 33,379
Seibu Railway Co., Ltd............................... 7,000 330,186
Seksui House......................................... 12,000 86,315
#Seven-Eleven Japan Co., Ltd......................... 7,000 485,406
Sharp Corp. Osaka.................................... 19,000 127,138
Shikoku Electric Power Co., Inc...................... 4,200 63,185
#Shimizu Corp........................................ 12,000 38,550
Shin-Etsu Chemical Co., Ltd.......................... 3,000 71,224
Shiseido Co., Ltd.................................... 3,000 40,666
Shizuoka Bank, Ltd................................... 14,000 129,442
Sony Corp............................................ 6,700 572,223
#Sumitomo Bank, Ltd.................................. 56,000 710,833
Sumitomo Chemical Co., Ltd........................... 29,000 96,572
Sumitomo Corp........................................ 19,000 119,843
Sumitomo Electric Industries, Ltd.................... 11,000 147,385
Sumitomo Metal Industries, Ltd. Osaka................ 56,000 114,084
Sumitomo Trust & Banking Co., Ltd.................... 22,000 145,144
TDK Corp............................................. 1,000 81,489
#Taisei Corp......................................... 15,000 34,672
#Taisho Pharmaceutical Co., Ltd...................... 6,000 150,441
Takeda Chemical Industries, Ltd...................... 14,000 409,167
Tohuku Electric Power Co., Inc....................... 9,000 136,102
#Tokai Bank, Ltd..................................... 34,000 182,488
Tokio Marine & Fire Insurance Co., Ltd............... 26,000 246,503
Tokyo Electric Power Co., Ltd........................ 24,300 436,020
Tokyo Electron, Ltd.................................. 1,000 38,315
Tokyo Gas Co., Ltd................................... 44,000 105,152
Tokyu Corp........................................... 17,000 72,595
Tonen Corp........................................... 11,000 82,829
Toppan Printing Co., Ltd............................. 12,000 162,664
Toray Industries, Inc................................ 25,000 113,614
Toshiba Corp......................................... 54,000 242,868
</TABLE>
38
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Toyo Seikan Kaisha, Ltd.............................. 3,300 $ 55,075
#Toyo Trust & Banking Co., Ltd....................... 12,000 78,511
Toyota Motor Corp.................................... 68,000 1,960,744
Yamanouchi Pharmaceutical Co., Ltd................... 5,000 121,450
#Yasuda Trust & Banking Co., Ltd..................... 16,000 13,665
------------
TOTAL COMMON STOCKS
(Cost $25,789,469)................................... 21,888,821
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $2,487).......................... 2,448
------------
TOTAL -- JAPAN
(Cost $25,791,956)................................... 21,891,269
------------
UNITED KINGDOM -- (22.5%)
COMMON STOCKS -- (22.5%)
Abbey National P.L.C................................. 27,800 439,104
BAT Industries P.L.C................................. 61,799 550,792
BG P.L.C............................................. 81,353 379,668
BOC Group P.L.C...................................... 10,645 170,381
BTR P.L.C............................................ 82,177 284,174
Barclays P.L.C....................................... 31,438 757,959
Bass P.L.C........................................... 18,400 262,729
Boots Co., P.L.C..................................... 20,298 297,696
British Petroleum Co., P.L.C......................... 118,687 1,619,717
British Telecommunications P.L.C..................... 133,400 1,020,382
Cable and Wireless P.L.C............................. 45,778 401,833
Cadbury Schweppes P.L.C.............................. 21,986 228,180
EMI Group P.L.C...................................... 14,688 111,483
General Electric Co. P.L.C........................... 57,881 378,128
Glaxo Wellcome P.L.C................................. 72,176 1,669,607
Granada Group P.L.C.................................. 17,275 246,084
Grand Metropolitan P.L.C............................. 52,707 479,527
Great Universal Stores P.L.C......................... 21,200 248,954
Guinness P.L.C....................................... 43,200 392,669
HSBC Holdings P.L.C.................................. 17,000 435,068
Imperial Chemical Industries P.L.C................... 15,800 230,263
Lloyds TSB Group P.L.C............................... 125,666 1,443,953
Marks & Spencer P.L.C................................ 60,750 628,954
National Power P.L.C................................. 23,900 226,502
National Westminster Bank P.L.C...................... 39,980 603,197
Prudential Corp. P.L.C............................... 44,788 487,844
Reuters Holdings P.L.C............................... 34,200 383,752
Rio Tinto P.L.C...................................... 25,526 310,077
Royal & Sun Alliance Insurance Group, Inc. P.L.C..... 16,927 154,714
Safeway P.L.C........................................ 24,008 130,549
Sainsbury (J.) P.L.C................................. 38,532 316,318
Shell Transport & Trading Co., P.L.C................. 201,600 1,381,558
Smithkline Beecham P.L.C............................. 71,821 716,953
Standard Chartered P.L.C............................. 19,336 214,197
Tesco P.L.C.......................................... 47,813 384,654
Unilever P.L.C....................................... 68,800 543,931
Vendome Luxury Group P.L.C. Units (consisting of one
share Vendome Luxury Group P.L.C. and one share of
Vendome Luxury Group SA)........................... 15,100 120,207
Vodafone Group P.L.C................................. 62,000 411,043
Zeneca Group P.L.C................................... 15,200 484,780
------------
TOTAL COMMON STOCKS
(Cost $10,261,710)................................... 19,547,581
------------
SHARES VALUE+
------------ ------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling (Cost $2,973)................ $ 2,985
------------
TOTAL -- UNITED KINGDOM
(Cost $10,264,683)................................... 19,550,566
------------
GERMANY -- (9.3%)
COMMON STOCKS -- (9.3%)
#BASF AG............................................. 15,000 530,663
#Bayer AG............................................ 14,000 518,066
Bayerische Hypotheken und Wechselbank AG............. 4,800 208,183
Bayerische Motorenwerke AG BMW, Muenchen............. 481 359,149
#Bayerische Vereinsbank AG........................... 4,400 261,306
#Commerzbank AG...................................... 8,490 295,061
#Daimler-Benz AG..................................... 10,450 739,983
Deutsche Bank AG..................................... 9,800 628,394
Deutsche Telekom AG.................................. 12,500 253,355
#Dresdner Bank AG, Frankfurt......................... 9,880 383,139
Hochtief AG.......................................... 1,510 62,495
#Hoechst AG.......................................... 12,000 423,850
Mannesmann AG........................................ 743 345,840
#RWE AG.............................................. 13,250 649,418
SAP AG (Systeme Anwendungen Produkte in der
Datenverarbeitung)................................. 1,100 319,929
#Siemens AG.......................................... 11,000 645,782
Thyssen.............................................. 650 154,777
#Veba AG............................................. 12,000 712,994
Viag AG.............................................. 546 277,422
#Volkswagen AG....................................... 550 311,821
------------
TOTAL COMMON STOCKS
(Cost $4,396,792).................................... 8,081,627
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $6,344).......................... 6,311
------------
TOTAL -- GERMANY
(Cost $4,403,136).................................... 8,087,938
------------
FRANCE -- (8.4%)
COMMON STOCKS -- (8.4%)
AXA-UAP.............................................. 7,692 555,972
Accor SA............................................. 508 96,377
Air Liquide.......................................... 700 108,614
Air Liquide Prime Fidelite........................... 1,471 228,244
Air Liquide Prime Fidelite 1998...................... 355 55,083
Alcatel Alsthom Cie Generale d'Electricite SA........ 5,100 637,555
Banque Nationale de Paris............................ 2,247 109,657
Canal Plus SA........................................ 483 83,289
Carrefour Supermarche SA............................. 900 477,175
Elf Aquitaine........................................ 5,127 590,559
*Euro Disney SCA..................................... 15,150 20,145
Financiere de Paribas SA Series A.................... 2,350 169,100
Generale des Eaux.................................... 2,786 367,157
Generale des Establissements Michelin SA Series B.... 509 27,470
Groupe Danone........................................ 2,346 375,536
Havas SA............................................. 974 62,959
L'Oreal.............................................. 1,540 586,419
LVMH (Louis Vuitton Moet Hennessy)................... 2,016 348,323
</TABLE>
39
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
LaFarge Coppee SA.................................... 1,887 $ 123,733
Lyonnais des Eaux SA................................. 2,754 297,629
Pechiney International............................... 1,600 31,060
Pernod-Ricard........................................ 1,260 63,795
Peugeot SA........................................... 950 108,622
Pinault Printemps Redoute SA......................... 200 102,007
#Rhone-Poulenc SA Series A........................... 3,765 166,583
#Saint-Gobain........................................ 1,984 266,169
Sanofi SA............................................ 2,414 240,848
Schneider SA......................................... 2,519 133,769
#Societe Generale Paris.............................. 1,782 232,731
Thomson-CSF.......................................... 2,324 66,333
Total SA............................................. 5,485 571,404
------------
TOTAL COMMON STOCKS
(Cost $4,943,005).................................... 7,304,317
------------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $3,137)......................... 3,150
------------
TOTAL -- FRANCE
(Cost $4,946,142).................................... 7,307,467
------------
SWITZERLAND -- (7.6%)
COMMON STOCKS -- (7.6%)
ABB AG, Baden........................................ 186 247,488
Credit Suisse Holding, Zuerich (Namen)............... 3,575 523,453
Financiere Richemont AG Units -A-.................... 106 117,845
Nestle SA, Cham et Vevey............................. 853 1,255,248
Novartis AG, Basel................................... 1,334 2,131,495
Roche Holding AG, Basel.............................. 79 1,202,435
SBG (Schweizerische Bankgesellschaft)................ 556 707,826
*SBV (Schweizerischer Bankverein) (Namen)............ 1,546 443,514
------------
TOTAL COMMON STOCKS
(Cost $2,441,930).................................... 6,629,304
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $396)............................ 421
------------
TOTAL -- SWITZERLAND
(Cost $2,442,326).................................... 6,629,725
------------
NETHERLANDS -- (5.8%)
COMMON STOCKS -- (5.8%)
ABN Amro Holding NV.................................. 5,959 113,607
Aegon NV............................................. 946 80,755
Heineken NV.......................................... 200 33,854
Ing Groep NV......................................... 20,727 842,446
Philips Electronics NV............................... 1,100 72,653
Polygram NV.......................................... 600 30,393
Royal Dutch Petroleum Co., Den Haag.................. 53,200 2,769,788
#Unilever NV......................................... 19,200 1,116,487
------------
TOTAL COMMON STOCKS
(Cost $2,301,212).................................... 5,059,983
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $308)..................... 311
------------
TOTAL -- NETHERLANDS
(Cost $2,301,520).................................... 5,060,294
------------
SHARES VALUE+
------------ ------------
ITALY -- (4.0%)
COMMON STOCKS -- (3.9%)
#Alleanza Assicurazioni SpA.......................... 12,375 $ 113,864
Alleanza Assicurazioni SpA (Risp).................... 113 550
Assicurazioni Generali SpA, Trieste.................. 18,452 413,770
#Banca Commerciale Italiana SpA...................... 34,000 97,196
*Banca di Roma....................................... 66,500 54,876
Banco Ambrosiano Veneto SpA.......................... 12,000 39,200
*Campart SpA......................................... 38,769 20,483
Credito Italiano..................................... 39,000 106,299
#Edison SpA.......................................... 10,000 54,078
#Fiat SpA............................................ 75,900 219,173
*HPI SpA (Holding di Partecipazioni Industriale)..... 18,000 9,812
ITALGAS SpA, Torino.................................. 11,000 42,554
#Ifil Finanziaria Partecipazioni SpA, Torino......... 8,000 29,559
#Istituto Bancario San Paolo Torino SpA.............. 18,500 152,342
Istituto Mobiliare Italiano IMI SpA.................. 13,500 140,816
Italcementi Fabbriche Riunite Cemento SpA, Bergamo... 1,500 9,574
La Fondiara Assicurazioni SpA........................ 4,200 19,614
Montedison SpA....................................... 73,260 60,200
Pirelli SpA.......................................... 20,000 50,288
RAS SpA (Riunione Adriatica di Sicurta).............. 7,465 69,464
RAS SpA (Riunione Adriatica di Sicurta) (Risp)....... 371 2,330
SAI SpA (Sta Assicuratrice Industriale SpA).......... 2,000 20,185
*SEAT SpA............................................ 86,000 34,041
Sirti SpA............................................ 4,000 24,004
Telecom Italia Mobile SpA............................ 134,740 542,297
Telecom Italia SpA, Torino........................... 176,965 1,103,439
------------
TOTAL COMMON STOCKS
(Cost $1,947,930).................................... 3,430,008
------------
RIGHTS/WARRANTS -- (0.1%)
*Banco Ambrosiano Veneto SpA Rights 01/02/98 (Cost
$17,235)........................................... 12,000 43,610
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $1,573).......................... 1,547
------------
TOTAL -- ITALY
(Cost $1,966,738).................................... 3,475,165
------------
SWEDEN -- (2.9%)
COMMON STOCKS -- (2.9%)
AGA AB Series A...................................... 2,900 38,311
AGA AB Series B...................................... 2,500 31,408
Asea AB Series A..................................... 13,000 165,005
Asea AB Series B..................................... 5,000 62,168
Astra AB Series A.................................... 29,866 516,400
Astra AB Series B.................................... 6,133 102,071
Sandvik AB Series A.................................. 3,200 96,568
Sandvik AB Series B.................................. 1,300 38,978
#Skandinaviska Enskilda Banken Series A.............. 10,300 122,064
</TABLE>
40
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Skanska AB........................................... 2,400 $ 98,848
Svenska Handelsbanken Series A....................... 4,200 148,233
Swedish Match AB (Frueher Svenska Taendsticks AB).... 8,800 29,634
Sydkraft AB Series C................................. 2,400 52,532
Telefon AB L.M. Ericsson Series A.................... 1,500 62,945
Telefon AB L.M. Ericsson Series B.................... 18,300 747,787
Volvo AB Series A.................................... 2,200 58,412
Volvo AB Series B.................................... 6,600 175,237
------------
TOTAL COMMON STOCKS
(Cost $1,712,053).................................... 2,546,601
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $43)............................ 43
------------
TOTAL -- SWEDEN
(Cost $1,712,096).................................... 2,546,644
------------
HONG KONG -- (2.9%)
COMMON STOCKS -- (2.9%)
Cathay Pacific Airways, Ltd.......................... 61,000 53,264
China Light & Power Co., Ltd......................... 35,500 179,101
Citic Pacific, Ltd................................... 24,000 95,624
Hang Seng Bank, Ltd.................................. 39,000 343,066
#Henderson Land Development Co., Ltd................. 18,000 88,949
Hong Kong Telecommunications, Ltd.................... 231,058 439,382
Hong Kong Electric Holdings, Ltd..................... 30,500 103,175
Hutchison Whampoa, Ltd............................... 73,000 486,334
New World Development Co. Ltd........................ 31,000 114,892
Sung Hungkai Properties, Ltd......................... 47,000 358,719
Swire Pacific, Ltd. Series A......................... 27,000 135,169
Wharf Holdings, Ltd.................................. 41,000 83,535
------------
TOTAL COMMON STOCKS
(Cost $2,605,712).................................... 2,481,210
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $13,899).................... 13,899
------------
TOTAL -- HONG KONG
(Cost $2,619,611).................................... 2,495,109
------------
AUSTRALIA -- (2.8%)
COMMON STOCKS -- (2.8%)
#Amcor, Ltd.......................................... 12,538 56,192
Australia & New Zealand Banking Group, Ltd........... 30,193 207,418
#Boral, Ltd.......................................... 23,456 59,383
Brambles Industries, Ltd............................. 3,950 75,696
#Broken Hill Proprietary Co., Ltd.................... 39,080 359,119
#CSR, Ltd............................................ 16,243 53,348
Coca-Cola Amatil, Ltd................................ 5,066 37,790
Coles Myer, Ltd...................................... 21,391 105,383
#Commonwealth Bank of Australia...................... 11,183 132,767
#Fosters Brewing Group, Ltd.......................... 34,148 63,320
MIM Holdings......................................... 48,835 35,420
National Australia Bank, Ltd......................... 36,187 479,611
News Corp., Ltd...................................... 19,556 104,639
Pacific Dunlop, Ltd.................................. 19,238 39,490
Rio Tinto, Ltd....................................... 12,510 137,813
#WMC, Ltd............................................ 30,062 96,368
SHARES VALUE+
------------ ------------
#Westpac Banking Corp................................ 49,144 $ 309,025
Woodside Petroleum, Ltd.............................. 6,666 47,887
------------
TOTAL COMMON STOCKS
(Cost $1,814,569).................................... 2,400,669
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $7,831)..................... 7,449
------------
TOTAL -- AUSTRALIA
(Cost $1,822,400).................................... 2,408,118
------------
SPAIN -- (2.6%)
COMMON STOCKS -- (2.6%)
Banco Popular Espanol SA, Madrid..................... 2,000 127,812
Banco Santander SA, Santander........................ 9,300 280,013
Bilbao Vizcaya SA, Bilbao............................ 12,800 387,541
#ENDESA SA, Madrid................................... 19,700 370,552
#Iberdrola SA........................................ 15,500 198,525
Repsol SA............................................ 5,600 241,462
SDG SA, Barcelona.................................... 2,800 138,005
Telefonica de Espana SA.............................. 17,800 515,648
------------
TOTAL COMMON STOCKS
(Cost $1,552,162).................................... 2,259,558
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $7,536)........................ 7,530
------------
TOTAL -- SPAIN
(Cost $1,559,698).................................... 2,267,088
------------
SINGAPORE -- (1.0%)
COMMON STOCKS -- (1.0%)
Cerebos Pacific, Ltd................................. 10,000 27,754
City Developments, Ltd............................... 26,000 128,161
*Creative Technology Co., Ltd........................ 3,000 83,452
Cycle & Carriage, Ltd................................ 7,000 29,670
Fraser & Neave, Ltd.................................. 10,000 49,920
Keppel Bank of Singapore, Ltd........................ 20,000 32,904
#Keppel Corp., Ltd................................... 25,000 84,771
Singapore Land, Ltd.................................. 11,000 32,326
#Singapore Telecommunications, Ltd................... 161,000 311,379
Straits Steamship Land, Ltd.......................... 22,000 34,812
Tat Lee Bank......................................... 18,000 27,466
Wing Tai Holdings, Ltd............................... 19,000 24,458
------------
TOTAL COMMON STOCKS
(Cost $908,313)...................................... 867,073
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $59)........................ 59
------------
TOTAL -- SINGAPORE
(Cost $908,372)...................................... 867,132
------------
BELGIUM -- (0.8%)
COMMON STOCKS -- (0.8%)
Banque Bruxelles Lambert............................. 200 51,058
Electrabel SA........................................ 700 156,581
Etablissement Delhaize Freres & Cie le Lion SA
Molenbeek-Saint-Jean............................... 700 35,394
Fortis AG............................................ 800 159,165
Generale de Banque SA................................ 200 82,715
</TABLE>
41
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
<S> <C> <C>
SHARES VALUE+
------------ ------------
Petrofina SA, Bruxelles.............................. 400 $ 154,438
Solvay SA............................................ 1,600 96,070
------------
TOTAL COMMON STOCKS
(Cost $696,563)...................................... 735,421
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $11)........................... 11
------------
TOTAL -- BELGIUM
(Cost $696,574)...................................... 735,432
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
8.50%, 11/15/00, valued at $3,747,388) to be
repurchased at $3,689,675 (Cost $3,688,000)........ $ 3,688 3,688,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $65,123,252)++..... $ 87,009,947
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++The cost for federal income tax purposes is $65,726,410.
</TABLE>
See accompanying Notes to Financial Statements.
42
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (23.5%)
COMMON STOCKS -- (23.2%)
ASK Corp., Yokohama................................... 13,000 $ 22,409
Aica Kogyo Co., Ltd................................... 75,000 282,664
Aichi Corp............................................ 126,500 426,210
Aichi Steel Works, Ltd................................ 261,000 613,516
Aida Engineering, Ltd................................. 84,000 355,416
Amada Metrecs Co., Ltd................................ 71,000 428,364
Amada Sonoike Co., Ltd................................ 133,000 347,024
*Amada Wasino Co., Ltd................................ 300,000 300,881
Ando Corp............................................. 306,000 491,518
*#Aoki Corp........................................... 361,000 84,858
#Arai-Gumi, Ltd....................................... 19,600 28,719
Araya Industrial Co., Ltd............................. 194,000 221,931
Asahi Kogyosha Co., Ltd............................... 114,000 321,567
Asanuma Corp.......................................... 311,000 392,329
*Asics Corp........................................... 384,000 361,058
Atsugi Nylon Industrial Co., Ltd...................... 352,000 598,503
Azel Corp., Tokyo..................................... 152,000 339,432
#Bank of Okinawa, Ltd................................. 36,700 632,635
*#Bank of Osaka, Ltd.................................. 223,000 279,569
#Bank of the Ryukyus, Ltd............................. 48,490 531,918
Bunka Shutter Co., Ltd................................ 246,000 676,560
*#Cabin Co., Ltd...................................... 164,000 199,177
Calpis Co., Ltd....................................... 71,000 241,998
Central Finance Co., Ltd.............................. 387,000 570,076
#Chiba Kogyo Bank, Ltd................................ 46,200 832,595
Chisan Tokan Co., Ltd................................. 165,000 155,142
*#Chiyoda Corp........................................ 191,000 323,260
Chuetsu Pulp and Paper Co., Ltd....................... 215,000 409,363
Chugoku Marine Paints, Ltd............................ 21,000 41,630
Chuo Spring Co., Ltd., Nagoya......................... 222,000 561,849
Cleanup Corp.......................................... 68,000 338,335
#Dai Nippon Construction.............................. 186,000 291,479
Dai-Dan Co., Ltd...................................... 42,000 299,142
Dai-Ichi Hotel, Ltd., Tokyo........................... 121,000 365,015
*#Dai-Ichi Katei Denki Co., Ltd....................... 225,000 137,512
Dai-Ichi Kogyo Seiyaku Co., Ltd....................... 9,000 21,226
*#Dai-Ichi Securities Co., Ltd........................ 200,000 159,843
Daido Hoxan, Inc...................................... 124,000 228,325
Daidoh, Ltd........................................... 135,000 630,441
*Daiei OMC, Inc....................................... 264,000 401,301
Daiho Corp............................................ 83,000 149,579
#Daiichi Cement Co., Ltd.............................. 77,000 108,599
#Daikyo, Inc.......................................... 176,000 201,340
*Daisue Construction Co., Ltd......................... 25,000 17,042
*#Daiwa Danchi Co., Ltd............................... 150,000 273,849
Daiwabo Co., Ltd...................................... 189,000 245,830
*Deodeo Corp.......................................... 57,600 500,968
#Descente, Ltd........................................ 189,000 404,286
*Dijet Industrial Co., Ltd............................ 10,000 15,593
Eagle Industry Co., Ltd............................... 35,000 95,984
First Baking Co., Ltd................................. 70,000 81,724
Fuji Denki Reiki Co., Ltd............................. 67,000 234,139
Fuji Kiko Co., Ltd.................................... 45,000 116,357
Fujirebio, Inc........................................ 144,000 451,322
#Fujita Corp.......................................... 491,000 184,666
Fukuda Corp........................................... 160,000 470,127
Fukushima Bank, Ltd................................... 32,000 52,654
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Gakken Co., Ltd...................................... 127,000 $ 260,717
Gastec Service, Inc................................... 98,000 399,295
*#Godo Steel, Ltd..................................... 206,000 242,116
Goldwin, Inc.......................................... 54,000 48,658
*#Graphtec Corp....................................... 99,000 255,984
Gun-Ei Chemical Industry Co., Ltd..................... 306,000 469,939
*Gunze Sangyo, Inc., Tokyo............................ 222,000 344,415
Hanshin Sogo Bank, Ltd................................ 198,000 229,610
Harima Chemicals, Inc................................. 83,000 422,723
*Haseko Corp.......................................... 390,000 244,466
Hazama Corp........................................... 305,000 181,626
#Heiwado Co., Ltd..................................... 73,000 543,389
Hibiya Engineering, Ltd............................... 53,000 240,862
Hisaka Works, Ltd..................................... 106,000 536,541
Hisamitsu Pharmaceutical Co., Inc..................... 58,000 384,925
Hitachi Koki Co., Ltd................................. 153,000 632,979
Hitachi Medical Corp.................................. 39,000 351,420
Hochiki Corp.......................................... 17,000 56,345
Hokkai Can Co., Ltd., Tokyo........................... 239,000 490,641
*#Hokkaido Bank, Ltd.................................. 477,000 467,189
Hokkaido Gas Co., Ltd................................. 8,000 18,617
Hokko Chemical Industry Co., Ltd...................... 12,000 28,866
Hokuriku Electrical Construction Co., Ltd............. 81,000 258,946
Hokushin Co., Ltd..................................... 32,600 89,403
Ichikawa Co., Ltd..................................... 117,000 212,686
Ichiken Co., Ltd...................................... 45,000 52,889
Idec Izumi Corp....................................... 130,000 611,166
Ikegami Tsushinki Co., Ltd............................ 129,000 425,536
#Inabata and Co., Ltd., Osaka......................... 178,000 739,197
Intec, Inc............................................ 21,000 162,735
*Inui Steamship Co., Ltd.............................. 32,000 32,345
Ishizuka Glass Co., Ltd............................... 119,000 233,105
Itochu Fuel Corp...................................... 140,000 390,519
Itoki Crebio Corp..................................... 127,000 333,359
Iwasaki Electric Co., Ltd............................. 21,000 35,871
Izumi Co., Ltd........................................ 82,000 479,310
#JDC Corp............................................. 128,000 47,138
#JGC Corp............................................. 226,000 529,473
JMS Co., Ltd.......................................... 135,000 401,959
Japan Oil Transportation Co., Ltd..................... 41,000 78,386
Japan Paperboard Industries Co., Ltd., Tokyo.......... 35,000 52,380
Japan Transcity Corp.................................. 79,000 187,557
Japan Vilene Co., Ltd................................. 202,000 501,736
Joban Kosan Co., Ltd.................................. 87,000 164,286
Joshin Denki Co., Ltd................................. 71,000 209,732
*#Jujiya Co., Ltd..................................... 265,000 249,167
Kahma Co., Ltd........................................ 41,000 225,520
#Kamei Corp........................................... 131,000 983,334
Kanaden Corp.......................................... 11,000 50,076
#Kanematsu Electronics, Ltd........................... 87,000 365,383
*#Kankaku Securities Co., Ltd......................... 645,000 454,848
#Kansei Corp.......................................... 179,000 1,061,728
Kanto Auto Works, Ltd., Yokosuka...................... 220,000 698,139
#Kanto Bank, Ltd...................................... 30,700 254,981
Kanto Natural Gas Development Co., Ltd................ 198,000 713,653
#Kasumi Co., Ltd...................................... 43,000 170,484
</TABLE>
43
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Kato Works Co., Ltd................................... 201,000 $ 346,484
Kawada Industries, Inc................................ 181,000 297,826
*Kawashima Textile Manufacturers, Ltd................. 306,000 455,553
Kawasho Corp.......................................... 452,000 644,576
Kawasho Gecoss Corp................................... 45,300 160,081
#Kinseki, Ltd......................................... 113,000 770,304
*Kinsho-Mataichi Corp................................. 51,000 60,341
*Kioritz Corp......................................... 237,000 345,403
Kita-Nippon Bank, Ltd................................. 9,814 447,541
Kitano Construction Corp.............................. 98,000 173,540
Kitz Corp............................................. 174,000 256,313
#Kiyo Bank, Ltd....................................... 375,000 719,882
Kokune Corp........................................... 99,000 87,655
Kokusai Kogyo Co., Ltd................................ 127,000 500,537
Komai Tekko, Inc...................................... 126,000 325,798
Komatsu Construction Co., Ltd......................... 16,000 17,551
Komatsu Forklift Co., Ltd............................. 96,000 225,661
Kosei Securities Co., Ltd............................. 118,000 216,353
Kurabo Industries, Ltd................................ 337,000 475,299
Kyokuto Kaihatsu Kogyo Co., Ltd....................... 39,000 156,458
Kyowa Leather Cloth Co., Ltd.......................... 75,000 381,978
Kyudenko Corp......................................... 107,000 566,754
#Kyushu Bank, Ltd..................................... 314,000 996,435
Life Corp............................................. 14,000 62,527
Maeda Road Construction Co., Ltd...................... 103,000 517,320
Magara Construction Co., Ltd.......................... 57,000 63,867
*Marudai Food Co., Ltd................................ 170,000 380,960
#Maruetsu, Inc........................................ 192,000 565,657
Marusan Securities Co., Ltd........................... 101,000 300,725
Maruzen Showa Unyu Co., Ltd........................... 126,000 303,091
Matsui Construction Co., Ltd.......................... 90,000 252,458
Matsuo Bridge Co., Ltd................................ 90,000 147,385
Meito Sangyo Co., Ltd................................. 90,000 818,022
#Mitsuba Corp......................................... 97,000 554,829
*Mitsubishi Steel Manufacturing Co., Ltd.............. 185,000 250,774
Mitsui Construction Co., Ltd.......................... 199,000 182,433
*Mitsui Mining Co., Ltd............................... 129,000 150,605
Mitsui Wood Systems, Inc.............................. 37,000 129,011
Mitsuuroko Co., Ltd................................... 174,000 613,516
Miyazaki Bank, Ltd.................................... 127,260 493,584
#Miyuki Keori Co., Ltd................................ 124,000 505,230
Mizuno Corp........................................... 176,000 639,875
Morita Corp........................................... 168,000 394,907
*Morozoff, Ltd., Osaka................................ 119,000 289,050
Mory Industries, Inc.................................. 56,000 108,819
*Mutoh Industries, Ltd................................ 147,000 162,405
*Mutow Co., Ltd....................................... 89,000 313,810
Nabco, Ltd............................................ 107,000 205,406
Naigai Co., Ltd....................................... 281,000 495,397
Nakamuraya Co., Ltd................................... 8,000 23,757
#Nakano Corp.......................................... 157,000 177,144
Nakayama Steel Works, Ltd............................. 151,000 261,477
*National Securities Co., Ltd......................... 124,000 102,989
Neturen Co., Ltd., Tokyo.............................. 146,000 457,591
*New Japan Securities Co., Ltd........................ 558,000 467,824
Nichia Steel Works, Ltd............................... 156,200 416,125
Nichimo Co., Ltd...................................... 127,000 205,986
Nichimo Corp.......................................... 209,000 212,889
Nihon Kohden Corp..................................... 164,000 587,252
Nihon Matai Co., Ltd.................................. 119,000 307,698
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Nihon Nohyaku Co., Ltd............................... 90,000 $ 218,609
Nihon Parkerizing Co., Ltd............................ 228,000 643,134
Nihon Tokushu Toryo Co., Ltd.......................... 79,000 154,750
Niigata Chuo Bank, Ltd................................ 321,000 741,978
Nikko Co., Ltd., Akashi............................... 123,000 311,295
Nippon Beet Sugar Manufacturing Co., Ltd.............. 191,000 342,715
Nippon Chemiphar Co., Ltd............................. 115,000 243,291
Nippon Concrete Industries Co., Ltd................... 23,000 41,810
Nippon Conlux Co., Ltd................................ 78,000 320,862
*Nippon Conveyor Co., Ltd............................. 52,000 68,043
Nippon Denko Co., Ltd................................. 137,000 170,680
Nippon Densetsu Kogyo Co., Ltd........................ 86,000 303,232
Nippon Hume Pipe Co., Ltd............................. 95,000 238,198
Nippon Koei Co., Ltd., Tokyo.......................... 121,000 273,050
Nippon Koshuha Steel Co., Ltd......................... 133,000 124,012
Nippon Metal Industry Co., Ltd........................ 210,000 294,535
#Nippon Paint Co., Ltd................................ 315,000 629,383
Nippon Road Co., Ltd.................................. 125,000 161,606
Nippon Seisen Co., Ltd................................ 35,000 82,272
Nippon Synthetic Chemical Industry Co., Ltd........... 133,000 239,687
Nippon Valqua Industries, Ltd......................... 294,000 495,279
*Nippon Yakin Kogyo Co., Ltd.......................... 237,000 209,841
Nissan Construction Co., Ltd.......................... 106,000 153,653
Nisshin Oil Mills, Ltd................................ 189,000 542,010
Nissin Electric Co., Ltd.............................. 134,000 293,986
Nittetsu Mining Co., Ltd.............................. 77,000 361,395
#Nitto Construction Co., Ltd.......................... 10,000 15,749
Nittoc Construction Co., Ltd.......................... 147,000 387,009
Noritz Corp........................................... 70,000 501,861
Obayashi Road Corp.................................... 152,000 270,355
Ohki Corp............................................. 168,000 250,108
Okabe Co., Ltd........................................ 98,000 464,564
*Okasan Securities Co., Ltd........................... 247,000 305,786
Oki Electric Cable Co., Ltd........................... 10,000 17,238
Okura Industrial Co., Ltd............................. 240,000 517,140
*Ono Sokki Co., Ltd................................... 9,000 38,080
Optec Dai-Ichi Denko Co., Ltd......................... 157,000 182,065
Pacific Industrial Co., Ltd........................... 187,000 537,739
Parco Co., Ltd........................................ 77,000 355,361
#Pokka Corp........................................... 110,000 448,188
*Prima Meat Packers, Ltd.............................. 93,000 95,459
Renown Look, Inc...................................... 114,000 138,452
*Renown, Inc.......................................... 357,000 268,537
Rheon Automatic Machinery Co., Ltd.................... 93,000 313,340
Rhythm Watch Co., Ltd................................. 120,000 197,453
Ryoden Trading Co., Ltd............................... 170,000 620,725
S.T. Chemical Co., Ltd................................ 115,000 459,549
SXL Corp.............................................. 108,000 294,488
Sagami Co., Ltd....................................... 141,000 387,785
Sakai Chemical Industry Co., Ltd...................... 202,000 580,874
Sakai Heavy Industries, Ltd........................... 43,000 107,142
Sakurada Co., Ltd..................................... 36,000 46,825
San-Ai Oil Co., Ltd................................... 100,000 220,176
Sankei Building Co., Ltd.............................. 18,000 56,697
Sanko Metal Industrial Co., Ltd., Tokyo............... 49,000 61,430
Sankyo Aluminum Industry Co., Ltd..................... 328,000 375,224
Sankyo Seiko Co., Ltd................................. 75,000 161,606
Sanyo Industries, Ltd., Tokyo......................... 121,000 327,091
Sanyo Special Steel Co., Ltd.......................... 248,000 310,911
</TABLE>
44
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sata Construction Co., Ltd., Gumma.................... 134,000 $ 215,240
Sato Shoji Corp....................................... 49,000 215,005
*Seikitokyu Kogyo Co., Ltd............................ 211,000 163,675
Seiren Co., Ltd....................................... 204,000 359,647
Sekisui Plastics Co., Ltd............................. 296,000 510,245
Senko Co., Ltd........................................ 150,000 319,687
Senshukai Co., Ltd.................................... 88,000 369,583
*#Settsu Corp......................................... 308,000 260,639
Shibuya Kogyo Co., Ltd................................ 61,000 506,641
#Shin Nippon Air Technologies Co., Ltd................ 89,320 405,920
Shinagawa Fuel Co., Ltd............................... 86,000 336,925
Shinko Shoji Co., Ltd................................. 80,000 505,230
Shinmaywa Industries, Ltd............................. 154,000 504,384
*#Shokusan Jutaku Sogo Co., Ltd....................... 116,000 46,355
#Sintokogio, Ltd., Nagoya............................. 205,000 777,434
Soda Nikka Co., Ltd................................... 82,000 163,839
Sokkisha Co., Ltd..................................... 35,000 100,098
Sotetsu Rosen Co., Ltd................................ 5,000 22,919
Star Micronics Co., Ltd............................... 74,000 236,568
*#Sumitomo Corporation's Leasing, Ltd................. 85,000 199,804
#Sumitomo Precision Products Co., Ltd., Amagasaki
City................................................ 16,000 62,684
Sun Wave Corp......................................... 62,000 309,453
SunTelephone Co., Ltd................................. 157,000 541,273
*#Suzutan Co., Ltd.................................... 156,000 157,681
Taihei Dengyo Kaisha, Ltd............................. 58,000 193,144
Taihei Kogyo Co., Ltd................................. 101,000 142,449
*#Taiheiyo Securities Co., Ltd........................ 392,000 172,004
*Taisei Prefab Construction Co., Ltd.................. 265,000 253,320
Taisei Rotec Corp..................................... 220,000 389,579
Taiyo Toyo Sanso Co., Ltd............................. 69,000 130,296
*Taka-Q Co., Ltd...................................... 196,000 136,682
#Takada Kiko Co., Ltd................................. 73,000 240,235
Takara Co., Ltd....................................... 97,000 273,614
Takiron Co., Ltd...................................... 301,000 754,711
Tamura Corp........................................... 73,000 284,850
#Tasaki Shinju Co., Ltd............................... 130,000 427,816
*#Tayca Corp.......................................... 169,000 178,766
Teikoku Hormone Manufacturing Co., Ltd................ 76,000 458,531
Teikoku Tsushin Kogyo Co., Ltd........................ 63,000 153,026
Tekken Corp........................................... 204,000 300,505
Tenma Corp............................................ 32,000 371,087
*Tetra Co., Ltd., Tokyo............................... 31,000 54,166
*Titan Kogyo K.K...................................... 86,000 181,939
Toa Doro Kogyo Co., Ltd............................... 76,000 104,212
*Toa Steel Co., Ltd................................... 261,000 157,469
*Toa Wool Spinning & Weaving Co., Ltd................. 185,000 244,976
Tobu Store Co., Ltd................................... 168,000 344,885
Tochigi Bank, Ltd..................................... 86,000 475,738
Tochigi Fuji Industrial Co., Ltd...................... 125,000 323,213
Toda Kogyo Corp....................................... 156,000 552,494
Toenec Corp........................................... 124,000 514,946
Tohto Suisan Co., Ltd................................. 135,000 215,788
Tokai Maruman Securities Co., Ltd..................... 100,000 144,172
*Tokai Senko K.K., Nagoya............................. 118,000 124,819
#Tokico, Ltd.......................................... 160,000 322,194
Tokimec, Inc.......................................... 107,000 184,447
Tokushu Paper Manufacturing Co., Ltd.................. 42,000 296,509
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Tokuyo City Bank, Ltd............................... 275,000 $ 4,309
Tokyo Denki Komusho Co., Ltd.......................... 128,000 451,322
*Tokyo Nissan Auto Sales Co., Ltd..................... 34,000 97,504
*Tokyo Securities Co., Ltd............................ 271,000 227,205
*Tokyo Tekko Co., Ltd................................. 170,000 161,175
Tokyu Car Corp........................................ 154,000 199,099
#Tokyu Construction Co., Ltd.......................... 223,000 178,225
*Tokyu Tourist Corp................................... 54,000 80,392
Tomoe Corp............................................ 50,000 86,190
Tonami Transportation Co., Ltd........................ 126,000 246,817
Topcon Corp........................................... 129,000 434,633
Topre Corp............................................ 184,000 726,629
Torishima Pump Manufacturing Co., Ltd., Osaka......... 93,000 516,646
Toshiba Engineering & Construction Co., Ltd........... 94,000 244,529
*Toshoku, Ltd......................................... 195,000 132,928
Tostem Viva Corp...................................... 87,000 211,322
Totenko Co., Ltd...................................... 83,000 234,123
Totetsu Kogyo Co., Ltd................................ 117,000 220,020
Totoku Electric Co., Ltd., Tokyo...................... 57,000 129,520
Toyo Construction Co., Ltd............................ 266,000 177,160
*Toyo Electric Co., Ltd............................... 14,000 16,454
Toyo Engineering Corp................................. 226,000 288,643
Toyo Kanetsu K.K...................................... 182,000 131,197
Toyo Radiator Co., Ltd................................ 93,000 163,957
*Toyo Securities Co., Ltd............................. 267,000 292,889
Toyo Shutter Co., Ltd................................. 66,000 179,965
#Toyoda Boshoku Corp.................................. 71,000 134,629
Tsubaki Nakashima Co., Ltd............................ 28,000 160,157
#Tsudakoma Corp....................................... 237,000 557,101
*Tsugami Corp......................................... 282,000 408,776
Tsurumi Manufacturing Co., Ltd........................ 7,000 39,491
Tsutsumi Jewelry Co., Ltd............................. 25,000 309,500
Tsutsunaka Plastic Industry Co., Ltd.................. 61,000 195,965
Uchida Yoko Co., Ltd.................................. 202,000 462,167
Ueki Corp............................................. 113,000 177,081
Wakachiku Construction Co., Ltd....................... 167,000 171,416
#Yahagi Construction Co., Ltd......................... 130,000 509,305
Yamamura Glass Co., Ltd............................... 227,000 430,433
Yamatane Corp......................................... 105,000 180,999
*#Yamatane Securities Co., Ltd........................ 83,000 57,881
Yamato International, Inc............................. 72,000 99,855
Yokogawa Bridge Corp.................................. 66,000 227,542
Yokohama Reito Co., Ltd............................... 8,000 64,564
Yomeishu Seizo Co., Ltd............................... 9,000 47,882
Yondenko Corp......................................... 139,650 547,111
Yurtec Corp........................................... 80,000 463,859
------------
TOTAL COMMON STOCKS
(Cost $213,025,224).................................. 101,054,308
------------
INVESTMENT IN CURRENCY -- (0.3%)
*Japanese Yen (Cost $1,346,714)....................... 1,341,445
------------
TOTAL -- JAPAN
(Cost $214,371,938).................................. 102,395,753
------------
UNITED KINGDOM -- (17.7%)
COMMON STOCKS -- (17.5%)
600 Group P.L.C....................................... 144,000 291,135
ABI Leisure Group P.L.C............................... 65,000 34,497
ASDA Property Holdings P.L.C.......................... 111,000 315,118
*ASW Holdings P.L.C................................... 404,000 262,055
</TABLE>
45
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Abbeycrest P.L.C...................................... 70,000 $ 137,396
Acatos & Hutcheson P.L.C.............................. 60,404 291,060
Adam & Harvey Group P.L.C............................. 8,000 45,490
Adscene Group P.L.C................................... 60,000 138,997
Adwest Group P.L.C.................................... 150,000 379,082
Airflow Streamlines P.L.C............................. 19,305 52,040
Alexanders Holdings P.L.C............................. 71,000 11,962
Alexandra Workwear P.L.C.............................. 46,000 94,164
Allders P.L.C......................................... 131,842 495,347
Allied London Properties P.L.C........................ 183,000 271,322
Allied Textile Companies P.L.C........................ 102,000 223,406
Amec P.L.C............................................ 119,571 256,854
Anglo Eastern Plantations P.L.C....................... 57,195 85,281
*Anite Group P.L.C.................................... 800,000 552,618
Apollo Metals P.L.C................................... 20,000 35,886
Appleyard Group P.L.C................................. 139,000 183,838
Arcadian International P.L.C.......................... 106,666 107,827
Arlen P.L.C........................................... 100,000 53,493
Ascot Holdings P.L.C.................................. 52,000 220,339
Associated Nursing Services P.L.C..................... 85,000 193,332
Austin Reed Group P.L.C............................... 55,000 180,696
Avesco P.L.C.......................................... 30,857 194,176
Avon Rubber P.L.C..................................... 27,766 292,378
Avonside Group P.L.C.................................. 75,000 48,649
BLP Group P.L.C....................................... 35,000 90,811
BSG International P.L.C............................... 552,500 1,149,609
BSM Group P.L.C....................................... 50,000 160,478
Babcock International Group P.L.C..................... 300,000 389,191
Baggeridge Brick P.L.C................................ 72,000 110,995
Baird (William) P.L.C................................. 236,500 862,661
Baldwin P.L.C......................................... 30,000 58,126
Bandt P.L.C........................................... 326,334 162,194
Banks (Sidney C.) P.L.C............................... 37,000 181,715
Barcom P.L.C.......................................... 70,000 59,558
Bardon Group P.L.C.................................... 1,822,114 1,565,657
Barr & Wallace Arnold Trust P.L.C..................... 40,000 111,871
Barr (A.G.) P.L.C..................................... 7,500 50,418
Beales Hunter P.L.C................................... 6,000 6,217
Bellway P.L.C......................................... 50,000 292,736
*Bellwinch P.L.C...................................... 240,000 78,849
Bentalls P.L.C........................................ 102,000 250,043
Betacom P.L.C......................................... 86,077 51,483
Bett Brothers P.L.C................................... 14,000 37,976
Bilton P.L.C.......................................... 205,000 901,458
Birkby P.L.C.......................................... 63,000 160,807
Birse Group P.L.C..................................... 435,278 165,006
Black Arrow Group P.L.C............................... 35,000 59,263
Blagden Industries P.L.C.............................. 168,000 427,403
Blockleys P.L.C....................................... 45,000 32,222
Boot (Henry) & Sons P.L.C............................. 50,000 245,140
Bourne End Properties P.L.C........................... 245,042 212,617
Brasway P.L.C......................................... 103,883 36,317
Breedon P.L.C......................................... 16,000 27,361
Bridport-Gundry P.L.C................................. 17,500 35,823
Bristol United Press P.L.C............................ 61,511 435,264
Britannia Group P.L.C................................. 90,000 47,764
British Dredging P.L.C................................ 42,000 98,005
British Fittings Group P.L.C.......................... 76,000 121,643
British Mohair Holdings P.L.C......................... 10,000 16,848
*Brown & Jackson P.L.C................................ 600,000 328,538
Brunel Holdings P.L.C................................. 200,000 52,229
Bruntcliffe Aggregates P.L.C.......................... 76,000 39,054
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Bryant Group P.L.C.................................... 160,999 $ 310,584
Budgens P.L.C......................................... 223,000 203,824
Bullough P.L.C........................................ 235,000 449,381
Burn Stewart Distillers P.L.C......................... 65,000 52,566
Burndene Investments P.L.C............................ 113,903 54,693
Burtonwood Brewery P.L.C.............................. 29,580 76,001
CLS Holdings P.L.C.................................... 247,000 549,315
CNC Properties P.L.C.................................. 24,800 31,129
Cala P.L.C............................................ 175,000 305,161
Calderburn P.L.C...................................... 150,000 120,043
Cape P.L.C............................................ 225,000 437,840
Capital & Regional Properties P.L.C................... 102,400 454,602
Carclo Engineering Group P.L.C........................ 100,000 364,761
*Carlisle Group P.L.C................................. 465,000 68,551
Carr's Milling Industries P.L.C....................... 11,000 51,892
*Cathay International P.L.C........................... 920,000 197,628
Charles Sidney P.L.C.................................. 109,000 153,343
Chesterfield Properties P.L.C......................... 27,000 270,210
Chime Communications P.L.C............................ 100,000 80,450
Chloride Group P.L.C.................................. 316,000 211,629
Church & Co. P.L.C.................................... 24,000 163,764
Clarkson (Horace) P.L.C............................... 59,305 107,412
Clinton Cards P.L.C................................... 93,000 159,038
*Clubhaus P.L.C....................................... 24,267 32,913
Colefax & Fowler Group P.L.C.......................... 96,000 167,403
Community Hospitals Group P.L.C....................... 67,000 440,805
Concentric P.L.C...................................... 150,000 309,584
Conrad Ritblat Group P.L.C............................ 43,344 207,030
Cook (D.C.) Holdings, Ltd............................. 200,000 144,894
Cornwell Parker P.L.C................................. 13,333 37,627
Cosalt P.L.C.......................................... 20,000 79,018
*Costain Group P.L.C.................................. 73,000 26,443
Countryside Property P.L.C............................ 129,660 203,161
Courtaulds Textiles P.L.C............................. 152,150 907,457
Courts P.L.C.......................................... 125,000 974,031
Cradley Group Holdings P.L.C.......................... 38,466 24,951
*Creative Publishing P.L.C............................ 30,000 69,246
*Creighton Naturally P.L.C............................ 100,000 33,696
Crest Nicholson P.L.C................................. 310,000 561,463
Crest Packaging P.L.C................................. 75,000 84,030
Crestacare P.L.C...................................... 427,000 203,234
Cropper (James) P.L.C................................. 14,000 60,502
Cussins Property Group P.L.C.......................... 25,000 40,646
*DRS Data Research Services P.L.C..................... 51,000 20,192
Daejan Holdings P.L.C................................. 27,000 718,740
Dagenham Motors Group P.L.C........................... 41,000 68,386
Dawson Group P.L.C.................................... 68,000 240,591
Dawson International P.L.C............................ 606,389 710,047
Debenham Tewson & Chinnocks Holdings P.L.C............ 42,423 60,396
Delyn Group P.L.C..................................... 18,000 28,810
Dencora P.L.C......................................... 20,000 68,235
Derwent Valley Holdings P.L.C......................... 86,000 818,649
Development Securities P.L.C.......................... 70,000 333,171
Dolphin Packaging P.L.C............................... 21,000 90,222
Domino Printing Sciences P.L.C........................ 88,000 573,038
Dwyer Estates P.L.C................................... 50,000 58,126
EIS Group P.L.C....................................... 192,400 1,000,026
*Eleco Holdings P.L.C................................. 68,900 20,315
Electronic Data Processing P.L.C...................... 25,000 23,377
Emess P.L.C........................................... 200,000 75,816
*English & Overseas Properties P.L.C.................. 100,000 28,642
</TABLE>
46
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Etam P.L.C............................................ 95,000 $ 213,676
Eurodollar (Holdings) P.L.C........................... 63,000 199,549
European Motor Holdings P.L.C......................... 250,000 395,930
Evans Halshaw Holdings P.L.C.......................... 60,000 293,157
Evans of Leeds P.L.C.................................. 210,000 534,253
Ewart P.L.C........................................... 10,000 11,794
Exco P.L.C............................................ 200,000 124,676
*Eyecare Products P.L.C............................... 88,988 17,617
FII Group P.L.C....................................... 80,000 120,969
Faber Prest P.L.C..................................... 24,000 138,491
Fenner P.L.C.......................................... 175,000 555,777
Fine Art Developments P.L.C........................... 30,000 77,586
Finlay (James) P.L.C.................................. 180,000 344,207
Firth Rixson P.L.C.................................... 220,511 396,597
Five Oaks Investments P.L.C........................... 168,000 89,160
French P.L.C.......................................... 17,000 14,321
Friendly Hotels P.L.C................................. 35,538 74,245
Frogmore Estates P.L.C................................ 93,039 751,631
Frost Group P.L.C..................................... 196,000 328,572
GBE International P.L.C............................... 309,427 62,559
GEI International P.L.C............................... 150,000 257,776
Galliford P.L.C....................................... 160,000 52,566
Gerrard Group P.L.C................................... 75,010 393,666
Gleeson (M.J.) Group P.L.C............................ 14,300 248,758
Grainger Trust, Ltd................................... 42,000 222,900
*Greene King P.L.C.................................... 47,000 516,293
*Greenwich Resources P.L.C............................ 156,000 42,053
Greycoat P.L.C........................................ 232,000 805,204
Hall Engineering (Holdings) P.L.C..................... 81,000 242,916
Hamlet Group P.L.C.................................... 42,000 15,921
Hampden Group P.L.C................................... 25,000 39,804
Hampson Industries P.L.C.............................. 95,295 118,007
*Hampton Trust P.L.C.................................. 200,475 89,507
Hardy Oil & Gas P.L.C................................. 169,000 798,676
Hardys & Hansons P.L.C................................ 72,500 262,620
Harris (Philip) P.L.C................................. 35,000 168,060
Hartstone Group P.L.C................................. 1,182,431 139,452
Hazlewood Foods P.L.C................................. 395,500 1,036,162
Healthcall Group P.L.C................................ 72,000 80,669
*Helene P.L.C......................................... 282,000 33,258
Helical Bar P.L.C..................................... 23,000 213,322
Hemingway Properties P.L.C............................ 300,000 241,349
Hi-Tech Sports P.L.C.................................. 61,000 42,137
*Hickson International P.L.C.......................... 741,000 742,824
Hill & Smith Holdings P.L.C........................... 56,639 54,870
*Hollas Group P.L.C................................... 100,000 4,212
Holt (Joseph) P.L.C................................... 5,878 215,397
Hopkinsons Group P.L.C................................ 312,000 165,583
*Horace Small Apparel P.L.C........................... 48,000 61,866
How Group P.L.C....................................... 66,000 76,170
Howard Holdings P.L.C................................. 100,000 30,327
Hunters Armley Group P.L.C............................ 59,394 86,559
Hunting P.L.C......................................... 155,000 540,571
*Huntingdon Life Sciences Group P.L.C................. 107,000 90,137
IAF Group P.L.C....................................... 66,500 102,517
Ibstock P.L.C......................................... 1,583,000 1,413,539
*Iceland Group P.L.C.................................. 569,000 1,203,114
Independent Insurance Group P.L.C..................... 66,500 1,145,608
Inn Business Group.................................... 150,000 147,842
Inveresk P.L.C........................................ 20,000 26,452
JLI Group P.L.C....................................... 114,000 113,320
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Jacobs (John I.) P.L.C................................ 117,419 $ 179,035
Jeyes Group P.L.C..................................... 39,000 83,777
Johnson Group Cleaners P.L.C.......................... 37,000 131,845
Johnston Group P.L.C.................................. 14,000 82,556
Jones & Shipman P.L.C................................. 35,000 19,754
Joseph (Leopold) Holdings P.L.C....................... 9,000 95,529
Kalamazoo Computer Group P.L.C........................ 12,200 14,286
Kelsey Industries P.L.C............................... 3,000 20,976
Kenwood Appliances P.L.C.............................. 100,000 196,280
Kunick P.L.C.......................................... 799,000 296,156
Laing (John) P.L.C.................................... 71,897 413,668
Lambert Fenchurch P.L.C............................... 72,220 136,887
Lambert Howarth Group P.L.C........................... 15,073 52,060
Leeds Group P.L.C..................................... 107,000 201,006
Liberty P.L.C......................................... 4,900 29,307
Lilleshall P.L.C...................................... 29,000 37,378
Linton Park P.L.C..................................... 30,500 196,297
Locker (Thomas) Holdings P.L.C........................ 300,000 199,650
London Industrial P.L.C............................... 30,000 195,354
London Merchant Securities P.L.C...................... 305,222 586,235
Lookers P.L.C......................................... 43,000 79,329
*Lovell (Y.J.) Holdings P.L.C......................... 29,000 5,375
MS International P.L.C................................ 49,000 16,098
*Mackie International Group P.L.C..................... 33,250 12,605
Mallett P.L.C......................................... 25,000 44,016
Manders P.L.C......................................... 54,485 137,236
Mansfield Brewery P.L.C............................... 151,000 756,859
Marshalls P.L.C....................................... 198,001 465,364
Marston Thompson & Evershed P.L.C..................... 142,000 648,349
Martin International Holdings P.L.C................... 162,000 95,529
Marylebone Warwick Balfour Group P.L.C................ 36,400 60,101
Matthews (Bernard) P.L.C.............................. 195,000 310,468
Maunders (John) Group P.L.C........................... 52,000 158,574
McAlpine (Alfred) P.L.C............................... 101,000 217,812
McCarthy & Stone P.L.C................................ 155,000 329,043
McKay Securities P.L.C................................ 36,000 74,603
Mentmore Abbey P.L.C.................................. 31,200 23,655
Merchant Retail Group P.L.C........................... 153,000 82,488
Meristem P.L.C........................................ 66,000 52,819
Merrydown P.L.C....................................... 55,000 46,332
*Micro Focus Group P.L.C.............................. 19,500 652,969
Mid-States P.L.C...................................... 50,000 17,269
Moorfield Estates P.L.C............................... 220,000 98,224
Morland & Co. P.L.C................................... 73,800 612,369
Mowlem (John) & Co. P.L.C............................. 409,037 658,138
Mucklow (A & J) Group P.L.C........................... 133,000 355,166
Neepsend P.L.C........................................ 43,000 28,617
Nightfreight P.L.C.................................... 75,000 34,749
Norcor Holdings P.L.C................................. 20,000 29,147
Norcros P.L.C......................................... 262,000 337,686
OMI International P.L.C............................... 99,000 28,355
*Oliver Group P.L.C................................... 43,000 20,647
Olives Property P.L.C................................. 125,000 58,968
Owen (H.R.) P.L.C..................................... 250,000 53,703
PGA European Tour Courses P.L.C....................... 80,000 47,175
Panther Securities P.L.C.............................. 40,000 94,012
Parkland Group P.L.C.................................. 60,000 165,785
Partridge Fine Arts P.L.C............................. 33,000 45,313
Paterson Zochonis P.L.C............................... 35,000 258,871
Peel Holdings P.L.C................................... 74,000 769,874
</TABLE>
47
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Perry Group P.L.C..................................... 59,000 $ 179,424
Persimmon P.L.C....................................... 15,000 54,082
Photo-Me International P.L.C.......................... 94,000 175,793
Pifco Holdings P.L.C.................................. 10,000 34,370
Pillar Property Investments P.L.C..................... 60,428 286,594
Pittards P.L.C........................................ 39,000 45,667
*Pittencrieff Resources P.L.C......................... 204,394 216,950
Plantation & General Investment P.L.C................. 24,000 36,594
Plysu P.L.C........................................... 100,000 268,727
Premier Consolidated Oilfields P.L.C.................. 1,639,916 1,505,806
Property Partnerships P.L.C........................... 10,000 44,058
Prowting P.L.C........................................ 101,261 201,315
*QS Holdings P.L.C.................................... 102,000 51,555
*Quadrant Group P.L.C................................. 5,900 4,970
*Quality Software Products Holdings P.L.C............. 11,000 43,552
Quick Group P.L.C..................................... 71,732 148,047
*Quicks Group P.L.C. Issue 97......................... 39,126 78,033
Quintain Estates & Development P.L.C.................. 39,107 103,773
RCO Holdings P.L.C.................................... 20,000 57,284
Raglan Property P.L.C................................. 313,895 137,502
*Raine P.L.C.......................................... 838,000 261,196
Ransom (William) & Son P.L.C.......................... 75,000 80,239
Rea Brothers Group P.L.C.............................. 67,906 62,925
Rea Holdings P.L.C.................................... 39,959 195,238
Readicut International P.L.C.......................... 305,810 215,109
Record Holdings P.L.C................................. 69,000 63,357
Regal Hotel Group P.L.C............................... 400,000 299,896
Ricardo Group P.L.C................................... 95,000 236,884
Richards P.L.C........................................ 62,000 36,560
Richardsons Westgarth P.L.C........................... 24,000 34,977
*Ropner P.L.C......................................... 21,000 51,302
Rowe Evans Investments P.L.C.......................... 66,400 101,244
Royal Doulton P.L.C................................... 78,000 285,171
Ruberoid P.L.C........................................ 150,000 218,604
Rugby Estates P.L.C................................... 16,000 42,727
Russell (Alexander) P.L.C............................. 40,000 57,621
SEP Industrial Holdings P.L.C......................... 370,000 174,546
Safeland P.L.C........................................ 100,000 68,235
Salvesen (Christian) P.L.C............................ 32,000 50,140
Saville (J.) Gordon Group P.L.C....................... 275,000 275,677
Savills P.L.C......................................... 66,000 121,205
Scholl P.L.C.......................................... 20,000 92,328
Scottish Metropolitan Property P.L.C.................. 380,400 621,675
*Seafield Resources P.L.C............................. 70,000 83,145
Shaftesbury P.L.C..................................... 150,000 507,970
Shani Group P.L.C..................................... 30,000 26,788
Sharpe & Fisher P.L.C................................. 14,531 55,452
Sherwood Group P.L.C.................................. 202,000 98,696
*ShopRite Group P.L.C................................. 146,000 49,811
Sidlaw Group P.L.C.................................... 88,000 140,109
*Signet Group P.L.C................................... 438,700 223,586
Silentnight Holdings P.L.C............................ 30,000 142,788
*Simon Engineering P.L.C.............................. 175,847 118,508
Sinclair (William) Holdings P.L.C..................... 40,000 146,578
Sirdar P.L.C.......................................... 95,000 81,629
Sketchley P.L.C....................................... 84,000 65,809
Smart (J.) & Co. (Contractors) P.L.C.................. 5,000 21,271
Smith (James) Estates P.L.C........................... 95,000 221,679
Specialty Shops P.L.C................................. 18,000 45,945
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Spring Ram Corp. P.L.C............................... 846,888 $ 178,356
St. James Beach Hotels P.L.C.......................... 29,894 100,480
St. Modwen Properties P.L.C........................... 166,000 199,970
Stanley Leisure Organisation P.L.C.................... 152,932 646,730
Stoddard Sekers International P.L.C................... 98,000 23,528
Stratagem Group P.L.C................................. 47,000 50,283
Sunleigh P.L.C........................................ 2,000,000 33,696
Swan Hill Group P.L.C................................. 87,000 129,722
*Tadpole Technology P.L.C............................. 24,000 3,336
*Tandem Group P.L.C................................... 472,000 41,750
Tay Homes P.L.C....................................... 92,000 208,478
Telemetrix P.L.C...................................... 126,000 124,187
Tibbett & Britten Group P.L.C......................... 3,692 34,118
Tomkinsons P.L.C...................................... 10,000 26,367
Tops Estates P.L.C.................................... 63,315 196,280
Town Centre Securities P.L.C.......................... 240,000 432,659
Trafford Park Estates P.L.C........................... 102,721 259,598
Transport Development Group P.L.C..................... 460,100 1,499,975
*Tring International Group P.L.C...................... 60,000 5,560
Tunstall Group P.L.C.................................. 120,000 206,221
Ugland International Holdings P.L.C................... 146,666 200,155
*Union P.L.C.......................................... 50,000 68,656
United Industries P.L.C............................... 58,000 52,280
Vardon P.L.C.......................................... 110,000 222,395
Vaux Group P.L.C...................................... 45,766 196,623
*Vert (Jacques) P.L.C................................. 45,000 16,301
Vibroplant P.L.C...................................... 185,000 193,248
*Viglen Technology P.L.C.............................. 196,000 239,412
*Villiers Group P.L.C................................. 167,000 20,399
Wainhomes P.L.C....................................... 86,000 173,872
Ward Holdings P.L.C................................... 145,000 128,256
Warner Estate Holdings P.L.C.......................... 99,000 372,790
Warnford Investments P.L.C............................ 12,000 52,566
*Wates City of London Properties P.L.C................ 281,099 528,062
Watts, Blake, Bearne & Co. P.L.C...................... 53,000 398,255
Wembley P.L.C......................................... 11,000 51,892
Westbury P.L.C........................................ 127,050 513,732
Westminster Health Care Holdings P.L.C................ 37,500 217,656
Wilson (Connolly) Holdings P.L.C...................... 238,400 672,778
Wilson Bowden P.L.C................................... 7,700 67,784
Wintrust P.L.C........................................ 24,000 144,557
Wyevale Garden Centres P.L.C.......................... 50,000 230,398
Yorklyde P.L.C........................................ 14,000 33,022
*Yorkshire Food Group P.L.C........................... 70,000 10,025
Yorkshire Group P.L.C................................. 107,500 392,118
Young & Co's Brewery P.L.C. Class A................... 5,000 55,809
Young (H.) Holdings P.L.C............................. 38,666 96,740
------------
TOTAL COMMON STOCKS
(Cost $66,317,222)................................... 76,260,788
------------
FACE
AMOUNT@
------------
(000)
BONDS -- (0.2%)
*Viglen Technology P.L.C. 6.375%, 09/01/00 (Cost
$424,373)........................................... 319 877,369
------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $49,622)*..................................... 55,683
------------
</TABLE>
48
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
PREFERRED STOCKS -- (0.0%)
Rea Holdings P.L.C. 9% Cumulative (Cost $1,753)....... 1,790 $ 3,016
------------
RIGHTS/WARRANTS -- (0.0%)
*Viglen Technology P.L.C. Entitlement Letters (Cost
$0)................................................. 196,000 0
------------
TOTAL -- UNITED KINGDOM
(Cost $66,792,970)................................... 77,196,856
------------
FRANCE -- (8.2%)
COMMON STOCKS -- (8.1%)
Agricole de la Crau................................... 200 19,344
Airfeu SA............................................. 3,141 94,706
Alain Manoukian SA.................................... 8,198 270,791
*Arbel SA............................................. 1,583 13,407
Bail-Investissement (Societe Immobiliere pour le
Commerce & l'Industrie)............................. 100 13,873
Bains de Mer et du Cercle des Etrangers a Monaco...... 6,329 569,273
Banque de la Reunion.................................. 504 29,881
Bazar de l'Hotel de Ville SA.......................... 9,361 843,578
Bongrain SA........................................... 190 79,495
Burelle SA............................................ 10,986 543,392
*CEE (Continentale d'Equipements Electriques)......... 2,215 25,889
Caisse Regionale de Credit Agricole Mutuel de la
Brie................................................ 5,680 327,129
*Cascades SA.......................................... 8,281 33,665
*Cofigeo (Cie Financiere Geo)......................... 205 27,086
*Compagnie Financiere pour l'Immobilier d'Enterprise
Fidei............................................... 23,759 132,006
Conflandey SA......................................... 1,939 96,269
Continentale d'Entreprises SA......................... 19,198 682,915
*DMC (Dollfus Mieg et Cie)............................ 38,146 648,099
*Desquenne et Giral SA................................ 4,761 64,558
Devanlay SA........................................... 6,472 652,299
Dietrich et Cie....................................... 38,762 1,831,899
Fimalac SA............................................ 10,590 835,936
Fonderies Franco Belge................................ 913 77,327
*Francaise des Ferrailles............................. 4,855 359,387
Frankoparis SA........................................ 31,700 398,432
Galeries Lafayette SA................................. 4,985 2,165,926
Gantois Series A...................................... 465 71,757
Gascogne SA........................................... 10,334 822,730
Gautier France SA..................................... 2,227 94,648
*Gel 2000 SA.......................................... 4,629 39,990
*Genefim.............................................. 9,854 367,220
*Generale de Transport et d'Industrie................. 15,753 466,707
Gevelot............................................... 1,200 229,695
Groupe du Louvre SA................................... 4,856 253,103
Groupe Zannier SA..................................... 26,650 550,742
Guerbet SA............................................ 15,148 538,847
ICBT Groupe SA........................................ 8,110 245,904
*Immeubles de France.................................. 36,161 2,047,095
Immobanque............................................ 9,394 959,531
Immobiliere Complexes Commerciaux SA.................. 3,078 72,473
*Immobiliere et Hoteliere SA.......................... 27,700 102,289
Locindus (Cie Financiere pour la Location d'Immeubles
Industrials et Commerciaux)......................... 12,163 1,561,712
SHARES VALUE+
------------ ------------
Maire (Henri)......................................... 1,252 $ 23,986
Marie Brizard & Roger International SA................ 2,745 231,560
Matussiere et Forest SA............................... 1,020 9,434
*Maxi-livre/Profrance SA.............................. 8,442 54,197
Metal Deploye......................................... 300 16,821
Michel Thierry SA..................................... 3,269 348,856
*Mors................................................. 37,132 28,619
*NAF NAF SA........................................... 36,191 410,740
*Nordon & Cie......................................... 1,600 104,481
PSB Industries SA..................................... 1,838 158,784
*Pier Import Europe SA................................ 18,642 119,049
Plastic Omnium........................................ 16,250 1,734,144
*Primisteres Reynoird SA.............................. 5,349 164,181
*#Rochette............................................ 138,121 584,912
Rougier SA............................................ 2,715 147,167
*Rouleau-Guichard SA.................................. 2,495 99,318
Rue Imperiale de Lyon................................. 2,519 2,210,289
SAT SA (SA des Telecommunications).................... 1,068 280,410
*SEDIVER (Societe Europeene d'Isolateurs en Verre et
Composite).......................................... 9,285 212,328
*SFIM (Societe de Fabrication d'Instruments de
Mesure)............................................. 3,403 593,732
Sabeton............................................... 1,846 207,943
Securidev SA.......................................... 16,908 277,815
*Selectibanque SA..................................... 46,567 525,344
Signaux et d'Equipements Electroniques SA............. 26,939 812,255
Signaux Girod SA...................................... 5,407 103,039
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)......................... 3,483 461,962
Societe d'Etudes et de Realizations pour les
Industries du Bois Seribo........................... 4,015 98,275
Societe Financiere Immobail SA........................ 9,997 247,237
Societe Financiere Interbail SA....................... 27,370 755,707
*Sofco SA............................................. 2,308 3,049
Taittinger SA......................................... 2,853 1,570,155
*Teisseire France SA.................................. 6,492 176,280
*Teleflex Lionel-Dupont............................... 500 8,876
Tivoly SA............................................. 1,904 36,767
Touax SA.............................................. 1,425 49,001
*Trouvay et Cauvin SA................................. 9,481 152,570
VM Materiaux SA....................................... 1,636 67,507
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies).................................. 43,572 2,642,297
*Via Banque........................................... 21,658 612,669
------------
TOTAL COMMON STOCKS
(Cost $38,434,199)................................... 35,602,761
------------
INVESTMENT IN CURRENCY -- (0.1%)
*French Francs (Cost $323,485)........................ 323,094
------------
RIGHTS/WARRANTS -- (0.0%)
*Derichebourg Finances Warrants 07/15/98 (Cost
$57,964)............................................ 4,855 3,989
------------
TOTAL -- FRANCE
(Cost $38,815,648)................................... 35,929,844
------------
</TABLE>
49
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
GERMANY -- (8.1%)
COMMON STOCKS -- (8.1%)
Aachener und Muenchener Lebensversicherung AG......... 1,466 $ 706,474
*Anterra Vermoegensverwaltungs AG..................... 3,920 311,141
BDAG Balcke-Duerr AG.................................. 2,420 343,004
Bayerische Handelsbank AG............................. 3,463 975,781
*Bremer Woll-Kaemmerei AG............................. 5,310 463,616
*DLW AG............................................... 8,900 1,019,259
DSL Holding AG........................................ 11,850 1,981,909
Deutsche Hypotheken Bank AG, Hannover/Berlin.......... 6,387 1,430,333
Deutsche Verkehrs-Bank AG............................. 1,908 185,518
*Dierig Holding AG.................................... 1,250 96,381
Dyckerhoff & Widmann AG............................... 12,224 1,413,796
Escada AG............................................. 5,709 809,177
*Felten & Guilleaume Energietechnik AG................ 9,100 722,292
*Flender (A. Friedrich) AG............................ 9,832 1,070,253
Fuchs Petrolub AG Oel & Chemie........................ 3,517 394,803
Heilit & Woerner Bau AG............................... 8,542 668,316
#Herlitz AG........................................... 13,643 978,461
*Honsel-Werke AG...................................... 3,450 254,276
*Hutschenreuther AG Em 97............................. 8,591 165,602
#KM Europa Metal AG................................... 13,005 1,301,363
KM Europa Metal AG Em 95.............................. 1,484 139,664
*Kaufhalle AG......................................... 12,007 1,307,010
Kaufring AG........................................... 12,600 607,201
*Leffers AG, Bielefeld................................ 1,875 260,442
*Mauser Waldeck AG.................................... 1,151 117,460
*Mueller-Weingarten AG................................ 389 58,444
*Neue Baumwoll-Spinnerei und Weberei Hof AG........... 1,473 150,321
Norddeutsche Steingutfabrik AG........................ 715 9,303
Nuernberger Hypothekenbank AG......................... 1,634 453,933
*Orenstein & Koppel AG................................ 13,550 318,809
Otto Reichelt AG...................................... 36,354 515,271
Phoenix AG, Hamburg................................... 18,540 319,541
Rheinboden Hypothekenbank AG.......................... 3,900 689,862
Rheinmetall Berlin AG................................. 124,700 2,545,143
*Salamander AG, Kornwesteim........................... 12,999 2,019,314
Scor Deutschland Rueckversicherungs AG................ 415 54,115
*Sinn AG.............................................. 2,340 490,864
Stern-Brauerei Carl Funke AG.......................... 300 18,539
*Stoehr & Co. AG...................................... 4,431 427,065
*Strabag AG........................................... 15,450 1,017,836
Sueddeutsche Bodencreditbank AG....................... 4,248 1,259,591
*Triton-Belco AG, Hamburg............................. 2,977 127,429
*Tucher Braeu AG...................................... 1,047 83,697
*Varta AG............................................. 5,611 858,909
*Verseidag AG......................................... 1,205 114,773
*Voegele (Joseph) AG.................................. 1,559 243,153
WMF (Wuerttembergische Metallwarenfabrik AG).......... 6,462 1,099,086
Walter Bau AG......................................... 4,427 577,272
Weru AG............................................... 950 401,258
Westag & Getalit...................................... 1,980 432,185
Wuerttembergische AG.................................. 2,474 2,580,838
*Zanders Feinpapiere AG............................... 10,902 772,608
------------
TOTAL COMMON STOCKS
(Cost $36,937,228)................................... 35,362,691
------------
SHARES VALUE+
------------ ------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $50,349).......................... $ 49,539
------------
RIGHTS/WARRANTS -- (0.0%)
*Fuchs Petrolub AG Oel & Chemie Rights 12/08/97....... 3,517 598
*Rheinboden Hypothekenbank AG Rights 12/01/97......... 3,900 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 598
------------
TOTAL -- GERMANY
(Cost $36,987,577)................................... 35,412,828
------------
HONG KONG -- (4.9%)
COMMON STOCKS -- (4.9%)
ALCO Holdings, Ltd.................................... 710,000 41,331
Acme Landis Holdings, Ltd............................. 130,000 9,754
*Allied Group, Ltd.................................... 5,364,000 527,359
Allied Properties (Hong Kong), Ltd.................... 4,856,000 483,697
*Applied International Holdings, Ltd.................. 1,150,000 46,117
*Asia Commercial Holdings, Ltd........................ 35,960 2,303
*Asia Securities International, Ltd................... 1,356,000 224,530
#Asia Standard International Group, Ltd............... 2,940,000 612,319
Associated International Hotels, Ltd.................. 604,000 304,723
Beauforte Investors Corp., Ltd........................ 44,000 73,995
Burlingame International Co., Ltd..................... 675,000 174,638
Burwill Holdings, Ltd................................. 350,000 48,446
CDL Hotels International, Ltd......................... 2,489,041 780,815
CNT Group, Ltd........................................ 1,428,000 142,240
*Capetronic International Holdings, Ltd............... 107,000 16,056
#Century City International Holdings, Ltd............. 5,467,067 1,159,852
Cheuk Nang Properties (Holdings), Ltd................. 318,000 67,053
*Cheung Wah Development Co., Ltd...................... 898,000 33,107
Chevalier Construction Holdings, Ltd.................. 194,857 17,645
Chevalier Development International, Ltd.............. 608,000 157,303
Chevalier International Holdings, Ltd................. 1,364,110 167,640
China Foods Holdings, Ltd............................. 1,032,000 363,790
*China Investments Holdings, Ltd...................... 654,000 66,836
Chinney Investments, Ltd.............................. 752,000 154,675
Chow Sang Sang Holdings International, Ltd............ 738,000 200,484
*Chuang's China Investments, Inc...................... 3,185,000 83,227
Chuang's Consortium International, Ltd................ 3,051,760 244,763
*City Chiu Chow (Holdings), Ltd....................... 298,000 15,420
Continental Holdings, Ltd............................. 382,000 28,167
Crocodile Garments, Ltd............................... 986,000 57,398
*Culturecom Holdings, Ltd............................. 1,326,000 33,620
*Dransfield Holdings, Ltd............................. 780,000 20,180
Dynamic Holdings, Ltd................................. 320,000 73,684
Emporer (China Concept) Investments, Ltd.............. 558,000 126,321
Emporer International Holdings, Ltd................... 636,000 152,206
*Fairwood Holdings, Ltd............................... 675,000 29,688
Far East Consortium International, Ltd................ 1,326,041 183,546
*Far East Holdings International, Ltd................. 408,000 39,585
</TABLE>
50
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Fountain Set Holdings, Ltd............................ 1,350,000 $ 237,507
Four Seas Travel International, Ltd................... 236,000 30,529
*Fu Hui Jewelry Co. (Hong Kong), Ltd.................. 670,000 70,204
Furama Hotel Enterprises, Ltd......................... 229,029 965,856
Golden Resources Development International, Ltd....... 722,000 75,653
Grande Holdings, Ltd.................................. 448,000 173,862
Great Wall Electronic International, Ltd.............. 2,278,565 162,117
Harbour Centre Development, Ltd....................... 478,000 479,219
Harbour Ring International Holdings, Ltd.............. 2,890,000 132,718
*High Fashion International, Ltd...................... 344,000 24,030
Hong Kong Ferry (Holdings) Co., Ltd................... 200,000 258,722
Hong Kong Parkview Group, Ltd......................... 648,000 427,513
Hop Hing Holdings, Ltd................................ 604,000 76,572
Huey Tai International, Ltd........................... 2,148,338 183,422
Hwa Kay Thai Holdings, Ltd............................ 3,235,600 97,525
International Tak Cheung Holdings, Ltd................ 484,353 70,175
*Jinhui Holdings Co., Ltd............................. 694,000 43,991
Joyce Boutique Holdings, Ltd.......................... 404,000 22,473
K Wah International Holdings, Ltd..................... 849,249 168,086
KTP Holdings, Ltd..................................... 115,000 29,158
*Kader Holdings Co., Ltd.............................. 517,000 28,089
Keck Seng Investments (Hong Kong), Ltd................ 380,000 85,042
Kee-Shing Holdings Co., Ltd........................... 256,000 28,811
King Fook Holdings, Ltd............................... 338,000 28,421
Kwong Sang Hong International, Ltd.................... 1,060,000 311,955
Lai Sun Development Co., Ltd.......................... 1,390,800 512,760
Lai Sun Garment (International), Ltd.................. 448,000 279,627
Lai Sun Hotels International, Ltd..................... 382,000 28,661
*Lam Soon (Hong Kong), Ltd............................ 203,250 60,473
*Lam Soon Food Industries, Ltd........................ 156,000 58,523
Lane Crawford International, Ltd. Series A............ 63,000 62,753
Laws International Holdings, Ltd...................... 460,000 61,886
Leefung-Asco Printers Holdings, Ltd................... 128,000 19,539
*Linkful International Holdings, Ltd.................. 582,000 19,575
#Lippo, Ltd........................................... 534,000 279,770
Liu Chong Hing Investment, Ltd........................ 538,000 515,013
*Luks Industrial Co., Ltd............................. 1,556,000 85,547
*Magnificent Estates, Ltd............................. 3,678,600 81,373
*Mansion Holdings, Ltd................................ 566,000 35,145
*Megga (S.) International Holdings, Ltd............... 1,399,200 55,206
Melbourne Enterprises, Ltd............................ 41,000 251,931
Melco International Development, Ltd.................. 170,000 43,983
Min Xin Holdings, Ltd................................. 432,000 105,621
*Mui Hong Kong, Ltd................................... 514,000 12,633
Nam Hing Holdings, Ltd................................ 538,000 31,318
*Nam Pei Hong (Holdings), Ltd......................... 408,000 52,779
Nanyang Holdings, Ltd................................. 73,500 78,917
National Electronics Holdings, Ltd.................... 1,106,000 58,660
#Onfem Holdings, Ltd.................................. 684,000 99,986
Orient Power Holdings, Ltd............................ 420,000 32,056
Orient Telecom & Technology Holdings, Ltd............. 137,800 31,730
#Pacific Concord Holding, Ltd......................... 1,648,000 419,979
*Paul Y. Properties Group, Ltd........................ 113,084 7,022
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Peregrine Investments Holdings, Ltd................... 589,000 $ 556,215
Pokfulam Development Co., Ltd......................... 166,000 81,601
*Poly Investments Holdings, Ltd....................... 1,428,000 166,255
Prestige Properties Holdings, Ltd..................... 1,112,000 149,604
Process Automation Holdings, Ltd...................... 400,000 31,564
*Prod-Art Technology (Holdings), Ltd.................. 618,000 99,132
*RJP Electronics, Ltd................................. 1,350,000 29,339
*Rhine Holdings, Ltd.................................. 260,000 9,754
*Rivera Holdings, Ltd................................. 1,912,000 53,178
Ryoden Development, Ltd............................... 1,580,000 304,542
*S.A.S.Dragon Holdings, Ltd........................... 944,000 21,493
SIS International Holdings, Ltd....................... 326,000 17,501
San Miguel Brewery Hong Kong, Ltd..................... 653,600 164,873
Sea Holdings, Ltd..................................... 948,000 493,604
Seapower Resources International, Ltd................. 2,050,000 196,241
Semi-Tech (Global) Co., Ltd........................... 2,804,148 573,142
Shaw Brothers Hong Kong, Ltd.......................... 158,000 117,525
Shell Electric Manufacturing (Holdings) Co., Ltd...... 686,000 135,775
*#Shougang Concord Century Holdings, Ltd.............. 658,000 51,923
*Shun Ho Construction (Holdings), Ltd................. 814,380 40,033
*Shun Ho Resources Holdings, Ltd...................... 510,000 30,348
Sincere Co., Ltd...................................... 872,000 90,242
*Singamas Container Holdings, Ltd..................... 360,000 19,094
South China Holdings, Ltd............................. 262,000 54,906
South China Industries, Ltd........................... 772,000 79,893
*South Sea Development Co., Ltd....................... 967,000 56,292
Starlight International Holdings, Ltd................. 708,000 44,878
#Stelux Holdings International, Ltd................... 1,862,552 199,982
*Sun Fook Kong Holdings, Ltd.......................... 1,018,000 247,577
*Swank International Manufacturing Co., Ltd........... 226,000 24,558
Tai Cheung Holdings, Ltd.............................. 1,080,000 468,029
Tai Sang Land Development, Ltd........................ 482,900 171,788
Tak Sing Alliance Holdings, Ltd....................... 537,335 41,706
Tak Wing Investment Holdings, Ltd..................... 200,000 22,509
*Team Concepts Holdings, Ltd.......................... 378,000 14,181
Tern Properties Co., Ltd.............................. 168,000 44,009
Tian An China Investments Co., Ltd.................... 2,287,000 156,800
Tian Teck Land, Ltd................................... 800,000 172,827
*Top Form International, Ltd.......................... 494,000 11,822
Tse Sui Luen Jewellry (International), Ltd............ 386,176 84,926
Tungtex (Holdings) Co., Ltd........................... 558,000 54,138
*UDL Holdings, Ltd.................................... 1,210,000 98,612
USI Holdings, Ltd..................................... 671,999 146,043
*Wah Nam Group, Ltd................................... 630,000 10,187
*Winfoong International, Ltd.......................... 499,000 35,503
*Wing Fai International, Ltd.......................... 342,000 26,103
Wing On Co. International, Ltd........................ 517,000 394,591
Wing Shan International, Ltd.......................... 870,000 112,544
Winsor Industrial Corp., Ltd.......................... 394,500 99,004
Winsor Properties Holdings, Ltd....................... 55,000 54,784
*Wo Kee Hong (Holdings), Ltd.......................... 1,946,400 104,492
*Wong's Kong King International (Holdings), Ltd....... 874,000 29,396
World Houseware (Holdings), Ltd....................... 594,000 32,273
*Yaohan International Holdings, Ltd................... 1,660,000 130,991
</TABLE>
51
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Yau Lee Holdings, Ltd................................. 1,022,000 $ 45,611
*Yoshiya International Corp., Ltd..................... 216,000 13,412
------------
TOTAL COMMON STOCKS
(Cost $24,181,246)................................... 21,275,974
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $111,720).................... 111,850
------------
RIGHTS/WARRANTS -- (0.0%)
*Applied International Holdings, Ltd. Rights
12/09/97............................................ 460,000 0
*Far East Consortium International, Ltd. Warrants
10/31/98............................................ 132,604 1,544
*Far East Consortium International, Ltd. Warrants
10/31/99............................................ 132,604 1,561
*Grande Holdings, Ltd. Warrants 10/15/00.............. 89,600 6,954
*KTP Holdings, Ltd. Warrants 09/30/99................. 23,000 524
*Orient Telecom & Technology Holdings, Ltd. Warrants
12/31/00............................................ 27,560 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 10,583
------------
TOTAL -- HONG KONG
(Cost $24,292,966)................................... 21,398,407
------------
AUSTRALIA -- (4.4%)
COMMON STOCKS -- (4.2%)
A.P. Eagers, Ltd...................................... 16,699 38,963
AAPC, Ltd............................................. 938,643 314,705
*AWA, Ltd............................................. 295,133 129,242
Aberfoyle, Ltd........................................ 148,372 258,880
*Acacia Resources, Ltd................................ 400,664 287,857
#Adelaide Brighton, Ltd............................... 249,901 239,388
*Aerodata Holdings, Ltd............................... 52,987 16,315
*An Feng Kingstream Steel, Ltd........................ 81,521 22,312
*Anzoil NL............................................ 571,982 9,784
Ashton Mining, Ltd.................................... 439,713 406,172
Atkins Carlyle, Ltd................................... 40,465 119,057
Australian Chemical Holdings, Ltd..................... 46,022 68,648
Australian Oil & Gas Corp., Ltd....................... 60,837 77,010
*Australian Resources, Ltd............................ 352,493 37,384
Avatar Industries, Ltd................................ 107,586 81,712
Bridgestone Australia, Ltd............................ 26,822 54,140
CIM Resources, Ltd.................................... 325,177 58,962
Caltex Australia, Ltd................................. 291,565 907,724
*Cambridge Gulf Exploration NL........................ 93,366 8,624
Capral Aluminium, Ltd................................. 298,167 561,047
Centennial Coal, Ltd.................................. 50,911 13,237
Central Equity, Ltd................................... 116,473 111,573
Centro Properties, Ltd................................ 175,272 268,638
*Climax Mining, Ltd................................... 139,697 32,499
Consd Paper........................................... 3,000 5,337
Consolidated Rutile, Ltd.............................. 437,974 149,839
*Coplex Resources NL.................................. 261,219 60,770
Country Road, Ltd..................................... 73,108 105,049
Coventry Group, Ltd................................... 46,430 181,084
Crane (G.E) Holdings, Ltd............................. 43,269 401,165
*Crevet, Ltd.......................................... 46,997 25,726
*Croesus Mining NL.................................... 154,735 25,410
*Crown, Ltd........................................... 525,904 313,064
Cudgen RZ, Ltd........................................ 47,724 21,226
*Cumnock Coal, Ltd.................................... 40,710 36,908
SHARES VALUE+
------------ ------------
Davids Limited........................................ 699,874 $ 363,949
*Denehurst, Ltd....................................... 78,163 2,674
*Devex, Ltd........................................... 141,218 32,853
*Dome Resources NL.................................... 195,839 11,390
*Dominion Mining, Ltd................................. 116,119 31,781
ERG, Ltd.............................................. 254,177 219,136
Eltin, Ltd............................................ 103,876 85,291
*Emporer Mines, Ltd................................... 135,024 49,890
Energy Resources of Australia, Ltd. Series A.......... 354,731 995,154
*Equatorial Mining NL................................. 439,930 51,173
FAI Insurances, Ltd................................... 460,508 176,454
FAI Life, Ltd......................................... 159,405 75,259
Finemore Holdings, Ltd................................ 38,076 67,738
Forrester Parker Group, Ltd........................... 70,669 67,696
Gazal Corp., Ltd...................................... 89,069 82,275
*General Gold Resources NL............................ 135,245 7,866
*Gold Mines of Australia, Ltd......................... 39,934 4,509
Goldfields, Ltd....................................... 379,222 212,772
Gowing Bros., Ltd..................................... 61,627 111,744
Green's Foods, Ltd.................................... 81,301 25,033
Gwalia Consolidated, Ltd.............................. 115,618 64,870
Hancock and Gore, Ltd................................. 48,711 45,995
Harris Scarfe Holdings, Ltd........................... 63,600 124,025
*Healthscope, Ltd..................................... 84,380 37,528
Hudson Conway, Ltd.................................... 71,174 266,876
Hudson Timber & Hardware, Ltd......................... 59,500 45,598
Iama, Ltd............................................. 119,915 184,613
*Intag International, Ltd............................. 93,568 9,123
Ipoh, Ltd............................................. 155,899 229,345
JNA Telecommunications, Ltd........................... 38,610 26,418
Jupiters, Ltd......................................... 378,930 674,124
KLZ, Ltd.............................................. 77,628 128,541
*Kidston Gold Mines, Ltd.............................. 198,750 69,356
Kurts (Peter) Properties, Ltd......................... 95,367 75,042
*Lachlan Resources NL................................. 217,903 23,110
*MRI Holdings, Ltd.................................... 87,075 37,535
MacMahon Holdings, Ltd................................ 242,682 78,045
Magellan Petroleum Australia, Ltd..................... 28,131 53,895
*Meekatharra Minerals, Ltd............................ 184,462 23,981
Memtec, Ltd........................................... 16,221 577,704
Metal Manufactures, Ltd............................... 296,567 395,699
Mirvac, Ltd........................................... 208,575 328,244
*Mirvac, Ltd. Issue 97................................ 51,109 75,887
National Consolidated, Ltd............................ 318,229 88,187
National Foods, Ltd................................... 420,282 621,157
*New Hampton Goldfields NL............................ 145,700 12,462
*Newcrest Mining, Ltd................................. 384,951 384,561
Normandy Mt. Leyshon, Ltd............................. 123,978 125,549
Northern Building Society, Ltd........................ 23,034 37,195
*Orbital Engine Corp., Ltd............................ 165,000 88,061
PMP Communications, Ltd............................... 401,031 809,482
*Payce Consolidated, Ltd.............................. 74,466 39,233
*Peptide Technology, Ltd.............................. 153,432 18,372
Permanent Trustee Co., Ltd............................ 17,733 71,588
Pirelli Cables Australia, Ltd......................... 111,800 50,489
Plutonic Resources, Ltd............................... 201,947 294,323
Primac Holdings, Ltd.................................. 22,084 45,332
#QCT Resources, Ltd................................... 234,528 185,988
#QUF Industries, Ltd.................................. 128,286 279,135
RCG, Ltd.............................................. 333,947 491,273
Resolute, Ltd......................................... 274,868 193,717
</TABLE>
52
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Savage Resources, Ltd................................. 843,143 $ 432,683
Schaffer Corp., Ltd................................... 14,106 21,813
Sea World Property Trust.............................. 61,000 45,078
*Solution 6 Holdings, Ltd............................. 28,900 16,017
Southern Cross Broadcasting (Australia), Ltd.......... 42,306 179,474
*Spectrum Network Systems, Ltd. Series B.............. 149,597 42,991
Spicers Paper, Ltd.................................... 184,193 189,048
*St. Barbara Mines, Ltd............................... 329,338 45,069
*Star Mining Corp. NL................................. 302,691 2,900
Tassal, Ltd........................................... 35,823 31,130
*Techniche, Ltd....................................... 34,687 22,548
Thakral Holdings Group................................ 712,266 292,416
*Ticor, Ltd........................................... 394,560 134,987
*Titan Resources NL................................... 182,857 18,768
*Union Gold Mining Co. NL............................. 118,986 20,354
Visions Systems, Ltd.................................. 15,999 74,988
#Walker Corp., Ltd.................................... 349,769 175,904
Wesfi, Ltd............................................ 76,263 88,710
Westralian Sands, Ltd................................. 131,301 270,422
White (Joe) Maltings, Ltd............................. 25,607 86,730
Wide Bay Capricorn Building Society, Ltd.............. 24,909 50,790
Wills (W.D. & H.O.) Holdings, Ltd..................... 207,241 248,154
Yates (Arthur) and Co. Property, Ltd.................. 119,804 72,138
------------
TOTAL COMMON STOCKS
(Cost $24,068,002)................................... 18,098,858
------------
INVESTMENT IN CURRENCY -- (0.2%)
*Australian Dollar (Cost $947,709).................... 945,783
------------
RIGHTS/WARRANTS -- (0.0%)
*Anzoil NL Rights 12/01/97 (Cost $0).................. 197,235 270
------------
TOTAL -- AUSTRALIA
(Cost $25,015,711)................................... 19,044,911
------------
NETHERLANDS -- (4.3%)
COMMON STOCKS -- (4.2%)
ACF Holding NV (Certificate).......................... 53,200 963,404
Athlon Groep NV....................................... 210 17,958
Bam Groep NV.......................................... 16,798 1,073,139
Beers NV.............................................. 6,330 216,525
Begemann Groep NV..................................... 44,600 453,190
*Begemann Groep NV Series B........................... 44,600 242,300
*Beleggingsfonds Het Zonnespectrum NV................. 26,600 152,539
Cindu International NV................................ 1,790 193,591
Econosto NV........................................... 22,327 315,596
Gamma Holding NV...................................... 53,690 2,781,795
*Gemeenschappeljk Bezit Crown van Gelder NV........... 40,320 632,805
Kas-Associatie NV..................................... 16,350 1,151,437
Koninklijke Ten Cate NV............................... 37,878 1,724,369
Krasnapolsky Hotels & Restaurants NV.................. 17,450 468,739
Landre & Glinderman NV................................ 3,218 131,119
MacIntosh NV.......................................... 62,550 1,305,780
NKF Holding NV........................................ 37,664 1,021,198
Nagron Nationaal Grondbezit NV........................ 2,182 51,588
Nedlloyd Groep NV, Rotterdam.......................... 14,000 321,839
Norit NV.............................................. 78,571 1,276,613
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Polynorm NV........................................... 12,800 $ 1,236,248
Roto Smeets de Boer NV................................ 20,100 744,164
*Sphinx NV............................................ 36,562 365,997
*Textielgroep Twenthe NV.............................. 1,200 22,636
*Tulip Computers NV................................... 38,643 227,432
*Ubbink NV............................................ 900 23,542
*Van der Giessen de Noord............................. 13,950 561,382
*Van Dorp Groep NV.................................... 11,400 157,127
Vredestein NV......................................... 64,470 642,122
------------
TOTAL COMMON STOCKS
(Cost $17,787,790)................................... 18,476,174
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Netherlands Guilder (Cost $353,023).................. 350,561
------------
TOTAL -- NETHERLANDS
(Cost $18,140,813)................................... 18,826,735
------------
ITALY -- (4.2%)
COMMON STOCKS -- (4.2%)
*Ansaldo Trasporti SpA................................ 497,000 673,001
*Banca Nazionale dell'Agricoltura SpA................. 1,857,500 1,619,891
Banca Toscana......................................... 607,000 1,412,077
Banco di Chiavari e della Riviera Ligure SpA,
Chiavari............................................ 172,500 342,894
Bassetti SpA.......................................... 69,000 461,184
*Brioschi Finanziaria SpA, Milano..................... 100,000 10,416
CEMENTIR (Cementarie del Tirreno SpA), Roma........... 1,400,000 1,333,526
Caltagirone SpA....................................... 1,145,000 814,331
Cementeria di Augusta SpA............................. 142,500 220,588
Cia Assicuratrice Unipol SpA.......................... 215,464 635,900
Comau SpA............................................. 295,500 752,409
Ericsson SpA.......................................... 71,000 2,765,140
*FONSPA (Credito Fondiaro e Industriale Istituto per i
Finanziamenti a Medio e Lungo Termine SpA).......... 527,000 731,923
Finarte Casa d'Aste SpA (Milano)...................... 135,000 96,091
Finarte Partecipazioni Pro Arte SpA................... 221,640 132,877
*Fincasa 44 SpA....................................... 175,000 19,646
*Gabetti Holding SpA.................................. 175,000 184,514
*Grassetto SpA........................................ 110,000 25,793
*Impregilo SpA........................................ 655,000 464,324
Ipi SpA............................................... 447,500 564,538
*Linificio & Canapificio Nazionale SpA................ 185,000 92,069
Maffei SpA............................................ 90,500 114,169
Marangoni SpA, Rovereto............................... 68,000 200,689
Montefibre SpA, Milano................................ 262,464 205,044
*Necchi SpA........................................... 50,000 17,361
*Premafin Finanziaria SpA............................. 2,615,000 960,924
Previdente Cia Italiana Assicurazione SpA............. 59,000 409,710
Riva Finanziaria SpA.................................. 86,000 313,781
SISA (Societa Imballaggi Speciali Asti SpA)........... 175,000 116,461
*SMI STA Metallurgica Italiana SpA.................... 290,000 116,131
*SOPAF (Societa Partecipazioni Finanziarie SpA)....... 640,000 551,836
*#Saffa SpA, Milano................................... 172,060 479,922
*Stayer SpA........................................... 117,500 102,674
Vianini Industria SpA................................. 315,000 215,098
</TABLE>
53
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Vianini Lavori SpA.................................... 407,500 $ 669,714
Zucchi (Vincenzo) SpA................................. 74,000 457,348
------------
TOTAL COMMON STOCKS
(Cost $14,543,164)................................... 18,283,994
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $596)............................. 619
------------
TOTAL -- ITALY
(Cost $14,543,760)................................... 18,284,613
------------
SPAIN -- (4.0%)
COMMON STOCKS -- (4.0%)
Acieras y Forjas de Azcoita SA........................ 2,613 84,317
*BAMI SA (Inmobiliara de Construcciones y Terrenos)... 36,200 140,066
*Banco de Vitoria SA.................................. 3,678 56,110
Banco Guipuzcoano SA.................................. 19,247 797,629
Banco Pastor SA....................................... 25,800 1,833,898
Banco Zaragozano SA................................... 51,800 1,346,018
Bodegas y Bebidas SA.................................. 5,959 233,765
Construcciones Lain SA................................ 173,980 330,168
ESSA (Estacionamientos Subterraneos SA)............... 9,400 186,582
Elecnor SA............................................ 5,770 143,162
Empresa Nacional de Celulosa SA....................... 54,900 815,447
Europistas Concesionaria Espanola SA.................. 158,900 1,049,566
Fabricacion de Automoviles Renault de Espana SA....... 12,690 291,030
*#Filo SA............................................. 65,600 186,957
GESA (Gas y Electricidad SA).......................... 34,800 2,321,945
Grupo Anaya SA........................................ 12,500 233,026
*Grupo Fosforera SA................................... 12,060 18,196
Inbesos SA............................................ 3,200 39,698
*Inmobiliaria Urbis SA................................ 144,300 1,253,100
Inmobiliaria Zabalburu SA............................. 30,004 237,416
*Nueva Montana Quijano SA Series B.................... 122,740 95,476
OCP Construcciones SA, Madrid......................... 80,400 1,951,705
Omsa Alimentacion SA.................................. 38,675 194,510
Papelera de Navarra SA................................ 7,851 95,291
Pescanova SA.......................................... 24,900 292,205
Sarrio SA............................................. 216,615 755,338
Tableros de Fibras SA Series B........................ 38,487 562,626
*Tableros de Fibras SA Series B Em 97................. 19,243 276,789
Tavex Algodonera SA................................... 17,800 240,516
Transportes Ferroviarios Especiales Tranfesa.......... 25,580 223,852
Unipapel SA........................................... 17,029 353,998
Uralita SA............................................ 63,500 738,793
------------
TOTAL COMMON STOCKS
(Cost $13,103,066)................................... 17,379,195
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $261,792)....................... 258,079
------------
RIGHTS/WARRANTS -- (0.0%)
*Tableros de Fibras SA, Madrid Rights 12/11/97 (Cost
$0)................................................. 1 0
------------
TOTAL -- SPAIN
(Cost $13,364,858)................................... 17,637,274
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
SWITZERLAND -- (3.6%)
COMMON STOCKS -- (3.6%)
*Attisholz Holding AG, Attisholz...................... 1,670 $ 755,529
Banque Privee Edmond de Rothschild SA, Geneve......... 105 405,067
Bucher Holding AG, Niederweningen..................... 2,125 1,892,943
Calida Holding AG, Oberkirch.......................... 100 96,795
Canon (Schweiz) AG, Dietlikon......................... 9,900 604,129
Carlo Gavazzi Holding AG, Baar Series B............... 230 170,198
Coop Bank, Basel...................................... 370 241,357
Daetwyler Holding AG, Atldorf......................... 940 1,714,258
Feldschloesschen-Huerlimann Holding AG, Rheinfelden... 5,035 1,977,709
Financiere Tradition, Lausanne........................ 30 34,194
*Galenica Holding AG, Bern Series B................... 3,115 1,562,208
Golay-Buchel Holding SA, Lausanne..................... 125 133,269
Industrieholding Cham AG, Cham........................ 325 237,078
Keramik Holding AG Laufen, Laufen..................... 1,540 694,555
Kuehne & Nagel International AG, Schindellegi......... 700 473,806
*Maag Holding AG, Zuerich............................. 1,900 314,514
*Porst Holding AG, Jegenstorf......................... 1,500 182,017
*Sihl Zuercher Papierfabriek an der Sihl, Zuerich..... 50 31,213
UMS Schweizerische Metallwerke Holding AG, Bern....... 3,200 227,820
Unigestion Holding, Geneve............................ 9,200 451,711
Vaudoise Assurances Holding, Lausanne................. 189 450,066
Vaudoise d'Electricite SA, Morges..................... 95 176,581
*Von Moos Holding AG, Luzern.......................... 9,000 88,378
*WMH Walter Meier Holding AG, Staefa.................. 260 183,280
Zellweger Luwa AG, Uster.............................. 590 420,042
*Zschokke Holding SA, Geneve.......................... 1,950 403,489
*Zueblin Holding AG, Zuerich.......................... 3,300 94,901
Zuercher Ziegeleien Holding, Zuerich.................. 2,000 1,655,339
------------
TOTAL COMMON STOCKS
(Cost $14,081,093)................................... 15,672,446
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $40).............................. 43
------------
TOTAL -- SWITZERLAND
(Cost $14,081,133)................................... 15,672,489
------------
MALAYSIA -- (3.5%)
COMMON STOCKS -- (3.4%)
Advance Synergy Berhad................................ 523,000 113,857
Affin Holdings Berhad................................. 529,000 236,388
Amsteel Corp. Berhad.................................. 1,912,000 484,704
Ancom Berhad.......................................... 171,000 52,411
Angkasa Marketing Berhad.............................. 206,000 83,202
Anson Perdana Berhad.................................. 122,000 90,512
Antah Holding Berhad.................................. 275,000 90,589
*Aokam Perdana Berhad................................. 310,000 59,495
Arab Malaysia Corp. Berhad............................ 276,000 124,123
Asia Pacific Land Berhad.............................. 1,101,000 159,266
Austral Amalgamated Berhad............................ 256,000 45,832
Austral Enterprises Berhad............................ 224,000 250,241
BIMB Holdings Berhad.................................. 163,800 54,897
Bandar Raya Developments Berhad....................... 605,000 178,500
</TABLE>
54
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Batu Kawan Berhad..................................... 358,000 $ 436,855
Berjaya Industrial Berhad............................. 130,000 27,929
*Best World Land Berhad............................... 232,000 43,196
Bolton Properties Berhad.............................. 291,000 79,188
Boustead Holdings Berhad.............................. 541,000 560,985
*CHG Industries Berhad................................ 60,000 19,077
Cahya Mata Sarawak Berhad............................. 113,000 79,303
Cement Industries of Malaysia Berhad.................. 204,000 178,812
Chin Teck Plantations Berhad.......................... 55,000 64,279
Chocolate Products (Malaysia) Berhad.................. 540,000 95,903
Cold Storage (Malaysia) Berhad........................ 125,000 39,387
*DNP Holdings Berhad.................................. 487,000 104,625
*Damansara Realty Berhad.............................. 1,136,000 255,442
Diethelm Holdings (Malaysia) Berhad................... 101,000 25,459
Diversified Resources Berhad.......................... 257,000 123,677
Eastern & Oriental Berhad............................. 143,000 45,877
Eastern Pacific Industrial Corp. Berhad............... 125,000 30,435
FACB Berhad........................................... 969,000 140,172
FCW Holdings Berhad................................... 182,000 39,621
*Faber Group Berhad Issue 96.......................... 502,000 112,161
Far East Holdings Berhad.............................. 78,000 29,493
Federal Flour Mills Berhad............................ 274,000 301,389
Gadek (Malaysia) Berhad............................... 103,000 92,053
*General Corp. Berhad................................. 521,000 91,036
George Town Holdings Berhad........................... 171,000 78,372
Gold Coin (Malaysia) Berhad........................... 47,000 34,061
Golden Plus Holdings Berhad........................... 143,000 62,672
*Granite Industries Berhad............................ 345,000 126,495
*Gula Perak Berhad.................................... 357,000 111,465
Guthrie Ropel Berhad.................................. 196,000 128,569
IGB Corp. Berhad...................................... 583,000 202,069
*Insas Berhad......................................... 794,000 183,089
Integrated Logistics Berhad........................... 107,000 33,715
*Intria Behard........................................ 1,127,500 161,485
Island & Peninsular Berhad............................ 242,000 183,699
Jasa Megah Industries Berhad.......................... 226,000 129,474
Jeram Kuantan (Malaysia) Berhad....................... 42,000 9,143
KIG Glass Industrial Berhad........................... 218,000 49,332
Kamunting Corp. Berhad................................ 1,648,000 325,725
Kanzen Berhad......................................... 83,000 22,111
Keck Seng (Malaysia) Berhad........................... 373,000 181,636
*Kelanamas Industries Berhad.......................... 162,000 32,483
Kim Hin Industry Berhad............................... 131,000 31,145
Kuala Sidim Berhad.................................... 203,000 203,521
*Kumpulan Emas Berhad................................. 652,000 95,250
Land & General Berhad................................. 541,000 170,465
Landmarks Berhad...................................... 452,000 114,585
Larut Consolidated Berhad............................. 291,000 90,858
Leader Universal Holdings Berhad...................... 636,000 218,617
*Leong Hup Holdings Berhad............................ 230,000 53,695
*Lion Corp. Berhad.................................... 189,000 94,201
Lion Land Berhad...................................... 1,534,000 364,711
*MBF Holdings Berhad.................................. 1,155,000 201,817
*MBF Land Berhad...................................... 842,000 130,242
*MCB Holdings Berhad.................................. 173,000 35,432
MMC Engineering Group Berhad.......................... 25,000 12,174
MUI Properties Berhad................................. 1,017,400 182,145
MWE Holdings Berhad................................... 228,000 55,514
Malayan Flour Mills Berhad............................ 137,000 39,243
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Malayawata Steel Berhad............................... 306,000 $ 87,653
Malaysia Building Society Berhad...................... 170,000 61,844
Malaysia Mining Corp. Berhad.......................... 1,531,000 684,140
Malaysian Helicopter Services Berhad.................. 1,070,000 186,964
Malaysian Industrial Development Finance Berhad....... 964,000 375,544
Malaysian Mosaics Berhad.............................. 79,000 40,733
Malaysian Plantations Berhad.......................... 497,000 170,837
Mechmar Corp.......................................... 67,000 15,354
Mega First Corp. Berhad............................... 358,000 57,940
Metrojaya Berhad...................................... 34,000 8,960
Metroplex Berhad...................................... 1,210,000 426,320
*Minho (Malaysia) Berhad.............................. 153,000 32,432
Muda Holdings Berhad.................................. 223,000 57,171
Nam Fatt Berhad....................................... 143,000 68,407
OSK Holdings.......................................... 133,000 57,908
Oriental Holdings Berhad.............................. 197,200 299,384
*PJ Development Holdings Berhad....................... 380,000 76,739
Palmco Holdings Berhad................................ 229,000 56,741
Paramount Corp. Berhad................................ 100,000 25,494
*Parit Perak Holdings Berhad.......................... 228,000 52,248
Pernas International Holdings Berhad.................. 601,000 179,041
SCB Developments Berhad............................... 215,000 81,910
*Sarawak Enterprise Corp. Berhad...................... 264,000 96,796
*Sateras Resources (Malaysia) Berhad.................. 292,000 49,767
Selangor Dredging Berhad.............................. 356,000 71,383
Selangor Properties Berhad............................ 532,000 185,916
Shangri-la Hotels (Malaysia) Berhad................... 682,000 222,707
Siah Brothers Corp. Berhad............................ 52,000 14,597
South Malaysia Industries Berhad...................... 240,000 39,186
TA Enterprise Berhad.................................. 941,000 283,025
Taiping Consolidated Berhad........................... 332,000 48,026
Talam Corp. Berhad.................................... 191,000 60,183
Tan & Tan Developments Berhad......................... 496,000 160,548
Tan Chong Motor Holdings Berhad....................... 981,000 533,910
Time Engineering Berhad............................... 731,000 234,520
Tradewinds Malaysia Berhad............................ 219,000 112,290
Tronoh Mines Malaysia Berhad.......................... 62,000 47,951
UMW Holdings Berhad................................... 95,000 89,801
Uniphone Telecommunications Berhad.................... 212,000 58,298
Utusan Melayu (Malaysia) Berhad....................... 95,000 26,804
*Wembley Industries Holdings Berhad................... 128,000 41,065
*Westmont Industries Berhad........................... 361,000 69,283
Wing Tiek Holdings Berhad............................. 86,000 22,171
Worldwide Holdings Berhad............................. 156,000 48,261
------------
TOTAL COMMON STOCKS
(Cost $40,696,718)................................... 14,809,833
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Malaysian Ringetts (Cost $293,201)................... 296,631
------------
TOTAL -- MALAYSIA
(Cost $40,989,919)................................... 15,106,464
------------
SWEDEN -- (2.9%)
COMMON STOCKS -- (2.9%)
Alma Industri & Handel AB Series B.................... 8,000 203,083
Angpannefoereningen AB Series B....................... 7,650 118,897
*Argonaut AB Series A................................. 62,600 135,400
*Argonaut AB Series B................................. 106,600 226,427
B & N Bylock & Nordsjoefrakt AB Series B.............. 91,800 405,438
</TABLE>
55
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
BPA AB Series A....................................... 64,900 $ 156,345
BPA AB Series B....................................... 49,700 119,728
Beijer AB Series B.................................... 8,000 123,300
Benima Ferator Engineering AB......................... 10,600 43,658
Berg (C.F.) & Co. AB Series B......................... 19,200 67,142
Bong Ljungdahl AB..................................... 15,200 125,994
Boras Waefveri AB Series B............................ 15,900 129,737
Celsius Industrier AB Series B........................ 24,200 388,655
*#Concordia Maritime AB Series B...................... 118,100 397,696
*Evidentia Fastigheter AB Series A.................... 40,410 198,884
*Evidentia Fastigheter AB Series B.................... 3,900 19,195
FFNS Gruppen AB Series B.............................. 47,050 396,096
*Fastighits AB Celtica................................ 11,000 46,302
*Firefly AB........................................... 5,800 6,761
Forcenergy AB Series B................................ 40,700 477,057
Geveko AB Series B.................................... 16,800 213,237
*Gorthon Lines AB Series B............................ 69,300 408,387
ICB Shipping AB Series B.............................. 135,200 1,821,116
Intelligent Micro Systems Data AB..................... 7,500 44,198
JP Bank Series A...................................... 44,500 270,885
JP Bank Series B...................................... 23,100 139,121
Jacobson and Widmark AB............................... 31,000 128,481
Kjessler & Mannerstrale AB............................ 20,200 96,801
*Klippans Finpappersbruk AB........................... 30,800 107,308
Kloevern Foervaltnings AB Series B.................... 282,900 901,355
Marieberg Tidnings AB Series A........................ 24,000 618,574
NH Nordiska Holding AB................................ 86,500 156,845
*Nordstroem & Thulin AB Series B...................... 357,600 963,360
Piren AB.............................................. 16,018 105,805
Platzer Bygg AB Series B.............................. 87,900 144,584
Prifast AB............................................ 10,000 95,843
Sandblom & Stohne AB Series B......................... 5,800 48,077
Scandiaconsult AB..................................... 28,700 185,857
*Sifab Fastignets AB.................................. 35,500 243,687
*Solitair Kapital AB.................................. 265,600 270,038
Spendrups Bryggeri AB Series B........................ 23,600 213,963
*#Stena Line AB Series B.............................. 212,300 852,392
Wallenstam Byggnads AB Series B....................... 73,700 464,862
Westergyllen AB Series B.............................. 6,800 174,382
*Wihlborg & Son AB Series B........................... 224,800 381,413
------------
TOTAL COMMON STOCKS
(Cost $11,631,426)................................... 12,836,366
------------
RIGHTS/WARRANTS -- (0.0%)
*Wihlborg & Son AB Warrants Series B 12/20/00 (Cost
$0)................................................. 26,000 13,638
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $9,077).......................... 8,967
------------
TOTAL -- SWEDEN
(Cost $11,640,503)................................... 12,858,971
------------
SINGAPORE -- (2.7%)
COMMON STOCKS -- (2.7%)
Apollo Enterprises, Ltd............................... 192,000 148,292
Bonvests Holdings, Ltd................................ 471,000 186,326
*CK Tang, Ltd......................................... 57,000 41,877
Carnaudmetalbox Asia, Ltd............................. 163,000 184,235
Chevalier Singapore Holdings, Ltd..................... 200,000 40,188
Chuan Hup Holdings, Ltd............................... 516,000 204,128
Cosco Investment (Singapore), Ltd..................... 223,000 106,422
Focal Finance, Ltd.................................... 101,000 139,526
*General Magnetics, Ltd............................... 187,000 33,466
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Haw Par Brothers International, Ltd.................. 411,000 $ 572,937
Hind Hotels International, Ltd........................ 147,000 193,842
Hong Kok Corp., Ltd................................... 307,000 277,596
Hotel Grand Central, Ltd.............................. 327,700 144,041
Hotel Plaza, Ltd...................................... 892,000 274,456
Hotel Properties, Ltd................................. 760,000 548,812
Hour Glass, Ltd....................................... 210,000 92,306
Hwa Hong Corp., Ltd................................... 402,000 335,730
*Hwa Tat Lee, Ltd..................................... 330,000 55,949
Insurance Corp. of Singapore, Ltd..................... 112,000 152,613
Intraco, Ltd.......................................... 215,000 117,455
Isetan (Singapore), Ltd............................... 64,000 105,693
Jack Chia-MPH, Ltd.................................... 208,000 116,896
Jurong Engineering, Ltd............................... 91,000 102,284
Keppel Marine Industries, Ltd......................... 409,000 328,735
LC Development, Ltd................................... 292,000 95,345
Lee Kim Tah Holdings, Ltd............................. 72,000 39,786
Liang Court Holdings, Ltd............................. 1,052,600 317,261
Lim Kah Ngam, Ltd..................................... 221,000 131,834
Low Keng Huat Singapore, Ltd.......................... 232,000 43,704
Metro Holdings, Ltd................................... 233,800 438,963
Neptune Orient Lines, Ltd............................. 1,394,000 831,570
Orchard Parade Holdings, Ltd.......................... 459,000 259,399
Pacific Carriers, Ltd................................. 669,000 291,960
Prima, Ltd............................................ 83,000 197,007
Republic Hotels and Resorts, Ltd...................... 470,000 256,761
Resources Development Corp., Ltd...................... 88,000 116,042
SNP Corp., Ltd........................................ 72,500 27,315
*Scotts Holdings, Ltd................................. 529,000 262,419
Shangri-la Hotel, Ltd................................. 354,200 680,585
Singapura Building Society, Ltd....................... 84,000 51,691
*Singatronics, Ltd.................................... 433,000 96,523
Tat Lee Finance, Ltd.................................. 160,000 115,539
Tibs Holdings, Ltd.................................... 203,000 115,998
Times Publishing, Ltd................................. 271,000 513,912
#Tuan Sing Holdings, Ltd.............................. 1,462,000 243,280
United Engineers, Ltd................................. 334,000 253,772
United Overseas Finance, Ltd.......................... 129,000 97,204
United Overseas Land, Ltd............................. 1,321,000 1,285,721
Vickers Ballas Holdings, Ltd.......................... 543,000 298,346
WBL Corp., Ltd........................................ 82,000 120,488
------------
TOTAL COMMON STOCKS
(Cost $18,769,547)................................... 11,686,230
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $80,443)..................... 80,261
------------
RIGHTS/WARRANTS -- (0.0%)
*Sembawang Resources, Ltd. Rights 12/01/97 (Cost
$0)................................................. 13,200 0
------------
TOTAL -- SINGAPORE
(Cost $18,849,990)................................... 11,766,491
------------
DENMARK -- (2.1%)
COMMON STOCKS -- (2.1%)
Aalborg Portland Holding A.S. Series A................ 4,056 471,183
Aalborg Portland Holding A.S. Series B................ 680 78,995
Alm Brand A.S. Series B............................... 22,464 736,050
Amagerbanken A.S...................................... 2,754 139,457
*Amagerbanken A.S. Issue 97........................... 688 20,442
Ambu International A.S. Series B...................... 358 30,392
</TABLE>
56
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Amtssparekassen Fyn A.S............................... 3,411 $ 228,608
Bording (F.E.) A.S. Series B.......................... 475 23,346
Broedrene Hartmann A.S. Series B...................... 1,102 172,333
*Dalhoff, Larsen & Hornemann A.S. Series B............ 1,813 89,106
Dampskibsselsk et Torm A.S............................ 3,257 295,900
Dampskibsselskabet Norden A.S......................... 737 93,300
Dansk Kautionsforsikring A.S.......................... 3,329 156,179
Djursland Bank........................................ 473 41,211
*#East Asiatic Co., Ltd............................... 38,762 398,339
Egnsbank Han Herred................................... 1,745 42,882
Egnsbank Nord A.S..................................... 508 43,126
Fih A.S. Series B..................................... 27,964 703,855
Foras Holding A.S. Series B........................... 2,379 100,778
Forstaedernes Bank.................................... 2,575 51,774
Fredgaard Radio AS.................................... 1,747 93,148
*Haandvaerkerbanken I Naestved........................ 519 37,876
Hedegaard (Peder P.) A.S.............................. 1,406 62,821
*Hoejgaard Holding A.S. Series A...................... 1,876 251,462
Hoejgaard Holding A.S. Series B....................... 1,415 189,669
Hoffman & Sonner A.S. Series B........................ 1,261 61,789
*Junckers (F.) Industrier A.S......................... 2,975 130,709
Kalkvaerksgrunde KVG A.S.............................. 1,303 91,209
Korn-Og Foderstof Kompagnet A.S....................... 21,980 605,615
Lan & Spar Bank A.S................................... 5,006 160,297
*Lauritzen (J.) Holding Series B...................... 4,378 378,182
Lokalbanken I Nordsjaelland A.S....................... 381 26,102
*Lokalbanken I Nordsjaelland A.S. Issue 97............ 7 480
*Lokalbanken I Nordsjaelland A.S. Issue 97I........... 2 134
*Midtbank A.S......................................... 5,100 167,105
Migatronic Series B................................... 1,294 51,842
Moens Bank A.S........................................ 424 22,102
Morso Bank............................................ 240 18,766
Naestved Diskontobanken............................... 651 71,748
Nordvestbank.......................................... 673 70,665
Norresundby Bank...................................... 100 16,085
Ove Arkil Series B.................................... 399 42,192
Rederiet Knud I. Larsen A.S........................... 3,619 79,772
Ringkjoebing Bank..................................... 244 48,696
Ringkjoebing Landbobank............................... 413 108,258
Skjern Bank A.S....................................... 306 25,066
Spaencom A.S.......................................... 300 29,936
Spar Nord Holding..................................... 9,999 588,235
Sparbank Vest A.S..................................... 2,374 176,786
Sparekassen Faaborg A.S............................... 1,314 96,872
Sydbank A.S........................................... 15,770 845,535
Totalbanken A.S....................................... 200 8,191
Vestjysk Bank......................................... 1,116 65,820
Wessel & Vett Magasin du Nord A.S. Series C........... 5,448 348,090
------------
TOTAL COMMON STOCKS
(Cost $9,366,216).................................... 8,888,511
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Denmark Krone (Cost $116,297)........................ 115,680
------------
TOTAL -- DENMARK
(Cost $9,482,513).................................... 9,004,191
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
BELGIUM -- (1.5%)
COMMON STOCKS -- (1.5%)
Banque Belgo-Zairoise Belgolaise SA................... 83 $ 26,458
Belge des Betons...................................... 626 267,069
Bernheim-Comofi SA.................................... 9,640 442,396
CFE (Compagnie Francois d'Entreprises)................ 2,996 856,235
CMB (Cie Martime Belge)............................... 7,500 577,081
Cofinimmo SA.......................................... 4,850 497,128
Fabrique de Fer de Charleroi.......................... 220 1,300,109
Floridienne NV........................................ 1,900 85,889
*Forges de Clabecq SA................................. 1,760 145
*Franki NV (Cie Internationale des Pieux Armes
Frankignoul SA)..................................... 1,800 21,764
Ibel.................................................. 2,500 127,095
*Immobel (Cie Immobiliere de Belgique SA)............. 17,260 1,052,959
*Papeteries de Catala SA.............................. 450 53,050
*Recticel SA.......................................... 58,686 628,951
SIPEF (Societe Internationale de Plantations & de
Finance), Anvers.................................... 275 49,877
Sapec SA.............................................. 6,401 286,717
Ter Beke NV........................................... 1,600 140,698
Uco Textiles NV....................................... 2,000 268,755
------------
TOTAL COMMON STOCKS
(Cost $5,869,764).................................... 6,682,376
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $6,694)......................... 6,733
------------
TOTAL -- BELGIUM
(Cost $5,876,458).................................... 6,689,109
------------
NORWAY -- (1.3%)
COMMON STOCKS -- (0.9%)
Bergensbanken ASA..................................... 18,042 188,153
Color Line ASA........................................ 13,300 49,932
Dyno Industrier ASA................................... 53,971 1,065,646
Elkem ASA............................................. 26,613 381,149
Fesil ASA............................................. 15,518 194,197
Helicopter Services Group ASA......................... 42,452 454,520
Hunsfos ASA........................................... 4,300 16,741
*Kongsberg Automotive ASA............................. 8,299 92,317
Kverneland ASA........................................ 18,732 330,790
Leif Hoegh & Co. ASA.................................. 1,620 31,761
*Nomadic Shipping ASA................................. 21,876 39,544
Nordlandsbanken ASA................................... 13,108 324,430
Nydalens Compagnie ASA Series A....................... 9,312 63,446
*Raufoss Ammunisjonfabrikker ASA...................... 3,100 45,260
Storli ASA Series A................................... 26,270 504,084
------------
TOTAL COMMON STOCKS
(Cost $4,028,921).................................... 3,781,970
------------
INVESTMENT IN CURRENCY -- (0.4%)
*Norwegian Krone (Cost $1,919,600).................... 1,907,308
------------
TOTAL -- NORWAY
(Cost $5,948,521).................................... 5,689,278
------------
</TABLE>
57
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (3.1%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
8.50%, 11/15/00, valued at $13,792,319) to be
repurchased at $13,589,169
(Cost $13,583,000).................................. $ 13,583 $ 13,583,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $572,778,278)++................................ $436,497,214
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
@Denominated in local currency.
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
58
<PAGE>
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
AGENCY OBLIGATIONS -- (55.3%)
Farm Credit System Financial Assistance Corp.
9.375%, 07/21/03................................... $ 2,000 $ 2,302,500
8.800%, 06/10/05................................... 1,000 1,145,000
Federal Farm Credit Bank
6.560%, 08/05/02................................... 2,000 2,040,740
6.320%, 09/09/02................................... 1,000 1,008,440
6.875%, 04/04/03................................... 1,190 1,234,767
7.030%, 06/24/03................................... 2,000 2,086,900
6.450%, 10/07/09................................... 2,000 2,024,400
7.160%, 05/19/10................................... 3,000 3,222,030
Federal Home Loan Bank
6.290%, 07/03/02................................... 3,100 3,125,326
6.225%, 10/17/02................................... 2,000 2,014,420
5.930%, 03/07/03................................... 10,085 10,012,891
5.440%, 10/15/03................................... 8,550 8,279,904
Federal Home Loan Mortgage Corp.
7.350%, 03/22/05................................... 2,000 2,145,320
6.130%, 02/27/06................................... 1,000 996,710
7.100%, 04/10/07................................... 2,000 2,134,320
6.480%, 12/05/11................................... 2,000 2,021,360
Federal National Mortgage Association
7.050%, 11/12/02................................... 2,000 2,084,420
6.800%, 01/10/03................................... 6,000 6,205,799
6.710%, 05/21/03................................... 2,000 2,055,360
6.050%, 06/30/03................................... 3,000 2,991,840
5.450%, 10/10/03................................... 2,000 1,937,900
7.400%, 07/01/04................................... 1,000 1,068,290
7.375%, 03/28/05................................... 1,000 1,074,260
6.220%, 03/13/06................................... 3,070 3,077,613
6.570%, 08/22/07................................... 2,000 2,050,680
Student Loan Marketing Association
5.850%, 06/01/07................................... 1,000 974,600
Tennessee Valley Authority
6.375%, 06/15/05................................... 5,000 5,062,500
------------
TOTAL AGENCY OBLIGATIONS
(Cost $72,564,581)................................... 74,378,290
------------
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (43.1%)
U.S. Treasury Bonds
11.625%, 11/15/02.................................. $ 5,340 $ 6,643,921
10.750%, 02/15/03.................................. 4,000 4,863,480
10.750%, 05/15/03.................................. 8,000 9,794,640
11.125%, 08/15/03.................................. 2,000 2,502,820
11.875%, 11/15/03.................................. 3,000 3,890,640
12.375%, 05/15/04.................................. 2,000 2,688,100
12.000%, 05/15/05.................................. 5,000 6,815,000
10.750%, 08/15/05.................................. 2,000 2,590,620
9.375%, 02/15/06................................... 7,000 8,568,979
U.S. Treasury Notes
7.250%, 05/15/04................................... 3,000 3,219,450
11.625%, 11/15/04.................................. 1,000 1,322,090
6.125%, 08/15/07................................... 5,000 5,096,999
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $56,457,029)................................... 57,996,739
------------
SUPRANATIONAL OBLIGATIONS -- (0.8%)
European Investment Bank
9.125%, 06/01/02
(Cost $1,092,795)................................ 1,000 1,116,250
------------
TEMPORARY CASH INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Capital Markets, Inc.
5.45%, 12/01/97 (Collateralized by U.S. Treasury
Notes 6.25%, 07/31/98, valued at $1,146,600) to
be repurchased at $1,122,510 (Cost $1,122,000)... 1,122 1,122,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $131,236,405)++................................ $134,613,279
------------
------------
- --------------------
+See Note B to Financial Statements.
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
59
<PAGE>
SCHEDULES OF INVESTMENTS
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------- -------------
<S> <C> <C>
Investment in The DFA One-Year Fixed Income Series of The DFA Investment Trust Company.... 75,119,478 $ 752,306,769
-------------
Total Investments (100%) (Cost $745,079,536)++........................................ $ 752,306,769
-------------
-------------
</TABLE>
- --------------
++ The cost for federal income tax purposes is $749,300,441.
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------- -------------
(000)
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- (99.1%)
U.S. Treasury Notes
4.750%, 10/31/98........................................................................ $ 70,000 $ 69,392,393
5.875%, 10/31/98........................................................................ 52,000 52,072,280
5.500%, 11/15/98........................................................................ 3,000 2,993,280
8.875%, 11/15/98........................................................................ 60,000 61,738,794
5.750%, 12/31/98........................................................................ 2,000 2,000,920
5.875%, 01/31/99........................................................................ 11,000 11,015,509
5.875%, 02/28/99........................................................................ 2,000 2,002,980
-------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $201,305,799)....................................... 201,216,156
-------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
Repurchase Agreement, PNC Capital Markets, Inc. 5.45%, 12/01/97 (Collateralized by U.S.
Treasury Notes 6.25%, 07/31/98, valued at $1,883,700) to be repurchased at $1,850,840
(Cost $1,850,000)..................................................................... 1,850 1,850,000
-------------
TOTAL INVESTMENTS -- (100.0%) (Cost $203,155,799)++....................................... $ 203,066,156
-------------
-------------
</TABLE>
- --------------
++Approximates cost for federal income tax purposes.
THE DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------- -------------
<S> <C> <C>
Investment in The DFA Two-Year Global Fixed
Income Series of The DFA Investment Trust Company....................................... 40,996,217 $ 418,906,560
-------------
Total Investments (100%) (Cost $413,497,994)++........................................ $ 418,906,560
-------------
-------------
</TABLE>
- --------------
++ Approximates cost for federal income tax purposes.
- --------------
+ See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
60
<PAGE>
THE DFA GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
GERMANY -- (22.6%)
BONDS -- (22.6%)
European Economic Community
6.500%, 03/10/00................................... 5,500 $ 3,245,126
Federal Home Loan Bank
6.000%, 08/23/00................................... 9,000 5,266,834
Federal National Mortgage Association
5.000%, 02/16/01................................... 7,000 3,988,479
Germany (Federal Republic of)
8.000%, 07/22/02................................... 21,000 13,364,383
LB Rheinland-Pfalz Finance BV
5.375%, 02/12/02................................... 14,700 8,413,311
Minnesota Mining and Manufacturing Co.
5.000%, 10/15/01................................... 19,700 11,190,656
Suedwest Landesbank Capital Markets
5.375%, 02/06/02................................... 7,000 4,020,229
Tokyo Electric Power
7.625%, 11/06/02................................... 7,000 4,363,119
------------
TOTAL BONDS
(Cost $54,971,155)................................... 53,852,137
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $187)............................. 182
------------
TOTAL -- GERMANY
(Cost $54,971,342)................................... 53,852,319
------------
FRANCE -- (21.9%)
BONDS -- (21.9%)
Belgium (Kingdom of)
6.875%, 05/30/02................................... 35,000 6,344,298
Caisse d'Amortissement et de Dette Sociale
5.500%, 04/25/02................................... 49,200 8,487,400
Credit Locale de France SA Euro Medium Term Notes
5.375%, 10/11/01................................... 31,000 5,326,747
France (Government of) BTAN
4.750%, 03/12/02................................... 30,000 5,055,315
France (Republic of)
5.500%, 10/12/01................................... 38,000 6,588,780
France Telecom SA
9.000%, 07/27/01................................... 50,000 9,591,784
KFW International Finance, Inc.
8.750%, 06/26/02................................... 15,000 2,916,919
Suedwestdeutsche Landesbank Giro & Suedwestlb Capital
Markets P.L.C.
6.000%, 03/08/02................................... 15,500 2,713,522
Toyota Motor Credit Corp. Euro Medium Term Notes
6.250%, 04/11/02................................... 30,000 5,322,106
------------
TOTAL BONDS
(Cost $52,840,149)................................... 52,346,871
------------
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $1).............................. $ 1
------------
TOTAL -- FRANCE
(Cost $52,840,150)................................... 52,346,872
------------
JAPAN -- (20.4%)
BONDS -- (20.4%)
Asian Development Bank
5.625%, 02/18/02................................... 400,000 3,706,484
Credit Locale de France SA
6.000%, 10/31/01................................... 400,000 3,709,305
Deutsche Siedlungs Landesrentenbank
2.600%, 07/10/02................................... 868,000 7,222,848
Inter-American Development Bank
2.250%, 02/05/02................................... 1,358,000 11,135,334
Japan Development Bank
6.500%, 09/20/01................................... 1,130,000 10,647,013
World Bank (International Bank for Reconstruction and
Development)
5.250%, 03/20/02................................... 1,290,000 11,881,645
Nordic Investment Bank
2.600%, 06/28/02................................... 60,000 499,275
------------
TOTAL -- JAPAN
(Cost $51,024,408)................................... 48,801,904
------------
CANADA -- (17.3%)
BONDS -- (17.3%)
Bayerische Landesbank Girozentrale
6.750%, 12/29/00................................... 2,000 1,459,152
7.250%, 10/31/01................................... 4,000 2,975,910
Canada (Government of)
7.500%, 09/01/00................................... 5,000 3,721,995
European Investment Bank
11.250%, 01/08/01.................................. 4,000 3,276,311
9.000%, 12/06/01................................... 2,000 1,577,598
6.625%, 12/31/01................................... 8,000 5,843,912
General Electric Capital Canada, Inc.
8.000%, 12/29/00................................... 5,000 3,762,040
8.250%, 12/29/00................................... 6,684 5,064,312
Oesterreichische Kontrollbank AG Euro Medium Term Notes
7.000%, 12/31/01................................... 7,140 5,281,904
Oesterreichische Postsparkasse PSK
10.750%, 08/08/01.................................. 1,600 1,315,695
SNCF (Societe Nationale des Chemins de Fer Francaise)
9.250%, 12/20/01................................... 3,570 2,832,816
Toyota Credit Canada, Inc.
7.375%, 12/31/01................................... 5,603 4,192,124
------------
TOTAL -- CANADA
(Cost $42,400,366)................................... 41,303,769
------------
</TABLE>
61
<PAGE>
THE DFA GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
AUSTRALIA -- (8.0%)
BONDS -- (8.0%)
ABN-Amro Australia, Ltd.
8.250%, 11/03/00................................... 5,800 $ 4,210,663
Airservices Australia
7.375%, 11/15/01................................... 2,750 1,974,608
New South Wales Treasury Corp.
8.000%, 12/01/01................................... 7,000 5,170,923
New South Wales Treasury Corp. Euro Medium Term Notes
8.750%, 04/18/02................................... 2,000 1,507,376
State Bank of New South Wales
11.750%, 08/16/01.................................. 3,800 3,084,763
10.750%, 03/12/02.................................. 2,000 1,600,433
State Bank of South Australia
11.000%, 04/10/02.................................. 2,000 1,614,801
------------
TOTAL BONDS
(Cost $20,341,765)................................... 19,163,567
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $1)......................... 1
------------
TOTAL -- AUSTRALIA
(Cost $20,341,766)................................... 19,163,568
------------
UNITED STATES -- (6.9%)
COMMERCIAL PAPER -- (6.9%)
Barton Capital Corp. C.P.
5.750%, 01/16/98................................... 4,999 4,962,271
Den Norske Stats Olejeselskap
A.S. C.P.
5.800%, 12/01/97................................... 11,000 11,000,000
Hahn Issuing Corp. C.P.
5.620%, 12/17/97................................... 600 598,502
------------
TOTAL -- UNITED STATES
(Cost $16,560,772)................................... 16,560,773
------------
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
NETHERLANDS -- (2.2%)
BONDS -- (2.2%)
Netherlands (Kingdom of)
5.750%, 09/15/02
(Cost $5,365,481).................................. 10,000 $ 5,181,217
------------
INVESTMENT IN CURRENCY -- (0.0%)
Netherlands Guilder
(Cost $5).......................................... 4
------------
TOTAL -- NETHERLANDS
(Cost $5,365,486).................................... 5,181,221
------------
UNITED KINGDOM -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $70)......................................... 71
------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
8.50%, 11/15/00, valued at $1,637,469) to be
repurchased at $1,608,730
(Cost $1,608,000).................................. 1,608 1,608,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $245,112,360)++.... $238,818,497
------------
------------
- --------------------
+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.
62
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE ENHANCED
THE U.S. 9-10 6-10 SMALL LARGE U.S. LARGE
SMALL COMPANY COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ ------------ --------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value.................................. $ 1,527,027 $ 338,105 $ 343,544 $ 47,616
Receivables
Dividends and Interest............................ 944 -- -- --
Investment Securities Sold........................ 3,585 -- 176 --
Fund Shares Sold.................................. 377 133 76 105
Prepaid Expenses and Other Assets..................... 38 7 19 30
------------- ------------ ------------ --------------
Total Assets.................................. 1,531,971 338,245 343,815 47,751
------------- ------------ ------------ --------------
LIABILITIES:
Payable for Investment Securities Purchased........... 20,805 133 -- 98
Payable for Fund Shares Redeemed...................... 319 -- 252 7
Accrued Expenses and Other Liabilities................ 1,420 120 26 4
------------- ------------ ------------ --------------
Total Liabilities............................. 22,544 253 278 109
------------- ------------ ------------ --------------
NET ASSETS............................................ $ 1,509,427 $ 337,992 $ 343,537 $ 47,642
------------- ------------ ------------ --------------
------------- ------------ ------------ --------------
SHARES OUTSTANDING $.01 PAR VALUE..................... 107,861,234 20,012,310 12,060,809 3,499,867
------------- ------------ ------------ --------------
------------- ------------ ------------ --------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE........ $ 13.99 $ 16.89 $ 28.48 $ 13.61
------------- ------------ ------------ --------------
------------- ------------ ------------ --------------
PUBLIC OFFERING PRICE PER SHARE....................... $ 13.99 $ 16.89 $ 28.48 $ 13.61
------------- ------------ ------------ --------------
------------- ------------ ------------ --------------
Investments at Cost................................... $ 1,150,358 $ 235,193 $ 223,539 $ 41,061
------------- ------------ ------------ --------------
------------- ------------ ------------ --------------
</TABLE>
<TABLE>
<CAPTION>
THE U.S. THE DFA REAL
THE U.S. LARGE CAP ESTATE
6-10 VALUE VALUE SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE
AMOUNTS)
<S> <C> <C> <C>
ASSETS:
Investments at Value...................................................... $ 2,099,209 $ 840,114 $ 94,806
Receivables
Dividends and Interest................................................ -- -- 180
Investment Securities Sold............................................ -- -- 26,511
Fund Shares Sold...................................................... 595 724 76
Prepaid Expenses and Other Assets......................................... 33 22 14
------------ ------------ -------------
Total Assets...................................................... 2,099,837 840,860 121,587
------------ ------------ -------------
LIABILITIES:
Payable for Investment Securities Purchased............................... 241 572 --
Payable for Fund Shares Redeemed.......................................... 354 152 26,459
Accrued Expenses and Other Liabilities.................................... 588 133 56
------------ ------------ -------------
Total Liabilities................................................. 1,183 857 26,515
------------ ------------ -------------
NET ASSETS................................................................ $ 2,098,654 $ 840,003 $ 95,072
------------ ------------ -------------
------------ ------------ -------------
SHARES OUTSTANDING $.01 PAR VALUE......................................... 94,995,843 43,702,326 6,121,811
------------ ------------ -------------
------------ ------------ -------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE............................ $ 22.09 $ 19.22 $ 15.53
------------ ------------ -------------
------------ ------------ -------------
PUBLIC OFFERING PRICE PER SHARE........................................... $ 22.09 $ 19.22 $ 15.53
------------ ------------ -------------
------------ ------------ -------------
Investments at Cost....................................................... $ 1,396,176 $ 604,894 $ 78,077
------------ ------------ -------------
------------ ------------ -------------
</TABLE>
See accompanying Notes to Financial Statements.
63
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
THE PACIFIC THE UNITED
THE JAPANESE RIM SMALL KINGDOM SMALL
SMALL COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- ---------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C>
ASSETS:
Investments at Value............................................... $ 114,072 $ 111,369 $ 130,935
Receivables
Investment Securities Sold..................................... 5,355 6,247 --
Fund Shares Sold............................................... 32 10 13
Prepaid Expenses and Other Assets.................................. 7 6 9
-------------- -------------- ---------------
Total Assets............................................... 119,466 117,632 130,957
-------------- -------------- ---------------
LIABILITIES:
Payable for Investment Securities Purchased........................ -- -- 12
Payable for Fund Shares Redeemed................................... 5,387 6,257 1
Accrued Expenses and Other Liabilities............................. 62 55 53
-------------- -------------- ---------------
Total Liabilities.......................................... 5,449 6,312 66
-------------- -------------- ---------------
NET ASSETS......................................................... $ 114,017 $ 111,320 $ 130,891
-------------- -------------- ---------------
-------------- -------------- ---------------
SHARES OUTSTANDING $.01 PAR VALUE.................................. 12,067,337 11,691,318 4,561,540
-------------- -------------- ---------------
-------------- -------------- ---------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE..................... $ 9.45 $ 9.52 $ 28.69
-------------- -------------- ---------------
-------------- -------------- ---------------
PUBLIC OFFERING PRICE PER SHARE.................................... $ 9.50 $ 9.62 $ 28.69
-------------- -------------- ---------------
-------------- -------------- ---------------
Investments at Cost................................................ $ 282,515 $ 162,813 $ 103,397
-------------- -------------- ---------------
-------------- -------------- ---------------
</TABLE>
<TABLE>
<CAPTION>
THE THE THE
CONTINENTAL INTERNATIONAL RWB/DFA
SMALL SMALL INTERNATIONAL
COMPANY COMPANY HIGH BOOK TO
PORTFOLIO PORTFOLIO MARKET PORTFOLIO
------------ ------------ ----------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C>
ASSETS:
Investments at Value.................................................. $ 232,841 $ 230,005 $ 275,098
Cash.................................................................. -- 17 --
Receivables
Investment Securities Sold........................................ 17,217 -- 94
Fund Shares Sold.................................................. 13 1,084 110
Prepaid Expenses and Other Assets..................................... 7 48 10
------------ ------------ ----------------
Total Assets.................................................. 250,078 231,154 275,312
------------ ------------ ----------------
LIABILITIES:
Payable for Fund Shares Redeemed...................................... 17,230 590 204
Accrued Expenses and Other Liabilities................................ 104 95 51
------------ ------------ ----------------
Total Liabilities............................................. 17,334 685 255
------------ ------------ ----------------
NET ASSETS............................................................ $ 232,744 $ 230,469 $ 275,057
------------ ------------ ----------------
------------ ------------ ----------------
SHARES OUTSTANDING $.01 PAR VALUE..................................... 14,600,074 29,455,463 21,419,739
------------ ------------ ----------------
------------ ------------ ----------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE........................ $ 15.94 $ 7.82 $ 12.84
------------ ------------ ----------------
------------ ------------ ----------------
PUBLIC OFFERING PRICE PER SHARE....................................... $ 16.10 $ 7.87 $ 12.84
------------ ------------ ----------------
------------ ------------ ----------------
Investments at Cost................................................... $ 188,033 $ 290,107 $ 257,997
------------ ------------ ----------------
------------ ------------ ----------------
</TABLE>
See accompanying Notes to Financial Statements.
64
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
THE DFA THE DFA
INTERNATIONAL INTERMEDIATE
THE EMERGING THE LARGE CAP SMALL CAP GOVERNMENT
MARKETS INTERNATIONAL VALUE FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------- ------------- --------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value.............................................. $ 212,114 $ 87,010 $ 436,497 $ 134,613
Cash.............................................................. -- 15 1,475 --
Receivables
Dividends and Interest........................................ -- 255 1,678 1,969
Investment Securities Sold.................................... 120 2 1,900 --
Fund Shares Sold.............................................. 145 14 401 10
Prepaid Expenses and Other Assets................................. 19 9 46 7
------------ ------------- ------------- --------------
Total Assets.............................................. 212,398 87,305 441,997 136,599
------------ ------------- ------------- --------------
LIABILITIES:
Payable for Investment Securities Purchased....................... -- -- 10,326 --
Payable for Fund Shares Redeemed.................................. 265 40 35 3
Accrued Expenses and Other Liabilities............................ 85 42 379 41
------------ ------------- ------------- --------------
Total Liabilities......................................... 350 82 10,740 44
------------ ------------- ------------- --------------
NET ASSETS........................................................ $ 212,048 $ 87,223 $ 431,257 $ 136,555
------------ ------------- ------------- --------------
------------ ------------- ------------- --------------
SHARES OUTSTANDING $.01 PAR VALUE................................. 22,065,103 6,112,974 54,272,582 12,111,202
------------ ------------- ------------- --------------
------------ ------------- ------------- --------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE.................... $ 9.61 $ 14.27 $ 7.95 $ 11.28
------------ ------------- ------------- --------------
------------ ------------- ------------- --------------
PUBLIC OFFERING PRICE PER SHARE................................... $ 9.66 $ 14.27 $ 8.01 $ 11.28
------------ ------------- ------------- --------------
------------ ------------- ------------- --------------
Investments at Cost............................................... $ 266,677 $ 65,123 $ 572,778 $ 131,236
------------ ------------- ------------- --------------
------------ ------------- ------------- --------------
</TABLE>
<TABLE>
<CAPTION>
THE DFA
THE DFA THE DFA TWO-YEAR
ONE-YEAR FIXED FIVE-YEAR GLOBAL FIXED THE DFA GLOBAL
INCOME GOVERNMENT INCOME FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------- ------------- --------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value............................................ $ 752,307 $ 203,066 $ 418,907 $ 238,818
Cash............................................................ -- -- -- 15
Receivables
Dividends and Interest...................................... -- 1,084 -- 6,337
Investment Securities Sold.................................. -- -- -- 12,618
Fund Shares Sold............................................ 668 320 963 376
Unrealized Gain on Forward Currency Contracts............... -- -- -- 4,733
Prepaid Expenses and Other Assets............................... 21 12 45 18
-------------- ------------- ------------- --------------
Total Assets............................................ 752,996 204,482 419,915 262,915
-------------- ------------- ------------- --------------
LIABILITIES:
Payable for Investment Securities Purchased..................... 448 -- 775 12,615
Payable for Fund Shares Redeemed................................ 220 46 188 109
Accrued Expenses and Other Liabilities.......................... 91 59 47 113
-------------- ------------- ------------- --------------
Total Liabilities....................................... 759 105 1,010 12,837
-------------- ------------- ------------- --------------
NET ASSETS...................................................... $ 752,237 $ 204,377 $ 418,905 $ 250,078
-------------- ------------- ------------- --------------
-------------- ------------- ------------- --------------
SHARES OUTSTANDING $.01 PAR VALUE............................... 73,563,755 19,718,713 40,270,906 22,976,497
-------------- ------------- ------------- --------------
-------------- ------------- ------------- --------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE.................. $ 10.23 $ 10.36 $ 10.40 $ 10.88
-------------- ------------- ------------- --------------
-------------- ------------- ------------- --------------
PUBLIC OFFERING PRICE PER SHARE................................. $ 10.23 $ 10.36 $ 10.40 $ 10.88
-------------- ------------- ------------- --------------
-------------- ------------- ------------- --------------
Investments at Cost............................................. $ 745,080 $ 203,156 $ 413,498 $ 245,112
-------------- ------------- ------------- --------------
-------------- ------------- ------------- --------------
</TABLE>
See accompanying Notes to Financial Statements.
65
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE
THE U.S. THE U.S. THE U.S. ENHANCED
9-10 SMALL 6-10 SMALL LARGE U.S. LARGE
COMPANY COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends................................................... $ 8,607 -- -- --
Interest.................................................... 1,222 -- -- --
Income from Securities Lending.............................. 738 -- -- --
Income Distributions Received............................... -- $ 2,341 -- $ 1,590
Net Investment Income from The DFA Investment Trust
Company................................................... -- -- $ 4,639 --
----------- ----------- ----------- -----------
Total Investment Income............................... 10,567 2,341 4,639 1,590
----------- ----------- ----------- -----------
EXPENSES
Investment Advisory Services................................ 6,538 -- -- --
Administrative Services..................................... -- 908 572 50
Accounting & Transfer Agent Fees............................ 649 19 105 19
Custodian's Fee............................................. 230 -- -- --
Legal Fees.................................................. 62 3 4 1
Audit Fees.................................................. 73 1 1 --
Filing Fees................................................. 93 27 48 15
Shareholders' Reports....................................... 49 11 11 1
Directors' Fees and Expenses................................ 30 2 2 2
Other....................................................... 59 1 2 7
----------- ----------- ----------- -----------
Total Expenses........................................ 7,783 972 745 95
Less: Expenses Waived....................................... -- -- (535) (6)
----------- ----------- ----------- -----------
Net Expenses................................................ 7,783 972 210 89
----------- ----------- ----------- -----------
NET INVESTMENT INCOME....................................... 2,784 1,369 4,429 1,501
----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received......................... -- 25,830 -- 3,438
Net Realized Gain (Loss) on Investment Securities........... 203,572 3,502 386 (223)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities..................................... 117,414 34,002 61,568 2,464
----------- ----------- ----------- -----------
NET GAIN ON INVESTMENT SECURITIES........................... 320,986 63,334 61,954 5,679
----------- ----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.......... $ 323,770 $ 64,703 $ 66,383 $ 7,180
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
</TABLE>
See accompanying Notes to Financial Statements.
66
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE DFA
THE U.S LARGE CAP REAL ESTATE
6-10 VALUE VALUE SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends..................................................................... -- -- $ 5,735
Interest...................................................................... -- -- 118
Income from Securities Lending................................................ -- -- 17
Income Distributions Received................................................. $ 11,533 $ 13,012 --
----------- ----------- -----------
Total Investment Income................................................. 11,533 13,012 5,870
----------- ----------- -----------
EXPENSES
Investment Advisory Services.................................................. -- -- 290
Administrative Services....................................................... 5,061 1,045 --
Accounting & Transfer Agent Fees.............................................. 19 19 104
Custodian's Fee............................................................... -- -- 17
Legal Fees.................................................................... 14 6 6
Audit Fees.................................................................... 6 2 6
Filing Fees................................................................... 172 85 23
Shareholders' Reports......................................................... 68 28 4
Directors' Fees and Expenses.................................................. 8 4 3
Other......................................................................... 9 9 4
----------- ----------- -----------
Total Expenses.......................................................... 5,357 1,198 457
----------- ----------- -----------
NET INVESTMENT INCOME......................................................... 6,176 11,814 5,413
----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received........................................... 55,250 28,840 --
Net Realized Gain (Loss) on Investment Securities............................. (793) (374) 9,447
Change in Unrealized Appreciation (Depreciation) of Investment Securities..... 429,999 112,833 8,112
----------- ----------- -----------
NET GAIN ON INVESTMENT SECURITIES............................................. 484,456 141,299 17,559
----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................ $ 490,632 $ 153,113 $ 22,972
----------- ----------- -----------
----------- ----------- -----------
</TABLE>
See accompanying Notes to Financial Statements.
67
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE PACIFIC THE UNITED
THE JAPANESE RIM SMALL KINGDOM SMALL
SMALL COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ----------- ---------------
<S> <C> <C> <C>
INVESTMENT INCOME
Net Investment Income From The DFA Investment Trust Company............ $ 1,884 $ 4,684 $ 4,308
-------------- ----------- ---------------
EXPENSES
Administrative Services................................................ 809 784 605
Accounting & Transfer Agent Fees....................................... 38 38 38
Legal Fees............................................................. 3 3 3
Audit Fees............................................................. 1 1 --
Filing Fees............................................................ 21 21 17
Shareholders' Reports.................................................. 7 7 5
Directors' Fees and Expenses........................................... 2 2 1
Other.................................................................. 2 1 4
-------------- ----------- ---------------
Total Expenses................................................... 883 857 673
-------------- ----------- ---------------
NET INVESTMENT INCOME.................................................. 1,001 3,827 3,635
-------------- ----------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY
Net Realized Gain (Loss) on Investment Securities...................... (1,544) 5,758 12,752
Net Realized Gain (Loss) on Foreign Currency Transactions.............. 62 (370) 117
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........................... (134,974) (81,707) (4,795)
Translation of Foreign Currency Denominated Amounts.................. (17) (10) (1)
-------------- ----------- ---------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY.......... (136,473) (76,329) 8,073
-------------- ----------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.......... $ (135,472) $ (72,502) $ 11,708
-------------- ----------- ---------------
-------------- ----------- ---------------
</TABLE>
See accompanying Notes to Financial Statements.
68
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE THE THE RWB/DFA
CONTINENTAL INTERNATIONAL INTERNATIONAL
SMALL SMALL HIGH BOOK TO
COMPANY COMPANY MARKET
PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ --------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest............................................................... -- $ 60 --
Income Distributions Received.......................................... -- -- $ 5,209
Net Investment Income from The DFA Investment Trust
Company.............................................................. $ 5,225 3,529 --
----------- ------------ --------------
Total Investment Income............................................ 5,225 3,589 5,209
----------- ------------ --------------
EXPENSES
Administrative Services................................................ 1,134 753 27
Accounting & Transfer Agent Fees....................................... 38 31 19
Client Service Fee..................................................... -- -- 357
Legal Fees............................................................. 4 3 3
Audit Fees............................................................. 1 1 1
Filing Fees............................................................ 28 38 60
Shareholders' Reports.................................................. 10 9 10
Directors' Fees and Expenses........................................... 2 2 2
Other.................................................................. 1 10 12
----------- ------------ --------------
Total Expenses..................................................... 1,218 847 491
----------- ------------ --------------
NET INVESTMENT INCOME.................................................. 4,007 2,742 4,718
----------- ------------ --------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY
Capital Gain Distributions Received.................................... -- -- 5,179
Net Realized Gain (Loss) on Investment Securities...................... 16,008 (813) 44
Net Realized Loss on Foreign Currency Transactions..................... (405) (109) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency......................... 16,460 (59,544) (21,705)
Translation of Foreign Currency Denominated Amounts................ (144) (70) --
----------- ------------ --------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN CURRENCY.......... 31,919 (60,536) (16,482)
----------- ------------ --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............ $ 35,926 $ (57,794) $ (11,764)
----------- ------------ --------------
----------- ------------ --------------
</TABLE>
See accompanying Notes to Financial Statements.
69
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA THE DFA
THE THE LARGE INTERNATIONAL INTERMEDIATE
EMERGING CAP SMALL CAP GOVERNMENT
MARKETS INTERNATIONAL VALUE FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- --------------- ------------ -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, (Net of Foreign Taxes Withheld of $0, $171, $972
and $0, respectively)....................................... -- $ 1,662 $ 9,040 --
Interest...................................................... -- 107 868 $ 7,925
Income from Securities Lending................................ -- 56 250 --
Net Investment Income from The DFA Investment Trust Company... $ 3,661 -- -- --
---------- ------- ------------ -------------
Total Investment Income................................... 3,661 1,825 10,158 7,925
---------- ------- ------------ -------------
EXPENSES
Investment Advisory Services.................................. -- 211 2,783 184
Administrative Services....................................... 890 -- -- --
Accounting & Transfer Agent Fees.............................. 38 111 455 66
Custodian's Fee............................................... -- 37 372 15
Legal Fees.................................................... 4 7 29 4
Audit Fees.................................................... 1 5 25 7
Filing Fees................................................... 57 14 114 25
Shareholders' Reports......................................... 10 3 21 5
Directors' Fees and Expenses.................................. 2 4 25 3
Other......................................................... 8 8 46 3
---------- ------- ------------ -------------
Total Expenses............................................ 1,010 400 3,870 312
---------- ------- ------------ -------------
NET INVESTMENT INCOME......................................... 2,651 1,425 6,288 7,613
---------- ------- ------------ -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY
Net Realized Gain (Loss) on Investment Securities............. 151 (71) 15,347 604
Net Realized Gain (Loss) on Foreign Currency Transactions..... 698 (12) (18) --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................ (58,004) 1,055 (126,164) 281
Translation of Foreign Currency Denominated Amounts....... (18) (6) (8) --
---------- ------- ------------ -------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY.................................................... (57,173) 966 (110,843) 885
---------- ------- ------------ -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS... $ (54,522) $ 2,391 $ (104,555) $ 8,498
---------- ------- ------------ -------------
---------- ------- ------------ -------------
</TABLE>
See accompanying Notes to Financial Statements.
70
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
THE DFA THE DFA TWO-YEAR THE DFA
ONE-YEAR FIVE-YEAR GLOBAL FIXED GLOBAL FIXED
FIXED INCOME GOVERNMENT INCOME INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ------------ ------------- -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest...................................................... -- $ 11,919 -- $ 10,217
Income Distributions Received................................. $ 45,390 -- $ 25,359 --
------------- ------------ ------------- -------------
Total Investment Income................................. 45,390 11,919 25,359 10,217
------------- ------------ ------------- -------------
EXPENSES
Investment Advisory Services.................................. -- 382 -- 519
Administrative Fees........................................... 768 -- 370 --
Accounting & Transfer Agent Fees.............................. 19 87 19 239
Custodian's Fee............................................... -- 24 -- 48
Legal Fees.................................................... 6 6 3 14
Audit Fees.................................................... 2 10 1 12
Filing Fees................................................... 95 23 157 27
Shareholders' Reports......................................... 26 7 14 8
Directors' Fees and Expenses.................................. 3 4 2 8
Other......................................................... 2 3 9 3
------------- ------------ ------------- -------------
Total Expenses.......................................... 921 546 575 878
------------- ------------ ------------- -------------
NET INVESTMENT INCOME......................................... 44,469 11,373 24,784 9,339
------------- ------------ ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY
Capital Gain Distributions Received........................... -- -- 251 --
Net Realized Gain (Loss) on Investment Securities............. (153) 2,329 (257) 1,496
Net Realized Gain on Foreign Currency Transactions............ -- -- -- 10,999
Change in Unrealized (Depreciation) of:
Investment Securities and Foreign Currency.................. (1,625) (3,322) (4,154) (9,751)
Translation of Foreign Currency Denominated Amounts......... -- -- -- 3,858
------------- ------------ ------------- -------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY.................................................... (1,778) (993) (4,160) 6,602
------------- ------------ ------------- -------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............ $ 42,691 $ 10,380 $ 20,624 $ 15,941
------------- ------------ ------------- -------------
------------- ------------ ------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
71
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. 6-10 THE ENHANCED
THE U.S. 9-10 SMALL COMPANY THE U.S. LARGE U.S. LARGE
SMALL COMPANY PORTFOLIO COMPANY PORTFOLIO COMPANY PORTFOLIO
PORTFOLIO --------------------- -------------------- ------------------------
------------------------ YEAR YEAR YEAR JULY 3,
YEAR ENDED YEAR ENDED YEAR ENDED ENDED ENDED ENDED YEAR ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1997 1996 1997 1996 1997 1996
----------- ----------- ---------- --------- --------- --------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.......... $ 2,784 $ 2,408 $ 1,369 $ 1,695 $ 4,429 $ 2,729 $ 1,501 $ 300
Capital Gain Distributions
Received..................... -- -- 25,830 10,281 -- 685 3,438 --
Net Realized Gain (Loss) on
Investment Securities........ 203,572 112,062 3,502 (840) 386 83 (223) 1
Change in Unrealized
Appreciation (Depreciation)
of Investment Securities..... 117,414 61,134 34,002 25,253 61,568 30,957 2,464 4,091
----------- ----------- ---------- --------- --------- --------- ----------- -----------
Net Increase in Net Assets
Resulting from
Operations............... 323,770 175,604 64,703 36,389 66,383 34,454 7,180 4,392
----------- ----------- ---------- --------- --------- --------- ----------- -----------
Distributions From:
Net Investment Income.......... (2,613) (505) (1,724) (218) (4,238) (1,899) (1,430) --
Net Realized Gains............. (112,075) (63,526) (14,685) (5,838) (1,083) (32) (1,462) --
----------- ----------- ---------- --------- --------- --------- ----------- -----------
Total Distributions........ (114,688) (64,031) (16,409) (6,056) (5,321) (1,931) (2,892) --
----------- ----------- ---------- --------- --------- --------- ----------- -----------
Capital Share Transactions (1):
Shares Issued.................. 280,065 244,685 150,640 72,430 129,228 84,328 30,747 25,636
Shares Issued in Lieu of Cash
Distributions................ 102,836 59,632 14,417 5,852 4,190 1,569 796 --
Shares Redeemed................ (264,360) (159,560) (109,553) (61,065) (38,700) (27,774) (17,425) (792)
----------- ----------- ---------- --------- --------- --------- ----------- -----------
Net Increase From Capital
Shares Transactions...... 118,541 144,757 55,504 17,217 94,718 58,123 14,118 24,844
----------- ----------- ---------- --------- --------- --------- ----------- -----------
Total Increase............. 327,623 256,330 103,798 47,550 155,780 90,646 18,406 29,236
NET ASSETS
Beginning of Period............ 1,181,804 925,474 234,194 186,644 187,757 97,111 29,236 --
----------- ----------- ---------- --------- --------- --------- ----------- -----------
End of Period.................. $ 1,509,427 $ 1,181,804 $ 337,992 $ 234,194 $ 343,537 $ 187,757 $ 47,642 $ 29,236
----------- ----------- ---------- --------- --------- --------- ----------- -----------
----------- ----------- ---------- --------- --------- --------- ----------- -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................. 22,996 21,310 10,399 5,343 5,125 4,258 2,448 2,543
Shares Issued in Lieu of Cash
Distributions............... 9,206 5,684 1,066 469 173 80 68 --
Shares Redeemed............... (21,719) (13,545) (7,570) (4,459) (1,498) (1,436) (1,488) (71)
----------- ----------- ---------- --------- --------- --------- ----------- -----------
10,483 13,449 3,895 1,353 3,800 2,902 1,028 2,472
----------- ----------- ---------- --------- --------- --------- ----------- -----------
----------- ----------- ---------- --------- --------- --------- ----------- -----------
</TABLE>
See accompanying Notes to Financial Statements.
72
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE DFA
6-10 VALUE LARGE CAP VALUE REAL ESTATE SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------ -------------------- -----------------------
YEAR YEAR YEAR YEAR YEAR
YEAR ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1997 1996 1997 1996
----------- ----------- --------- --------- ------------ ---------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.............................. $ 6,176 $ 7,300 $ 11,814 $ 8,545 $ 5,413 $ 3,547
Capital Gain Distributions Received................ 55,250 15,384 28,840 7,389 -- --
Net Realized Gain (Loss) on Investment
Securities....................................... (793) (917) (374) (293) 9,447 (381)
Change in Unrealized Appreciation (Depreciation) of
Investment
Securities....................................... 429,999 169,583 112,833 69,244 8,112 9,679
----------- ----------- --------- --------- ------------ ---------
Net Increase in Net Assets Resulting from
Operations................................... 490,632 191,350 153,113 84,885 22,972 12,845
----------- ----------- --------- --------- ------------ ---------
Distributions From:
Net Investment Income.............................. (7,821) (761) (11,318) (6,174) (3,559) (628)
Net Realized Gains................................. (26,324) (2,190) (11,813) (22) -- --
----------- ----------- --------- --------- ------------ ---------
Total Distributions............................ (34,145) (2,951) (23,131) (6,196) (3,559) (628)
----------- ----------- --------- --------- ------------ ---------
Capital Share Transactions (1):
Shares Issued...................................... 644,816 503,665 244,279 254,835 44,305 21,011
Shares Issued in Lieu of Cash Distributions........ 28,379 2,393 17,570 4,665 2,916 571
Shares Redeemed.................................... (238,326) (97,109) (92,977) (77,955) (35,952) (12,844)
----------- ----------- --------- --------- ------------ ---------
Net Increase From Capital Shares
Transactions................................. 434,869 408,949 168,872 181,545 11,269 8,738
----------- ----------- --------- --------- ------------ ---------
Total Increase................................. 891,356 597,348 298,854 260,234 30,682 20,955
NET ASSETS
Beginning of Period................................ 1,207,298 609,950 541,149 280,915 64,390 43,435
----------- ----------- --------- --------- ------------ ---------
End of Period...................................... $ 2,098,654 $ 1,207,298 $ 840,003 $ 541,149 $ 95,072 $ 64,390
----------- ----------- --------- --------- ------------ ---------
----------- ----------- --------- --------- ------------ ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued..................................... 34,268 33,774 14,060 17,878 3,193 1,878
Shares Issued in Lieu of Cash Distributions....... 1,683 169 1,083 329 222 54
Shares Redeemed................................... (11,957) (6,426) (5,299) (5,490) (2,384) (1,184)
----------- ----------- --------- --------- ------------ ---------
23,994 27,517 9,844 12,717 1,031 748
----------- ----------- --------- --------- ------------ ---------
----------- ----------- --------- --------- ------------ ---------
</TABLE>
See accompanying Notes to Financial Statements.
73
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE JAPANESE THE PACIFIC RIM THE UNITED KINGDOM
SMALL COMPANY SMALL COMPANY SMALL COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------- --------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1997 1996 1997 1996
---------- ---------- ---------- --------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income................................ $ 1,001 $ 884 $ 3,827 $ 3,482 $ 3,635 $ 4,164
Net Realized Gain (Loss) on Investment Securities.... (1,544) 17,037 5,758 11,893 12,752 8,116
Net Realized Gain (Loss) on Foreign Currency
Transactions....................................... 62 (141) (370) (15) 117 (13)
Change in Unrealized Appreciation
(Depreciation) of :
Investment Securities and Foreign Currency......... (134,974) (31,890) (81,707) 19,876 (4,795) 27,016
Translation of Foreign Currency Denominated
Amounts.......................................... (17) (5) (10) 8 (1) 26
---------- ---------- ---------- --------- ----------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations...................... (135,472) (14,115) (72,502) 35,244 11,708 39,309
---------- ---------- ---------- --------- ----------- ---------
Distributions From:
Net Investment Income................................ (778) (81) (4,235) (223) (4,223) (414)
Net Realized Gains................................... (16,082) (5,829) (11,345) (5,234) (7,613) (10,649)
---------- ---------- ---------- --------- ----------- ---------
Total Distributions.............................. (16,860) (5,910) (15,580) (5,457) (11,836) (11,063)
---------- ---------- ---------- --------- ----------- ---------
Capital Share Transactions (1):
Shares Issued........................................ 47,734 60,653 11,716 37,822 9,340 23,463
Shares Issued in Lieu of Cash Distributions.......... 16,860 5,910 15,580 5,457 11,836 11,063
Shares Redeemed...................................... (92,365) (123,531) (43,436) (50,661) (56,946) (63,713)
---------- ---------- ---------- --------- ----------- ---------
Net Increase (Decrease) From Capital Shares
Transactions................................... (27,771) (56,968) (16,140) (7,382) (35,770) (29,187)
---------- ---------- ---------- --------- ----------- ---------
Total Increase (Decrease)........................ (180,103) (76,993) (104,222) 22,405 (35,898) (941)
NET ASSETS
Beginning of Period.................................. 294,120 371,113 215,542 193,137 166,789 167,730
---------- ---------- ---------- --------- ----------- ---------
End of Period........................................ $ 114,017 $ 294,120 $ 111,320 $ 215,542 $ 130,891 $ 166,789
---------- ---------- ---------- --------- ----------- ---------
---------- ---------- ---------- --------- ----------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued....................................... 3,244 2,514 789 2,370 337 931
Shares Issued in Lieu of Cash Distribution.......... 978 247 1,051 387 440 485
Shares Redeemed..................................... (6,140) (5,069) (3,110) (3,225) (2,073) (2,522)
---------- ---------- ---------- --------- ----------- ---------
(1,918) (2,308) (1,270) (468) (1,296) (1,106)
---------- ---------- ---------- --------- ----------- ---------
---------- ---------- ---------- --------- ----------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
74
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE RWB/DFA
THE CONTINENTAL THE INTERNATIONAL INTERNATIONAL
SMALL COMPANY SMALL COMPANY HIGH BOOK TO MARKET
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------- ----------------------- -----------------------
YEAR YEAR YEAR OCT. 1, YEAR YEAR
ENDED ENDED ENDED TO ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1997 1996 1997 1996
------------ --------- ------------ --------- ------------ ---------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income........................... $ 4,007 $ 5,883 $ 2,742 $ 85 $ 4,718 $ 4,140
Capital Gain Distributions Received............. -- -- -- -- 5,179 1,341
Net Realized Gain (Loss) on Investment
Securities.................................... 16,008 18,140 (813) (75) 44 (162)
Net Realized Gain (Loss) on Foreign Currency
Transactions.................................. (405) (82) (109) 11 -- --
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... 16,460 18,297 (59,544) (558) (21,705) 23,232
Translation of Foreign Currency Denominated
Amounts..................................... (144) (64) (70) (7) -- --
------------ --------- ------------ --------- ------------ ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations................. 35,926 42,174 (57,794) (544) (11,764) 28,551
------------ --------- ------------ --------- ------------ ---------
Distributions From:
Net Investment Income........................... (5,597) (447) (200) -- (4,329) (187)
Net Realized Gains.............................. (16,811) (16,253) -- -- (2,675) (33)
------------ --------- ------------ --------- ------------ ---------
Total Distributions......................... (22,408) (16,700) (200) -- (7,004) (220)
------------ --------- ------------ --------- ------------ ---------
Capital Share Transactions (1):
Shares Issued................................... 11,783 36,520 211,077 104,726 101,480 98,529
Shares Issued in Lieu of Cash Distributions..... 22,408 16,700 200 -- 7,004 220
Shares Redeemed................................. (114,290) (93,485) (26,932) (64) (72,030) (41,726)
------------ --------- ------------ --------- ------------ ---------
Net Increase (Decrease) From Capital Shares
Transactions.............................. (80,099) (40,265) 184,345 104,662 36,454 57,023
------------ --------- ------------ --------- ------------ ---------
Total Increase (Decrease)................... (66,581) (14,791) 126,351 104,118 17,686 85,354
NET ASSETS
Beginning of Period............................. 299,325 314,116 104,118 -- 257,371 172,017
------------ --------- ------------ --------- ------------ ---------
End of Period................................... $ 232,744 $ 299,325 $ 230,469 $ 104,118 $ 275,057 $ 257,371
------------ --------- ------------ --------- ------------ ---------
------------ --------- ------------ --------- ------------ ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................. 775 2,469 21,979 10,456 7,480 7,546
Shares Issued in Lieu of Cash Distributions.... 1,582 1,233 21 -- 535 17
Shares Redeemed................................ (7,367) (6,315) (2,995) (6) (5,300) (3,173)
------------ --------- ------------ --------- ------------ ---------
(5,010) (2,613) 19,005 10,450 2,715 4,390
------------ --------- ------------ --------- ------------ ---------
------------ --------- ------------ --------- ------------ ---------
</TABLE>
See accompanying Notes to Financial Statements.
75
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
THE EMERGING THE LARGE CAP INTERNATIONAL
MARKETS INTERNATIONAL SMALL CAP VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------- -------------------- --------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1997 1996 1997 1996
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.................................... $ 2,651 $ 1,259 $ 1,425 $ 1,151 $ 6,288 $ 3,974
Net Realized Gain (Loss) on Investment Securities........ 151 42 (71) 553 15,347 10,843
Net Realized Gain (Loss) on Foreign Currency
Transactions........................................... 698 (78) (12) 5 (18) 8
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............. (58,004) 5,535 1,055 6,974 (126,164) (3,936)
Translation of Foreign Currency Denominated Amounts.... (18) 8 (6) 1 (8) (216)
--------- --------- --------- --------- --------- ---------
Net Increase (Decrease) in Net Assets Resulting from
Operations......................................... (54,522) 6,766 2,391 8,684 (104,555) 10,673
--------- --------- --------- --------- --------- ---------
Distributions From:
Net Investment Income.................................... (1,330) (19) (1,189) (93) (4,587) (69)
Net Realized Gains....................................... -- -- (464) -- (10,863) (18)
--------- --------- --------- --------- --------- ---------
Total Distributions.................................. (1,330) (19) (1,653) (93) (15,450) (87)
--------- --------- --------- --------- --------- ---------
Capital Share Transactions (1):
Shares Issued............................................ 146,704 116,568 29,793 32,545 221,239 231,671
Shares Issued in Lieu of Cash Distributions.............. 1,330 19 1,653 93 15,450 87
Shares Redeemed.......................................... (42,159) (10,646) (24,283) (29,847) (60,915) (13,981)
--------- --------- --------- --------- --------- ---------
Net Increase From Capital Shares Transactions........ 105,875 105,941 7,163 2,791 175,774 217,777
--------- --------- --------- --------- --------- ---------
Total Increase....................................... 50,023 112,688 7,901 11,382 55,769 228,363
NET ASSETS
Beginning of Period...................................... 162,025 49,337 79,322 67,940 375,488 147,125
--------- --------- --------- --------- --------- ---------
End of Period............................................ $ 212,048 $ 162,025 $ 87,223 $ 79,322 $ 431,257 $ 375,488
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................... 11,652 10,008 2,101 2,443 23,265 22,038
Shares Issued in Lieu of Cash Distributions............. 114 1 122 7 1,604 9
Shares Redeemed......................................... (3,541) (935) (1,703) (2,249) (6,517) (1,330)
--------- --------- --------- --------- --------- ---------
8,225 9,074 520 201 18,352 20,717
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
76
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
INTERMEDIATE THE DFA THE DFA
GOVERNMENT ONE-YEAR FIVE-YEAR
FIXED INCOME FIXED INCOME GOVERNMENT
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------- --------------------- ---------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1997 1996 1997 1996
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income........................... $ 7,613 $ 5,416 $ 44,469 $ 41,526 $ 11,373 $ 11,329
Net Realized Gain (Loss) on Investment
Securities.................................... 604 (28) (153) (278) 2,329 (887)
Change in Unrealized Appreciation (Depreciation)
of Investment Securities...................... 281 (323) (1,625) 4,048 (3,322) 3,233
--------- --------- --------- --------- --------- ---------
Net Increase in Net Assets Resulting from
Operations.................................. 8,498 5,065 42,691 45,296 10,380 13,675
--------- --------- --------- --------- --------- ---------
Distributions From:
Net Investment Income........................... (7,137) (3,946) (44,616) (41,474) (10,523) (6,632)
Net Realized Gains.............................. -- (313) (81) -- -- --
--------- --------- --------- --------- --------- ---------
Total Distributions........................... (7,137) (4,259) (44,697) (41,474) (10,523) (6,632)
--------- --------- --------- --------- --------- ---------
Capital Share Transactions (1):
Shares Issued................................... 42,284 39,452 430,934 671,259 79,939 92,309
Shares Issued in Lieu of Cash Distributions..... 1,171 1,047 36,040 31,884 8,591 4,746
Shares Redeemed................................. (16,205) (11,448) (567,252) (557,394) (58,396) (230,633)
--------- --------- --------- --------- --------- ---------
Net Increase (Decrease) From Capital Shares
Transactions................................ 27,250 29,051 (100,278) 145,749 30,134 (133,578)
--------- --------- --------- --------- --------- ---------
Total Increase (Decrease)..................... 28,611 29,857 (102,284) 149,571 29,991 (126,535)
NET ASSETS
Beginning of Period............................. 107,944 78,087 854,521 704,950 174,386 300,921
--------- --------- --------- --------- --------- ---------
End of Period................................... $ 136,555 $ 107,944 $ 752,237 $ 854,521 $ 204,377 $ 174,386
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................. 3,872 3,606 42,250 65,904 7,877 9,105
Shares Issued in Lieu of Cash Distributions.... 108 97 3,541 3,139 857 479
Shares Redeemed................................ (1,487) (1,033) (55,639) (54,688) (5,752) (22,787)
--------- --------- --------- --------- --------- ---------
2,493 2,670 (9,848) 14,355 2,982 (13,203)
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
77
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA TWO-YEAR THE DFA
GLOBAL FIXED INCOME GLOBAL FIXED INCOME
PORTFOLIO PORTFOLIO
--------------------- ---------------------
YEAR YEAR YEAR
ENDED FEB. 9, ENDED ENDED
NOV. 30, TO NOV. NOV. 30, NOV. 30,
1997 30, 1996 1997 1996
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income........................... $ 24,784 $ 6,638 $ 9,339 $ 7,357
Capital Gain Distributions Received............. 251 -- -- --
Net Realized Gain (Loss) on Investment
Securities.................................... (257) (24) 1,496 4,823
Net Realized Gain on Foreign Currency
Transactions.................................. -- -- 10,999 7,527
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... (4,154) 9,563 (9,751) (1,894)
Translation of Foreign Currency Denominated
Amounts..................................... -- -- 3,858 (1,417)
--------- --------- --------- ---------
Net Increase in Net Assets Resulting from
Operations................................ 20,624 16,177 15,941 16,396
--------- --------- --------- ---------
Distributions From:
Net Investment Income........................... (18,076) (6,015) (14,771) (8,834)
Net Capital Gains............................... (251) -- (1,383) --
--------- --------- --------- ---------
Total Distributions......................... (18,327) (6,015) (16,154) (8,834)
--------- --------- --------- ---------
Capital Share Transactions (1):
Shares Issued................................... 155,724 338,432 106,837 73,085
Shares Issued in Lieu of Cash Distributions..... 8,378 5,844 8,538 5,176
Shares Redeemed................................. (66,837) (35,095) (30,856) (128,217)
--------- --------- --------- ---------
Net Increase (Decrease) From Capital Shares
Transactions.............................. 97,265 309,181 84,519 (49,956)
--------- --------- --------- ---------
Total Increase (Decrease)................... 99,562 319,343 84,306 (42,394)
NET ASSETS
Beginning of Period............................. 319,343 -- 165,772 208,166
--------- --------- --------- ---------
End of Period................................... $ 418,905 $ 319,343 $ 250,078 $ 165,772
--------- --------- --------- ---------
--------- --------- --------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................. 15,130 33,694 9,896 7,056
Shares Issued in Lieu of Cash Distributions.... 820 580 956 286
Shares Redeemed................................ (6,488) (3,465) (2,889) (12,144)
--------- --------- --------- ---------
9,462 30,809 7,963 (4,802)
--------- --------- --------- ---------
--------- --------- --------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
78
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
-------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period............................ $ 12.14 $ 11.03 $ 8.49 $ 8.69 $ 7.75
------------ ----------- --------- --------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............. 0.03 0.03 0.05 0.01 0.03
Net Gain (Losses) on Securities
(Realized and Unrealized)....... 3.01 1.85 2.61 0.40 1.67
------------ ----------- --------- --------- --------
Total From Investment
Operations.................... 3.04 1.88 2.66 0.41 1.70
- ---------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............. (0.03) (0.01) (0.04) (0.03) (0.05)
Net Realized Gains................ (1.16) (0.76) (0.08) (0.58) (0.71)
------------ ----------- --------- --------- --------
Total Distributions............. (1.19) (0.77) (0.12) (0.61) (0.76)
- ---------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 13.99 $ 12.14 $ 11.03 $ 8.49 $ 8.69
- ---------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------
Total Return........................ 27.46% 18.05% 31.37% 5.06% 23.91%
- ---------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $ 1,509,427 $ 1,181,804 $ 925,474 $ 659,221 $630,918
Ratio of Expenses to Average Net
Assets............................ 0.60% 0.61% 0.62% 0.65% 0.70%
Ratio of Net Investment Income to
Average Net Assets................ 0.21% 0.22% 0.45% 0.16% 0.26%
Portfolio Turnover Rate............. 27.81% 23.68% 24.65% 16.56% 9.87%
Average Commission Rate (1)......... $ 0.0579 $ 0.0604 N/A N/A N/A
- ---------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
----------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1992 1991 1990 1989 1988
<S> <C> <C> <C> <C> <C>
- ------------------------------------ ----------------------------------------------------
Net Asset Value, Beginning of
Period............................ $ 6.33 $ 5.34 $ 7.74 $ 7.66 $ 7.50
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............. 0.04 0.04 0.07 0.07 0.10
Net Gain (Losses) on Securities
(Realized and Unrealized)....... 1.53 1.64 (1.77) 0.98 1.48
-------- -------- -------- -------- --------
Total From Investment
Operations.................... 1.57 1.68 (1.70) 1.05 1.58
- ------------------------------------ ----------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............. (0.05) (0.07) (0.08) (0.09) (0.11)
Net Realized Gains................ (0.10) (0.62) (0.62) (0.88) (1.31)
-------- -------- -------- -------- --------
Total Distributions............. (0.15) (0.69) (0.70) (0.97) (1.42)
- ------------------------------------ ----------------------------------------------------
Net Asset Value, End of Period...... $ 7.75 $ 6.33 $ 5.34 $ 7.74 $ 7.66
- ------------------------------------ ----------------------------------------------------
- ------------------------------------ ----------------------------------------------------
Total Return........................ 25.24% 39.08% (24.09)% 16.09% 24.36%
- ------------------------------------ ----------------------------------------------------
Net Assets, End of Period
(thousands)....................... $651,313 $722,289 $561,102 $949,291 $912,518
Ratio of Expenses to Average Net
Assets............................ 0.68% 0.64% 0.62% 0.62% 0.62%
Ratio of Net Investment Income to
Average Net Assets................ 0.53% 0.75% 0.99% 0.86% 1.19%
Portfolio Turnover Rate............. 9.72% 10.13% 3.79% 7.86% 25.98%
Average Commission Rate (1)......... N/A N/A N/A N/A N/A
- ------------------------------------ ----------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
79
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR MARCH 20
ENDED ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993 1992
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 14.53 $ 12.64 $ 11.08 $ 11.43 $ 10.35 $ 10.00
----------- -------- -------- -------- -------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.09 0.11 0.09 0.09 0.08 0.04
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 3.42 2.20 2.81 (0.07) 1.43 0.31
----------- -------- -------- -------- -------- ----------
Total From Investment
Operations.............. 3.51 2.31 2.90 0.02 1.51 0.35
- --------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.12) (0.02) (0.14) (0.09) (0.11) --
Net Realized Gains.......... (1.03) (0.40) (1.20) (0.28) (0.32) --
----------- -------- -------- -------- -------- ----------
Total Distributions....... (1.15) (0.42) (1.34) (0.37) (0.43) --
- --------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 16.89 $ 14.53 $ 12.64 $ 11.08 $ 11.43 $ 10.35
- --------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------
Total Return.................. 26.12% 18.73% 28.75% 0.22% 14.72% 6.70%#
- --------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 337,992 $234,194 $186,644 $112,137 $136,863 $134,418
Ratio of Expenses to Average
Net Assets**................ 0.45% 0.48% 0.49% 0.53% 0.58% 0.48%*
Ratio of Net Investment Income
to Average Net Assets....... 0.48% 0.75% 0.83% 0.72% 0.70% 0.96%*
Portfolio Turnover Rate....... N/A N/A N/A N/A 1.81%*(b) 3.41%*
Average Commission Rate....... N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 30.04% 32.38% 21.16% 27.65% 32.88%*(c) N/A
Average Commission Rate of
Master Fund Series (1)...... $ 0.0583 $ 0.0586 N/A N/A N/A N/A
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. LARGE COMPANY PORTFOLIO
-----------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR DEC. 31,
ENDED ENDED ENDED ENDED ENDED ENDED 1990 TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993 1992 1991
- ------------------------------ -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 22.73 $ 18.12 $ 13.58 $ 13.91 $ 13.12 $ 11.44 $ 10.00
--------- --------- --------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.42 0.41 0.35 0.37 0.36 0.36 0.34
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 5.89 4.52 4.57 (0.22) 0.87 1.69 1.34
--------- --------- --------- --------- --------- --------- ---------
Total From Investment
Operations.............. 6.31 4.93 4.92 0.15 1.23 2.05 1.68
- ------------------------------ -----------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.43) (0.31) (0.36) (0.37) (0.44) (0.37) (0.24)
Net Realized Gains.......... (0.13) (0.01) (0.02) (0.11) -- -- --
--------- --------- --------- --------- --------- --------- ---------
Total Distributions....... (0.56) (0.32) (0.38) (0.48) (0.44) (0.37) (0.24)
- ------------------------------ -----------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 28.48 $ 22.73 $ 18.12 $ 13.58 $ 13.91 $ 13.12 $ 11.44
- ------------------------------ -----------------------------------------------------------------------------------------
- ------------------------------ -----------------------------------------------------------------------------------------
Total Return.................. 28.26% 27.49% 36.54% 1.04% 9.48% 18.23% 16.80%#
- ------------------------------ -----------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 343,537 $ 187,757 $ 97,111 $ 48,638 $ 37,830 $ 34,908 $ 22,279
Ratio of Expenses to Average
Net Assets**................ 0.15%(a) 0.21%(a) 0.24%(a) 0.24%(a) 0.24%(a) 0.11%(a) 0.00%*(a)
Ratio of Net Investment Income
to Average Net Assets....... 1.66%(a) 2.10%(a) 2.29%(a) 2.75%(a) 2.48%(a) 2.86%(a) 3.42%*(a)
Portfolio Turnover Rate....... N/A N/A N/A N/A 27.67%*(b) 3.56% 0.97%*
Average Commission Rate....... N/A N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 4.28% 14.09% 2.38% 8.52% 34.36%*(c) N/A N/A
Average Commission Rate of
Master Fund Series (1)...... $ 0.0202 $ 0.0212 N/A N/A N/A N/A N/A
- ------------------------------ -----------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series
for the year ended November 30, 1993 and subsequent periods.
(a) Had certain waivers and reimbursements not been in effect the ratios of expenses to average net assets for the periods
ended November 30, 1997 through 1991 would have been 0.35%, 0.45%, 0.46%, 0.66%, 0.79%, 0.53% and 0.52%, respectively,
and the ratios of net investment income to average net assets for the periods ended November 30, 1997 through 1991 would
have been 1.46%, 1.85%, 2.23%, 2.64%, 2.28%, 2.44% and 2.90%, respectively.
(b) Portfolio turnover calculated for the period December 1, 1992 to February 2, 1993 and December 1, 1992 to February 7,
1993, respectively (through date of Exchange transaction, see respective Master Fund Series for rate subsequent to
Exchange transaction.)
(c) Master Fund Series turnover calculated for the period February 3 to November 30, 1993 and February 8 to November 3, 1993,
respectively.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged as required by the SEC for fiscal years beginning
after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
80
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE ENHANCED U.S.
LARGE COMPANY
PORTFOLIO THE U.S. 6-10 VALUE PORTFOLIO
---------------------- ---------------------------------------------------------------------
YEAR JULY 3 YEAR YEAR YEAR YEAR MARCH 2
ENDED TO ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1997 1996 1995 1994 1993
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 11.83 $ 10.00 $ 17.00 $ 14.03 $ 11.13 $ 11.04 $ 10.00
--------- --------- ----------- ----------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.54 0.12 0.07 0.11 0.10 0.14 0.11
Net Gain (Losses) on
Securities (Realized and
Unrealized)............... 2.40 1.71 5.49 2.93 3.06 0.10 1.03
--------- --------- ----------- ----------- --------- --------- ---------
Total From Investment
Operations.............. 2.94 1.83 5.56 3.04 3.16 0.24 1.14
- ------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.55) -- (0.11) (0.02) (0.10) (0.15) (0.10)
Net Realized Gains.......... (0.61) -- (0.36) (0.05) (0.16) -- --
--------- --------- ----------- ----------- --------- --------- ---------
Total Distributions....... (1.16) -- (0.47) (0.07) (0.26) (0.15) (0.10)
- ------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 13.61 $ 11.83 $ 22.09 $ 17.00 $ 14.03 $ 11.13 $ 11.04
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
Total Return.................. 27.22% 18.30%# 33.57% 21.70% 28.41% 2.19% 11.39%#
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 47,642 $ 29,236 $ 2,098,654 $ 1,207,298 $ 609,950 $ 344,148 $ 95,682
Ratio of Expenses to Average
Net Assets**................ 0.52%(a) 0.65%* 0.60% 0.61% 0.64% 0.66% 0.70%*
Ratio of Net Investment Income
to Average Net Assets....... 4.51%(a) 3.44%* 0.37% 0.78% 0.85% 1.69% 1.97%*
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A N/A N/A
Average Commission Rate....... N/A N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 193.78% 211.07%* 25.47% 14.91% 20.62% 8.22% 1.07%*
Average Commission Rate of
Master Fund Series (1)...... $ 0.0246 $ 0.0200 $ 0.0645 $ 0.0658 N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
(a) Had certain waivers and reimbursments not been in effect, the ratio of expenses to average net assets for the year ended
November 30, 1997 would have been 0.54% and the ratio of net investment income to average net assets for the year ended
November 30, 1997 would have been 4.49%.
</TABLE>
See accompanying Notes to Financial Statements.
81
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE CAP VALUE PORTFOLIO
--------------------------------------------------------------
YEAR YEAR YEAR FEB. 19
YEAR ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 15.98 $ 13.29 $ 9.91 $ 10.60 $ 10.00
----------- -------- -------- -------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss).......... 0.29 0.30 0.29 0.32 0.18
Net Gain (Losses) on Securities
(Realized and Unrealized)........... 3.60 2.62 3.55 (0.68) 0.59
----------- -------- -------- -------- ----------
Total From Investment Operations.... 3.89 2.92 3.84 (0.36) 0.77
- -------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.30) (0.23) (0.29) (0.33) (0.17)
Net Realized Gain..................... (0.35) -- (0.17) -- --
Tax Return of Capital................. -- -- -- -- --
----------- -------- -------- -------- ----------
Total Distributions................. (0.65) (0.23) (0.46) (0.33) (0.17)
- -------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 19.22 $ 15.98 $ 13.29 $ 9.91 $ 10.60
- -------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------
Total Return............................ 25.10% 22.20% 39.13% (3.27)% 7.59%#
- -------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 840,003 $541,149 $280,915 $197,566 $90,288
Ratio of Expenses to Average Net
Assets**.............................. 0.35% 0.36% 0.42% 0.44% 0.47%*
Ratio of Net Investment Income to
Average Net Assets.................... 1.70% 2.17% 2.49% 3.50% 3.38%*
Portfolio Turnover Rate................. N/A N/A N/A N/A N/A
Average Commission Rate (1)............. N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ 17.71% 20.12% 29.41% 39.33% 0.75%*
Average Commission Rate of Master Fund
Series (1)............................ $ 0.0494 $ 0.0499 N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
-------------------------------------------------------------------
YEAR YEAR YEAR JAN. 5
YEAR ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993
- ---------------------------------------- -------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 12.65 $ 10.00 $ 9.28 $ 10.92 $ 10.00
------------- -------- -------- -------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss).......... 0.88 0.71 0.61 0.37 0.20
Net Gain (Losses) on Securities
(Realized and Unrealized)........... 2.68 2.08 0.68 (1.65) 0.91
------------- -------- -------- -------- ----------
Total From Investment Operations.... 3.56 2.79 1.29 (1.28) 1.11
- ---------------------------------------- -------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.68) (0.14) (0.46) (0.28) (0.19)
Net Realized Gain..................... -- -- -- -- --
Tax Return of Capital................. -- -- (0.11) (0.08) --
------------- -------- -------- -------- ----------
Total Distributions................. (0.68) (0.14) (0.57) (0.36) (0.19)
- ---------------------------------------- -------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 15.53 $ 12.65 $ 10.00 $ 9.28 $ 10.92
- ---------------------------------------- -------------------------------------------------------------------
- ---------------------------------------- -------------------------------------------------------------------
Total Return............................ 29.13% 28.24% 14.00% (11.76)% 11.08%#
- ---------------------------------------- -------------------------------------------------------------------
Net Assets, End of Period (thousands)... $95,072 $64,390 $43,435 $30,456 $22,106
Ratio of Expenses to Average Net
Assets**.............................. 0.48% 0.71% 0.82% 0.90% 0.88%*
Ratio of Net Investment Income to
Average Net Assets.................... 5.73% 7.08% 6.76% 3.90% 2.63%*
Portfolio Turnover Rate................. 30.73% 11.25% 0.66% 28.87% 0.55%*
Average Commission Rate (1)............. $0.0449 $0.0455 N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ N/A N/A N/A N/A N/A
Average Commission Rate of Master Fund
Series (1)............................ N/A N/A N/A N/A N/A
- ---------------------------------------- -------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized.
** Represents the respective combined ratios for The U.S. Large Cap Value Portfolio and its pro-rata share of its Master
Fund Series.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
82
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
THE JAPANESE SMALL COMPANY PORTFOLIO
-----------------------------------------------------------------------
YEAR YEAR YEAR YEAR
YEAR ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period...................... $ 21.03 $ 22.78 $ 25.06 $ 19.96 $ 18.92
----------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss).................... 0.09 0.07 0.06 0.05 0.04
Net Gain (Losses) on
Securities
(Realized and
Unrealized)............... (10.45) (1.45) (1.65) 5.76 1.75
----------- --------- --------- --------- ---------
Total From Investment
Operations.............. (10.36) (1.38) (1.59) 5.81 1.79
- ----------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.06) (0.01) (0.06) (0.04) (0.05)
Net Realized Gains.......... (1.16) (0.36) (0.63) (0.67) (0.70)
----------- --------- --------- --------- ---------
Total Distributions....... (1.22) (0.37) (0.69) (0.71) (0.75)
- ----------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 9.45 $ 21.03 $ 22.78 $ 25.06 $ 19.96
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
Total Return.................. (51.90)% (6.28)% (6.54)% 29.59% 9.52%
- ----------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 114,017 $ 294,120 $ 371,113 $ 330,674 $ 209,244
Ratio of Expenses to Average
Net Assets**................ 0.73% 0.72% 0.74% 0.76% 0.82%
Ratio of Net Investment Income
to Average Net Assets....... 0.50% 0.24% 0.25% 0.10% 0.06%
Portfolio Turnover Rate....... N/A 18.52%*(a) 7.79% 10.51% 9.36%
Average Commission Rate (1)... N/A $ 0.0458(a) N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 13.17% 1.67%*(b) N/A N/A N/A
Average Commission Rate of
Master Fund Series (1)...... $ 0.0282 $ 0.0427(b) N/A N/A N/A
- ----------------------------------------------------------------------------------------------------------
<CAPTION>
THE JAPANESE SMALL COMPANY PORTFOLIO
---------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1992 1991 1990 1989 1988
<S> <C> <C> <C> <C> <C>
- ------------------------------ ---------------------------------------------------------------------
Net Asset Value, Beginning of
Period...................... $ 25.05 $ 26.27 $ 38.33 $ 31.03 $ 24.87
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income
(Loss).................... 0.04 (0.01) (0.03) (0.09) (0.05)
Net Gain (Losses) on
Securities
(Realized and
Unrealized)............... (5.69) 0.51 (10.74) 9.09 10.42
--------- --------- --------- --------- ---------
Total From Investment
Operations.............. (5.65) 0.50 (10.77) 9.00 10.37
- ------------------------------ ---------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... -- -- -- -- --
Net Realized Gains.......... (0.48) (1.72) (1.29) (1.70) (4.21)
--------- --------- --------- --------- ---------
Total Distributions....... (0.48) (1.72) (1.29) (1.70) (4.21)
- ------------------------------ ---------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 18.92 $ 25.05 $ 26.27 $ 38.33 $ 31.03
- ------------------------------ ---------------------------------------------------------------------
- ------------------------------ ---------------------------------------------------------------------
Total Return.................. (23.01)% 1.68% (29.12)% 30.63% 47.62%
- ------------------------------ ---------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 139,892 $ 159,475 $ 149,100 $ 168,820 $ 107,863
Ratio of Expenses to Average
Net Assets**................ 0.78% 0.78% 0.83% 0.76% 0.76%
Ratio of Net Investment Income
to Average Net Assets....... 0.10% (0.11)% (0.22)% (0.34)% (0.23)%
Portfolio Turnover Rate....... 5.00% 2.71% 10.26% 5.76% 9.14%
Average Commission Rate (1)... N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... N/A N/A N/A N/A N/A
Average Commission Rate of
Master Fund Series (1)...... N/A N/A N/A N/A N/A
- ------------------------------ ---------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
** Represents the combined ratios for the portfolio and its pro-rata share of its Master Fund Series for the period ended
November 30, 1996 and subsequent periods.
(a) Portfolio turnover and average commission calculated for the period December 1, 1995 to August 9, 1996, (through date of
Transfer transaction).
(b) Items calculated for the period August 9 to November 30, 1996.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
83
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
--------------------------------------------------------------------------
YEAR YEAR YEAR YEAR JAN. 5
ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period...... $ 16.63 $ 14.38 $ 15.98 $ 16.45 $ 10.00
----------- --------- --------- --------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................... 0.32 0.27 0.34 0.23 0.11
Net Gain (Losses) on Securities
(Realized and Unrealized)............. (6.22) 2.40 (1.33) 0.47 6.46
----------- --------- --------- --------- --------
Total From Investment Operations...... (5.90) 2.67 (0.99) 0.70 6.57
- ----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................... (0.33) (0.02) (0.34) (0.23) (0.09)
Net Realized Gains...................... (0.88) (0.40) (0.27) (0.94) (0.03)
----------- --------- --------- --------- --------
Total Distributions................... (1.21) (0.42) (0.61) (1.17) (0.12)
- ----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 9.52 $ 16.63 $ 14.38 $ 15.98 $ 16.45
- ----------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------
Total Return.............................. (38.07)% 19.06% (6.27)% 4.26% 65.71%#
- ----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $ 111,320 $ 215,542 $ 193,137 $ 212,953 $164,623
Ratio of Expenses to Average Net
Assets**................................ 0.84% 0.84% 0.83% 0.95% 1.16%*
Ratio of Net Investment Income to Average
Net Assets.............................. 1.95% 1.70% 2.22% 1.47% 1.27%*
Portfolio Turnover Rate................... N/A 7.05%*(a) 5.95% 26.05% 2.77%*
Average Commission Rate (1)............... N/A $ 0.0094(a) N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series.................................. 24.00% 8.04%(b) N/A N/A N/A
Average Commission Rate of Master Fund
Series (1).............................. $ 0.0042 $ 0.0102(b) N/A N/A N/A
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series
for the period ended November 30, 1996 and subsequent periods.
(a) Portfolio turnover and average commission calculated for the period December 1, 1995 to August 9, 1996, (through date of
Transfer transaction).
(b) Items calculated for the period August 9 to November 30, 1996.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
84
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period............................ $ 28.47 $ 24.09 $ 23.20 $ 21.22 $ 16.38
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............. 0.81 0.72 0.84 0.48 0.45
Net Gain (Losses) on Securities
(Realized and Unrealized)....... 1.46 5.31 1.12 2.03 5.34
-------- -------- -------- -------- --------
Total From Investment
Operations.................... 2.27 6.03 1.96 2.51 5.79
- --------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............. (0.73) (0.06) (0.76) (0.53) (0.95)
Net Realized Gains................ (1.32) (1.59) (0.31) -- --
-------- -------- -------- -------- --------
Total Distributions............. (2.05) (1.65) (1.07) (0.53) (0.95)
- --------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 28.69 $ 28.47 $ 24.09 $ 23.20 $ 21.22
- --------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------
Total Return........................ 8.45% 26.76% 8.39% 11.85% 36.42%
- --------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $130,891 $166,789 $167,730 $214,113 $181,789
Ratio of Expenses to Average Net
Assets**.......................... 0.70% 0.73% 0.72% 0.74% 0.78%
Ratio of Net Investment Income to
Average Net Assets................ 2.40% 2.49% 2.51% 1.95% 2.22%
Portfolio Turnover Rate............. N/A 3.72%*(a) 7.82% 10.75% 8.21%
Average Commission Rate (1)......... N/A $ 0.0103(a) N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series....................... 4.26% 4.55%*(b) N/A N/A N/A
Average Commission Rate of Master
Fund Series (1)................... $ 0.0073 $ 0.0050(b) N/A N/A N/A
- --------------------------------------------------------------------------------------------------
<CAPTION>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
----------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1992 1991 1990 1989 1988
<S> <C> <C> <C> <C> <C>
- ------------------------------------ ----------------------------------------------------
Net Asset Value, Beginning of
Period............................ $ 21.37 $ 20.41 $ 22.55 $ 28.29 $ 23.41
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............. 0.64 0.69 0.92 0.52 0.61
Net Gain (Losses) on Securities
(Realized and Unrealized)....... (4.98) 1.71 (1.34) (4.75) 5.18
-------- -------- -------- -------- --------
Total From Investment
Operations.................... (4.34) 2.40 (0.42) (4.23) 5.79
- ------------------------------------ ----------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............. (0.65) (0.90) (0.75) (0.54) (0.28)
Net Realized Gains................ -- (0.54) (0.97) (0.97) (0.63)
-------- -------- -------- -------- --------
Total Distributions............. (0.65) (1.44) (1.72) (1.51) (0.91)
- ------------------------------------ ----------------------------------------------------
Net Asset Value, End of Period...... $ 16.38 $ 21.37 $ 20.41 $ 22.55 $ 28.29
- ------------------------------------ ----------------------------------------------------
- ------------------------------------ ----------------------------------------------------
Total Return........................ (20.93)% 12.55% (2.22)% (15.40)% 23.66%
- ------------------------------------ ----------------------------------------------------
Net Assets, End of Period
(thousands)....................... $121,086 $146,873 $127,137 $119,385 $121,337
Ratio of Expenses to Average Net
Assets**.......................... 0.76% 0.84% 0.83% 0.70% 0.71%
Ratio of Net Investment Income to
Average Net Assets................ 3.19% 3.44% 4.34% 2.24% 2.58%
Portfolio Turnover Rate............. 4.41% 4.50% 10.86% 11.38% 12.55%
Average Commission Rate (1)......... N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series....................... N/A N/A N/A N/A N/A
Average Commission Rate of Master
Fund Series (1)................... N/A N/A N/A N/A N/A
- ------------------------------------ ----------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series
for the period ended November 30, 1996 and subsequent periods.
(a) Portfolio turnover and average commission calculated for the period December 1, 1995 to August 9, 1996, (through date of
Transfer transaction).
(b) Items calculated for the period August 9 to November 30, 1996.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
85
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
-------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period............................ $ 15.26 $ 14.13 $ 14.63 $ 12.62 $ 11.39
----------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss)...... 0.29 0.30 0.29 0.18 0.23
Net Gain (Losses) on Securities
(Realized and Unrealized)....... 1.55 1.58 (0.48) 2.10 1.46
----------- --------- --------- --------- ---------
Total From Investment
Operations.................... 1.84 1.88 (0.19) 2.28 1.69
- ---------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............. (0.29) (0.02) (0.29) (0.19) (0.44)
Net Realized Gains................ (0.87) (0.73) (0.02) (0.07) (0.02)
Tax Return of Capital............. -- -- -- (0.01) --
----------- --------- --------- --------- ---------
Total Distributions............. (1.16) (0.75) (0.31) (0.27) (0.46)
- ---------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 15.94 $ 15.26 $ 14.13 $ 14.63 $ 12.62
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
Total Return........................ 13.02% 13.96% (1.33)% 18.19% 15.27%
- ---------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $ 232,744 $ 299,325 $ 314,116 $ 340,992 $ 266,175
Ratio of Expenses to Average Net
Assets**.......................... 0.72% 0.73% 0.74% 0.77% 0.83%
Ratio of Net Investment Income to
Average Net Assets................ 1.41% 1.81% 1.69% 1.21% 1.61%
Portfolio Turnover Rate............. N/A 3.67%*(a) 9.79% 10.22% 8.99%
Average Commission Rate (1)......... N/A $ 0.1030(a) N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series....................... 3.46% 6.69%*(c) N/A N/A N/A
Average Commission Rate of Master
Fund Series (1)................... $ 0.0586 $ 0.0392(c) N/A N/A N/A
- ---------------------------------------------------------------------------------------------------------
<CAPTION>
THE INTERNATIONAL SMALL
THE CONTINENTAL SMALL COMPANY PORTFOLIO COMPANY PORTFOLIO
------------------------------------------------------ ------------------------
YEAR YEAR YEAR YEAR APRIL 15 YEAR OCT. 1,
ENDED ENDED ENDED ENDED TO ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1992 1991 1990 1989 1988 1997 1996
<S> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------ ------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period............................ $ 14.18 $ 16.24 $ 16.15 $ 12.02 $ 10.00 $ 9.96 $ 10.00
-------- -------- -------- -------- -------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss)...... 0.28 0.27 0.25 0.12 0.17 0.10 0.01
Net Gain (Losses) on Securities
(Realized and Unrealized)....... (2.11) (1.66) 0.31 4.10 1.85 (2.22) (0.05)
-------- -------- -------- -------- -------- --------- ---------
Total From Investment
Operations.................... (1.83) (1.39) 0.56 4.22 2.02 (2.12) (0.04)
- ------------------------------------ ------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............. (0.26) (0.29) (0.20) (0.09) -- (0.02) --
Net Realized Gains................ (0.70) (0.38) (0.27) -- -- -- --
Tax Return of Capital............. -- -- -- -- -- -- --
-------- -------- -------- -------- -------- --------- ---------
Total Distributions............. (0.96) (0.67) (0.47) (0.09) -- (0.02) --
- ------------------------------------ ------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 11.39 $ 14.18 $ 16.24 $ 16.15 $ 12.02 $ 7.82 $ 9.96
- ------------------------------------ ------------------------------------------------------------------------------------
- ------------------------------------ ------------------------------------------------------------------------------------
Total Return........................ (13.85)% (9.11)% 3.50% 35.62% 20.01%# (21.35)% (0.40)%#
- ------------------------------------ ------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $196,845 $214,054 $245,465 $199,065 $78,689 $230,469 $ 104,118
Ratio of Expenses to Average Net
Assets**.......................... 0.90% 0.86% 0.89% 0.82% 1.05%* 0.75% 0.70%*(b)
Ratio of Net Investment Income to
Average Net Assets................ 2.11% 1.68% 1.63% 1.41% 3.27%* 1.46% 0.54%*(b)
Portfolio Turnover Rate............. 6.35% 7.69% 6.24% 5.70% 0.26%* N/A*** N/A***
Average Commission Rate (1)......... N/A N/A N/A N/A N/A N/A*** N/A***
Portfolio Turnover Rate of Master
Fund Series....................... N/A N/A N/A N/A N/A N/A N/A
Average Commission Rate of Master
Fund Series (1)................... N/A N/A N/A N/A N/A N/A N/A
- ------------------------------------ ------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its respective pro-rata shares of its Master Fund Series
for the period ended November 30, 1996 and subsequent periods.
*** Refer to the respective Master Fund Series.
(a) Portfolio turnover and average commission calculated for the period December 1, 1995 to August 9, 1996 (through date of
Transfer transaction).
(b) Had certain waivers and reimbursements not been in effect, the ratio of expenses to average net assets for the period
ended November 30, 1996 would have been 0.79%, respectively, and the ratio of net investment income to average net assets
for the period ended November 30, 1996 would have been 0.45%, respectively.
(c) Items calculated for the period August 9 to November 30, 1996.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
86
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE RWB/DFA INTERNATIONAL HIGH BOOK TO MARKET PORTFOLIO
-------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED JUNE 10 TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................... $ 13.76 $ 12.02 $ 11.44 $ 9.92 $ 10.00
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss)..... 0.22 0.22 0.19 0.14 0.06
Net Gain (Losses) on Securities
(Realized and Unrealized)...... (0.77) 1.53 0.60 1.52 (0.11)
----------- ----------- ----------- ----------- -----------
Total From Investment
Operations................... (0.55) 1.75 0.79 1.66 (0.05)
- ------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............ (0.23) (0.01) (0.19) (0.14) (0.03)
Net Realized Gains............... (0.14) -- (0.02) -- --
----------- ----------- ----------- ----------- -----------
Total Distributions............ (0.37) (0.01) (0.21) (0.14) (0.03)
- ------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..... $ 12.84 $ 13.76 $ 12.02 $ 11.44 $ 9.92
- ------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
Total Return....................... (4.04)% 14.61% 6.95% 16.71% (0.50)%#
- ------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $ 275,057 $ 257,371 $ 172,017 $ 112,952 $ 63,235
Ratio of Expenses to Average Net
Assets**......................... 0.50% 0.54% 0.68% 0.69%(a) 0.65%*(a)
Ratio of Net Investment Income to
Average Net Assets............... 1.72% 1.88% 1.85% 1.39%(a) 1.40%*(a)
Portfolio Turnover Rate............ N/A N/A N/A 0.15%*(b) 0.41%*
Average Commission Rate............ N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series...................... 22.55% 12.23% 9.75% 1.90%*(c) N/A
Average Commission Rate of Master
Fund Series (1).................. $ 0.0068 $ 0.0112 N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE EMERGING MARKETS PORTFOLIO
--------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED APRIL 25 TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994
- ----------------------------------- --------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................... $ 11.71 $ 10.35 $ 11.30 $ 10.00
----------- ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss)..... 0.12 0.09 0.06 (0.02)
Net Gain (Losses) on Securities
(Realized and Unrealized)...... (2.13) 1.27 (0.96) 1.32
----------- ----------- ----------- -----------
Total From Investment
Operations................... (2.01) 1.36 (0.90) 1.30
- ----------------------------------- --------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............ (0.09) -- (0.05) --
Net Realized Gains............... -- -- -- --
----------- ----------- ----------- -----------
Total Distributions............ (0.09) -- (0.05) --
- ----------------------------------- --------------------------------------------------------------
Net Asset Value, End of Period..... $ 9.61 $ 11.71 $ 10.35 $ 11.30
- ----------------------------------- --------------------------------------------------------------
- ----------------------------------- --------------------------------------------------------------
Total Return....................... (17.27)% 13.18% (7.96)% 13.00%#
- ----------------------------------- --------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $ 212,048 $ 162,025 $ 49,337 $ 15,731
Ratio of Expenses to Average Net
Assets**......................... 0.99% 1.15% 1.58% 2.43%*
Ratio of Net Investment Income to
Average Net Assets............... 1.19% 1.14% 0.98% (0.44)%*
Portfolio Turnover Rate............ N/A N/A N/A N/A
Average Commission Rate............ N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series...................... 0.54% 0.37% 8.17% 1.28%*
Average Commission Rate of Master
Fund Series (1).................. $ 0.0010 $ 0.0010 N/A N/A
- ----------------------------------- --------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series
for the period ended November 30, 1994 and subsequent periods.
(a) Had certain waivers and reimbursements not been in effect, the ratios of expenses to average net assets for the periods
ended November 30, 1994 and 1993 would have been 0.73% and 0.82%, respectively, and the ratios of net investment income
to average net assets for the periods ended November 30, 1994 and 1993 would have been 1.38% and 1.23%, respectively.
(b) Portfolio turnover calculated for the period December 1, 1993 to February 15, 1994 (through date of Exchange transaction,
see respective Master Fund Series for rate subsequent to Exchange transaction).
(c) Master Fund Series turnover calculated for the period February 16 to November 30, 1994.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
87
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE LARGE CAP INTERNATIONAL PORTFOLIO
-----------------------------------------------------------------------------------------------
JULY 15,
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993 1992 1991
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 14.18 $ 12.60 $ 11.91 $ 11.26 $ 9.63 $ 10.64 $ 10.00
----------- ----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.23 0.21 0.15 0.09 0.15 0.11 0.06
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 0.15 1.39 0.95 1.11 1.72 (1.04) 0.58
----------- ----------- ----------- ----------- ----------- ----------- -----------
Total From Investment
Operations 0.38 1.60 1.10 1.20 1.87 (0.93) 0.64
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.21) (0.02) (0.18) (0.09) (0.24) (0.07) --
Net Realized Gains.......... (0.08) -- (0.23) (0.46) -- (0.01) --
----------- ----------- ----------- ----------- ----------- ----------- -----------
Total Distributions....... (0.29) (0.02) (0.41) (0.55) (0.24) (0.08) --
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 14.27 $ 14.18 $ 12.60 $ 11.91 $ 11.26 $ 9.63 $ 10.64
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Total Return.................. 2.80% 12.68% 9.37% 10.74% 19.55% (9.00)% 2.88%#
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 87,223 $ 79,322 $ 67,940 $ 55,635 $ 78,472 $ 26,041 $ 4,360
Ratio of Expenses to Average
Net Assets.................. 0.47% 0.58% 0.57% 0.66% 0.55%(a) 0.50%(a) 0.50%*(a)
Ratio of Net Investment Income
to Average Net Assets....... 1.69% 1.57% 1.84% 1.18% 1.94%(a) 1.75%(a) 1.96%*(a)
Portfolio Turnover Rate....... 2.31% 17.65% 24.44% 33.15% 0.28% 0.20% 2.38%*
Average Commission Rate (1)... $ 0.0169 $ 0.0160 N/A N/A N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA INTERNATIONAL SMALL CAP VALUE
PORTFOLIO
------------------------------------------
YEAR
ENDED YEAR ENDED DEC. 30,
NOV. 30, NOV. 30, 1994 TO NOV.
1997 1996 30, 1995
- ------------------------------ ------------------------------------------
<S> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 10.45 $ 9.68 $ 10.00
------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.12 0.11 0.05
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (2.19) 0.66 (0.32)
------------ ------------ ------------
Total From Investment
Operations (2.07) 0.77 (0.27)
- ------------------------------ ------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.13) -- (0.04)
Net Realized Gains.......... (0.30) -- (0.01)
------------ ------------ ------------
Total Distributions....... (0.43) -- (0.05)
- ------------------------------ ------------------------------------------
Net Asset Value, End of
Period...................... $ 7.95 $ 10.45 $ 9.68
- ------------------------------ ------------------------------------------
- ------------------------------ ------------------------------------------
Total Return.................. (20.60)% 8.01% (2.73)%#
- ------------------------------ ------------------------------------------
Net Assets, End of Period
(thousands)................. $ 431,257 $ 375,488 $ 147,125
Ratio of Expenses to Average
Net Assets.................. 0.90% 0.99% 1.23%*
Ratio of Net Investment Income
to Average Net Assets....... 1.47% 1.38% 1.43%*
Portfolio Turnover Rate....... 13.63% 14.52% 1.62%*
Average Commission Rate (1)... $ 0.0056 $ 0.0092 N/A
- ------------------------------ ------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(a) Had certain fees and expenses not been waived or reimbursed, the ratios of expenses to average net assets for the periods
ended November 30, 1993, 1992 and 1991 would have been 0.66%, 1.35% and 2.31%, respectively, and the ratios of net
investment income to average net assets for the periods ended November 30, 1993, 1992 and 1991 would have been 1.83%,
0.90% and 0.15%, respectively.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
88
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
-------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR OCT. 22
ENDED ENDED ENDED ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993 1992 1991 1990
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................... $ 11.22 $ 11.24 $ 10.22 $ 11.59 $ 11.20 $ 11.02 $ 10.27 $ 10.00
---------- -------- --------- --------- --------- --------- --------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.66 0.65 0.70 0.69 0.55 0.76 0.84 0.09
Net Gain (Losses) on Securities
(Realized and Unrealized)...... 0.06 (0.13) 1.11 (1.22) 0.66 0.26 0.63 0.18
---------- -------- --------- --------- --------- --------- --------- --------
Total From Investment
Operations................... 0.72 0.52 1.81 (0.53) 1.21 1.02 1.47 0.27
- --------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............ (0.66) (0.50) (0.70) (0.68) (0.73) (0.78) (0.72) --
Net Realized Gains............... -- (0.04) (0.09) (0.16) (0.09) (0.06) -- --
---------- -------- --------- --------- --------- --------- --------- --------
Total Distributions............ (0.66) (0.54) (0.79) (0.84) (0.82) (0.84) (0.72) --
- --------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..... $ 11.28 $ 11.22 $ 11.24 $ 10.22 $ 11.59 $ 11.20 $ 11.02 $ 10.27
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
Total Return....................... 6.75% 4.98% 18.04% (4.72)% 12.84% 9.70% 14.94% 2.63%#
- --------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $ 136,555 $107,944 $ 78,087 $ 60,827 $ 53,051 $ 40,160 $ 29,393 $25,567
Ratio of Expenses to Average Net
Assets........................... 0.25% 0.26% 0.27% 0.29% 0.32% 0.29% 0.28% 0.23%*
Ratio of Net Investment Income to
Average Net Assets............... 6.20% 6.22% 6.44% 6.45% 6.41% 7.05% 7.86% 8.73%*
Portfolio Turnover Rate............ 24.06% 30.84% 40.79% 27.15% 16.91% 17.91% 19.72% 0.00%*
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
(Restated to reflect 900% stock dividend as of January 2, 1996)
* Annualized
# Non-annualized
</TABLE>
See accompanying Notes to Financial Statements.
89
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
-----------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period............................ $ 10.24 $ 10.21 $ 10.05 $ 10.28 $ 10.35
----------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............. 0.59 0.56 0.60 0.46 0.35
Net Gain (Losses) on Securities
(Realized and Unrealized)....... (0.01) 0.03 0.17 (0.21) 0.11
----------- --------- --------- --------- ---------
Total From Investment
Operations.................... 0.58 0.59 0.77 0.25 0.46
- ---------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............. (0.59) (0.56) (0.60) (0.46) (0.38)
Net Realized Gains................ -- -- (0.01) (0.02) (0.15)
----------- --------- --------- --------- ---------
Total Distributions............. (0.59) (0.56) (0.61) (0.48) (0.53)
- ---------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 10.23 $ 10.24 $ 10.21 $ 10.05 $ 10.28
- ---------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------
Total Return........................ 5.84% 5.94% 7.80% 2.48% 4.62%
- ---------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $ 752,237 $ 854,521 $ 704,950 $ 592,226 $ 608,400
Ratio of Expenses to Average Net
Assets**.......................... 0.22% 0.21% 0.20% 0.21% 0.21%
Ratio of Net Investment Income to
Average Net Assets................ 5.79% 5.39% 5.86% 4.47% 3.38%
Portfolio Turnover Rate............. N/A N/A N/A N/A 61.95%(a)
Portfolio Turnover Rate of Master
Fund Series....................... 82.84% 95.84% 81.31% 140.82% 111.67%*(b)
- ---------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
---------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1992 1991 1990 1989 1988
<S> <C> <C> <C> <C> <C>
- ------------------------------------ ---------------------------------------------------------
Net Asset Value, Beginning of
Period............................ $ 10.33 $ 10.19 $ 10.16 $ 10.12 $ 10.12
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............. 0.43 0.68 0.83 0.82 0.78
Net Gain (Losses) on Securities
(Realized and Unrealized)....... 0.06 0.16 0.04 0.03 (0.04)
--------- --------- --------- --------- ---------
Total From Investment
Operations.................... 0.49 0.84 0.87 0.85 0.74
- ------------------------------------ ---------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............. (0.44) (0.70) (0.84) (0.81) (0.74)
Net Realized Gains................ (0.03) -- -- -- --
--------- --------- --------- --------- ---------
Total Distributions............. (0.47) (0.70) (0.84) (0.81) (0.74)
- ------------------------------------ ---------------------------------------------------------
Net Asset Value, End of Period...... $ 10.35 $ 10.33 $ 10.19 $ 10.16 $ 10.12
- ------------------------------------ ---------------------------------------------------------
- ------------------------------------ ---------------------------------------------------------
Total Return........................ 5.64% 8.61% 8.88% 9.53% 7.61%
- ------------------------------------ ---------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $ 561,879 $ 469,276 $ 412,907 $ 360,146 $ 341,551
Ratio of Expenses to Average Net
Assets**.......................... 0.21% 0.21% 0.21% 0.22% 0.22%
Ratio of Net Investment Income to
Average Net Assets................ 4.81% 6.75% 8.27% 8.77% 7.70%
Portfolio Turnover Rate............. 125.56% 82.26% 96.30% 0.00% 80.74%
Portfolio Turnover Rate of Master
Fund Series....................... N/A N/A N/A N/A N/A
- ------------------------------------ ---------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
(Restated to reflect 900% stock dividend as of January 2, 1996)
** Represents the combined ratio for the portfolio and its pro-rata share of its Master Fund Series for the period ended
November 30, 1993 and subsequent years.
(a) Portfolio turnover calculated for period December 1, 1992 to February 7, 1993 (through date of Exchange transaction).
(b) Master Fund Series turnover calculated for the period February 8 to November 30, 1993.
</TABLE>
See accompanying Notes to Financial Statements.
90
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO (1)
----------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993 1992
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period............................ $ 10.42 $ 10.05 $ 9.75 $ 10.55 $ 10.88 $ 11.25
----------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............. 0.59 0.65 0.59 0.48 0.47 0.57
Net Gain (Losses) on Securities
(Realized and Unrealized)....... (0.06) 0.09 0.30 (0.80) 0.49 0.31
----------- -------- -------- -------- -------- --------
Total From Investment
Operations.................... 0.53 0.74 0.89 (0.32) 0.96 0.88
- ------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............. (0.59) (0.37) (0.59) (0.48) (0.73) (0.76)
Net Realized Gains................ -- -- -- -- (0.56) (0.49)
----------- -------- -------- -------- -------- --------
Total Distributions............. (0.59) (0.37) (0.59) (0.48) (1.29) (1.25)
- ------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period...... $ 10.36 $ 10.42 $ 10.05 $ 9.75 $ 10.55 $ 10.88
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
Total Return........................ 5.39% 7.51% 9.35% (3.13)% 9.46% 8.59%
- ------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)....................... $ 204,377 $174,386 $300,921 $235,554 $164,504 $83,543
Ratio of Expenses to Average Net
Assets **......................... 0.29% 0.30% 0.28% 0.31% 0.31% 0.31%
Ratio of Net Investment Income to
Average Net Assets................ 5.95% 5.63% 6.14% 5.08% 4.75% 5.82%
Portfolio Turnover Rate............. 27.78% 211.97% 398.09% 52.39% 152.10% 218.60%
Portfolio Turnover Rate of Master
Fund Series....................... N/A N/A N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA TWO-YEAR
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO GLOBAL FIXED INCOME
(1) PORTFOLIO
----------------------------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR FEB. 9
ENDED ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1991 1990 1989 1988 1997 1996
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of
Period............................$ 10.64 $ 10.46 $ 10.42 $10.33 $ 10.37 $ 10.00
-------- -------- -------- -------- ----------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............. 0.81 0.76 0.85 0.62 0.69 0.24
Net Gain (Losses) on Securities
(Realized and Unrealized)....... 0.54 0.20 0.05 0.09 (0.12) 0.35
-------- -------- -------- -------- ----------- --------
Total From Investment
Operations.................... 1.35 0.96 0.90 0.71 0.57 0.59
- ------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............. (0.74) (0.78) (0.86) (0.58) (0.53) (0.22)
Net Realized Gains................ -- -- -- (0.04) (0.01) --
-------- -------- -------- -------- ----------- --------
Total Distributions............. (0.74) (0.78) (0.86) (0.62) (0.54) (0.22)
- ------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period......$ 11.25 $ 10.64 $ 10.46 $10.42 $ 10.40 $ 10.37
- ------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------
Total Return........................ 13.44% 9.72% 9.33% 7.13% 5.66% 6.01%#
- ------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands).......................$56,971 $52,260 $53,039 $4,863 $ 418,905 $319,343
Ratio of Expenses to Average Net
Assets **......................... 0.30% 0.30% 0.30% 0.28% 0.34% 0.33%*
Ratio of Net Investment Income to
Average Net Assets................ 7.16% 7.91% 8.49% 7.97% 6.70% 3.10%*
Portfolio Turnover Rate............. 223.18% 165.50% 312.59% 253.31% N/A N/A
Portfolio Turnover Rate of Master
Fund Series....................... N/A N/A N/A N/A 119.27% 87.07%*
- ------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C><S>
(1) Restated to reflect a 900% stock
dividend as of January 2, 1996.
* Annualized
# Non-annualized
** Represents the combined ratio for The
DFA Two-Year Global Fixed Income
Portfolio and its pro-rata share of its
Master Fund Series.
</TABLE>
See accompanying Notes to Financial Statements.
91
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA GLOBAL FIXED INCOME PORTFOLIO
-------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR NOV. 6
ENDED ENDED ENDED ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993 1992 1991 1990
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period.......................... $ 11.04 $ 10.51 $ 9.81 $ 10.56 $ 10.36 $ 10.47 $ 10.02 $10.00
---------- --------- --------- --------- --------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss).... 0.48 0.50 0.39 0.35 0.40 0.54 0.66 0.04
Net Gain (Losses) on Securities
(Realized and Unrealized)..... 0.33 0.61 1.08 (0.65) 0.73 0.26 0.26 (0.02)
---------- --------- --------- --------- --------- -------- -------- --------
Total From Investment
Operations.................. 0.81 1.11 1.47 (0.30) 1.13 0.80 0.92 0.02
- -------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income........... (0.88) (0.58) (0.77) (0.44) (0.45) (0.64) (0.47) --
Net Realized Gains.............. (0.09) -- -- (0.01) (0.48) (0.27) -- --
---------- --------- --------- --------- --------- -------- -------- --------
Total Distributions........... (0.97) (0.58) (0.77) (0.45) (0.93) (0.91) (0.47) --
- -------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.... $ 10.88 $ 11.04 $ 10.51 $ 9.81 $ 10.56 $ 10.36 $ 10.47 $10.02
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
Total Return...................... 7.87% 11.13% 15.23% (2.91)% 11.42% 8.00% 11.00% 0.22%#
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)..................... $ 250,078 $ 165,772 $ 208,166 $ 135,529 $ 101,528 $54,607 $31,647 $8,474
Ratio of Expenses to Average Net
Assets.......................... 0.42% 0.46% 0.46% 0.49% 0.52% 0.58% 0.67% 0.51%*
Ratio of Net Investment Income to
Average Net Assets.............. 4.50% 4.88% 5.80% 5.75% 5.09% 5.52% 6.74% 6.92%*
Portfolio Turnover Rate........... 95.12% 97.78% 130.41% 113.55% 139.57% 210.39% 194.25% 0.00%*
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S><C>
(Restated to reflect a 900% stock dividend as of
January 2, 1996)
* Annualized
# Non-annualized
</TABLE>
See accompanying Notes to Financial Statements.
92
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered, without a sales charge, generally
to institutional investors and clients of registered investment advisors.
Twenty-one of the Fund's twenty-eight portfolios (the "Portfolios") are included
in this report. Of the remaining seven portfolios, six portfolios are only
available through a select group of insurance products and are presented in a
separate report and the remaining portfolio has not yet commenced operations.
On June 1, 1996, pursuant to an amendment to the organization document of
the U.S. Large Company Series ("the Series") which resulted in the
reorganization of the Series from an entity taxed as a corporation to an entity
taxed as a partnership for income tax purposes, the U.S. Large Company Portfolio
("this Portfolio") redeemed its shares invested in the Series in exchange for
the assets of the Series valued at $130,671,442. These assets were immediately
contributed to the Series from this Portfolio, along with a nominal contribution
from the Advisor, to create the partnership in exchange for an interest in the
Series. At the time of this event, this Portfolio had $37,143,056 of unrealized
appreciation on its investment in the Series. Immediately following the
reorganization, this Portfolio owned 99.9% of the Series. This transaction was
treated as a tax-free event to the shareholders of this Portfolio based on
rulings obtained from the Internal Revenue Service. Subsequent to the
reorganization, an unrelated investment company became a partner of the Series
and reduced this Portfolio's percentage of ownership to 36.6%.
On August 9, 1996, The Japanese Small Company Portfolio, The Pacific Rim
Small Company Portfolio, The United Kingdom Small Company Portfolio and The
Continental Small Company Portfolio each transferred their investable assets in
exchange for assets of a corresponding series of The DFA Investment Trust
Company (the "Transfer"). At the same time, the Advisor also made a nominal
contribution to each series. Each corresponding series (The Japanese Small
Company Series, The Pacific Rim Small Company Series, The United Kingdom Small
Company Series and The Continental Small Company Series) is taxed as a
partnership for federal income tax purposes. The Transfer is not expected to
have any adverse tax effects on the Portfolios. In the opinion of counsel to the
Fund, the Transfer was a tax-free event and therefore resulted in no recognition
of taxable gain (loss) for each Portfolio.
Effective August 1, 1997, The U.S. Small Cap Value Portfolio changed its
name to The U.S. 6-10 Value Portfolio.
The following Portfolios (the "Feeder Funds") invest in a corresponding
series of The DFA Investment Trust Company (the "Master Funds"):
<TABLE>
<CAPTION>
PERCENTAGE
OWNERSHIP
PORTFOLIOS (FEEDER FUNDS) CORRESPONDING SERIES (MASTER FUNDS) AT 11/30/97
- ------------------------------------------------------- ------------------------------------------------------- -------------
<S> <C> <C>
The U.S. 6-10 Small Company Portfolio The U.S. 6-10 Small Company Series 78%
The U.S. Large Company Portfolio The U.S. Large Company Series 42%
The Enhanced U.S. Large Company Portfolio The Enhanced U.S. Large Company Series 100%
The U.S. 6-10 Value Portfolio The U.S. 6-10 Value Series 94%
The U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 56%
The Japanese Small Company Portfolio The Japanese Small Company Series 66%
The Pacific Rim Small Company Portfolio The Pacific Rim Small Company Series 76%
The United Kingdom Small Company Portfolio The United Kingdom Small Company Series 76%
The Continental Small Company Portfolio The Continental Small Company Series 73%
</TABLE>
93
<PAGE>
<TABLE>
<CAPTION>
PERCENTAGE
OWNERSHIP
PORTFOLIOS (FEEDER FUNDS) CORRESPONDING SERIES (MASTER FUNDS) AT 11/30/97
- ------------------------------------------------------- ------------------------------------------------------- -------------
<S> <C> <C>
The International Small Company Portfolio The Japanese Small Company Series 34%
The Pacific Rim Small Company Series 24%
The United Kingdom Small Company Series 24%
The Continental Small Company Series 27%
The RWB/DFA International High Book to Market Portfolio The DFA International Value Series 17%
The Emerging Markets Portfolio The Emerging Markets Series 96%
The DFA One-Year Fixed Income Portfolio The DFA One-Year Fixed Income Series 96%
The DFA Two-Year Global Fixed Income Portfolio The DFA Two-Year Global Fixed Income Series 100%
</TABLE>
Each Feeder Fund, with the exception of The International Small Company
Portfolio, invests solely in a corresponding Master Fund. The International
Small Company Portfolio also invests in short term temporary cash investments
from time to time.
The financial statements of the Master Funds are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Funds.
On December 20, 1995, the Board of Directors of DFA Investment Dimensions
Group, Inc. approved a 900% stock dividend under Maryland Corporate Law, which
is treated as a 10 for 1 stock split for financial reporting purposes for The
DFA One-Year Fixed Income Portfolio, The DFA Five-Year Government Portfolio, The
DFA Global Fixed Income Portfolio and The DFA Intermediate Government Fixed
Income Portfolio. The record date of the stock dividend was January 1, 1996. The
ex-date and payable dates were January 2, 1996. This was a tax-free event to the
shareholders of these portfolios. Additionally, on this date, the Board approved
an amendment to increase the authorized number of shares of each of these
portfolios to 100,000,000. All share and per share data as of and for the period
ended November 30, 1995 and all prior periods have been restated to reflect the
stock dividend.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by The U.S. 9-10 Small Company
Portfolio and The DFA Real Estate Securities Portfolio (the "Domestic Equity
Portfolios") which are listed on a securities exchange and for which market
quotations are readily available are valued at the last quoted sale price of the
day, or if there is no such reported sale, at the mean between the most recent
bid and asked prices. Securities held by The Large Cap International Portfolio
and The DFA International Small Cap Value Portfolio (the "International Equity
Portfolios") which are listed on a securities exchange are valued at the last
quoted sale price. Price information on listed securities is taken from the
exchange where the security is primarily traded. Unlisted securities for which
market quotations are readily available are valued at the mean between the most
recent bid and asked prices. Securities for which quotations are not readily
available are valued in good faith at fair value using methods determined by the
Board of Directors.
Securities held by The DFA Intermediate Government Fixed Income Portfolio,
The DFA Five-Year Government Portfolio and The DFA Global Fixed Income Portfolio
(the "Fixed Income Portfolios"), are valued on the basis of prices provided by a
pricing service when such prices are believed to reflect the fair market value
of such securities. Securities for which quotations are not readily available
are valued in good faith at fair value using methods determined by the Board of
Directors.
94
<PAGE>
Master Fund shares held by the Feeder Funds are valued at their respective
daily net asset values or for The U.S. Large Company Portfolio, The Japanese
Small Company Portfolio, The Pacific Rim Small Company Portfolio, The United
Kingdom Small Company Portfolio, The Continental Small Company Portfolio, The
International Small Company Portfolio and The Emerging Markets Portfolio, their
investment reflects their proportionate interest in the net assets of the
corresponding Master Fund.
2. FOREIGN CURRENCY: Securities, other assets and liabilities of the
International Equity Portfolios and The DFA Global Fixed Income Portfolio whose
values are initially expressed in foreign currencies are translated to U.S.
dollars at the bid price of such currency against U.S. dollars last quoted by a
major bank. Dividend and interest income and certain expenses are translated to
U.S. dollars at the rate of exchange on their respective accrual dates.
Receivables and payables denominated in foreign currencies are marked to market
daily based on daily exchange rates and exchange gains or losses are realized
upon ultimate receipt or disbursement. The DFA Global Fixed Income Portfolio
also enters into forward foreign currency contracts solely for the purpose of
hedging against fluctuations in currency exchange rates.
The International Equity Portfolios do not isolate the effect of fluctuation
in foreign exchange rates from the effect of fluctuations in the market prices
of securities whether realized or unrealized. However, The DFA Global Fixed
Income Portfolio does isolate the effect of fluctuations in foreign currency
rates when determining the realized gain or loss upon the sale or maturity of
foreign currency denominated debt obligations pursuant to U.S. Federal income
tax regulations; such amounts are categorized as foreign exchange gain or loss
for both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and The DFA Global Fixed Income Portfolio and
the U.S. dollar equivalent amounts actually received or paid.
3. FEDERAL INCOME TAXES: It is each Portfolio's intention to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal taxes is required in the financial
statements.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on an accrual basis. Discount and
premium on debt securities purchased are amortized over the lives of the
respective securities. Expenses directly attributable to a Portfolio are
directly charged. Common expenses are allocated using methods determined by the
Board of Directors.
The U.S. Large Company Portfolio, The Japanese Small Company Portfolio, The
Pacific Rim Small Company Portfolio, The United Kingdom Small Company Portfolio,
The Continental Small Company Portfolio, The International Small Company
Portfolio and The Emerging Markets Portfolio each accrue their respective share
of income, net of expenses daily on their investment in their corresponding
Master Fund, which are treated as partnerships for federal income tax purposes.
All of the net investment income and realized and unrealized gains and losses
from the security transactions and foreign currency of the Master Funds are
allocated pro rata among its investors at the time of such determination.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to all Portfolios except the Feeder Funds. The Advisor
provides administrative services to the Feeder Funds, including supervision of
services provided by others, providing information to shareholders and the Board
of Directors, and other administrative services.
95
<PAGE>
For the year ended November 30, 1997, the Portfolios' advisory fees were
computed daily and paid monthly to the Advisor based on the following effective
annual rates:
<TABLE>
<S> <C> <C>
The U.S. 9-10 Small Company Portfolio..................... .50 of 1%
The DFA Real Estate Securities Portfolio.................. .30 of 1% (a)
The Large Cap International Portfolio..................... .25 of 1%
The DFA International Small Cap Value Portfolio........... .65 of 1%
The DFA Intermediate Government Fixed Income Portfolio.... .15 of 1%
The DFA Five-Year Government Portfolio.................... .20 of 1%
The DFA Global Fixed Income Portfolio..................... .25 of 1%
</TABLE>
(a) Effective December 11, 1996, the sub-advisory agreement between The DFA/AEW
Real Estate Securities Portfolio and Aldrich, Eastman & Waltch L.P. terminated.
Effective December 20, 1996, the advisory fee for The DFA/ AEW Real Estate
Securities Portfolio was reduced from .325% to .30% and the name of the
portfolio was changed to The DFA Real Estate Securities Portfolio.
For the year ended November 30, 1997, the Feeder Funds computed daily and
paid monthly to the Advisor an administrative fee based on the following
effective annual rates:
<TABLE>
<S> <C> <C>
The U.S. 6-10 Small Company Portfolio..................... .32 of 1%
The U.S. Large Company Portfolio.......................... .215 of 1%
The Enhanced U.S. Large Company Portfolio................. .15 of 1%
The U.S. 6-10 Value Portfolio............................. .30 of 1%
The U.S. Large Cap Value Portfolio........................ .15 of 1%
The Japanese Small Company Portfolio...................... .40 of 1% (b)
The Pacific Rim Small Company Portfolio................... .40 of 1% (b)
The United Kingdom Small Company Portfolio................ .40 of 1% (b)
The Continental Small Company Portfolio................... .40 of 1% (b)
The International Small Company Portfolio................. .40 of 1%
The RWB/DFA International High Book to Market Portfolio... .01 of 1% (c)
The Emerging Markets Portfolio............................ .40 of 1%
The DFA One-Year Fixed Income Portfolio................... .10 of 1%
The DFA Two-Year Global Fixed Income Portfolio............ .10 of 1%
</TABLE>
(b) For the period December 1, 1995 to August 8, 1996, the advisory fee was
computed daily and paid monthly to the Advisor at an effective annual ratio of
.50 of 1%. The administrative fee rate of .40 of 1% became effective on August
9, 1996 in connection with the Transfer.
(c) For the period December 1, 1995 to February 7, 1996, the administrative fee
was computed daily and paid monthly to the Advisor at an effective annual rate
of .20 of 1% of the first $40 million of average net assets. The rate of .01 of
1% became effective on February 8, 1996.
Effective February 8, 1996 pursuant to a Client Service Agreement with
Reinhardt Werba Bowen Advisory Services, ("RWBAS"), The RWB/DFA International
High Book to Market Portfolio pays to RWBAS a fee at the effective annual rate
of .13% of the average net assets of the portfolio. Prior to that time the
effective annual rate was .20% of the average net assets of the Portfolio in
excess of $40 million.
Effective August 9, 1996, the Advisor agreed to waive its administrative
service fee and/or assume the direct and indirect expenses of The U.S. Large
Company Portfolio to the extent necessary to keep the annual combined expenses
of the Portfolio and its respective Master Fund to not more than 0.15% of the
average daily net assets of the Portfolio. Prior to that date, the Advisor
agreed to waive its fees and reimburse the Portfolio to the extent necessary to
keep the annual combined expenses to not more than 0.24% of average daily net
assets. At November 30, 1997, approximately $535,000 of previously waived fees
are subject to future reimbursement to the Advisor.
Effective August 9, 1996, the Advisor agreed to waive its administrative
service fee and/or assume the direct expenses of The Japanese Small Company
Portfolio, The Pacific Rim Small Company Portfolio, The United Kingdom Small
Company Portfolio and The Continental Small Company Portfolio to the extent
necessary to keep the direct annual expenses of each Portfolio to not more than
0.47% of the average daily net assets of the Portfolio.
96
<PAGE>
The Advisor has agreed to waive its administrative service fee and/or assume
the direct expenses of The International Small Company Portfolio to the extent
necessary to keep the direct annual expenses of the Portfolio to not more than
0.45% of the average daily net assets of the Portfolio.
Effective August 1, 1997, the Advisor agreed to waive its administrative
service fee and/or assume the direct and indirect expenses of The Enhanced U.S.
Large Company Portfolio to the extent necessary to keep the annual combined
expenses of the portfolio and its respective Master Fund to not more than 0.45%
of the average daily net assets of the portfolio. At November 30, 1997,
approximately $6,000 of previously waived fees are subject to future
reimbursement to the Advisor.
Certain officers of the Portfolios are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 1997, the Portfolios made the following
purchases and sales of investment securities:
<TABLE>
<CAPTION>
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
---------------------- --------------------
PURCHASES SALES PURCHASES SALES
----------- --------- --------- ---------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
The U.S. 9-10 Small Company Portfolio..................... -- -- $ 357,210 $ 357,813
The DFA Real Estate Securities Portfolio.................. -- -- 41,353 27,790
The Large Cap International Portfolio..................... -- -- 6,168 1,894
The DFA International Small Cap Value Portfolio........... -- -- 221,905 55,964
The DFA Intermediate Government Fixed Income Portfolio.... $ 30,361 $ 20,362 26,287 8,270
The DFA Five-Year Government Portfolio.................... 50,416 63,515 -- --
The DFA Global Fixed Income Portfolio..................... 5,002 13,478 245,352 172,389
</TABLE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1997, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies for
each Portfolio were as follows:
<TABLE>
<CAPTION>
GROSS GROSS
UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION NET
-------------- -------------- ---------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. 9-10 Small Company Portfolio...................... $ 537,368 $ (161,652) $ 375,716
The U.S. 6-10 Small Company Portfolio...................... 101,198 -- 101,198
The U.S. Large Company Portfolio........................... 120,305 (1,698) 118,607
The Enhanced U.S. Large Company Portfolio.................. 6,555 -- 6,555
The U.S. 6-10 Value Portfolio.............................. 700,371 -- 700,371
The U.S. Large Cap Value Portfolio......................... 233,368 -- 233,368
The DFA Real Estate Securities Portfolio................... 19,649 (1,099) 18,550
The Japanese Small Company Portfolio....................... 24,224 (195,656) (171,432)
The Pacific Rim Small Company Portfolio.................... 48,962 (100,406) (51,444)
The United Kingdom Small Company Portfolio................. 62,525 (34,987) 27,538
The Continental Small Company Portfolio.................... 97,733 (52,925) 44,808
The International Small Company Portfolio.................. 8,131 (68,233) (60,102)
The RWB/DFA International High Book to Market Portfolio.... 15,868 -- 15,868
The Emerging Markets Portfolio............................. 48,916 (105,491) (56,575)
The Large Cap International Portfolio...................... 29,141 (7,857) 21,284
The DFA International Small Cap Value Portfolio............ 44,107 (180,388) (136,281)
The DFA Intermediate Government Fixed Income Portfolio..... 3,418 (41) 3,377
The DFA One-Year Fixed Income Portfolio.................... 3,007 -- 3,007
The DFA Five-Year Government Portfolio..................... 24 (114) (90)
The DFA Two-Year Global Fixed Income Portfolio............. 5,409 -- 5,409
The DFA Global Fixed Income Portfolio...................... 612 (6,906) (6,294)
</TABLE>
97
<PAGE>
At November 30, 1997, the following Portfolios had capital loss carryovers
for federal income tax purposes:
<TABLE>
<CAPTION>
EXPIRES ON NOVEMBER 30
------------------------------------------
(AMOUNTS IN THOUSANDS)
2002 2003 2004 2005 TOTAL
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
The DFA Real Estate Securities Portfolio...................... $ 551 -- $ 381 -- $ 932
The Japanese Small Company Portfolio.......................... -- -- -- $ 1,532 1,532
The International Small Company Portfolio..................... -- -- 74 807 881
The Large Cap International Portfolio......................... -- -- -- 74 74
The DFA Five-Year Government Portfolio........................ -- $ 8,130 887 -- 9,017
The DFA Two-Year Global Fixed Income Portfolio................ -- -- -- 83 83
</TABLE>
F. COMPONENTS OF NET ASSETS AND SHARES AUTHORIZED:
<TABLE>
<CAPTION>
AT NOVEMBER 30, 1997 NET ASSETS CONSIST OF:
-----------------------------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
UNREALIZED
UNDISTRIBUTED UNDISTRIBUTED APPRECIATION
NET NET REALIZED (DEPRECIATION) OF UNREALIZED
INVESTMENT UNDISTRIBUTED FOREIGN INVESTMENT NET FOREIGN
PAID-IN INCOME NET REALIZED EXCHANGE SECURITIES AND EXCHANGE
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY GAIN (LOSS)
------------- ------------ -------------- -------------- -------------------- -------------
<S> <C> <C> <C> <C> <C> <C>
The U.S. 9-10 Small
Company Portfolio........ $ 927,774 $7,217 $ 197,767 -- $ 376,669 --
The U.S. 6-10 Small
Company Portfolio........ 210,431 1,111 23,538 -- 102,912 --
The U.S. Large Company
Portfolio................ 222,720 1,023 (211) -- 120,005 --
The Enhanced U.S. Large
Company Portfolio........ 38,962 371 1,754 -- 6,555 --
The U.S. 6-10 Value
Portfolio................ 1,349,515 4,873 41,233 -- 703,033 --
The U.S. Large Cap Value
Portfolio................ 579,760 2,882 22,141 -- 235,220 --
The DFA Real Estate
Securities Portfolio..... 75,244 4,031 (932) -- 16,729 --
The Japanese Small Company
Portfolio................ 285,196 1,199 (3,967) $ 62 (168,443) $ (30)
The Pacific Rim Small
Company Portfolio........ 153,957 2,918 6,261 (370) (51,444) (2)
The United Kingdom Small
Company Portfolio........ 82,279 3,693 17,257 117 27,538 7
The Continental Small
Company Portfolio........ 167,472 4,799 16,241 (405) 44,808 (171)
The International Small
Company Portfolio........ 289,007 2,638 (888) (109) (60,102) (77)
The RWB/DFA International
High Book to Market
Portfolio................ 250,165 4,361 3,430 -- 17,101 --
The Emerging Markets
Portfolio................ 263,407 2,494 24 698 (54,563) (12)
The Large Cap
International
Portfolio................ 64,666 1,348 (660) (12) 21,887 (6)
The DFA International
Small Cap Value
Portfolio................ 546,592 5,679 15,319 (18) (136,281) (34)
The DFA Intermediate
Government Fixed Income
Portfolio................ 130,580 2,022 576 -- 3,377 --
The DFA One-Year Fixed
Income Portfolio......... 748,928 (82) (3,836) -- 7,227 --
The DFA Five-Year
Government Portfolio..... 207,641 5,841 (9,015) -- (90) --
The DFA Two-Year Global
Fixed Income Portfolio... 406,446 7,331 (281) -- 5,409 --
The DFA Global Fixed
Income Portfolio......... 237,724 1,500 1,483 10,999 (6,294) 4,666
<CAPTION>
NUMBER OF
TOTAL NET SHARES
ASSETS AUTHORIZED
------------- -------------
<S> <C> <C>
The U.S. 9-10 Small
Company Portfolio........ $ 1,509,427 300,000,000
The U.S. 6-10 Small
Company Portfolio........ 337,992 100,000,000
The U.S. Large Company
Portfolio................ 343,537 200,000,000
The Enhanced U.S. Large
Company Portfolio........ 47,642 100,000,000
The U.S. 6-10 Value
Portfolio................ 2,098,654 100,000,000
The U.S. Large Cap Value
Portfolio................ 840,003 100,000,000
The DFA Real Estate
Securities Portfolio..... 95,072 100,000,000
The Japanese Small Company
Portfolio................ 114,017 20,000,000
The Pacific Rim Small
Company Portfolio........ 111,320 20,000,000
The United Kingdom Small
Company Portfolio........ 130,891 20,000,000
The Continental Small
Company Portfolio........ 232,744 50,000,000
The International Small
Company Portfolio........ 230,469 100,000,000
The RWB/DFA International
High Book to Market
Portfolio................ 275,057 100,000,000
The Emerging Markets
Portfolio................ 212,048 100,000,000
The Large Cap
International
Portfolio................ 87,223 150,000,000
The DFA International
Small Cap Value
Portfolio................ 431,257 100,000,000
The DFA Intermediate
Government Fixed Income
Portfolio................ 136,555 100,000,000
The DFA One-Year Fixed
Income Portfolio......... 752,237 100,000,000
The DFA Five-Year
Government Portfolio..... 204,377 100,000,000
The DFA Two-Year Global
Fixed Income Portfolio... 418,905 100,000,000
The DFA Global Fixed
Income Portfolio......... 250,078 100,000,000
</TABLE>
98
<PAGE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' Investment Objectives and Policies, the
Portfolios may invest, either directly or through its investment in a
corresponding Master Fund, in certain financial instruments which have
off-balance sheet risk and concentrations of credit risk. These instruments and
their significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolios may purchase money market
instruments subject to the seller's agreement to repurchase them at an agreed
upon date and price. The seller will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Fund's custodian or a third party sub-custodian. All open repurchase
agreements were entered into on November 28, 1997.
2. FORWARD CURRENCY CONTRACTS: The DFA Global Fixed Income Portfolio may
enter into forward foreign currency contracts to hedge against adverse changes
in the relationship of the U.S. dollar to foreign currencies. At November 30,
1997, The DFA Global Fixed Income Portfolio had entered into the following
contracts and the related net unrealized foreign exchange gain is reflected in
the accompanying financial statements:
<TABLE>
<CAPTION>
UNREALIZED
VALUE AT FOREIGN
EXPIRATION NOVEMBER 30, EXCHANGE
DATE CURRENCY SOLD CONTRACT AMOUNT 1997 GAIN (LOSS)
- ---------- ---------------- ---------------- ---------------- -------------
<S> <C> <C> <C> <C> <C>
12/08/97.. 6,317,908,402 Japanese Yen $ 51,892,471 $ 49,314,978 $ 2,577,493
12/17/97.. 28,694,886 Australian Dollars 19,945,816 19,627,900 317,916
12/22/97.. 316,016,693 French Francs 54,650,531 53,490,480 1,160,051
12/30/97.. 97,935,567 German Marks 56,139,620 55,506,472 633,148
12/31/97.. 59,724,342 Canadian Dollars 41,932,417 41,948,906 (16,489)
12/31/97.. 10,471,708 Netherlands Guilders 5,326,403 5,265,827 60,576
---------------- ---------------- -------------
$ 229,887,258 $ 225,154,563 $ 4,732,695
---------------- ---------------- -------------
---------------- ---------------- -------------
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. The DFA Global Fixed Income Portfolio will enter into forward contracts
only for hedging purposes.
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
H. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. For the year ended November 30, 1997, borrowings
under the line were as follows:
<TABLE>
<CAPTION>
MAXIMUM
AMOUNT
WEIGHTED BORROWED
AVERAGE WEIGHTED NUMBER OF INTEREST DURING
INTEREST AVERAGE LOAN DAYS EXPENSE THE
RATE BALANCE OUTSTANDING INCURRED PERIOD
------- ------------- ------------- --------- ---------
<S> <C> <C> <C> <C> <C>
The United Kingdom Small Company
Portfolio.............................. 5.98% $ 1,937,500 8 $ 2,576 $3,000,000
</TABLE>
There were no outstanding borrowings under the line of credit at November
30, 1997.
99
<PAGE>
I. REIMBURSEMENT FEES:
Shares of The Japanese Small Company Portfolio, The Pacific Rim Small
Company Portfolio, The Continental Small Company Portfolio, The International
Small Company Portfolio, The Emerging Markets Portfolio and The DFA
International Small Cap Value Portfolio are sold at a public offering price
which is equal to the current net asset value of such shares plus a
reimbursement fee. Reimbursement fees are recorded as an addition to paid in
capital.
The reimbursement fees for The Japanese Small Company Portfolio and The
Emerging Markets Portfolio are .50% of the net asset value of their shares. The
reimbursement fees for The Pacific Rim Small Company Portfolio and The
Continental Small Company Portfolio are 1.00% of the net asset value of their
shares. The reimbursement fee for The DFA International Small Cap Value
Portfolio is .70% of the net asset value of its shares. The current
reimbursement fee for The International Small Company Portfolio is .70% of the
net asset value of its shares.
J. SECURITIES LENDING:
Loans of domestic security are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Portfolio or, at the option of
the lending agent, replace the loaned securities. The market value of securities
on loan to brokers and the related collateral cash received by each Portfolio at
November 30, 1997, is as follows:
<TABLE>
<CAPTION>
VALUE
OF SECURITIES VALUE OF
ON LOAN COLLATERAL
-------------- --------------
<S> <C> <C>
DOMESTIC EQUITY PORTFOLIOS
- --------------------------------------------------------------------------------
The U.S. 9-10 Small Company Portfolio........................................... $ 54,916,463 $ 59,365,092
The DFA Real Estate Securities Portfolio........................................ 9,481,711 9,843,975
INTERNATIONAL EQUITY PORTFOLIOS
- --------------------------------------------------------------------------------
The Large Cap International Portfolio........................................... $ 15,995,271 $ 16,928,841
The DFA International Small Cap Value Portfolio................................. 18,399,692 19,823,256
</TABLE>
K. SUBSEQUENT EVENT:
On December 1, 1997, The U.S. 9-10 Small Company Portfolio transferred its
investable assets for shares with an equal value of The U.S. 9-10 Small Company
Series of The DFA Investment Trust Company. This portfolio now invests solely in
this series.
100
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DFA INVESTMENT DIMENSIONS GROUP INC.:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments of DFA Investment Dimensions Group Inc.
(comprising, respectively, The U.S. 9-10 Small Company, The U.S. 6-10 Small
Company, The U.S. Large Company, The Enhanced U.S. Large Company, The U.S. 6-10
Value, The U.S. Large Cap Value, The DFA Real Estate Securities, The Japanese
Small Company, The Pacific Rim Small Company, The United Kingdom Small Company,
The Continental Small Company, The International Small Company, The RWB/DFA
International High Book to Market, The Emerging Markets, The Large Cap
International, The DFA International Small Cap Value, The DFA Intermediate
Government Fixed Income, The DFA One-Year Fixed Income, The DFA Five-Year
Government, The DFA Two-Year Global Fixed Income, and The DFA Global Fixed
Income Portfolios) as of November 30, 1997, and the related statements of
operations for the year (or period) then ended, the statement of changes in net
assets for each of the two years (or periods) in the period then ended and, the
financial highlights for each of the five years (or periods) in the period then
ended. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits. The financial highlights of the DFA Investment Dimensions Group Inc. for
the years ended November 30, 1992 and each of the prior periods presented were
audited by other auditors, whose report dated January 19, 1993 expressed an
unqualified opinion thereon.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of
November 30, 1997, by correspondence with the custodians and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the aforementioned portfolios constituting the DFA Investment Dimensions
Group Inc. as of November 30, 1997, and the results of their operations for the
year (or period) then ended, the changes in their net assets for each of the two
years (or periods) in the period then ended, and their financial highlights for
each of the five years (or periods) in the period then ended, in conformity with
generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 16, 1998
101
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
U.S. 6-10 SMALL COMPANY SERIES VS.
CRSP 6-10 INDEX
MARCH 1993-NOVEMBER 1997
GROWTH OF $10,000
U.S. 6-10 SMALL CRSP 6-10
COMPANY SERIES INDEX
<S> <C> <C>
$10,000 $10,000
Mar-93 $10,237 $10,313
$9,928 $10,002
$10,330 $10,458
$10,289 $10,497
$10,371 $10,622
$10,721 $11,112
$11,010 $11,432
$11,248 $11,785
$10,974 $11,422
$11,289 $11,768
$11,639 $12,174
$11,548 $12,103
$10,995 $11,443
Mar-94 $11,018 $11,397
$10,962 $11,295
$10,647 $11,002
$10,804 $11,192
$11,323 $11,833
$11,379 $11,875
$11,425 $11,863
$11,039 $11,404
$11,178 $11,554
$11,252 $11,573
$11,621 $12,000
$11,841 $12,257
Mar-95 $12,234 $12,577
$12,480 $12,806
$13,119 $13,512
$13,931 $14,374
$14,337 $14,746
$14,595 $15,061
$13,845 $14,293
$14,259 $14,791
$14,598 $15,156
$14,639 $15,256
$15,135 $15,773
$15,470 $16,142
Mar-96 $16,502 $17,356
$17,360 $18,201
$16,568 $17,370
$15,188 $15,765
$16,086 $16,703
$16,595 $17,391
$16,355 $17,060
$16,993 $17,579
$17,248 $17,932
$17,820 $18,580
$17,449 $18,136
$16,631 $17,149
Mar-97 $16,445 $16,864
$18,315 $19,010
$19,258 $20,177
$20,402 $21,280
$21,159 $22,023
$22,796 $23,875
$21,807 $22,942
Nov-97 $21,491 $22,554
Annualized Total Return (%) One Year From March 1993
26.47 17.48
The series seeks to capture premium returns and
diversification benefits by investing in a
broad cross-section of small companies on a
market cap-weighted basis. The Series provides access
to publicly traded U.S. Small Companies with
market capitalization of approximately $500
million or less.
The series' returns in fiscal 1997 reflected the
performance of decile 6-10 companies in the U.S.
Past performance is not predictive of future performance.
CRSP 6-10 Index courtesy of the Center for Research in
Security Prices, University of Chicago.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
U.S. LARGE COMPANY SERIES VS. S&P 500 INDEX
MARCH 1993-NOVEMBER 1997
GROWTH OF $10,000
U.S. LARGE S&P 500
COMPANY SERIES INDEX
<S> <C> <C>
$10,000 $10,000
Mar-93 $10,212 $10,215
$9,959 $9,965
$10,222 $10,234
$10,243 $10,268
$10,202 $10,219
$10,580 $10,609
$10,509 $10,530
$10,724 $10,744
$10,621 $10,643
$10,756 $10,774
$11,109 $11,135
$10,808 $10,834
Mar-94 $10,350 $10,363
$10,485 $10,498
$10,652 $10,669
$10,401 $10,405
$10,736 $10,750
$11,177 $11,187
$10,913 $10,917
$11,155 $11,167
$10,759 $10,758
$10,918 $10,915
$11,197 $11,198
$11,636 $11,633
Mar-95 $11,978 $11,977
$12,322 $12,326
$12,816 $12,813
$13,118 $13,114
$13,551 $13,550
$13,584 $13,587
$14,158 $14,156
$14,104 $14,107
$14,714 $14,728
$14,996 $15,000
$15,512 $15,516
$15,644 $15,665
Mar-96 $15,797 $15,815
$16,028 $16,048
$16,420 $16,462
$16,488 $16,529
$15,767 $15,794
$16,089 $16,129
$16,988 $17,035
$17,454 $17,502
$18,775 $18,830
$18,398 $18,461
$19,551 $19,608
$19,696 $19,766
Mar-97 $18,886 $18,944
$20,006 $20,075
$21,227 $21,308
$22,169 $22,258
$23,934 $24,025
$22,603 $22,689
$23,835 $23,933
$23,046 $23,133
Nov-97 $24,099 $24,205
Annualized Total Return (%) One Year From March 1993
28.36 20.34
The series intends to invest in all of the stocks that
comprise the S&P 500 Index in approximately
the same proportions as they are represented in the Index.
The series' returns in fiscal 1997 reflected the
performance of the S&P 500 Index.
Past performance is not predictive of future performance.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
ENHANCED U.S. LARGE COMPANY SERIES VS.
S&P 500 INDEX
AUGUST 1996-NOVEMBER 1997
GROWTH OF $10,000
ENHANCED U.S. LARGE S&P 500
COMPANY SERIES INDEX
<S> <C> <C>
$10,000 $10,000
Aug-96 $10,202 $10,212
$10,809 $10,786
$11,183 $11,081
$12,027 $11,923
$11,730 $11,689
$12,474 $12,415
Feb-97 $12,580 $12,515
$11,972 $11,995
$12,734 $12,711
$13,567 $13,491
$14,149 $14,093
$15,303 $15,212
Aug-97 $14,461 $14,366
$15,215 $15,153
$14,790 $14,647
Nov-97 $15,349 $15,325
Annualized Total Return (%) One Year From August 1996
27.62 37.90
The series seeks to capture return premiums
by investing in an enhanced cash portfolio in
combination with the S&P 500 Index futures
and swaps.
The series' returns in fiscal 1997 reflected
the performance of its strategy.
Past performance is not predictive of
future performance.
</TABLE>
102
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
U.S. 6-10 VALUE SERIES VS.
FAMA-FRENCH SMALL CAP VALUE INDEX
APRIL 1993-NOVEMBER 1997
GROWTH OF $10,000
U.S. 6-10 FAMA-FRENCH SMALL
VALUE SERIES CAP VALUE INDEX
<S> <C> <C>
$10,000 $10,000
Apr-93 $9,788 $9,687
$10,050 $10,081
$10,060 $10,069
$10,363 $10,209
$10,706 $10,536
$11,079 $10,727
$11,452 $11,156
$11,260 $10,978
$11,486 $11,257
$12,079 $11,791
$12,049 $11,720
$11,650 $11,235
Apr-94 $11,731 $11,317
$11,772 $11,279
$11,558 $11,047
$11,752 $11,320
$12,161 $11,726
$12,120 $11,676
$11,947 $11,477
$11,545 $11,096
$11,664 $11,188
$11,789 $11,370
$12,205 $11,831
$12,350 $11,968
Apr-95 $12,787 $12,344
$13,152 $12,607
$13,673 $13,023
$14,422 $13,547
$14,879 $13,982
$15,067 $14,215
$14,339 $13,581
$14,872 $13,963
$15,133 $14,182
$15,089 $14,382
$15,415 $14,606
$15,849 $15,099
Apr-96 $16,675 $15,619
$17,327 $16,233
$16,968 $15,975
$15,915 $15,124
$16,644 $15,750
$17,209 $16,151
$17,340 $16,105
$18,166 $16,842
$18,569 $17,081
$19,052 $17,686
$19,052 $17,774
$18,558 $17,307
Apr-97 $18,478 $17,184
$20,234 $18,815
$21,509 $19,808
$22,795 $20,842
$23,611 $21,618
$25,436 $23,189
$24,541 $22,716
Nov-97 $24,335 $22,575
Annualized Total Return (%) One Year From April 1993
33.96 20.99
The series seeks to capture return premiums
associated with high book-to-market ratios by
investing on a market cap-weighted basis in
companies that have market caps of approximately
$600 million or less and book-to-market ratios in
the upper 30% of publicly traded U.S. companies.
The series' returns in fiscal 1997 reflected the
performance of small U.S. companies with high
book-to-market ratios.
Past performance is not predictive of future performance.
Fama-French Small Cap Value Index courtesy of
Fama-French and CRSP, University of Chicago.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
U.S. LARGE CAP VALUE SERIES VS.
FAMA-FRENCH LARGE CAP VALUE INDEX
MARCH 1993-NOVEMBER 1997
GROWTH OF $10,000
U.S. LARGE CAP FAMA-FRENCH LARGE
VALUE SERIES CAP VALUE INDEX
<S> <C> <C>
$9,302 $10,000 $10,000
$9,303 $10,298 $10,302
$9,304 $10,268 $10,247
$9,305 $10,379 $10,333
$9,306 $10,600 $10,501
$9,307 $10,751 $10,623
$9,308 $11,012 $10,980
$9,309 $10,820 $10,869
$9,310 $10,951 $10,907
$9,311 $10,849 $10,742
$9,312 $11,110 $11,018
$9,401 $11,429 $11,242
$9,402 $10,914 $10,748
$9,403 $10,472 $10,273
$9,404 $10,637 $10,418
$9,405 $10,564 $10,291
$9,406 $10,345 $10,097
$9,407 $10,803 $10,542
$9,408 $11,115 $10,821
$9,409 $10,791 $10,423
$9,410 $11,001 $10,621
$9,411 $10,508 $10,372
$9,412 $10,635 $10,404
$9,501 $10,880 $10,809
$9,502 $11,496 $11,312
$9,503 $11,672 $11,355
$9,504 $12,099 $11,718
$9,505 $12,729 $12,346
$9,506 $13,008 $12,550
$9,507 $13,578 $12,927
$9,508 $13,986 $13,163
$9,509 $14,470 $13,695
$9,510 $13,875 $13,395
$9,511 $14,634 $13,887
$9,512 $14,740 $14,234
$9,601 $15,158 $14,571
$9,602 $15,384 $14,568
$9,603 $15,920 $14,807
$9,604 $16,181 $14,823
$9,605 $16,454 $15,047
$9,606 $15,975 $15,044
$9,607 $15,266 $14,212
$9,608 $15,872 $14,676
$9,609 $16,190 $14,962
$9,610 $16,719 $15,414
$9,611 $17,924 $16,281
$9,612 $17,749 $16,233
$9,701 $18,384 $16,643
$9,702 $18,750 $16,926
$9,703 $17,891 $16,222
$9,704 $18,480 $16,493
$9,705 $19,914 $17,535
$9,706 $20,527 $18,114
$9,707 $22,584 $19,449
$9,708 $22,252 $19,171
$9,709 $23,425 $20,139
$9,710 $22,225 $19,785
$9,711 $22,461 $20,574
Annualized Total Return (%) One Year From March 1993
25.31 18.57
The series' multifactor portfolios attempt to capture
return premiums associated with high book-to-market
ratios and market capitalization. The U.S. Large Cap
Value Series invests on a market cap-weighted basis in
companies that have market caps of approximately
$600 million or larger and book-to-market ratios
in the upper 30% of publicly traded U.S. companies.
The series' returns in fiscal 1997 reflected the
performance of large cap high book-to-market
U.S. companies.
Past performance is not predictive of future performance.
Fama-French Large Cap Value Index courtesy of
Fama-French and CRSP, University of Chicago.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
JAPANESE SMALL COMPANY SERIES VS.
JAPANESE LARGE COMPANY STOCKS
SEPTEMBER 1996-NOVEMBER 1997
GROWTH OF $10,000
JAPANESE SMALL JAPANESE LARGE
COMPANY SERIES COMPANY STOCKS
<S> <C> <C>
$10,000 $10,000
Sep-96 $10,050 $10,339
$9,344 $9,658
$9,057 $9,846
$7,945 $9,188
$7,170 $8,175
$7,120 $8,360
Mar-97 $6,604 $8,104
$6,495 $8,383
$7,578 $9,322
$7,697 $10,007
$6,823 $9,698
$6,089 $8,835
Sep-97 $5,165 $8,735
$5,304 $7,926
Nov-97 $4,380 $7,436
Annualized Total Return (%) One Year From September 1996
-51.64 -48.34
The portfolio's objective is to capture premium returns
and diversification benefits by investing in a broad cross-
section of small companies on a market cap-weighted basis.
The Japanese Small Company Series provides access to
publicly traded small companies listed on the lower half of
companies on the First Section of Tokyo Stock Exchange.
The portfolio's returns in fiscal 1997 reflected the
performance of small companies in the Japan.
Past performance is not predictive of future performance.
Japanese Large Company Stocks courtesy of
Morgan Stanley Capital International.
</TABLE>
103
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
PACIFIC RIM SMALL COMPANY SERIES VS.
PACIFIC RIM LARGE COMPANY STOCKS
SEPTEMBER 1996-NOVEMBER 1997
GROWTH OF $10,000
PACIFIC RIM SMALL PACIFIC RIM LARGE
COMPANY SERIES COMPANY STOCKS
<S> <C> <C>
$10,000 $10,000
Sep-96 $10,158 $10,260
$10,267 $10,537
$10,583 $11,106
$10,335 $11,128
$10,553 $10,995
$11,146 $11,149
Mar-97 $10,652 $10,636
$10,404 $10,423
$10,790 $11,069
$10,890 $11,313
$10,841 $11,290
$10,237 $9,721
Sep-97 $9,782 $10,051
$7,408 $7,920
Nov-97 $6,587 $7,675
Annualized Total Return (%) One Year From September 1996
-37.75 -28.39
The portfolio's objective is to capture premium returns
and diversification benefits by investing in a broad cross-
section of small companies on a market cap-weighted basis.
The Pacific Rim Small Company Series provides access to publicly
traded small companies listed on the major exchanges of
Australia, Hong Kong, Malaysia, New Zealand, and Singapore.
The portfolio's returns in fiscal 1997 reflected the
performance of small companies in the Pacific Rim.
Past performance is not predictive of future performance.
Pacific Rim Large Company Stocks courtesy of
Morgan Stanley Capital International.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
UNITED KINGDOM SMALL COMPANY SERIES VS.
UNITED KINGDOM LARGE COMPANY STOCKS
SEPTEMBER 1996-NOVEMBER 1997
GROWTH OF $10,000
UNITED KINGDOM SMALL UNITED KINGDOM LARGE
COMPANY SERIES COMPANY STOCKS
<S> <C> <C>
$10,000 $10,000
Sep-96 $10,078 $10,188
$10,566 $10,704
$10,869 $11,232
$11,279 $11,651
$11,142 $11,284
$11,523 $11,620
Mar-97 $11,602 $11,770
$11,416 $11,863
$11,358 $12,331
$11,241 $12,516
$10,880 $12,958
$11,163 $12,764
Sep-97 $11,564 $13,764
$11,974 $13,343
Nov-97 $11,847 $13,401
Annualized Total Return (%) One Year From September 1996
9.00 14.52
The portfolio's objective is to capture premium returns
and diversification benefits by investing in a broad cross-
section of small companies on a market cap-weighted basis.
The United Kingdom Small Company Series provides access to
publicly traded small companies in the lower half by
market cap of companies traded on the International Stock
Exchange of the United Kingdom.
The portfolio's returns in fiscal 1997 reflected the
performance of small companies in the
United Kingdom.
Past performance is not predictive of future performance.
United Kingdom Large Company Stocks courtesy of
Morgan Stanley Capital International.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CONTINENTAL SMALL COMPANY SERIES VS.
CONTINENTAL LARGE COMPANY STOCKS
SEPTEMBER 1996-NOVEMBER 1997
GROWTH OF $10,000
CONTINENTAL SMALL CONTINENTAL LARGE
COMPANY SERIES COMPANY STOCKS
<S> <C> <C>
$10,000 $10,000
Sep-96 $9,860 $10,200
$10,040 $10,322
$10,230 $10,818
$10,431 $10,948
$10,690 $11,167
$10,711 $11,222
Mar-97 $11,091 $11,716
$10,790 $11,529
$11,231 $12,013
$11,620 $12,830
$11,590 $13,433
$11,411 $12,412
Sep-97 $12,221 $13,678
$11,871 $12,939
Nov-97 $11,611 $13,211
Annualized Total Return (%) One Year From September 1996
13.50 12.69
The portfolio's objective is to capture premium returns and
diversification benefits by investing in a broad cross-section
of small companies on a market cap-weighted basis. The
Continental Small Company Series provides access to publicly
traded small companies listed on the major exchanges of
Belgium, Denmark, France, Germany, Italy, the Netherlands,
Spain, Sweden, and Switzerland.
The portfolio's returns in fiscal 1997 reflected the
performance of small companies in Continental Europe.
Past performance is not predictive of future performance.
Continental Large Company Stocks courtesy of
Morgan Stanley Capital International.
</TABLE>
104
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DFA INTERNATIONAL VALUE SERIES VS.
EAFE INDEX
MARCH 1994-NOVEMBER 1997
GROWTH OF $10,000
DFA INTERNATIONAL
VALUE SERIES EAFE INDEX
<S> <C> <C>
$10,000 $10,000
Mar-94 $9,733 $9,570
$10,060 $9,982
$10,119 $9,922
$10,239 $10,061
$10,438 $10,161
$10,598 $10,405
$10,228 $10,082
$10,658 $10,425
$10,099 $9,925
$10,159 $9,984
$9,757 $9,605
$9,736 $9,576
Mar-95 $10,312 $10,179
$10,633 $10,566
$10,573 $10,439
$10,463 $10,262
$11,052 $10,909
$10,676 $10,494
$10,740 $10,704
$10,536 $10,415
$10,826 $10,706
$11,351 $11,145
$11,464 $11,190
$11,537 $11,235
Mar-96 $11,698 $11,471
$12,154 $11,803
$12,040 $11,591
$12,083 $11,660
$11,760 $11,322
$11,811 $11,345
$12,019 $11,651
$11,904 $11,535
$12,434 $11,996
$12,271 $11,840
$11,861 $11,426
$11,969 $11,620
Mar-97 $12,013 $11,667
$11,948 $11,737
$12,855 $12,499
$13,413 $13,187
$13,598 $13,398
$12,706 $12,406
$13,174 $13,101
$12,483 $12,092
Nov-97 $11,955 $11,971
Annualized Total Return (%) One Year From March 1994
-3.85 4.88
The series invests in companies with market
capitalization of at least $800 million and book-to-
market ratios in the upper 30% of large publicly traded
non-U.S. companies. Country weightings reflect the
EAFE index market capitalization weight, with Japan
limited to 38%.
The series' returns in fiscal 1997 reflected the
performance of large, non-U.S. companies with high
book-to-market ratios.
Past performance is not predictive of future performance.
EAFE Index courtesy of Morgan Stanley Capital International.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS FREE EQUAL-WEIGHTED INDEX
MAY 1994-NOVEMBER 1997
GROWTH OF $10,000
EMERGING MSCI EMERGING MARKETS
MARKETS SERIES FREE EQUAL-WEIGHTED INDEX
<S> <C> <C>
$10,000 $10,000
May-94 $10,330 $10,456
$10,210 $10,170
$10,970 $10,928
$11,959 $12,247
$12,090 $12,316
$11,740 $12,126
$11,370 $11,594
$10,551 $10,722
$9,570 $9,530
$9,521 $9,352
$9,941 $9,719
$10,431 $10,340
May-95 $11,170 $11,054
$11,241 $11,012
$11,690 $11,368
$11,251 $10,815
$11,040 $10,637
$10,670 $10,226
$10,626 $10,090
$10,948 $10,517
$12,129 $11,591
$11,876 $11,438
$11,977 $11,510
$12,321 $11,845
May-96 $12,321 $11,941
$12,422 $12,105
$11,361 $11,107
$11,684 $11,456
$11,936 $11,746
$11,674 $11,436
$12,088 $11,940
$12,250 $12,123
$13,502 $13,532
$13,674 $13,705
$13,289 $13,339
$12,774 $12,812
May-97 $13,410 $13,408
$13,965 $13,750
$13,985 $13,777
$11,946 $11,545
$12,440 $12,084
$10,603 $10,151
Nov-97 $10,038 $9,601
Annualized Total Return (%) One Year From May 1994
-16.96 0.10
The series provides access to non-U.S. large companies
in "emerging market" countries including Argentina,
Brazil, Indonesia, Israel, Malaysia, Mexico, Philippines,
Portugal, South Korea, Thailand, and Turkey. The series invests
across all market capitalizations, specifically those deemed
to be value stocks.
The series' returns in fiscal 1997 reflected the performance
of an equally-weighted emerging markets country portfolio.
Past performance is not predictive of future performance.
MSCI Emerging Markets Free Equal-Weighted Index is created
by equal-weighting the MSCI country returns for the
11 countries that Dimensional is currently invested in.
Courtesy of Morgan Stanley Capital International.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
EMERGING MARKETS SMALL CAP SERIES VS.
MSCI EMERGING MARKETS FREE EQUAL-WEIGHTED INDEX
JANUARY 1997-NOVEMBER 1997
GROWTH OF $10,000
EMERGING MARKETS MSCI EMERGING MARKETS
SMALL CAP SERIES FREE EQUAL-WEIGHTED INDEX
<S> <C> <C>
$10,000 $10,000
Jan-97 $11,012 $11,162
$11,273 $11,305
$10,822 $11,003
Apr-97 $10,211 $10,568
$10,371 $11,060
$10,782 $11,342
Jul-97 $10,822 $11,365
$9,408 $9,523
$9,598 $9,968
Oct-97 $8,526 $8,373
Nov-97 $7,945 $7,919
Total Return (%) From January 1997
-20.55
The series provides access to non-U.S. small companies
in "emerging market" countries including Argentina,
Brazil, Indonesia, Israel, Malaysia, Mexico, Philippines,
South Korea, Thailand, and Turkey. The series invests
across all market capitalizations, specifically those
deemed to be value stocks.
This was a new portfolio and its year-to-date returns
in fiscal 1997 reflect the performance of its strategy.
Past performance is not predictive of future performance.
MSCI Emerging Markets Free Equal-Weighted Index is
created by equal-weighting the MSCI country returns for the
11 countries that Dimensional is currently invested in.
Courtesy of Morgan Stanley Capital International.
</TABLE>
105
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DFA ONE-YEAR FIXED INCOME SERIES VS.
ONE MONTH CD'S
MARCH 1993-NOVEMBER 1997
GROWTH OF $10,000
DFA ONE-YEAR ONE MONTH
FIXED INCOME SERIES CD'S
<S> <C> <C>
$10,000 $10,000
Mar-93 $10,048 $10,024
$10,097 $10,046
$10,104 $10,066
$10,149 $10,088
$10,180 $10,110
$10,229 $10,134
$10,268 $10,155
$10,290 $10,175
$10,308 $10,199
$10,343 $10,221
$10,395 $10,244
$10,376 $10,264
Mar-94 $10,373 $10,289
$10,368 $10,313
$10,390 $10,344
$10,425 $10,376
$10,486 $10,409
$10,527 $10,444
$10,545 $10,479
$10,580 $10,517
$10,575 $10,555
$10,607 $10,598
$10,708 $10,646
$10,810 $10,690
Mar-95 $10,877 $10,739
$10,949 $10,783
$11,066 $10,835
$11,129 $10,882
$11,188 $10,931
$11,245 $10,979
$11,296 $11,024
$11,356 $11,075
$11,410 $11,123
$11,465 $11,168
$11,518 $11,220
$11,564 $11,264
Mar-96 $11,616 $11,306
$11,656 $11,353
$11,696 $11,397
$11,759 $11,438
$11,814 $11,488
$11,872 $11,534
$11,943 $11,580
$12,031 $11,628
$12,103 $11,672
$12,142 $11,721
$12,202 $11,770
$12,254 $11,815
Mar-97 $12,274 $11,866
$12,357 $11,918
$12,417 $11,971
$12,492 $12,024
$12,578 $12,078
$12,616 $12,129
$12,691 $12,185
$12,766 $12,240
Nov-97 $12,806 $12,290
Annualized Total Return (%) One Year From March 1993
5.81 5.34
The series maximizes expected returns by shifting maturities
based on changes in the yield curve. Using current prices,
the strategy creates a matrix of expected returns from different
buy and sell strategies and identifies the optimal maturity
range for the highest expected returns. Issues which meet
maturity and quality levels are further evaluated for business
risk. Maturities are shifted if sufficient premiums can be
documented. Investments are made in high quality obligations,
including BA's, CD's, corporate debt obligations and commercial
paper of U.S. as well as non-U.S. issuers (Yankees). Average
maturity is maintained under one year with no individual issue
longer than two years.
This series' returns in fiscal 1997 reflected the performance
of its strategy.
Past performance is not predictive of future performance.
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DFA TWO-YEAR GLOBAL FIXED INCOME SERIES VS.
MERRILL LYNCH GOVERNMENTS, U.S. TREASURY,
SHORT TERM (1-2.99 YEARS)
MARCH 1996-NOVEMBER 1997
GROWTH OF $10,000
MERRILL LYNCH
GOVERNMENTS,
DFA TWO-YEAR U.S. TREASURY,
GLOBAL FIXED SHORT TERM
INCOME SERIES (1-2.99 YEARS)
<S> <C> <C>
$10,000 $10,000
Mar-96 $10,047 $9,991
$10,097 $9,999
$10,148 $10,020
$10,188 $10,092
$10,260 $10,131
$10,361 $10,166
Sep-96 $10,439 $10,258
$10,531 $10,374
$10,602 $10,454
$10,647 $10,454
$10,720 $10,503
$10,762 $10,528
Mar-97 $10,766 $10,523
$10,830 $10,610
$10,904 $10,682
$10,982 $10,755
$11,036 $10,874
$11,079 $10,884
Sep-97 $11,149 $10,966
$11,192 $11,047
Nov-97 $11,236 $11,074
Annualized Total Return (%) One Year From March 1996
5.98 6.89
The series seeks to maximize expected returns by shifting
maturities based on changes in the yield curve. Using current
prices, the strategy creates a matrix of expected returns
from different buy and sell strategies and identifies the
optimal maturity range for the highest expected returns.
Maturities are shifted if sufficient premiums can be
documented. Investments are made in U.S. government
securities, high-quality corporate securities and currency
hedged global bonds with a maximum maturity of two years.
This series' returns in fiscal 1997 reflected the
performance of its strategy.
Past performance is not predictive of future performance.
Merrill Lynch Governments, U.S. Treasury, Short Term
(1-2.99 Years) courtesy of Merrill Lynch.
</TABLE>
106
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. 6-10 SMALL COMPANY SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (98.6%)
*3-D Geophysical, Inc................................ 5,800 $ 38,244
*3-D Systems Corp.................................... 7,700 64,488
*3D0 Co.............................................. 20,000 60,938
*4 Health, Inc....................................... 3,500 22,531
*4Front Software International, Inc.................. 3,100 26,931
*7Th Level, Inc...................................... 3,400 6,906
*AAON, Inc........................................... 3,600 27,000
AAR Corp............................................. 10,800 416,475
ABC Bancorp.......................................... 2,525 42,452
*ABC Rail Products Corp.............................. 5,400 109,013
ABM Industries, Inc.................................. 13,100 365,163
*ABR Information Services, Inc....................... 13,700 330,084
*ABT Building Products Corp.......................... 6,300 113,400
*ACC Corp............................................ 12,450 582,427
*ACT Manufacturing, Inc.............................. 5,700 81,047
*ACT Networks, Inc................................... 7,400 60,588
*ACX Technologies, Inc............................... 17,000 455,813
*ADE Corp............................................ 6,900 155,681
*AEP Industries, Inc................................. 3,900 126,019
*AER Energy Resources, Inc........................... 14,200 25,959
*AFC Cable Systems, Inc.............................. 4,375 117,852
*AG Associates, Inc.................................. 4,400 26,400
*AG Services America, Inc............................ 2,800 50,575
*#AMBI, Inc.......................................... 12,400 30,613
*#AMC Entertainment, Inc............................. 6,300 138,206
*AML Communications, Inc............................. 3,600 21,938
*AMX Corp............................................ 6,300 41,738
*#APAC Teleservices, Inc............................. 18,300 258,488
*APS Holding Corp. Class A........................... 11,000 42,453
*ARI Network Services, Inc........................... 1,700 5,419
*ARV Assisted Living, Inc............................ 7,500 114,844
ASB Financial Corp................................... 1,000 13,313
*ASV, Inc............................................ 2,500 66,094
*#ATC Communications Group, Inc...................... 5,900 13,644
*ATC Group Services, Inc............................. 3,900 43,875
*ATL Products, Inc. Class A.......................... 330 3,764
*ATL Ultrasound, Inc................................. 8,500 367,625
*ATMI, Inc........................................... 5,300 173,244
*ATS Medical, Inc.................................... 12,700 73,819
#Aames Financial Corp................................ 19,450 262,575
Aaron Rents, Inc. Class A............................ 1,500 23,813
Aaron Rents, Inc. Class B............................ 14,400 238,500
*#Aasche Transportation Services, Inc................ 2,000 6,188
*Aavid Thermal Technologies, Inc..................... 4,000 116,750
*Abaxis, Inc......................................... 7,100 18,416
Abington Bancorp, Inc................................ 700 25,463
*Abiomed, Inc........................................ 3,400 57,481
*Able Telcom Holding Corp............................ 6,700 55,694
Abrams Industries, Inc............................... 200 1,550
*Abraxas Petroleum Corp.............................. 2,900 47,488
*Acacia Research Corp................................ 1,200 9,750
*Accell International Corp........................... 2,700 10,209
*Acceptance Insurance Companies, Inc................. 9,100 221,244
*#Access Beyond, Inc................................. 300 1,622
*Access Health Marketing, Inc........................ 14,000 417,375
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Acclaim Entertainment, Inc.......................... 38,400 $ 156,600
*Accumed International, Inc.......................... 2,000 3,906
*Ace Cash Express, Inc............................... 3,800 68,875
Aceto Corp........................................... 2,200 43,725
Ackerley Group, Inc.................................. 15,600 249,600
*Acme Electric Corp.................................. 2,500 15,781
*Acme Metals, Inc.................................... 11,000 136,813
*Acme United Corp.................................... 1,300 7,556
*Actel Corp.......................................... 14,400 212,850
*Action Performance Companies, Inc................... 11,000 316,938
*Active Apparel Group, Inc........................... 1,500 3,492
*Active Voice Corp................................... 1,300 18,038
*#Activision, Inc.................................... 12,500 200,000
*#Actrade International, Ltd......................... 5,100 146,306
*Acuson Corp......................................... 19,100 364,094
*Adac Laboratories................................... 16,766 351,038
*Adage, Inc.......................................... 3,100 19,278
*Adam Software, Inc.................................. 1,000 2,797
Adams Resources & Energy, Inc........................ 2,100 31,238
*Adelphia Communications Corp. Class A............... 12,900 186,244
*Adept Technology, Inc............................... 5,000 58,906
*Adflex Solutions, Inc............................... 5,200 100,263
*Advanced Digital Information Corp................... 6,000 110,625
*Advanced Energy Industries, Inc..................... 4,000 79,250
*Advanced Magnetics, Inc............................. 6,000 55,875
*Advanced Marketing Services, Inc.................... 2,700 34,931
*Advanced Photonix, Inc. Class A..................... 5,300 7,288
*Advanced Polymer Systems, Inc....................... 14,700 107,494
*Advanced Promotion Technologies, Inc................ 11,624 186
*Advanced Tissue Sciences, Inc....................... 28,600 367,331
Advantage Bancorp, Inc............................... 1,250 78,594
*Advent Software, Inc................................ 6,000 144,375
Advest Group, Inc.................................... 5,000 113,750
*Advo, Inc........................................... 16,100 350,175
*Advocat, Inc........................................ 3,200 27,200
*Aeroflex, Inc....................................... 10,000 85,625
*Aerosonic Corp. DE.................................. 2,000 21,250
*Aerovox, Inc........................................ 2,700 14,681
*Aetrium, Inc........................................ 6,800 126,225
Affiliated Community Bancorp......................... 3,200 91,400
*Affiliated Computer Services, Inc. Class A.......... 16,900 395,038
*Affinity Technology Group, Inc...................... 16,800 48,300
*Ag-Chem Equipment Co., Inc.......................... 7,600 126,350
*Agri-Nutrition Group, Ltd........................... 1,600 2,300
*Air & Water Technologies Corp. Class A.............. 25,500 31,875
Air Express International Corp....................... 13,875 401,941
*Air Methods Corp.................................... 4,000 14,625
*Airtran Holdings, Inc............................... 2,600 13,284
*Akorn, Inc.......................................... 8,700 34,120
Alabama National Bancorporation...................... 2,400 59,850
Alamo Group, Inc..................................... 5,800 118,900
*Alaris Medical, Inc................................. 42,300 226,041
</TABLE>
107
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Alarmguard Holdings, Inc............................ 5,000 $ 53,750
*#Alaska Air Group, Inc.............................. 8,700 325,163
*Alba-Waldensian, Inc................................ 600 3,300
Albank Financial Corp................................ 8,040 374,865
Albany International Corp. Class A................... 8,000 194,500
*Alcide Corp......................................... 900 53,438
*Aldila, Inc......................................... 10,900 50,072
Alfa Corp............................................ 28,500 466,688
*Alfin, Inc.......................................... 4,500 2,391
Aliant Communications, Inc........................... 21,900 663,844
Alico, Inc........................................... 3,500 85,750
*Align-Rite International, Inc....................... 2,200 37,125
*Alkermes, Inc....................................... 18,100 358,606
*All American Semiconductor, Inc..................... 7,100 12,980
*Allcity Insurance Co................................ 200 1,550
Allen Organ Co. Class B.............................. 200 8,525
*Allen Telecom, Inc.................................. 18,800 381,875
Alliance Bancorp..................................... 3,238 84,998
*Alliance Entertainment Corp......................... 18,100 1,448
*Alliance Gaming Corp................................ 24,928 102,439
*Alliance Pharmaceuticals Corp....................... 24,400 237,138
*#Alliance Semiconductor Corp........................ 30,900 196,022
*Alliant Techsystems, Inc............................ 7,800 463,613
*Allied Capital Advisers, Inc........................ 4,500 27,000
Allied Capital Lending Corp.......................... 2,800 57,838
*Allied Digital Technologies Corp.................... 700 1,838
Allied Group, Inc.................................... 5,025 205,711
*Allied Healthcare Products, Inc..................... 4,700 37,159
*Allied Holdings, Inc................................ 5,000 98,438
Allied Life Financial Corp........................... 2,000 42,250
Allied Products Corp................................. 6,750 162,844
*Allied Research Corp................................ 2,200 27,225
*Allou Health & Beauty Care, Inc. Class A............ 1,900 14,963
*Allstate Financial Corp............................. 1,600 9,800
*Alltrista Corp...................................... 3,953 114,143
*Aloette Cosmetics, Inc.............................. 1,000 2,969
*#Alpha Beta Technology, Inc......................... 13,400 39,781
*Alpha Industries, Inc............................... 6,200 115,475
*Alpha Microsystems, Inc............................. 3,300 3,919
*Alpha Technologies Group, Inc....................... 4,000 14,750
Alpharma, Inc. Class A............................... 8,100 185,288
*Alpine Group, Inc................................... 15,736 307,836
*Alpine Lace Brands, Inc............................. 2,600 23,563
*Alrenco, Inc........................................ 2,400 38,850
*#Alta Gold Co....................................... 17,400 27,731
*Alteon, Inc......................................... 12,600 72,844
*Alternative Living Services......................... 2,090 55,646
*Alternative Resources Corp.......................... 12,500 307,813
*Altris Software, Inc................................ 7,200 28,575
*Altron, Inc......................................... 12,100 192,844
*Amati Communications Corp........................... 14,300 283,766
*Amax Gold, Inc...................................... 68,200 149,188
Amcast Industrial Corp............................... 4,300 106,425
Amcol International Corp............................. 15,200 365,750
Amcore Financial, Inc................................ 15,025 359,661
*Amedisys, Inc....................................... 1,400 8,138
*America Services Group, Inc......................... 1,600 27,800
*America West Holdings Corp. Class B................. 29,700 473,344
American Annuity Group, Inc.......................... 18,200 378,788
American Bancorporation Ohio......................... 400 8,850
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
American Bank of Connecticut......................... 1,100 $ 51,769
*American Banknote Corp.............................. 12,200 65,575
American Biltrite, Inc............................... 1,400 32,725
*American Biogenetic Sciences, Inc. Class A.......... 13,700 28,256
*American Buildings Co............................... 2,700 73,575
*American Business Information, Inc.................. 14,600 166,988
*American Business Information, Inc. Class A......... 14,600 165,163
American Business Products, Inc...................... 13,100 271,825
*American Claims Evaluation, Inc..................... 1,000 2,125
*American Classic Voyages Co......................... 11,100 191,475
*American Coin Merchandising, Inc.................... 2,700 46,238
*#American Communications Services, Inc.............. 20,700 275,569
*American Eagle Group, Inc........................... 4,000 184
*American Eagle Outfitters, Inc...................... 5,900 199,494
*American Ecology Corp............................... 5,250 7,711
*American Freightways Corp........................... 21,800 318,825
*American Healthcorp, Inc............................ 6,400 82,400
American Heritage Life Investment Corp............... 7,900 290,325
*American Homepatient, Inc........................... 11,800 239,688
*American Homestar Corp.............................. 9,655 138,187
American Indemnity Financial Corp.................... 800 10,150
*American International Petroleum Corp............... 21,500 118,250
*American Media, Inc. Class A........................ 13,500 104,625
*American Medical Electronics, Inc. (Escrow-Bonus)... 4,400 0
*American Medical Electronics, Inc.
(Escrow-Earnings).................................. 4,400 0
*American Mobile Satellite Corp...................... 17,600 138,600
*American Oilfield Divers, Inc....................... 8,200 107,881
*American Oncology Resources, Inc.................... 17,200 234,888
*American Pacific Corp............................... 4,100 30,238
*American Pad & Paper Co............................. 19,500 282,750
*American Paging, Inc................................ 12,000 24,000
*American Physicians Services Group, Inc............. 1,800 13,050
American Precision Industries, Inc................... 7,300 159,688
*American Safety Razor Co............................ 6,000 112,875
*American Science & Engineering, Inc................. 6,500 73,938
*American Shared Hospital Services................... 600 863
*American Software, Inc. Class A..................... 14,100 131,306
*American Superconductor Corp........................ 7,500 78,750
*American Technical Ceramics Corp.................... 1,500 24,094
*American Telecasting, Inc........................... 11,900 16,734
*American United Global, Inc......................... 6,600 13,509
*American Waste Services, Inc. Class A............... 12,400 18,600
American Woodmark Corp............................... 4,660 101,938
Americana Bancorp, Inc............................... 1,600 31,600
*Americredit Corp.................................... 19,400 535,925
*Amerihost Properties, Inc........................... 3,000 19,781
*AmeriLink Corp...................................... 1,400 35,263
*Amerin Corp......................................... 14,700 344,531
*Ameristar Casinos, Inc.............................. 11,600 61,081
*Ameriwood Industries International Corp............. 3,200 20,200
Ameron, Inc.......................................... 2,000 129,000
</TABLE>
108
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Ames Department Stores, Inc......................... 17,100 $ 288,563
Ametek, Inc.......................................... 2,500 59,375
*Amistar Corp........................................ 1,300 4,713
Ampco-Pittsburgh Corp................................ 4,800 91,200
*Ampex Corp. Class A................................. 36,400 94,413
*Amrep Corp.......................................... 3,900 21,450
*Amresco, Inc........................................ 28,000 777,000
*Amtech Corp......................................... 11,800 54,944
*Amtran, Inc......................................... 7,000 56,438
Amvestors Financial Corp............................. 7,800 171,113
Amwest Insurance Group, Inc.......................... 1,200 16,725
*Amylin Pharmaceuticals, Inc......................... 33,500 227,172
*Anadigics, Inc...................................... 7,550 249,150
Analogic Corp........................................ 7,300 276,031
*Analogy, Inc........................................ 7,300 40,606
Analysis & Technology, Inc........................... 800 18,900
Analysts International Corp.......................... 8,200 390,525
*Analytical Surveys, Inc............................. 2,900 75,038
*Anaren Microwave, Inc............................... 2,000 40,250
Anchor Bancorp Wisconsin, Inc........................ 5,400 169,088
*Anchor Gaming, Inc.................................. 6,700 533,069
Andover Bancorp, Inc. DE............................. 2,600 97,419
*Andrea Electronics Corp............................. 3,800 76,950
*Anergen, Inc........................................ 15,200 39,900
*Anesta Corp......................................... 9,000 143,719
*Angeion Corp........................................ 24,200 79,406
Angelica Corp........................................ 9,000 193,500
*Anicom, Inc......................................... 10,300 179,606
*Ann Taylor Stores Corp.............................. 15,900 226,575
*Ansaldo Signal N.V.................................. 5,900 26,734
*Antec Corp.......................................... 29,050 446,644
*Apertus Technologies, Inc........................... 5,500 9,453
*Aphton Corp......................................... 10,100 115,519
Apogee Enterprises, Inc.............................. 17,400 387,150
*Apogee, Inc......................................... 5,900 14,381
Apple South, Inc..................................... 30,700 563,153
Applebees International, Inc......................... 15,700 332,644
*#Appliance Recycling Centers of America, Inc........ 525 1,542
*Applied Digital Access, Inc......................... 10,000 72,500
*Applied Extrusion Technologies, Inc................. 8,400 66,413
Applied Industrial Technologies, Inc................. 11,250 317,813
*Applied Innovation, Inc............................. 11,500 82,297
*#Applied Magnetics Corp............................. 12,800 216,000
*Applied Microsystems Corp........................... 3,400 33,150
Applied Power, Inc. Class A.......................... 8,200 500,200
*Applied Science & Technology, Inc................... 2,000 42,125
*Applied Signal Technologies, Inc.................... 4,700 70,794
*Applied Voice Technology, Inc....................... 4,500 125,156
*Applix, Inc......................................... 8,000 44,125
*#Aquagenix, Inc..................................... 2,000 14,813
Aquarion Co.......................................... 3,500 106,313
*Aquila Biopharmaceuticals, Inc...................... 1,130 5,297
Aquila Gas Pipeline Corp............................. 24,700 348,888
*Arabian Shield Development Co....................... 200 488
*Arbor Software Corp................................. 5,000 151,875
*#Arcadia Financial, Ltd............................. 30,400 254,600
Arch Coal, Inc....................................... 8,100 213,131
*Arch Communications Group, Inc...................... 17,600 120,450
*Arch Petroleum, Inc................................. 13,700 38,317
Arctic Cat, Inc...................................... 20,100 211,678
*#Argosy Gaming Corp................................. 20,600 83,688
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Ariad Pharmaceuticals, Inc.......................... 14,400 $ 71,100
*Ariel Corp.......................................... 9,300 67,134
*#Ark Restaurants Corp............................... 1,600 18,300
*Arkansas Best Corp.................................. 15,600 172,575
*Armco, Inc.......................................... 83,000 440,938
Arnold Industries, Inc............................... 21,000 378,000
*Aronex Pharmaceuticals, Inc......................... 15,700 78,991
*Arrhythmia Research Technology, Inc................. 1,800 3,713
*#Arris Pharmaceutical Corp.......................... 10,100 96,581
*Arrow Automotive Industries, Inc.................... 1,000 3,250
Arrow Financial Corp................................. 3,675 120,586
Arrow International, Inc............................. 200 7,000
*Arthrocare Corp..................................... 5,900 68,219
*Artisoft, Inc....................................... 8,700 18,759
*Artistic Greetings, Inc............................. 2,900 13,775
*Artra Group, Inc.................................... 4,800 14,100
*Arts Way Manufacturing Co., Inc..................... 200 2,075
Arvin Industries, Inc................................ 15,800 545,100
*Asante Technologies, Inc............................ 7,200 35,100
*Aseco Corp.......................................... 1,400 14,000
*Ashworth, Inc....................................... 7,400 79,781
*Aspen Technology, Inc............................... 9,900 376,819
*#Assisted Living Concepts, Inc...................... 8,600 147,275
*Astea International, Inc............................ 7,400 16,881
*Astec Industries, Inc............................... 7,200 116,100
Astoria Financial Corp............................... 2,587 142,932
Astro-Med, Inc....................................... 3,000 24,750
*Astronics Corp...................................... 2,375 22,266
*Asyst Technologies, Inc............................. 6,400 197,200
Atalanta Sosnoff Capital Corp........................ 4,300 50,794
*Atchison Casting Corp............................... 4,200 72,450
*Athey Products Corp................................. 2,940 12,587
*Atkinson (Guy F.) of California..................... 5,400 19,744
*Atlantic American Corp.............................. 10,300 51,822
*Atlantic Bank and Trust Co.......................... 2,000 29,500
*#Atlantic Coast Airlines, Inc....................... 5,000 117,188
*Atlantic Gulf Communities Corp...................... 5,800 24,288
*Atlantic Premium Brands, Ltd........................ 2,000 6,500
*Atlantic Tele-Network, Inc.......................... 7,400 89,725
*Atlantis Plastics, Inc.............................. 3,300 18,769
*Atlas Air, Inc...................................... 13,200 348,150
Atmos Energy Corp.................................... 18,100 480,781
Atrion Corp.......................................... 1,950 28,641
*Atrix Labs, Inc..................................... 6,600 96,525
*Atwood Oceanics, Inc................................ 6,600 325,463
*Au Bon Pain, Inc. Class A........................... 6,000 54,375
*Audiovox Corp. Class A.............................. 10,400 91,650
Audits & Surveys Worldwide, Inc...................... 5,100 14,025
*Ault, Inc........................................... 3,900 26,934
*Aura Systems, Inc................................... 39,700 148,255
*Auspex Systems, Inc................................. 19,900 223,253
Authentic Fitness Corp............................... 16,400 269,575
Autocam Corp......................................... 4,343 57,002
*Autoimmune, Inc..................................... 9,800 28,481
*Autoinfo, Inc....................................... 3,900 2,316
*Autologic Information International, Inc............ 2,300 17,250
*Automobile Protection Corp.......................... 8,500 51,000
*Autonomous Technologies Corp........................ 2,500 13,516
*Autote Corp. Class A................................ 16,458 44,231
*#Avant Corp......................................... 12,000 287,250
</TABLE>
109
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Avatar Holdings, Inc................................ 5,500 $ 156,063
*#Avatex Corp........................................ 6,300 11,025
*Avecor Cardiovascular, Inc.......................... 3,900 32,175
*Avert, Inc.......................................... 1,300 10,481
*Aviall, Inc......................................... 15,700 222,744
*#Avid Technology, Inc............................... 18,500 543,438
*Avigen, Inc......................................... 1,000 3,313
*Aviva Petroleum, Inc. Deposit Shares (Representing 5
Shares)............................................ 6,500 9,750
*Avondale Financial Corp............................. 2,800 44,800
*Avondale Industries, Inc............................ 11,600 328,425
*Axent Technologies, Inc............................. 3,000 63,000
*Axiohm Transaction Solutions, Inc................... 232 3,901
*Axsys Technologies, Inc............................. 1,500 29,813
*Aydin Corp.......................................... 2,600 29,900
*Aztar Corp.......................................... 31,800 222,600
Aztec Manufacturing Co............................... 4,300 73,369
*BCT International, Inc.............................. 2,700 8,606
*BDM International, Inc.............................. 14,600 427,506
*BEC Group, Inc...................................... 10,683 62,763
BEI Electronics, Inc................................. 3,400 13,600
*BEI Technologies, Inc............................... 3,400 40,800
*BFX Hospitality Group, Inc.......................... 4,600 12,075
BGS Systems, Inc..................................... 5,200 173,225
BHA Group Holdings, Inc. Class A..................... 3,267 60,031
*BI, Inc............................................. 3,600 25,425
BMC Industries, Inc.................................. 12,000 222,750
*BPI Packaging Technologies, Inc..................... 5,300 5,714
*BRC Holdings, Inc................................... 3,700 154,244
BSB Bancorp, Inc..................................... 4,200 130,988
BT Financial Corp.................................... 3,135 145,386
*BT Office Products International, Inc............... 23,100 236,775
*BTG, Inc............................................ 2,700 29,025
*BTU International, Inc.............................. 3,800 21,613
*BWAY Corp........................................... 4,800 103,500
*Back Bay Restaurant Group, Inc...................... 2,000 12,875
Badger Meter, Inc.................................... 800 33,200
Badger Paper Mills, Inc.............................. 1,000 8,438
Bairnco Corp......................................... 5,300 52,338
Baker (J.), Inc...................................... 6,900 47,222
*Baker (Michael) Corp................................ 3,900 36,806
Balchem Corp......................................... 1,200 22,650
Baldor Electric Co................................... 10,300 318,656
*Baldwin Piano & Organ Co............................ 1,300 21,450
*Baldwin Technology, Inc. Class A.................... 10,300 51,500
*Ballantyne Omaha, Inc............................... 7,700 141,488
Ballard Medical Products............................. 20,000 461,250
*Bally Total Fitness Holding Corp.................... 9,775 182,670
*Baltek Corp......................................... 1,500 14,063
Bancfirst Ohio Corp.................................. 600 26,625
*Bancinsurance Corp.................................. 2,900 13,956
Bancorp Connecticut, Inc............................. 1,000 39,750
BancorpSouth, Inc.................................... 12,900 491,813
*BancTec, Inc........................................ 12,462 308,435
Bangor Hydro-Electric Co............................. 4,400 25,025
Bank of Granite Corp................................. 5,400 164,700
*Bank Plus Corp...................................... 9,000 99,563
*Bank United Financial Corp. Class A................. 1,200 15,525
#BankAtlantic Bancorp, Inc. Class A.................. 5,279 71,267
BankAtlantic Bancorp, Inc. Class B................... 6,277 88,859
BankNorth Group, Inc. DE............................. 3,900 235,219
*Banner Aerospace, Inc............................... 17,500 166,250
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Banta Corp........................................... 3,000 $ 75,750
*Banyan System, Inc.................................. 10,300 34,441
Barnes Group, Inc.................................... 16,200 423,225
*Barnwell Industries, Inc............................ 400 7,150
*Barr Laboratories, Inc.............................. 8,250 297,000
*Barra, Inc.......................................... 8,700 239,250
*Barrett Business Services, Inc...................... 4,100 49,584
*Barringer Technologies, Inc......................... 2,400 26,025
*Barry (R.G.) Corp................................... 4,700 54,931
*#Base Ten Systems, Inc. Class A..................... 3,700 47,175
*Basin Exploration, Inc.............................. 5,900 109,888
Bassett Furniture Industries, Inc.................... 7,800 229,125
Battle Mountain Gold Co.............................. 24,900 126,056
Bay State Gas Co..................................... 7,600 223,250
#Bay View Capital Corp............................... 8,000 267,000
*Baycorp Holdings, Ltd............................... 4,200 30,975
*Bayou Steel Corp. Class A........................... 6,400 23,200
*Be Aerospace, Inc................................... 13,100 411,831
Beauticontrol Cosmetics, Inc......................... 2,900 23,653
*Beazer Homes USA, Inc............................... 6,000 107,063
*Bel Fuse, Inc....................................... 2,500 48,906
*Belco Oil & Gas Corp................................ 10,000 205,625
*Bell and Howell Co.................................. 11,000 261,250
*Bell Industries, Inc................................ 5,440 90,440
*Bell Microproducts, Inc............................. 6,100 51,469
*Bell Sports Corp.................................... 11,000 92,469
*Bellwether Exploration Co........................... 11,100 115,856
*Belmont Homes, Inc.................................. 6,700 50,669
*Ben & Jerry's Homemade, Inc. Class A................ 3,600 57,825
*Benchmark Electronics, Inc.......................... 6,900 194,063
*Benchmarq Microelectron............................. 4,100 74,569
*Benihana, Inc....................................... 1,000 12,750
*#Bentley Pharmaceuticals, Inc....................... 1,960 5,390
*Benton Oil & Gas Co................................. 20,300 293,081
Berkshire Gas Co..................................... 1,000 17,063
*Berlitz International, Inc.......................... 4,700 121,319
Berry Petroleum Corp. Class A........................ 12,600 235,463
*Bertuccis, Inc...................................... 7,000 44,625
*Best Buy Co., Inc................................... 29,800 867,925
*Bet Holdings, Inc. Class A.......................... 6,700 358,450
*#Big Flower Press Holding, Inc...................... 5,400 118,463
*Billing Information Concepts Corp................... 5,400 240,469
Bindley Western Industries, Inc...................... 7,800 239,850
Binks Sames Corp..................................... 1,100 47,300
*Bio Technology General Corp......................... 32,700 406,706
*Bio Vascular, Inc................................... 3,000 10,594
*Bio-Logic Systems Corp.............................. 2,100 10,631
*Bio-Plexus, Inc..................................... 2,700 14,597
*Bio-Rad Laboratories, Inc. Class A.................. 5,800 146,088
*Biocircuits Corp.................................... 925 752
*Biocryst Pharmaceuticals, Inc....................... 8,500 61,625
*Biomatrix, Inc...................................... 6,300 187,819
*Biosepra, Inc....................................... 5,000 11,250
*Biosource International, Inc........................ 7,200 42,975
*Biospecifics Technologies Corp...................... 2,300 13,225
*Biospherics, Inc.................................... 4,000 23,250
*Bird Corp........................................... 2,500 10,156
Birmingham Steel Corp................................ 18,600 284,813
*Black Box Corp...................................... 13,200 469,425
*Black Hawk Gaming & Development, Inc................ 1,000 7,250
</TABLE>
110
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Black Hills Corp..................................... 8,700 $ 276,769
Blair Corp........................................... 5,600 106,750
Blanch (E.W.) Holdings, Inc.......................... 6,600 228,113
Blessings Corp....................................... 6,000 85,500
Blimpie International................................ 5,000 22,031
*Bluegreen Corp...................................... 13,495 59,041
Bob Evans Farms, Inc................................. 22,500 452,813
*Boca Research, Inc.................................. 5,200 36,725
*Bolt Technology Corp................................ 2,500 19,219
*Bombay Co., Inc..................................... 22,700 117,756
*Bon-Ton Stores, Inc................................. 5,700 89,775
*Bonded Motors, Inc.................................. 1,800 14,794
*Bone Care International, Inc........................ 2,250 22,781
*Bontex, Inc......................................... 200 1,150
*Books-a-Million, Inc................................ 11,900 80,697
*Boole & Babbage, Inc................................ 11,250 329,766
*Borg-Warner Security Corp........................... 15,600 278,850
*Borland International, Inc.......................... 25,900 260,619
Boston Acoustics, Inc................................ 2,200 59,125
*Boston Communications Group, Inc.................... 6,000 56,063
*Boston Technology, Inc.............................. 15,200 326,800
Bostonfed Bancorp, Inc............................... 1,000 20,563
*Bowmar Instrument Corp.............................. 11,700 24,131
Bowne & Co., Inc..................................... 10,800 412,425
*Box Energy Corp. Class A............................ 400 3,125
*Box Energy Corp. Class B............................ 14,000 101,063
*Boyd Gaming Corp.................................... 43,000 311,750
*Boyds Wheels, Inc................................... 3,100 5,861
*Bradley Pharmaceuticals, Inc. Class A............... 1,500 2,695
Brady (W.H.) Co. Class A............................. 12,100 371,319
*Brauns Fashions Corp................................ 2,200 21,175
*Brazos Sportswear, Inc.............................. 230 2,070
#Breed Technologies, Inc............................. 15,800 318,963
Brenton Banks, Inc................................... 2,972 97,426
*Brewer (C.) Homes, Inc. Class A..................... 1,800 3,684
Bridgford Foods Corp................................. 3,705 55,575
*Brightpoint, Inc.................................... 26,886 432,697
*Brite Voice Systems, Inc............................ 12,100 111,169
Broad National Bancorporation........................ 2,120 43,460
*Broadband Technologies, Inc......................... 10,600 62,606
*Broadway & Seymour, Inc............................. 5,400 52,650
*Brock International, Inc............................ 2,500 10,313
*Broderbund Software, Inc............................ 12,500 365,234
#Brooke Group, Ltd................................... 11,100 99,900
*Brooks Automation, Inc.............................. 5,100 108,375
*Brookstone, Inc..................................... 3,900 47,288
*Brooktrout Technology, Inc.......................... 9,300 105,788
*Brothers Gourmet Coffees, Inc....................... 6,700 8,166
*Brown & Sharpe Manufacturing Co. Class A............ 7,900 80,975
*Brown (Tom), Inc.................................... 14,400 315,450
Brown Group, Inc..................................... 14,400 233,100
Brush Wellman, Inc................................... 9,800 232,750
Bryn Mawr Bank Corp.................................. 400 18,825
*Buckeye Technology, Inc............................. 11,200 490,700
*Buckhead America Corp............................... 900 7,425
*Buckle, Inc......................................... 13,200 433,950
*Buffets, Inc........................................ 31,686 282,203
*Builders Transport, Inc............................. 1,800 5,400
*Building Materials Holding Corp..................... 10,600 119,913
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Bull Run Corp. GA................................... 21,300 $ 65,231
Burlington Coat Factory Warehouse Corp............... 33,480 625,658
*Burr Brown Corp..................................... 14,175 426,136
*Bush Boake Allen, Inc............................... 9,800 275,625
Bush Industries, Inc. Class A........................ 5,700 150,338
*Business Resource Group............................. 2,400 8,850
*Butler International, Inc........................... 4,100 69,188
Butler Manufacturing Co.............................. 3,800 128,725
*Buttrey Food & Drug Stores Co....................... 5,200 56,225
C & D Technologies, Inc.............................. 3,900 180,131
*C ATS Software, Inc................................. 3,000 17,063
*C-COR Electronics, Inc.............................. 5,800 90,625
*#C-Phone Corp....................................... 2,500 19,531
*C.P. Clare Corp..................................... 5,500 73,906
*CAI Wireless Systems, Inc........................... 5,115 6,634
CBT Corp............................................. 200 5,950
*CCA Industries, Inc................................. 4,300 10,481
*CDI Corp............................................ 3,900 161,363
*CE Software Holdings, Inc........................... 580 1,450
*CEM Corp............................................ 3,800 41,088
*CET Environmental Services, Inc..................... 3,500 23,734
*CFI Proservices, Inc................................ 1,800 22,725
CFSB Bancorp, Inc.................................... 1,464 51,972
CFW Communications Co................................ 6,600 150,563
CFX Corp............................................. 12,175 337,856
*CHS Electronics, Inc................................ 15,600 295,913
*CMC Industries, Inc................................. 3,300 40,219
*CMG Information Services, Inc....................... 5,800 122,163
CMI Corp. Class A.................................... 17,800 95,675
*CML Group, Inc...................................... 39,800 139,300
CNA Surety Corp...................................... 11,100 160,950
*CNS Income.......................................... 14,400 114,300
*CPAC, Inc........................................... 3,520 37,840
CPB, Inc............................................. 5,200 108,063
*#CPI Aerostructures, Inc............................ 200 675
CPI Corp............................................. 7,000 130,375
*CSG Systems International, Inc...................... 5,000 184,688
*CSP, Inc............................................ 2,000 15,500
*CSS Industries, Inc................................. 6,400 211,200
*CTC Communications Corp. Class 1.................... 5,500 81,469
CTG Resources, Inc................................... 6,400 154,400
CTS Corp............................................. 7,800 265,200
*CUNO, Inc........................................... 8,000 138,500
CVB Financial Corp................................... 5,997 172,414
*Cable Design Techologies Corp....................... 10,950 443,475
Cabot Oil & Gas Corp. Class A........................ 13,700 284,275
*Cache, Inc.......................................... 5,025 19,786
*Caci International, Inc. Class A.................... 5,300 104,841
*Cade Industries, Inc................................ 10,600 25,838
*Cadiz Land, Inc..................................... 24,600 176,813
Cadmus Communications Corp........................... 4,800 102,600
*Caere Corp.......................................... 10,600 92,916
Cagle's, Inc. Class A................................ 2,000 23,375
*Cal-Maine Foods, Inc................................ 2,000 12,500
*Calcomp Technology, Inc............................. 7,000 31,500
*#Caldor Corp........................................ 9,700 5,762
Calgon Carbon Corp................................... 28,900 317,900
*#California Amplifier, Inc.......................... 7,000 23,188
*#California Culinary Academy, Inc................... 1,200 9,150
*California Micro Devices Corp....................... 6,300 38,981
*California Microwave, Inc........................... 9,700 180,056
</TABLE>
111
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
California State Bank................................ 3,100 $ 100,363
California Water Service Co.......................... 3,100 165,850
*#Callon Petroleum Co................................ 2,900 51,656
Calmat Co............................................ 13,900 364,006
*Calumet Bancorp, Inc................................ 1,650 53,213
*Cambex Corp......................................... 5,200 975
Cambrex Corp......................................... 7,000 317,625
*Cambridge Heart, Inc................................ 3,000 27,281
*Cambridge Neuroscience, Inc......................... 13,300 28,055
*Cambridge Soundworks, Inc........................... 2,300 24,294
*Cameron Ashley Building Products, Inc............... 4,600 72,163
Cameron Financial Corp............................... 1,300 25,269
*Campo Eletronics, Appliances & Computers, Inc....... 3,200 3,150
*Canandaigua Wine Co., Inc. Class A.................. 8,000 383,250
*Candela Laser Corp.................................. 2,700 14,766
*Candies, Inc........................................ 9,300 63,356
*Canisco Resources, Inc.............................. 500 1,406
*Cannon Express, Inc. Class A........................ 900 7,369
*#Cannondale Corp.................................... 6,900 142,528
*Cantel Industries, Inc. Class B..................... 2,000 14,500
*Canyon Resources Corp............................... 20,800 24,700
Cape Cod Bank & Trust Co............................. 2,300 89,700
Capital Bancorp (FL)................................. 4,500 229,500
*Capital Pacific Holdings, Inc....................... 9,000 30,094
Capital Re Corp...................................... 8,100 454,106
Capitol Bancorp, Ltd................................. 2,189 59,377
Capitol Transamerica Corp............................ 6,050 142,931
Capmac Holdings, Inc................................. 6,000 203,250
*Capstone Pharmacy Services, Inc..................... 23,200 256,650
Caraustar Industries, Inc............................ 2,600 83,769
*Carbide/Graphite Group, Inc......................... 5,000 193,125
Carbo Ceramics, Inc.................................. 4,000 131,000
*Cardiotech International, Inc....................... 2,101 6,040
*Cardiovascular Diagnostics.......................... 4,000 24,000
*Cardiovascular Dynamics, Inc........................ 5,388 29,297
*Care Group, Inc..................................... 3,400 1,753
*Carematrix, Inc..................................... 8,600 228,975
*Caretenders Healthcorp.............................. 1,600 13,500
*Carlyle Industries, Inc............................. 1,032 1,614
*Carmike Cinemas, Inc. Class A....................... 6,700 207,281
Carnegie Bancorp..................................... 1,155 35,805
*Carnegie Group, Inc................................. 3,800 16,388
Carolina First Corp.................................. 11,433 223,312
*Carr-Gottstein Foods Co............................. 7,654 37,792
*Carrington Laboratories, Inc........................ 5,300 26,334
*Carson Pirie Scott & Co............................. 9,600 495,600
*Carson, Inc......................................... 500 4,063
Carter-Wallace, Inc.................................. 17,000 281,563
*Carver Corp. WA..................................... 1,400 1,444
Cascade Corp......................................... 7,100 127,800
Cascade Natural Gas Corp............................. 6,500 110,500
*Casco International, Inc............................ 275 1,031
Casey's General Stores, Inc.......................... 18,400 436,425
Cash America International, Inc...................... 14,100 176,250
*Casino America, Inc................................. 19,600 56,350
*Casino Data Systems................................. 14,400 65,250
*Casino Magic Corp................................... 19,500 23,766
*Casino Resource Corp................................ 3,000 4,219
*Castelle............................................ 2,200 8,525
*Castle & Cooke, Inc................................. 7,200 119,700
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Castle (A.M.) & Co................................... 13,037 $ 304,740
Castle Energy Corp................................... 2,400 33,300
*Catalina Lighting, Inc.............................. 3,500 21,656
*Catalyst International, Inc......................... 4,000 22,750
*Catalyst Semiconductor, Inc......................... 4,000 6,438
*Catalytica, Inc..................................... 17,900 185,153
Cathay Bancorp, Inc.................................. 1,100 34,925
*Catherines Stores Corp.............................. 6,300 39,572
Cato Corp. Class A................................... 21,300 199,688
Cavalier Homes, Inc.................................. 9,800 95,550
*Cayenne Software, Inc............................... 15,000 36,797
*#Cel-Sci Corp....................................... 2,500 19,688
*Celadon Group, Inc.................................. 6,000 90,750
*Celebrity, Inc...................................... 5,200 10,400
*Celeritek, Inc...................................... 3,400 55,250
*Celestial Seasonings, Inc........................... 1,600 49,400
*Celgene Corp........................................ 8,300 74,700
*#Cell Genesys, Inc.................................. 14,366 123,009
*Cellpro, Inc........................................ 11,600 32,625
*Cellstar Corp....................................... 14,400 373,500
*Cellular Technical Services Co., Inc................ 15,900 44,719
*Celtrix Pharmaceuticals, Inc........................ 5,000 11,953
Cenfed Financial Corp................................ 2,838 113,786
Cenit Bancorp, Inc................................... 800 54,700
*Centennial Bancorp.................................. 4,171 118,613
*Centennial Cellular Corp. Class A................... 9,900 189,028
Centex Construction Products, Inc.................... 13,200 404,250
*Centigram Communications Corp....................... 5,200 85,313
Central Co-Operative Bank Somerville, MA............. 700 18,550
*Central Garden & Pet Co............................. 9,100 257,075
Central Hudson Gas & Electric Corp................... 10,500 404,250
Central Louisiana Electric Co., Inc.................. 13,500 392,344
Central Maine Power Co............................... 22,700 320,638
Central Reserve Life Corp............................ 1,800 9,000
*Central Sprinkler Corp.............................. 2,500 45,000
Central Vermont Public Service Corp.................. 8,100 112,388
Centris Group, Inc................................... 5,700 123,619
*Centura Software Corp............................... 8,600 14,513
Century Aluminum Co.................................. 5,000 74,688
Century Bancorp Income Class A....................... 1,000 18,250
*Century Communications Corp. Class A................ 20,600 144,844
*Cephalon, Inc....................................... 17,400 177,263
*Ceradyne, Inc....................................... 6,900 31,805
Cerberonics, Inc. Class A............................ 200 1,900
*Cerion Technologies, Inc............................ 3,500 7,656
*Cerner Corp......................................... 19,700 474,031
*Cerprobe Corp....................................... 3,800 68,044
*Chad Therapeutics................................... 6,000 55,500
#Champion Industries, Inc............................ 4,062 78,701
Chaparral Steel Co................................... 17,000 261,375
*Charles, JW Financial Services, Inc................. 1,300 15,763
*Charming Shoppes, Inc............................... 77,700 380,002
*Chart House Enterprises, Inc........................ 7,000 49,000
Chart Industries, Inc................................ 9,000 208,125
*Charter Federal Savings Bank (Escrow)............... 2,100 0
#Charter Financial, Inc.............................. 2,499 55,370
*Chartwell Leisure, Inc.............................. 8,000 133,750
Chartwell Re Corp.................................... 4,800 162,000
</TABLE>
112
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Chase Corp.......................................... 2,300 $ 30,188
*Chase Industries, Inc............................... 6,000 146,250
*Chattem, Inc........................................ 4,700 71,969
*Check Technology Corp............................... 3,100 12,303
*#Checkers Drive-In Restaurant, Inc.................. 12,000 13,313
*Checkfree Corp...................................... 24,900 650,513
*Checkmate Electronics, Inc.......................... 2,500 18,438
*Checkpoint System, Inc.............................. 20,400 328,950
*#Cheesecake Factory, Inc............................ 6,600 203,363
Chemed Corp.......................................... 5,900 230,838
*Chemfab Corp........................................ 4,850 111,247
Chemfirst, Inc....................................... 13,600 364,650
Chemical Financial Corp.............................. 5,130 208,727
*#Chemtrak, Inc...................................... 4,400 5,363
*Cherry Corp. Class A................................ 3,000 45,844
*Cherry Corp. Class B................................ 1,800 26,325
#Chesapeake Energy Corp.............................. 37,000 284,438
Chesapeake Utilities Corp............................ 2,700 54,675
Chester Valley Bancorp............................... 288 7,704
*Chic by His, Inc.................................... 4,900 36,138
*Chicago Miniature Lamp Corp......................... 9,500 319,438
Chicago Rivet & Machine Co........................... 200 5,950
*Chicos Fas, Inc..................................... 4,500 32,625
*Children's Comprehensive Services, Inc.............. 3,150 54,141
*Children's Discovery Centers of America, Inc. Class
A.................................................. 3,200 26,000
*Childrens Broadcasting Corp......................... 3,700 13,991
*Childtime Learning Centers, Inc..................... 2,300 31,769
*Chips & Technologies, Inc........................... 12,400 191,038
Chittenden Corp...................................... 6,733 297,094
*#Chock Full O' Nuts Corp............................ 10,130 72,809
*Cholestech Corp..................................... 6,700 88,566
*Christiana Companies, Inc........................... 9,000 337,500
*Chromcraft Revington, Inc........................... 1,000 31,625
*Chronimed, Inc...................................... 9,400 108,688
*Chrysalis International Corp........................ 6,800 26,775
Church & Dwight Co., Inc............................. 11,700 343,688
*Chyron Corp......................................... 10,600 46,375
*Ciber, Inc.......................................... 6,800 299,200
*Cidco, Inc.......................................... 8,600 175,763
Cilcorp, Inc......................................... 8,200 359,775
*Cima Laboratories, Inc.............................. 6,500 37,781
*Cinergi Pictures Entertainment, Inc................. 2,800 6,563
*Ciprico, Inc........................................ 2,500 31,484
Circle International, Inc............................ 9,900 249,975
*Circon Corp......................................... 7,390 113,159
*Circuit City Stores, Inc. (Circuit City Group)...... 10,500 344,531
*Circuit Systems, Inc................................ 2,600 11,538
*Citadel Holding Corp................................ 3,200 13,000
*Citation Computer System, Inc....................... 1,500 10,219
*Citation Corp....................................... 12,400 211,575
Citfed Bancorp, Inc.................................. 4,250 215,156
Citizens Bancshares, Inc............................. 2,500 155,313
Citizens Banking Corp................................ 8,400 245,700
*Citizens, Inc. Class A.............................. 12,200 84,638
City Holding Co...................................... 3,242 133,733
*Civic Bancorp....................................... 2,835 45,892
Clarcor, Inc......................................... 8,900 263,663
*Claremont Technology Group, Inc..................... 9,000 163,688
*Clark (Dick) Productions, Inc....................... 3,200 45,600
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Clean Harbors, Inc.................................. 5,000 $ 9,766
Cleveland Cliffs, Inc................................ 6,800 293,250
*Clintrials Research, Inc............................ 15,900 136,144
*Coach USA........................................... 9,800 273,175
Coachmen Industries, Inc............................. 15,100 335,975
*Coast Distribution System........................... 4,000 13,500
Coastal Bancorp, Inc................................. 2,500 72,813
*#Coastal Physician Group, Inc....................... 11,900 13,388
*Coastcast Corp...................................... 4,400 61,875
Cobancorp, Inc....................................... 206 8,472
*Cobra Electronic Corp............................... 3,100 24,606
Coca-Cola Bottling Co. Consolidated.................. 5,200 319,475
*Cocensys, Inc....................................... 17,600 60,500
*Code-Alarm, Inc..................................... 800 1,900
*Coeur d'Alene Mines Corp. ID........................ 13,100 112,988
*Cognitronics Corp................................... 2,100 37,669
*Coherent Communications Systems Corp................ 9,100 247,691
*Coherent, Inc....................................... 6,800 255,425
*Coho Energy, Inc.................................... 14,100 143,644
*Cohr, Inc........................................... 3,800 46,906
Cohu, Inc............................................ 8,200 290,588
*Cold Metal Products, Inc............................ 3,500 21,000
*Cole (Kenneth) Productions, Inc. Class A............ 5,000 83,438
*Cole National Corp. Class A......................... 8,100 279,450
Collagen Corp........................................ 4,800 95,400
*Collagenex Pharmaceuticals, Inc..................... 2,000 27,375
*Collins & Aikman Corp............................... 46,300 410,913
Collins Industries, Inc.............................. 5,100 34,106
Colonial Gas Co...................................... 8,050 201,753
*Columbia Banking System, Inc........................ 3,253 86,611
*Columbia Laboratories, Inc.......................... 19,800 272,250
*Columbus Energy Corp................................ 1,625 14,016
Columbus McKinnon Corp............................... 7,100 165,075
*Comarco, Inc........................................ 2,900 69,238
*Comdial Corp........................................ 6,900 73,313
*#Comforce Corp...................................... 7,400 55,963
Commerce Bancorp, Inc................................ 9,570 401,342
Commercial Bancshares, Inc........................... 1,365 33,528
Commercial Bank of New York.......................... 1,700 38,569
Commercial Federal Corp.............................. 6,613 317,837
Commercial Intertech Corp............................ 7,100 126,913
Commercial Metals Co................................. 9,100 299,731
*Commnet Cellular, Inc............................... 8,200 289,563
*#Commodore Applied Technologies, Inc................ 2,000 3,375
*Commodore Applied Technologies, Inc. (Private
Placement)......................................... 16,600 25,211
Commonwealth Bancorp, Inc............................ 10,300 207,931
Commonwealth Energy System........................... 12,900 368,456
Commonwealth Industries, Inc......................... 8,200 137,350
*Communications Central, Inc......................... 3,600 36,225
Communications Systems, Inc.......................... 6,300 115,369
Community Bank System, Inc........................... 4,500 129,938
Community First Bankshares, Inc...................... 12,012 569,069
*Community Medical Transport, Inc.................... 2,400 4,125
Community Trust Bancorp, Inc......................... 6,060 184,830
*Comnet Corp......................................... 1,900 14,725
*Compdent Corp....................................... 6,100 126,194
*Competitive Technologies, Inc....................... 3,000 26,250
*#Complete Management, Inc........................... 5,033 83,674
</TABLE>
113
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Comprehensive Care Corp............................. 2,500 $ 22,031
*Comptek Research, Inc............................... 2,600 18,850
*Compucom Systems, Inc............................... 31,900 328,969
*Computational Systems, Inc.......................... 2,700 79,650
Computer Data Systems, Inc........................... 5,700 231,206
*Computer Horizons Corp.............................. 17,530 580,681
Computer Language Research, Inc...................... 11,500 134,406
*Computer Manangement Sciences, Inc.................. 7,900 129,856
*Computer Network Technology Corp.................... 18,300 73,772
*Computer Outsourcing Services, Inc.................. 1,900 16,744
*#Computer Products, Inc............................. 15,900 314,522
Computer Task Group, Inc............................. 11,200 352,800
*Computervision Corp................................. 44,500 161,313
*Computrac, Inc...................................... 2,400 2,400
*Comshare, Inc....................................... 5,900 34,663
*Comstock Resources, Inc............................. 13,900 182,438
*Comtech Telecommunications Corp..................... 1,000 4,547
*Concentra Corp...................................... 2,700 14,597
*Concentra Managed Care, Inc......................... 8,037 272,505
*Concord Camera Corp................................. 7,500 31,641
*Concord Fabrics, Inc. Class A....................... 700 6,278
*Concurrent Computer Corp............................ 23,300 66,259
*Conductus, Inc...................................... 3,400 15,725
*Cone Mills Corp. NC................................. 15,700 123,638
*Congoleum Corp. Class A............................. 1,900 19,356
*Conmed Corp......................................... 9,575 226,209
Connecticut Energy Corp.............................. 5,500 142,313
Connecticut Water Services, Inc...................... 1,100 33,413
*Connitics Corp...................................... 6,600 18,975
*Consep, Inc......................................... 4,300 8,197
*Consilium, Inc...................................... 6,900 23,503
*Conso Products Co................................... 3,550 28,178
*Consolidated Delivery and Logistics, Inc............ 3,000 7,875
*Consolidated Graphics, Inc.......................... 7,400 353,813
*Consolidated Products, Inc.......................... 9,292 178,871
*Consolidated Stainless, Inc......................... 2,200 1,031
Consolidated Tokoma Land Co.......................... 3,100 58,125
*#Consumer Portfolio Services, Inc................... 9,000 93,375
Consumers Water Co................................... 5,200 97,663
*Continental Can, Inc. DE............................ 1,200 26,400
*Continental Circuits Corp........................... 4,300 79,013
#Continental Homes Holding Corp...................... 3,300 107,456
*Converse, Inc....................................... 10,400 76,050
Cooker Restaurant Corp............................... 6,000 59,625
*Cooper Companies, Inc............................... 7,800 304,688
*Cooperative Bankshares, Inc......................... 1,400 24,063
*Copart, Inc......................................... 7,600 132,525
*Copley Pharmaceutical, Inc.......................... 11,500 81,938
*Copytele, Inc....................................... 40,400 142,663
*Cor Therapeutics, Inc............................... 12,000 273,750
*Coram Healthcare Corp............................... 22,100 80,113
*Corcom, Inc......................................... 1,900 18,644
*Core Materials Corp................................. 1,800 6,750
*Core, Inc........................................... 4,300 45,016
*Cornerstone Imaging, Inc............................ 3,600 17,213
*Corporate Express, Inc.............................. 3,410 53,601
*Correctional Services Corp.......................... 3,800 42,156
*Corrpro Companies, Inc.............................. 3,100 43,788
*Cort Business Services Corp......................... 6,400 213,200
*Cortech, Inc........................................ 7,200 4,500
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Corus Bankshares, Inc................................ 8,900 $ 310,944
*Corvas International, Inc........................... 8,200 36,900
*Corvel Corp......................................... 1,000 36,875
*Cosmetic Centers, Inc. Class C...................... 451 1,409
*Cotelligent Group, Inc.............................. 5,900 113,206
Cotton States Life Insurance Co...................... 1,687 31,315
Courier Corp......................................... 800 22,200
*Covenant Transport, Inc. Class A.................... 6,100 97,028
*Coventry Corp....................................... 22,200 333,000
Covest Bancshares, Inc............................... 1,500 39,750
*Coyote Network Systems, Inc......................... 2,069 14,257
Craftmade International, Inc......................... 3,000 30,469
*#Craig (Jenny), Inc................................. 12,900 96,750
*Craig Corp.......................................... 1,600 30,600
*Creative Biomolecules, Inc.......................... 23,100 181,913
*#Creative Computers, Inc............................ 5,900 71,169
*Credence Systems Corp............................... 15,250 408,414
*Credit Acceptance Corp.............................. 31,500 163,406
*Cree Research, Inc.................................. 7,400 158,869
*Criticare Systems, Inc.............................. 4,500 18,281
Cross (A.T.) Co. Class A............................. 11,800 127,588
Cross Timbers Oil Co................................. 17,300 401,144
*Crossman Communities, Inc........................... 6,000 136,500
*Crowley, Milner & Co................................ 1,000 10,250
*Crown Books Corp.................................... 2,700 20,166
*Crown Central Petroleum Corp. Class A............... 2,200 44,275
*Crown Central Petroleum Corp. Class B............... 2,600 49,400
Crown Crafts, Inc.................................... 4,000 65,000
*#Crown Resources Corp............................... 12,400 53,863
*Crown Vantage, Inc.................................. 4,500 45,000
*Crown-Andersen, Inc................................. 1,000 6,750
*Cruise America, Inc................................. 2,600 23,888
*Cryolife, Inc....................................... 5,800 84,463
*Crystal Oil Co...................................... 1,200 46,800
Cubic Corp........................................... 4,500 144,563
*Cuisine Solutions, Inc.............................. 5,400 7,256
Culp, Inc............................................ 13,518 251,773
*Curative Health Services, Inc....................... 7,400 211,363
Curtiss-Wright Corp.................................. 3,000 229,313
*Cyanotech Corp...................................... 10,300 41,361
*Cyberguard Corp..................................... 4,400 28,050
*Cyberonics, Inc..................................... 11,200 127,400
*Cyberoptics Corp.................................... 2,700 73,406
*Cybex Corp.......................................... 3,900 101,400
*Cybex International, Inc............................ 4,100 44,588
*Cygnus, Inc......................................... 11,200 254,100
*Cypros Pharmaceutical Corp.......................... 8,100 42,019
*Cyrk, Inc........................................... 8,200 95,838
*Cytel Corp.......................................... 15,000 29,766
*Cytogen Corp........................................ 40,825 131,405
*Cytotherapeutics, Inc............................... 13,200 67,238
*Cytrx Corp.......................................... 3,800 15,794
*Cytyc Corp.......................................... 10,300 223,381
D&N Financial Corp................................... 6,800 165,325
*DBA Systems, Inc.................................... 2,700 19,069
*DBT Online, Inc..................................... 1,380 35,535
*DDL Electronics, Inc................................ 6,500 4,875
*DII Group, Inc...................................... 14,600 327,588
*DIY Home Warehouse, Inc............................. 5,300 21,200
*DLB Oil & Gas, Inc.................................. 1,300 14,625
</TABLE>
114
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*DM Management Co.................................... 2,700 $ 48,094
*DNAP Holding Corp................................... 1,270 5,953
DR Horten, Inc....................................... 26,052 464,051
*#DRS Technologies, Inc.............................. 2,500 30,781
*#DSP Communications, Inc............................ 30,100 482,541
*DSP Group, Inc...................................... 5,800 189,950
*DSP Technology, Inc................................. 800 8,600
DT Industries, Inc................................... 6,800 189,338
*DVI, Inc............................................ 5,500 100,375
*Daily Journal Corp.................................. 200 8,100
*Dairy Mart Convenience Stores, Inc. Class A......... 1,600 7,200
*Daisytek International Corp......................... 3,300 128,700
*Dakota Mining Corp.................................. 5,363 1,676
*Dakotah, Inc........................................ 1,800 3,656
*Damark International, Inc. Class A.................. 4,200 51,975
Dames & Moore, Inc................................... 10,900 134,888
Daniel Industries, Inc............................... 10,296 191,120
*Darling International, Inc.......................... 7,500 72,188
Dart Group Corp. Class A............................. 700 81,725
*Data Broadcasting Corp.............................. 27,445 193,830
*#Data Dimensions, Inc............................... 7,000 127,094
*Data I/O Corp....................................... 3,400 25,075
*Data Processing Resources Corp...................... 6,500 148,281
*#Data Race, Inc..................................... 2,400 11,400
Data Research Association, Inc....................... 2,600 34,288
*Data Systems & Software, Inc........................ 3,700 19,772
*Data Systems Network Corp........................... 165 1,918
*Data Translation, Inc............................... 1,450 4,622
*Data Transmission Network Corp...................... 6,100 164,509
*Dataflex Corp....................................... 2,800 11,988
*Datakey, Inc........................................ 1,000 4,031
*Datamarine International, Inc....................... 200 838
*Datametrics Corp.................................... 4,800 11,100
*Datapoint Corp...................................... 8,800 25,300
*Dataram Corp........................................ 1,400 12,075
*Datascope Corp...................................... 10,000 253,750
*Datastream Systems, Inc............................. 5,000 158,750
*Dataware Technologies, Inc.......................... 3,900 12,431
*Datawatch Corp...................................... 4,600 12,506
*Dataworks Corp...................................... 6,874 131,036
*Datron Systems, Inc................................. 1,800 18,338
*Datum, Inc.......................................... 3,100 58,319
*Davco Restaurants, Inc.............................. 3,000 58,875
*Dave and Busters, Inc............................... 6,600 171,600
*Davel Communications Group, Inc..................... 2,500 60,938
*Davox Corp.......................................... 6,850 226,050
*#Daw Technologies, Inc.............................. 7,400 15,031
*Dawson Geophysical Co............................... 2,100 40,031
Daxor Corp........................................... 2,400 28,800
*Day Runner, Inc..................................... 3,200 125,200
*Dayton Superior Corp. Class A....................... 2,100 35,700
Deb Shops, Inc....................................... 9,800 56,350
*Deckers Outdoor Corp................................ 4,800 40,050
Decorator Industries, Inc............................ 1,250 11,406
*Deeptech International, Inc......................... 12,200 134,963
Defiance, Inc........................................ 7,600 60,444
*Deflecta-Shield Corp................................ 1,900 29,866
*Del Global Technologies Corp........................ 3,610 35,649
Del Laboratories, Inc................................ 12,088 440,457
*Delphi Financial Group, Inc. Class A................ 1,591 63,839
Delta Natural Gas Co., Inc........................... 1,200 21,750
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Delta Woodside Industries, Inc....................... 15,400 $ 90,475
*Deltic Timber Corp.................................. 10,000 289,063
*Denamerica Corp..................................... 7,200 18,900
*Dendrite International, Inc......................... 6,000 114,375
*Dense-Pac Microsystems, Inc......................... 10,300 35,406
*Department 56, Inc.................................. 12,500 364,844
*Depotech Corp....................................... 7,200 110,475
*Designer Holdings, Ltd.............................. 22,500 210,938
*Designs, Inc........................................ 11,700 40,036
*Desktop Data, Inc................................... 5,200 40,706
*Detection Systems, Inc.............................. 2,900 42,775
*Detrex Corp......................................... 500 5,156
*Detroit Diesel Corp................................. 19,300 440,281
*Devcon International Corp........................... 2,000 9,875
*Devlieg-Bullard, Inc................................ 7,500 32,344
*Devon Group, Inc.................................... 3,700 151,238
*Dewolfe Companies, Inc.............................. 200 1,150
*Diagnostic Health Services, Inc..................... 8,000 94,250
Diagnostic Products Corp............................. 8,100 224,775
*Dialogic Corp....................................... 10,300 431,956
*#Diametrics Medical, Inc............................ 13,800 79,781
*Diamond Multimedia Systems, Inc..................... 23,000 227,844
*Dianon Systems, Inc................................. 3,400 28,688
*Digene Corp......................................... 9,100 83,606
*Digi International, Inc............................. 8,000 156,500
*Digital Biometrics, Inc............................. 6,800 13,919
*Digital Communications Technology Corp.............. 2,520 630
*Digital Generation Systems, Inc..................... 6,500 23,156
*Digital Link Corp................................... 4,600 104,938
*Digital Microwave Corp.............................. 25,800 409,575
*Digital Power Corp.................................. 1,000 8,125
*Digital Sound Corp.................................. 7,900 9,134
Dime Bancorp, Inc.................................... 6,508 157,819
Dime Financial Corp.................................. 2,300 71,731
*Diodes, Inc......................................... 2,500 30,000
*Dionex Corp......................................... 7,200 360,450
*Discount Auto Parts, Inc............................ 11,300 211,169
*Dixie Group, Inc.................................... 6,700 73,700
*Dixon Ticonderoga Co................................ 1,300 18,281
*Documentum, Inc..................................... 9,900 305,663
*#Dominion Bridge Corp............................... 7,300 14,258
*Dominion Homes, Inc................................. 3,100 28,239
Donegal Group, Inc................................... 2,400 49,800
Donnelly Corp. Class A............................... 5,875 107,953
*Donnkenny, Inc...................................... 8,400 28,875
*Dorsey Trailers, Inc................................ 3,000 8,438
Dover Downs Entertainment, Inc....................... 1,000 22,313
Downey Financial Corp................................ 17,787 489,143
*Dravo Corp.......................................... 8,900 88,444
*Dress Barn, Inc..................................... 13,600 351,900
*Drew Industries, Inc................................ 4,800 61,200
*#Drexler Technology Corp............................ 5,300 59,128
Dreyer's Grand Ice Cream, Inc........................ 16,400 389,500
*Drug Emporium, Inc.................................. 7,900 31,106
*#Drypers Corp....................................... 2,500 13,984
*Duckwall-Alco Stores, Inc........................... 2,800 43,488
*Ducommun, Inc....................................... 3,600 116,775
Duff & Phelps Credit Rating Co....................... 3,200 115,000
*Durakon Industries, Inc............................. 5,200 47,288
*Duramed Pharmaceuticals, Inc........................ 11,800 50,888
*Dwyer Group, Inc.................................... 2,800 5,775
</TABLE>
115
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Dycom Industries, Inc............................... 5,300 $ 119,250
Dyersburg Corp....................................... 7,900 98,009
*Dynamic Healthcare Technologies, Inc................ 13,700 56,513
*Dynamic Materials Corp.............................. 700 5,688
*Dynamics Research Corp.............................. 3,158 39,672
*Dynatech Corp....................................... 10,200 370,388
E'town Corp.......................................... 3,900 137,719
*E-Z-Em, Inc. Class A................................ 1,700 12,538
*E-Z-Em, Inc. Class B................................ 4,274 29,384
*EA Engineering Science & Technology, Inc............ 5,625 11,426
*#EA Industries, Inc................................. 4,500 26,156
*ECC International Corp.............................. 5,800 22,838
*ECCS, Inc........................................... 1,700 13,069
*EFI Electronics Corp................................ 800 1,925
*EFTC Corp........................................... 3,000 44,813
*EIS International, Inc.............................. 9,100 60,288
*ELXSI Corp.......................................... 1,800 23,850
EMC Insurance Group, Inc............................. 5,900 78,913
*ERLY Industries, Inc................................ 2,791 20,060
*ESCO Electronics Corp. Trust Receipts............... 10,100 165,388
ESELCO, Inc.......................................... 218 8,775
*ESSEF Corp.......................................... 6,820 109,973
*EZ Serve Corp....................................... 17,000 9,563
Eagle Bancshares, Inc................................ 3,400 64,813
*Eagle Finance Corp.................................. 2,100 3,413
Eagle Financial Corp................................. 2,974 153,161
*Eagle Food Centers, Inc............................. 8,100 40,500
*Eagle Hardware & Garden, Inc........................ 19,400 330,406
*Eagle Point Software Corp........................... 4,500 15,609
Easco, Inc........................................... 8,200 95,838
Eastern Co........................................... 3,300 59,400
*Eastern Environment Services, Inc................... 11,000 259,875
Eastern Utilities Associates......................... 12,300 295,200
*Eateries, Inc....................................... 1,500 7,406
Eaton Vance Corp..................................... 11,100 387,806
*Echostar Communications Corp. Class A............... 8,300 148,881
*Eclipse Surgical Technologies, Inc.................. 800 6,650
*Ecogen, Inc......................................... 4,340 10,579
Ecology & Environment, Inc. Class A.................. 900 10,013
*Edelbrock Corp...................................... 2,600 42,250
*#Edison Brothers Stores, Inc........................ 11,000 0
*Edison Control Corp................................. 1,000 4,656
Edo Corp............................................. 3,000 26,625
*Education Alternatives, Inc......................... 5,000 23,125
Educational Development Corp......................... 1,800 10,181
*Educational Insights, Inc........................... 2,700 6,623
*Effective Management Systems, Inc................... 1,400 5,994
*Egghead, Inc........................................ 14,100 102,666
*Ekco Group, Inc..................................... 11,100 77,700
*El Chico Restaurants, Inc........................... 1,400 16,188
*El Paso Electric Co................................. 15,000 101,250
*Elantec Semiconductor, Inc.......................... 5,400 32,738
Elcor Corp........................................... 6,600 160,050
*Elcotel, Inc........................................ 4,900 31,850
*Electric Fuel Corp.................................. 8,500 55,516
*Electro Rent Corp................................... 8,400 314,475
*Electro Scientific Industries, Inc.................. 5,900 245,219
*Electroglas, Inc.................................... 10,900 205,056
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Electromagnetic Sciences, Inc....................... 9,000 $ 160,875
*Electronic Retailing System International, Inc...... 2,300 12,794
Electronic Tele Communications, Inc. Class A......... 1,000 2,281
*#Elek-Tek, Inc...................................... 4,000 400
Ellett Brothers, Inc................................. 3,000 17,063
*Eltron International, Inc........................... 4,000 126,500
*Embrex, Inc......................................... 4,900 28,481
*Emcee Broadcast Products, Inc....................... 2,000 6,688
*Emcon............................................... 4,200 23,231
*Emcor Group, Inc.................................... 4,400 86,350
Emerald Isle Bancorp, Inc............................ 250 8,031
*Emergent Group, Inc................................. 4,000 53,250
*Emerson Radio Corp.................................. 16,100 8,050
*Emisphere Technologies, Inc......................... 5,700 115,247
*Emmis Broadcasting Corp. Class A.................... 4,200 189,131
*Empi, Inc........................................... 4,200 91,350
Empire District Electric Co.......................... 9,800 184,363
*#Empire of Carolina, Inc............................ 4,400 8,800
*Employee Solutions, Inc. Class B.................... 24,100 133,303
*Emulex Corp......................................... 3,050 48,609
*Encad, Inc.......................................... 6,700 260,044
*Encore Computer Corp................................ 14,700 5,976
*Encore Wire Corp.................................... 5,350 184,241
*Endosonics Corp..................................... 9,700 113,369
Energen Corp......................................... 7,800 296,400
*Energy Biosystems Corp.............................. 7,100 27,291
*Energy Research Corp................................ 2,000 29,250
Energy West, Inc..................................... 200 1,769
Energynorth, Inc..................................... 2,400 55,350
Engineered Support Systems, Inc...................... 1,200 25,875
*Engineering Measurements Co......................... 1,000 5,359
#Engle Homes, Inc.................................... 3,500 51,297
Enhance Financial Services Group, Inc................ 7,100 396,713
*Enlighten Software Solutions, Inc................... 1,100 2,716
Ennis Business Forms, Inc............................ 8,900 88,444
*Enstar, Inc......................................... 1,300 10,563
*Envirogen, Inc...................................... 3,700 8,383
*Environmental Elements Corp......................... 4,200 11,550
*Environmental Technologies Corp..................... 3,200 21,800
*Environmental Tectonics Corp........................ 1,500 13,688
*Envirotest Systems Corp. Class A.................... 9,700 53,350
*#Envoy Corp......................................... 9,100 280,963
*Enzo Biochem, Inc................................... 14,000 226,625
*Enzon, Inc.......................................... 23,400 139,669
*Epitope, Inc........................................ 10,200 62,156
*Equimed, Inc........................................ 2,250 40,641
*#Equinox Systems, Inc............................... 1,900 34,972
*Equitex, Inc........................................ 1,200 1,163
*Equitrac Corp....................................... 1,300 21,856
*Equity Corp. International.......................... 14,500 309,938
*Equity Marketing, Inc............................... 2,800 81,025
*Equity Oil Co....................................... 10,200 33,788
*Ergo Science Corp................................... 7,800 130,163
Eskimo Pie Corp...................................... 1,300 13,731
Espey Manufacturing & Electronics Corp............... 400 6,900
Essex County Gas Co.................................. 800 25,100
*Esterline Technologies Corp......................... 4,200 148,575
*Ethyl Corp.......................................... 10,000 89,375
</TABLE>
116
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Evans & Sutherland Computer Corp.................... 4,500 $ 138,375
*Evans Systems, Inc.................................. 1,050 1,870
*Evans, Inc.......................................... 1,000 2,406
*Everen Capital Corp. Class A........................ 4,300 171,463
Evergreen Bancorp, Inc. DE........................... 5,500 130,281
*Evergreen Resources, Inc............................ 5,600 87,150
*Exabyte Corp........................................ 13,400 131,069
*Exar Corp........................................... 4,900 122,806
*Excalibur Technologies Corp......................... 12,500 136,719
Excel Industries, Inc................................ 6,400 124,400
*Excel Technology, Inc............................... 7,300 92,391
*#Excite, Inc........................................ 2,000 51,313
Executive Risk, Inc.................................. 5,700 370,500
*Executive Telecard, Ltd............................. 9,500 24,641
*Executone Information Systems, Inc.................. 28,800 62,550
Exide Corp........................................... 14,900 355,738
*Exogen, Inc......................................... 5,700 21,909
Expeditors International of Washington............... 12,100 466,228
*Expert Software, Inc................................ 2,500 16,406
*Express Scripts, Inc. Class A....................... 4,500 266,625
*Ezcorp, Inc. Class A Non-Voting..................... 6,300 71,466
F & M Bancorp (MD)................................... 2,390 85,443
F & M Bancorporation, Inc............................ 3,410 127,023
F & M National Corp.................................. 12,200 388,113
FBL Financial Group, Inc. Class A.................... 7,500 296,250
FCB Financial Corp................................... 2,000 54,750
FCNB Corp............................................ 1,008 29,484
FDP Corp............................................. 3,250 33,516
*FEI Co.............................................. 8,900 144,625
FFLC Bancorp......................................... 2,000 45,500
FFVA Financial Corp.................................. 2,700 90,788
FFY Financial Corp................................... 2,500 74,688
*FLIR Systems, Inc................................... 2,700 51,975
*FM Properties, Inc.................................. 10,300 51,178
FNB Rochester Corp................................... 1,400 23,888
*FPA Corp............................................ 2,000 2,313
*FPA Medical Management, Inc......................... 15,348 396,170
*FRP Properties, Inc................................. 2,500 86,875
FSF Financial Corp................................... 1,800 35,888
*FSI International, Inc.............................. 13,500 206,297
*FTP Software, Inc................................... 22,600 51,203
Fab Industries, Inc.................................. 4,500 133,875
*Fabri-Centers of America, Inc. Class A.............. 3,500 73,281
*Fabri-Centers of America, Inc. Class B.............. 3,400 68,425
*Factset Research Systems, Inc....................... 2,000 50,500
*Failure Group, Inc.................................. 4,300 40,581
Fair, Isaac & Co., Inc............................... 8,100 347,288
*Fairchild Corp. Class A............................. 8,400 190,575
*Fairfield Communities, Inc.......................... 10,200 472,388
Falcon Products, Inc................................. 5,800 89,175
*#Family Golf Centers, Inc........................... 7,100 201,906
*Fansteel, Inc....................................... 4,000 35,500
*Farah, Inc.......................................... 9,100 47,206
Farmer Brothers Co................................... 200 31,900
*Farr Co............................................. 3,400 53,338
Farrel Corp.......................................... 2,400 8,475
*#Fastcomm Communications Corp....................... 5,900 21,572
*Faulding Corp....................................... 10,100 133,194
*Featherlite Manufacturing, Inc...................... 3,100 24,219
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Fed One Bancorp...................................... 600 $ 14,775
Fedders Corp......................................... 11,400 66,263
Fedders Corp. Class A................................ 7,700 43,794
Federal Screw Works.................................. 1,800 108,225
*Female Health Co.................................... 5,200 22,425
*Ferrofluidics Corp.................................. 3,031 18,754
*Fibermark, Inc...................................... 2,400 50,850
*Fiberstars, Inc..................................... 2,000 11,250
Fidelity Bancorp, Inc. Delaware...................... 1,300 29,738
Fidelity Federal Bancorp............................. 1,100 10,725
Fidelity National Financial, Inc..................... 8,390 218,140
*Fieldcrest Cannon, Inc.............................. 4,500 151,594
*Figgie International, Inc. Class A.................. 9,100 125,978
*Figgie International, Inc. Class B.................. 2,500 32,500
*Filenes Basement Corp............................... 17,400 109,294
*Filenet Corp........................................ 9,100 249,681
Financial Bancorp., Inc.............................. 1,000 24,938
*Financial Federal Corp.............................. 8,850 188,616
*Finish Line, Inc. Class A........................... 10,600 201,400
*Finishmaster, Inc................................... 3,000 22,688
First Albany Companies, Inc.......................... 2,179 32,288
*First Alert, Inc.................................... 16,100 45,281
First American Financial Corp........................ 6,900 422,625
*First American Health Concepts, Inc................. 1,100 4,331
First Bancorp........................................ 400 11,900
First Bell Bancorp, Inc.............................. 3,300 58,163
*First Cash, Inc..................................... 1,900 15,497
First Central Financial Corp......................... 9,300 5,231
First Charter Corp................................... 2,980 73,569
First Citizens Bancshares, Inc. NC................... 1,700 187,425
First Colorado Bancorp............................... 8,255 188,833
First Commonwealth Financial Corp.................... 13,300 338,319
First Defiance Financial Corp........................ 4,959 76,555
*#First Enterprise Financial Group, Inc.............. 2,000 6,000
First Essex Bancorp.................................. 3,700 72,844
First Federal Capital Corp........................... 4,650 129,038
First Federal Savings & Loan Association of East
Hartford, CT....................................... 1,500 55,500
First Financial Bancorp.............................. 6,380 304,645
First Financial Bankshares, Inc...................... 5,012 221,468
First Financial Holdings, Inc........................ 3,000 127,688
First Franklin Corp.................................. 200 5,175
First Georgia Holdings, Inc.......................... 450 3,755
First Home Bancorp, Inc. NJ.......................... 266 6,185
First Indiana Corp................................... 8,048 210,254
*First Investors Financial Services Group, Inc....... 2,500 18,438
*First Keystone Financial, Inc....................... 500 16,313
First Liberty Financial Corp......................... 5,300 145,419
*#First Merchants Acceptance Corp.................... 3,300 103
First Merchants Corp................................. 3,300 110,963
First Midwest Bancorp, Inc........................... 11,575 455,042
First Midwest Financial, Inc......................... 1,400 28,613
First Mutual Bancorp, Inc............................ 2,200 44,000
First Mutual Savings Bank............................ 435 7,857
First Northern Capital Corp.......................... 5,300 70,225
First Oak Brook Bancshares, Inc. Class A............. 700 28,875
First Palm Beach Bancorp, Inc........................ 3,000 117,000
*First Republic Bank................................. 6,000 165,750
First Savings Bancorp, Inc. North Carolina........... 2,400 57,600
</TABLE>
117
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
First Savings Bank................................... 7,400 $ 186,388
First Source Corp.................................... 6,850 196,509
*First Team Sports, Inc.............................. 2,900 11,056
First Western Bancorp, Inc........................... 5,775 160,256
First Years, Inc..................................... 2,200 52,250
Firstbank of Illinois Co............................. 9,300 295,566
*FirstFed Financial Corp. DE......................... 6,300 229,950
First Federal Financial Services Corp................ 2,802 123,989
*Fischer Imaging Corp................................ 4,400 25,300
Flag Financial Corp.................................. 800 14,900
*Flagstar Companies, Inc............................. 15,500 2,945
Flamemaster Corp..................................... 206 753
Fleming Companies, Inc............................... 22,700 377,388
Flexsteel Industries, Inc............................ 6,200 72,850
Florida Public Utilities Co.......................... 500 11,375
Florida Rock Industries, Inc......................... 11,200 291,200
*Florsheim Group, Inc................................ 4,300 38,834
*Flow International Corp............................. 8,700 86,184
Flowserve Corp....................................... 23,473 630,837
Fluke Corp........................................... 11,000 261,250
*Fluor Daniel/GTI, Inc............................... 1,265 11,780
Flushing Financial Corp.............................. 3,600 79,200
*Foamex International, Inc........................... 17,700 195,806
*Foilmark, Inc....................................... 1,600 5,075
*Foodarama Supermarkets, Inc......................... 300 6,638
*Foodmaker, Inc...................................... 29,900 463,450
*Foothill Independent Bancorp........................ 2,947 47,889
*Forcenergy, Inc..................................... 11,485 356,753
*Forefront Group, Inc................................ 3,200 25,500
Foremost Corp. of America............................ 5,000 303,438
*#Forensic Technologies International Corp........... 3,000 36,281
Forest City Enterprises, Inc. Class A................ 3,900 222,788
Forest City Enterprises, Inc. Class B................ 1,950 112,125
*Forest Oil Corp..................................... 15,540 247,669
Fort Wayne National Corp............................. 10,550 402,219
*Forte Software, Inc................................. 11,200 112,700
*Fortune Natural Resources Corp...................... 6,100 16,775
*Fossil, Inc......................................... 7,100 157,088
*Foster (L.B.) Co. Class A........................... 20,900 109,725
*Fountain Oil, Inc................................... 14,000 15,313
*Fountain Powerboat Industries, Inc.................. 2,800 32,725
*Four Kids Entertainment, Inc........................ 1,100 3,988
*Four Media Co....................................... 2,000 15,375
*Fourth Shift Corp................................... 5,800 17,581
Frankfort First Bancorp, Inc......................... 1,700 16,044
Franklin Bank National Associaton Southfield, MI..... 1,323 21,995
*Franklin Covey Co................................... 17,000 360,188
Franklin Electric Co., Inc........................... 3,200 183,800
*Franklin Electronic Publishers, Inc................. 6,500 92,625
Freds, Inc. Class A.................................. 5,600 137,200
Freeport McMoran, Inc................................ 8,000 252,000
*French Fragrances, Inc.............................. 6,200 61,225
Frequency Electronics, Inc........................... 2,400 62,400
*Fresh America Corp.................................. 1,400 34,125
*Fresh Choice, Inc................................... 2,800 11,813
Friedman Industries, Inc............................. 6,821 47,747
*Friedmans, Inc. Class A............................. 7,700 112,131
Frisch's Restaurants, Inc............................ 13,983 185,275
*Fritz Companies, Inc................................ 17,800 233,625
Frontier Adjusters of America, Inc................... 1,000 3,125
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Frontier Insurance Group, Inc........................ 10,900 $ 262,281
Frozen Food Express Industries, Inc.................. 11,707 115,607
*#Fuisz Technologies, Ltd............................ 14,500 128,688
Fuller (H.B.) Co..................................... 8,500 418,625
Fulton Financial Corp................................ 962 29,341
*Funco, Inc.......................................... 3,000 56,625
*Fund American Enterprises Holdings, Inc............. 3,200 392,400
*Fuqua Enterprises, Inc.............................. 3,600 109,350
Furon Co............................................. 5,400 213,300
G & K Services, Inc. Class A......................... 11,400 423,225
*G-III Apparel Group, Ltd............................ 3,200 16,700
GBC Bancorp.......................................... 3,300 180,881
*GC Companies, Inc................................... 3,900 169,163
*GKN Holding Corp.................................... 5,600 23,450
*GNI Group, Inc...................................... 2,400 13,950
*GRC International, Inc.............................. 9,100 58,013
*GT Bicycles, Inc.................................... 5,900 40,009
*GTI Corp............................................ 5,300 31,469
*GTS Duratek, Inc.................................... 7,500 87,656
*GZA Geoenvironmental Technologies, Inc.............. 1,700 8,659
*#Gadzooks, Inc...................................... 5,200 144,625
Gainsco, Inc......................................... 12,600 105,525
*Galey & Lord, Inc................................... 7,000 126,000
*Galileo Corp........................................ 3,400 38,038
Gallagher (Arthur J.) & Co........................... 13,100 468,325
*Galoob Toys, Inc. DE................................ 10,800 128,250
*Game Financial Corp................................. 2,300 24,581
Gamma Biologicals, Inc............................... 5,500 27,500
*Gantos, Inc......................................... 4,550 5,403
Garan, Inc........................................... 3,042 75,290
*Garden Botanika, Inc................................ 5,700 25,650
*Garden Fresh Restaurant Corp........................ 2,500 35,469
*Garden Ridge Corp................................... 10,800 165,038
*Gardenburger, Inc................................... 4,300 41,656
*Gardner Denver Machinery, Inc....................... 6,000 225,000
*Gasonics International, Inc......................... 8,150 108,497
*Gatefield Corp...................................... 11,400 17,991
*Gaylord Container Corp. Class A..................... 42,000 286,125
*#Geerling & Wade, Inc............................... 1,600 7,150
*Gehl Co............................................. 3,100 70,719
*Geltex Pharmaceuticals, Inc......................... 8,100 228,319
Gencor Industries, Inc............................... 1,800 31,050
Gencorp, Inc......................................... 15,900 398,494
*Genelabs Technologies, Inc.......................... 27,500 81,641
*Genemedicine, Inc................................... 11,500 60,375
*General Acceptance Corp............................. 1,800 3,994
General Binding Corp................................. 7,900 240,950
General Chemical Group, Inc.......................... 4,800 132,300
*General Cigar Holdings, Inc. Class B................ 9,780 229,830
*General Communications, Inc. Class A................ 42,200 291,444
*#General Datacomm Industries, Inc................... 11,700 61,425
General Employment Enterprises, Inc.................. 1,950 26,569
*General Host Corp................................... 19,580 104,019
General Housewares Corp.............................. 1,500 14,063
*General Magic, Inc.................................. 5,000 8,906
General Magnaplate Corp.............................. 200 3,050
*General Scanning, Inc............................... 6,000 156,750
*General Semiconductor, Inc.......................... 18,400 200,100
</TABLE>
118
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*General Surgical Innovations, Inc................... 10,600 $ 49,025
*Genesco, Inc........................................ 17,600 228,800
Genesee Corp. Class B................................ 200 8,975
*#Geneva Steel Co. Class A........................... 9,200 23,000
*Genicom Corp........................................ 8,800 121,000
*Genlyte Group, Inc.................................. 8,900 154,081
*Genome Therapeutics Corp............................ 10,600 85,131
Genovese Drug Stores, Inc. Class A................... 3,110 56,758
*Genrad, Inc......................................... 16,000 425,000
*Gensia Sicor, Inc................................... 43,100 216,847
*Gensym Corp......................................... 5,300 28,653
*Gentex Corp......................................... 19,500 478,969
*Genus, Inc.......................................... 13,400 57,369
*Genzyme Transgenics Corp............................ 10,300 104,609
Geon Co.............................................. 14,000 330,750
George Mason Bankshares, Inc......................... 2,500 96,250
*Geoscience Corp..................................... 3,000 36,750
*#Geotek Communications, Inc......................... 52,800 103,125
*Geoworks............................................ 12,400 158,875
Gerber Scientific, Inc............................... 18,600 372,000
*Getty Petroleum Marketing, Inc...................... 12,100 64,281
Getty Realty Corp.................................... 7,800 151,125
*Giant Cement Holding, Inc........................... 4,900 118,519
*Giant Group, Ltd.................................... 1,400 10,500
Giant Industries, Inc................................ 6,700 123,113
*Gibraltar Packaging Group, Inc...................... 3,000 8,063
*Gibraltar Steel Corp................................ 11,100 228,244
*Gibson Greetings, Inc............................... 9,800 231,219
*Giga-Tronics, Inc................................... 1,600 16,150
*Gilead Sciences, Inc................................ 2,300 79,494
*Gish Biomedical, Inc................................ 1,300 6,338
Glacier Bancorp, Inc................................. 2,313 48,573
*Glacier Water Services, Inc......................... 1,200 36,150
Gleason Corp......................................... 6,000 155,625
*Glenayre Technologies, Inc.......................... 5,700 62,344
*Gliatech, Inc....................................... 6,700 72,025
*Global Direct Mail Corp............................. 18,900 340,200
*Global Industrial Technologies, Inc................. 16,800 300,300
*Global Motorsport Group, Inc........................ 2,600 35,913
*Global Payment Technologies, Inc.................... 3,300 33,000
*Global Village Communication, Inc................... 8,900 17,522
*Globalink, Inc...................................... 2,700 8,438
*Globe Business Resources, Inc....................... 2,700 56,194
*Go Video, Inc....................................... 6,100 14,869
*Golden Books Family Entertainment, Inc.............. 18,500 174,594
Golden Enterprises, Inc.............................. 7,800 55,331
*Good Guys, Inc...................................... 8,200 67,650
GoodMark Foods, Inc.................................. 6,300 106,313
*Goodys Family Clothing.............................. 9,700 322,525
Gorman-Rupp Co....................................... 5,175 97,031
*Gottschalks, Inc.................................... 5,200 44,525
*Government Technology Services, Inc................. 3,200 17,000
Graco, Inc........................................... 10,200 364,650
*Gradco Systems, Inc................................. 3,900 31,688
*Graham Corp......................................... 1,000 21,000
*Graham-Field Health Products, Inc................... 13,400 200,163
*Grand Casinos, Inc.................................. 25,100 329,438
Grand Premier Financial, Inc......................... 2,901 41,067
Granite Construction, Inc............................ 11,000 251,625
Granite State Bankshares, Inc........................ 1,200 26,775
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Gray Communications Systems, Inc..................... 1,600 $ 44,100
Great Financial Corp................................. 8,300 402,031
Great Southern Bancorp, Inc.......................... 4,200 93,188
*Great Train Store Co., Inc.......................... 1,600 11,200
*Greate Bay Casino Corp.............................. 4,467 4,607
Greater Bay Bancorp.................................. 879 45,433
Green (A.P.) Industries, Inc......................... 11,100 129,038
*Green Mountain Coffee, Inc.......................... 1,700 13,281
Green Mountain Power Corp............................ 2,500 44,688
*Greenbriar Corp..................................... 3,960 73,755
Greenbrier Companies, Inc............................ 7,400 126,725
Grey Advertising, Inc................................ 200 72,000
*Greyhound Lines, Inc................................ 41,100 161,831
*Griffin Land & Nurseries, Inc. Class A.............. 2,200 33,275
*Griffon Corp........................................ 51,500 801,469
*Grist Mill & Co..................................... 3,400 31,663
*Gristede's Sloans, Inc.............................. 1,200 2,700
*Group 1 Software, Inc............................... 3,000 25,500
*Group Technologies Corp............................. 8,000 25,500
*Grow Biz International, Inc......................... 2,900 35,163
*Grubb & Ellis Co.................................... 14,300 177,856
*Gryphon Holdings, Inc............................... 2,800 46,025
Guarantee Life Companies, Inc........................ 4,600 115,288
Guaranty National Corp............................... 9,007 323,126
*Guest Supply, Inc................................... 3,100 42,625
Guilford Mills, Inc.................................. 15,350 388,547
*Guilford Pharmaceuticals, Inc....................... 10,400 234,650
*Gulfmark Offshore, Inc.............................. 3,000 100,875
*Gulfsouth Medical Supply, Inc....................... 10,200 334,688
*Gull Laboratories, Inc.............................. 2,900 29,906
*Gundle/SLT Environmental, Inc....................... 13,700 67,644
*Gymboree Corp....................................... 18,600 537,656
HCC Insurance Holdings, Inc.......................... 3,400 63,750
*HCIA, Inc........................................... 6,300 75,797
*HD Vest, Inc........................................ 2,200 11,825
*HEI, Inc............................................ 2,000 8,875
HF Financial Corp.................................... 1,200 30,600
*HMI Industries, Inc................................. 5,400 30,375
*HMN Financial, Inc.................................. 2,200 57,063
*HMT Technology Corp................................. 28,000 367,500
*HNC Software, Inc................................... 9,800 308,088
*HPR, Inc............................................ 2,000 53,188
*HPSC, Inc........................................... 1,800 10,575
*HS Resources, Inc................................... 10,200 162,563
HUBCO, Inc........................................... 13,287 460,478
*Ha-Lo Industries, Inc............................... 12,100 307,794
Hach Co.............................................. 5,725 60,828
Hach Co. Class A..................................... 5,725 53,851
*Hadco Corp.......................................... 6,500 402,797
*Haemonetics Corp.................................... 21,100 309,906
Haggar Corp.......................................... 4,300 68,263
*Hahn Automotive Warehouse, Inc...................... 2,163 13,789
*Hain Food Group, Inc................................ 5,300 53,331
Halifax Corp......................................... 1,000 11,000
*#Halsey Drug Co., Inc............................... 11,200 23,800
*Hammons (John Q.) Hotels, Inc. Class A.............. 3,200 27,600
*Hampshire Group, Ltd................................ 1,400 26,600
*Hampton Industries, Inc............................. 1,900 16,388
Hancock Fabrics, Inc................................. 12,900 182,213
Hancock Holding Co................................... 5,080 298,450
</TABLE>
119
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Handleman Co........................................ 25,600 $ 171,200
Handy & Harman....................................... 7,200 161,100
*Hanger Orthopedic Group, Inc........................ 7,500 92,813
*Harbinger Corp...................................... 11,400 346,275
*Harbor Federal Bancorp, Inc......................... 700 14,963
*Harcor Energy, Inc.................................. 12,000 35,625
*Harding Lawson Associates Group, Inc................ 5,000 47,813
Hardinge Brothers, Inc............................... 2,600 95,550
*#Harken Energy Corp................................. 90,100 501,181
#Harland (John H.) Co................................ 20,000 413,750
Harleysville Group, Inc.............................. 16,200 379,688
Harleysville National Corp PA........................ 2,335 86,103
Harmon Industries, Inc............................... 3,400 89,888
*Harmonic Lightwaves, Inc............................ 9,100 117,731
*Harolds Stores, Inc................................. 2,199 15,118
*Harris & Harris Group, Inc.......................... 4,100 14,606
Harris Financial, Inc................................ 11,800 225,675
*#Harry's Farmers Market, Inc. Class A............... 2,100 4,397
*Hartmarx Corp....................................... 22,600 183,625
*Harvey Entertainment Co............................. 2,000 28,250
Harvey's Casino Resorts.............................. 5,900 116,894
Haskel International, Inc............................ 1,900 22,978
Hastings Manufacturing Co............................ 350 14,350
*Hathaway Corp....................................... 2,600 7,475
*Hauser, Inc......................................... 6,400 42,800
Haven Bancorp, Inc................................... 2,200 94,600
Haverty Furniture Co., Inc........................... 4,400 56,513
Haverty Furniture Co., Inc. Class A.................. 200 2,500
*Hawaiian Airlines, Inc.............................. 24,100 96,400
Hawkins Chemical, Inc................................ 5,145 53,058
*Hawthorne Financial Corp............................ 1,300 27,219
*Hays Wheels International, Inc...................... 7,960 237,556
*Health Management Systems, Inc...................... 13,300 82,294
*Health Power, Inc................................... 1,900 14,725
*Health Professionals, Inc........................... 1,250 820
*Health Risk Management, Inc......................... 1,600 17,200
*Health Systems Design Corp.......................... 2,600 32,338
*Health-Chem Corp.................................... 4,789 2,993
*Healthcare Imaging Services, Inc.................... 1,200 1,238
*Healthcare Services Group, Inc...................... 4,000 50,875
*Healthcor Holdings.................................. 3,000 13,875
*Healthdyne Information Enterprises, Inc............. 10,100 18,306
*Healthdyne Technologies, Inc........................ 9,272 178,486
Healthplan Services Corp............................. 9,130 176,323
*Healthy Planet Products, Inc........................ 700 2,581
*Heartland Express, Inc.............................. 14,976 353,808
*#Heartland Wireless Communications, Inc............. 9,316 18,050
*#Heartport, Inc..................................... 14,800 333,925
*Heartstream, Inc.................................... 6,300 76,781
*Hecla Mining Co..................................... 38,600 190,588
*Hector Communications Corp.......................... 1,200 10,875
Heico Corp........................................... 2,080 70,200
Heilig-Meyers Co..................................... 8,000 103,500
*Hein-Werner Corp.................................... 2,161 15,262
*Heist (C.H.) Corp................................... 2,100 14,503
Helix Technology Corp................................ 29,600 699,300
*Hello Direct, Inc................................... 5,000 36,250
*Hemasure, Inc....................................... 6,600 6,703
Henry Jack & Associates, Inc......................... 10,900 273,863
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Herbalife International, Inc......................... 18,300 $ 359,138
Heritage Financial Services, Inc..................... 7,400 189,625
*Hexcel Corp......................................... 100 2,531
*Hf Bancorp, Inc..................................... 2,500 41,406
*Hi-Lo Automotive, Inc............................... 6,500 17,875
*Hi-Shear Industries, Inc............................ 500 1,235
*Hi-Shear Technology Corp............................ 2,400 18,900
*Hi-Tech Pharmacal, Inc.............................. 2,200 11,138
*Hibbett Sporting Goods, Inc......................... 2,000 54,625
*High Plains Corp.................................... 11,900 37,559
*Highlands Insurance Group, Inc...................... 6,600 185,625
*#Highway Master Communications, Inc................. 19,900 130,594
Hilb Rogal Hamilton Co............................... 7,900 151,088
Hilite Industries, Inc............................... 1,900 13,063
*Hirsch International Corp. Class A.................. 4,000 78,875
Hoenig Group, Inc.................................... 5,400 30,713
*Holiday RV Superstores, Inc......................... 3,000 4,688
Holly Corp........................................... 5,100 137,700
*Hollywood Casino Corp. Class A...................... 18,600 45,919
*Hollywood Entertainment Corp........................ 32,100 276,361
*Hollywood Park, Inc................................. 3,500 67,594
*Hologic, Inc........................................ 7,800 202,800
*Holopak Technologies, Inc........................... 2,500 8,750
*Holophane Corp...................................... 5,950 138,338
Home Federal Bancorp................................. 2,025 54,675
*Home Health Corp. of America........................ 2,500 23,438
Home Port Bancorp, Inc............................... 600 14,175
*Home Products International, Inc.................... 5,100 57,056
*Home State Holdings, Inc............................ 3,700 577
*Homebase, Inc....................................... 14,750 123,992
*Homecorp, Inc....................................... 300 7,538
*Homeowners Group, Inc............................... 1,700 1,408
*Hondo Oil and Gas Co................................ 10,500 82,688
Hooper Holmes, Inc................................... 8,300 131,763
Horizon Bancorp, Inc................................. 400 11,000
Horizon Financial Corp............................... 3,953 65,966
*Hospital Staffing Services, Inc..................... 2,390 2,241
*Host Marriott Services Corp......................... 14,800 218,300
*Housecall Medical Resources, Inc.................... 8,200 26,394
*Hovnanian Enterprises, Inc. Class A................. 10,600 77,513
*Hovnanian Enterprises, Inc. Class B................. 1,150 8,409
#Howell Corp......................................... 1,900 36,931
*Howtek, Inc......................................... 3,600 6,075
Hudson Chartered Bancorp, Inc........................ 2,850 61,275
Hudson Foods, Inc. Class A........................... 16,800 318,150
Hudson General Corp.................................. 400 19,400
*#Hudson Technologies, Inc........................... 2,200 10,244
Huffy Corp........................................... 8,000 120,500
Hughes Supply, Inc................................... 10,600 347,150
*Hugoton Energy Corp................................. 16,900 161,606
*Human Genome Sciences, Inc.......................... 2,100 85,838
Hunt (J.B.) Transport Services, Inc.................. 19,700 321,356
Hunt Corp............................................ 6,600 141,900
Huntco, Inc. Class A................................. 2,600 32,825
*Hurco Companies, Inc................................ 3,300 27,844
*#Hutchinson Technology, Inc......................... 11,700 278,606
*#Hvide Marine, Inc. Class A......................... 3,000 84,938
*Hycor Biomedical, Inc............................... 5,600 11,900
*Hyde Athletic Industries, Inc. Class A.............. 1,000 4,594
</TABLE>
120
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Hyde Athletic Industries, Inc. Class B.............. 1,500 $ 7,500
Hydron Technologies, Inc............................. 9,000 5,484
*Hyperion Software Corp.............................. 10,500 452,484
*#I-Stat Corp........................................ 6,600 122,306
IBS Financial Corp................................... 6,000 104,063
*ICC Technologies, Inc............................... 14,900 47,959
*ICF Kaiser International, Inc....................... 17,900 38,038
*#ICG Communications, Inc............................ 12,900 300,328
ICO, Inc............................................. 12,620 76,903
*ICOS Corp........................................... 28,200 390,394
*ICU Medical, Inc.................................... 4,500 49,219
*IDEC Pharmaceuticals Corp........................... 13,100 458,091
*IDEXX Laboratories, Inc............................. 25,700 411,200
*#IDM Environmental Corp............................. 6,900 42,694
*#IDT Corp........................................... 16,000 344,500
*IEC Electronics Corp................................ 6,700 103,013
IFR Systems, Inc..................................... 3,700 111,925
*IGEN, Inc........................................... 8,200 119,413
*IGI, Inc............................................ 6,200 26,738
*IHOP Corp........................................... 4,700 160,681
*II-VI, Inc.......................................... 3,200 78,600
*ILC Technology, Inc................................. 1,800 26,100
IMCO Recycling, Inc.................................. 7,500 118,125
*IMP, Inc............................................ 13,200 13,406
*IPC Information Systems, Inc........................ 6,400 117,200
*IQ Software Corp.................................... 2,300 17,969
ISB Financial Corp. LA............................... 4,100 105,831
*ITC Learning Corp................................... 2,800 12,425
*ITEQ, Inc........................................... 15,187 178,922
*ITI Technologies, Inc............................... 4,500 112,219
*ITLA Capital Corp................................... 3,100 55,606
*ITT Educational Services, Inc....................... 16,050 337,050
*#IVI Publishing, Inc................................ 3,800 11,519
*Ibah, Inc........................................... 17,700 60,291
*Ibis Technology Corp................................ 3,100 28,675
*Identix, Inc........................................ 17,100 171,000
*Ikos Systems, Inc................................... 6,100 48,991
*#Illinois Superconductor Corp....................... 2,300 7,116
*Image Entertainment, Inc............................ 8,900 35,600
*Imagyn Medical Technologies, Inc.................... 16,700 50,883
*Imatron, Inc........................................ 53,300 183,219
*Imclone Systems, Inc................................ 16,900 113,019
*Immucor, Inc........................................ 4,000 39,250
*Immulogic Pharmaceutical Corp....................... 16,200 36,956
*Immune Response Corp. DE............................ 13,600 159,800
*Immunogen, Inc...................................... 8,500 8,367
*Immunomedics, Inc................................... 25,300 121,756
*#Imnet Systems, Inc................................. 8,300 136,431
*Impact Systems, Inc................................. 4,000 7,313
*Impath, Inc......................................... 2,400 67,500
*Impco Technologies, Inc............................. 3,400 38,675
*Imperial Credit Industries, Inc..................... 9,150 217,598
#Imperial Holly Corp................................. 9,100 98,394
*In Focus Systems, Inc............................... 6,500 214,094
*In Home Health, Inc................................. 6,400 7,100
*#Inacom Corp........................................ 9,300 263,888
*Incontrol, Inc...................................... 10,300 81,434
*Incyte Pharmaceuticals, Inc......................... 10,200 418,200
*Indenet, Inc........................................ 14,900 32,827
Independence Holding Co.............................. 2,500 30,625
Independent Bank Corp. MA............................ 12,100 197,381
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Independent Bank East................................ 1,735 $ 55,845
Indiana Energy, Inc.................................. 13,500 379,688
*Individual Investor Group, Inc...................... 1,600 11,550
*Individual, Inc..................................... 12,700 45,442
Industrial Acoustics Co., Inc........................ 200 2,225
Industrial Bancorp, Inc.............................. 500 9,000
*#Industrial Holdings, Inc........................... 3,600 48,375
Industrial Scientific Corp........................... 700 15,400
*Inference Corp. Class A............................. 6,400 32,800
*Infinity Financial Technology, Inc.................. 2,000 34,000
*Infinium Software, Inc.............................. 6,000 77,625
*Infonautics Corp. Class A........................... 4,700 12,191
*Information Resource Engineering, Inc............... 2,700 21,938
*Information Resources, Inc.......................... 24,900 373,500
*Information Storage Devices, Inc.................... 7,500 52,969
*Infu-tech, Inc...................................... 800 4,600
Ingles Market, Inc. Class A.......................... 4,900 65,538
*Inhale Therapeutic Systems.......................... 8,300 258,338
*Innerdyne, Inc...................................... 17,300 58,928
*Innodata Corp....................................... 1,800 1,491
*Innoserv Technologies, Inc.......................... 200 481
*Innovative Gaming Corp. of America.................. 3,200 9,700
#Innovex, Inc........................................ 8,700 201,731
*Insight Enterprises, Inc............................ 5,150 200,850
*Insignia Financial Group, Inc. Class A.............. 15,200 300,200
*Insilco Corp........................................ 5,700 203,063
*Insite Vision, Inc.................................. 9,800 34,913
Insituform East, Inc................................. 1,700 4,569
*Insituform Technologies, Inc. Class A............... 17,710 157,176
*Inso Corp........................................... 10,000 107,500
Insteel Industries, Inc.............................. 4,300 32,250
Instron Corp......................................... 9,600 163,200
*Insurance Auto Auctions, Inc........................ 6,800 72,250
*Integra Lifesciences Corp........................... 15,500 49,891
*Integramed America, Inc............................. 3,600 6,919
*Integrated Circuit Systems, Inc..................... 8,300 232,919
Integrated Health Services, Inc...................... 9,115 277,438
*Integrated Measurement System, Inc.................. 4,600 83,950
*Integrated Orthopedics, Inc......................... 2,600 21,775
*Integrated Packaging Assembly Corp.................. 10,200 11,475
*#Integrated Process Equipment Corp.................. 9,900 212,850
*Integrated Silicon Solution, Inc.................... 12,400 122,450
*Integrated Systems Consulting Group, Inc............ 4,700 48,175
*Integrated Systems, Inc............................. 13,900 215,016
*Intellicall, Inc.................................... 5,600 30,800
*Intellidata Technologies Corp....................... 13,700 29,541
*Intelligent Electronics, Inc........................ 26,228 135,238
*Intelligent Systems Corp............................ 2,200 11,550
*Inter-Tel, Inc...................................... 15,600 328,575
Intercargo Corp...................................... 3,800 51,300
Interchange Financial Services Corp. Saddle Brook.... 2,580 73,530
*Interdigital Communications Corp.................... 28,900 124,631
*Interface Systems, Inc.............................. 3,400 10,200
Interface, Inc. Class A.............................. 11,700 347,709
*Interferon Sciences, Inc............................ 7,375 68,910
*Intergraph Corp..................................... 33,500 350,703
</TABLE>
121
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Interlake Corp...................................... 17,000 $ 77,563
*Interleaf, Inc...................................... 13,100 48,306
*Interlink Electronics............................... 2,200 16,363
*Interlinq Software Corp............................. 2,900 12,325
*Interlott Technologies, Inc......................... 1,600 12,900
*Intermagnetics General Corp......................... 7,554 67,514
*#Intermedia Communications of Florida, Inc.......... 9,800 484,488
Intermet Corp........................................ 17,600 323,400
*International Alliance Services, Inc................ 8,200 118,388
International Aluminum Corp.......................... 2,100 65,100
*International Dairy Queen, Inc. Class A............. 6,900 182,634
*International Microcomputer Software, Inc........... 2,600 41,113
International Multifoods Corp........................ 12,700 341,313
*International Rectifier Corp........................ 28,800 406,800
*International Remote Imaging Systems, Inc........... 3,000 12,000
International Shipholding Corp....................... 3,375 60,539
*International Technology Corp....................... 7,325 60,431
*International Thoroughbred Breeders, Inc............ 5,800 20,300
*Interneuron Pharmaceuticals, Inc.................... 20,500 245,359
*Interphase Corp..................................... 2,700 17,466
Interpool, Inc....................................... 17,550 244,603
*Interpore International............................. 3,500 24,938
Interra Financial, Inc............................... 8,600 474,613
*Intersolv, Inc...................................... 12,300 196,416
Interstate Johnson Lane, Inc......................... 2,300 59,513
*Interstate National Dealers Services, Inc........... 2,000 18,813
Interstate Power Co.................................. 2,400 79,650
*Intertan, Inc....................................... 5,700 32,419
*Intervisual Books, Inc. Class A..................... 1,000 2,563
*Intervoice, Inc..................................... 11,300 110,528
Interwest Bancorp.................................... 3,900 151,369
*Intevac, Inc........................................ 8,000 80,000
Invacare Corp........................................ 16,900 392,925
*Investment Technology Group, Inc.................... 11,500 336,375
Investors Financial Services Corp.................... 3,099 130,933
Investors Title Co................................... 1,400 30,625
*#Invision Technologies, Inc......................... 5,600 42,000
*Invivo Corp......................................... 1,600 13,900
*Ion Laser Technology, Inc........................... 2,900 9,244
*Ionics, Inc......................................... 8,000 295,000
*Iridex Corp......................................... 3,800 37,288
Iroquois Bancorp..................................... 400 10,100
Irwin Financial Corp................................. 6,800 276,250
Isco, Inc............................................ 38,935 357,715
*#Isis Pharmaceuticals, Inc.......................... 15,800 233,050
*Isolyser Co., Inc................................... 32,010 96,030
*#Itron, Inc......................................... 8,100 146,306
*Iwerks Entertainment, Inc........................... 9,824 36,226
*J & J Snack Foods Corp.............................. 4,400 71,500
J & L Specialty Steel, Inc........................... 26,500 257,547
*J. Alexander's Corp................................. 2,000 10,875
*JDA Software Group, Inc............................. 9,100 280,109
JLG Industries, Inc.................................. 39,300 503,531
*#JMAR Industries, Inc............................... 10,100 35,508
*#JP Foodservice, Inc................................ 8,100 238,444
*JPE, Inc............................................ 2,800 16,100
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JSB Financial, Inc................................... 5,000 $ 233,125
*Jackpot Enterprises, Inc............................ 4,700 56,988
Jacksonville Bancorp, Inc............................ 1,600 30,500
*Jaclyn, Inc......................................... 1,000 4,375
*Jaco Electronics, Inc............................... 1,973 13,318
*Jacobs Engineering Group, Inc....................... 12,800 338,400
*Jacobson Stores, Inc................................ 2,900 31,900
*Jalate, Ltd......................................... 1,000 1,938
*Jan Bell Marketing, Inc............................. 14,300 40,219
*Jason, Inc.......................................... 10,087 77,544
*Jayhawk Acceptance Corp............................. 1,000 1,500
*Jean Philippe Fragrances, Inc....................... 5,150 39,913
Jeffbanks, Inc....................................... 1,706 66,001
Jefferies Group, Inc................................. 6,000 425,250
Jefferson Savings Bancorp, Inc....................... 1,600 68,600
*Jennifer Convertibles, Inc.......................... 1,300 3,251
*Jerry's Famous Deli, Inc............................ 7,400 20,234
John Alden Financial Corp............................ 15,400 414,838
*Johnson Worldwide Associates, Inc. Class A.......... 6,700 112,225
Johnston Industries, Inc............................. 6,000 31,125
*Johnstown American Industries, Inc.................. 5,800 61,263
*Jones Intercable, Inc............................... 2,300 30,188
*Jones Intercable, Inc. Class A...................... 18,400 254,150
*Jos. A. Bank Clothiers, Inc......................... 5,400 37,800
*#Jumbosports, Inc................................... 18,000 52,875
Juno Lighting, Inc................................... 11,100 212,288
*Just for Feet, Inc.................................. 19,200 324,600
*Just Toys, Inc...................................... 1,600 1,750
Justin Industries, Inc............................... 20,200 296,688
*K & G Men's Center, Inc............................. 6,000 114,375
K Swiss, Inc. Class A................................ 1,600 26,500
*K-Tel International, Inc............................ 600 4,388
*K-Tron International, Inc........................... 6,200 109,275
*K-V Pharmaceutical Co. Class A...................... 4,400 96,250
*K-V Pharmaceutical Co. Class B...................... 1,800 39,713
K2, Inc.............................................. 9,100 250,250
KCS Energy, Inc...................................... 17,600 418,000
*#KFX, Inc........................................... 4,000 12,500
*KLLM Transport Services, Inc........................ 1,600 20,300
*KTI, Inc............................................ 4,100 65,600
*KVH Industries, Inc................................. 2,400 15,300
*Kaiser Ventures, Inc................................ 9,700 130,950
Kaman Corp. Class A.................................. 12,700 232,569
*Kaneb Services, Inc................................. 25,300 128,081
*Karrington Health, Inc.............................. 3,500 40,688
Katy Industries, Inc................................. 4,100 71,750
*Katz Digital Technologies, Inc...................... 1,800 6,919
Kaye Group, Inc...................................... 3,000 20,250
Keithley Instruments, Inc............................ 1,000 10,625
*Kelley Oil & Gas Corp............................... 69,600 206,625
Kellwood Co.......................................... 10,600 363,713
*Kensey Nash Corp.................................... 600 10,125
*Kentucky Electric Steel, Inc........................ 1,800 12,825
Kentucky First Bancorp, Inc.......................... 200 2,900
Kewaunee Scientific Corp............................. 1,500 17,719
*Key Energy Group, Inc............................... 9,000 218,813
*Key Production Co., Inc............................. 6,900 73,744
*Key Technology, Inc................................. 2,300 29,038
*Key Tronic Corp..................................... 13,000 72,313
*Keystone Consolidated Industries, Inc............... 5,400 68,850
</TABLE>
122
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Keystone Heritage Group, Inc......................... 1,600 $ 85,600
Kimball International, Inc. Class B.................. 5,900 236,922
*Kimmins Corp........................................ 3,400 16,150
*Kinark Corp......................................... 3,000 9,750
*Kinnard Investment, Inc............................. 3,100 18,309
*Kirby Corp.......................................... 14,600 271,013
*Kit Manufacturing Co................................ 300 2,625
Klamath First Bancorp, Inc........................... 6,100 131,531
Knape & Vogt Manufacturing Co........................ 2,900 57,275
*Knickerbocker (L.L.) Co., Inc....................... 5,000 35,000
*Knight Transportation, Inc.......................... 5,000 137,188
*Koala Corp.......................................... 1,200 18,975
Kollmorgen Corp...................................... 5,900 103,250
*Koo Koo Roo, Inc.................................... 21,564 74,463
*Kopin Corp.......................................... 6,300 133,875
*Koss Corp........................................... 1,600 22,000
*Kronos, Inc......................................... 4,100 127,100
*Krug International Corp............................. 1,048 6,616
Kuhlman Corp......................................... 9,699 342,496
*Kulicke & Soffa Industries, Inc..................... 11,600 320,813
*#L.A. Gear, Inc..................................... 12,600 5,513
LCS Industries, Inc.................................. 1,700 30,175
LSB Bancshares, Inc. NC.............................. 2,525 66,597
LSB Industries, Inc.................................. 6,000 26,250
LSI Industries, Inc.................................. 5,767 99,841
*LTX Corp............................................ 21,300 118,481
*LXR Biotechnology, Inc.............................. 8,000 14,500
*La Jolla Pharmceutical Co........................... 13,800 67,706
La-Z-Boy, Inc........................................ 13,100 563,300
*LaBarge, Inc........................................ 8,600 38,700
LaCrosse Footwear, Inc............................... 3,000 42,375
Lab Holdings, Inc.................................... 3,500 82,578
#Labone, Inc......................................... 7,900 131,831
*Labor Ready, Inc.................................... 9,250 207,547
*#Laboratory Corp. of America Holdings, Inc.......... 42,500 87,656
Laclede Gas Co....................................... 10,500 271,031
*Laclede Steel Co.................................... 2,700 12,656
*Ladd Furniture, Inc................................. 3,666 56,136
*#Laidlaw Environmental Services, Inc................ 36,200 162,900
*Lakeland Industries, Inc............................ 1,000 7,563
Lakeview Financial Corp.............................. 1,400 34,563
*Lamson & Sessions Co................................ 10,200 66,300
Lance, Inc........................................... 16,600 422,781
*Lancer Corp......................................... 8,100 100,238
*Lancit Media Productions, Ltd....................... 3,300 8,147
*Landair Services, Inc............................... 2,900 80,113
Landauer, Inc........................................ 4,100 109,675
*Landec Corp......................................... 4,600 21,850
*Landrys Seafood Restaurants, Inc.................... 14,518 409,226
*Landstar Systems, Inc............................... 7,600 197,125
*Lanvision Systems, Inc.............................. 2,200 13,475
*Larson Davis, Inc................................... 5,800 26,644
*Lasermaster Technologies, Inc....................... 7,120 30,928
*Laserscope.......................................... 9,700 51,531
*#LaserSight Corporation............................. 5,600 19,250
Lawson Products, Inc................................. 5,800 172,913
Lawter International, Inc............................ 24,800 285,200
Lawyers Title Corp................................... 6,400 203,200
*Layne Christensen Co................................ 5,100 88,931
*Lazare Kaplan International, Inc.................... 5,100 72,994
*Learning Co., Inc................................... 25,100 454,938
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Learning Tree International, Inc.................... 11,000 $ 271,563
Learonal, Inc........................................ 6,450 170,925
*Leasing Solutions, Inc.............................. 4,100 98,144
*Lechters, Inc....................................... 12,600 71,663
*Lectec Corp......................................... 1,902 9,986
*Legato Systems, Inc................................. 14,600 556,625
Lennar Corp.......................................... 2,276 47,512
Lesco, Inc........................................... 6,725 143,116
*Leslie Building Products, Inc....................... 3,200 6,101
*Level 8 Systems, Inc................................ 4,200 61,688
*Level One Communications, Inc....................... 9,750 408,891
*#Levitz Furniture, Inc.............................. 14,200 6,213
*Lexford, Inc........................................ 2,700 82,856
Libbey, Inc.......................................... 8,500 335,750
Liberty Homes, Inc. Class A.......................... 200 2,050
*Liberty Technologies, Inc........................... 3,000 8,438
*Lidak Pharmaceuticals Class A....................... 18,300 39,173
Life Bancorp, Inc.................................... 6,900 213,900
*#Life Medical Sciences, Inc......................... 8,900 45,334
*Life Quest Medical, Inc............................. 1,000 4,563
Life Re Corp......................................... 6,800 388,450
Life Technologies, Inc............................... 11,500 347,156
*Life USA Holdings, Inc.............................. 12,800 214,800
*Lifecore Biomedical, Inc............................ 7,300 141,894
*Lifeline Systems, Inc............................... 2,800 62,650
Lifetime Hoan Corp................................... 6,262 63,794
*Ligand Pharmaceuticals, Inc. Class B................ 17,979 232,615
Lillian Vernon Corp.................................. 4,900 68,294
Lilly Industry, Inc. Class A......................... 13,500 248,063
*Lindal Cedar Homes, Inc............................. 4,482 18,208
Lindberg Corp........................................ 8,200 118,900
Lindsay Manufacturer Co.............................. 4,800 194,700
*Liposome Co., Inc................................... 26,100 155,784
Liqui Box Corp....................................... 2,500 92,813
Litchfield Financial Corp............................ 2,600 51,513
*Littlefield, Adams & Co............................. 900 310
*Littlefuse, Inc..................................... 16,000 440,000
*Liuski International, Inc........................... 1,800 1,688
*Lodgenet Entertainment Corp......................... 7,200 90,900
*Loehmanns, Inc...................................... 5,800 38,063
*Logans Roadhouse, Inc............................... 4,600 82,369
*#Logic Devices, Inc................................. 2,400 6,750
*Logic Works, Inc.................................... 4,500 37,688
*Lojack Corp......................................... 11,400 158,531
Lomak Petroleum, Inc................................. 11,400 198,075
Lone Star Industries, Inc............................ 4,800 250,200
*Lone Star Steakhouse Saloon......................... 9,900 185,006
*Lone Star Technologies, Inc......................... 11,500 333,500
*Loronix Information Systems, Inc.................... 2,200 4,538
*Louis Dreyfus Natural Gas Corp...................... 24,052 497,576
Luby's Cafeterias, Inc............................... 16,400 323,900
Lufkin Industries, Inc............................... 3,300 117,150
Lukens, Inc. DE...................................... 13,400 224,450
*Lumisy, Inc......................................... 2,800 17,325
*Lunar Corp.......................................... 8,150 184,903
*Lund International Holdings, Inc.................... 2,200 28,463
*#Luria (L.) & Son, Inc.............................. 2,500 36
*Lydall, Inc. DE..................................... 8,500 172,125
*Lynch Corp.......................................... 2,200 189,200
*M-Wave, Inc......................................... 1,500 6,281
*#M.H. Meyerson & Co., Inc........................... 2,500 13,438
</TABLE>
123
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
M/A/R/C, Inc......................................... 1,527 $ 29,204
MAF Bancorp, Inc..................................... 11,900 388,238
*MAI Systems Corp.................................... 4,700 16,156
#MDC Holdings, Inc................................... 15,000 165,938
MDU Resources Group, Inc............................. 12,400 370,450
*MFRI, Inc........................................... 1,700 16,575
*MGI Pharma, Inc..................................... 11,400 48,806
*MI Schottenstein Homes, Inc......................... 4,500 66,656
*MK Gold Corp........................................ 7,800 11,578
ML Bancorp, Inc...................................... 5,100 147,741
*MLX Corp............................................ 1,000 19,500
MMI Companies, Inc................................... 7,100 171,288
*MRS Technology, Inc................................. 3,300 3,403
*MRV Communications, Inc............................. 13,700 385,313
*MS Carriers, Inc.................................... 8,900 214,713
*MSC Industrial Direct Co., Inc. Class A............. 6,600 256,575
*MTI Technology Corp................................. 5,900 80,756
MTS Systems Corp..................................... 4,200 160,388
*#MVSI, Inc.......................................... 5,000 28,906
MYR Group, Inc....................................... 1,200 26,775
MacDermid, Inc....................................... 4,100 291,869
*MacFrugals Bargain Close-outs, Inc.................. 13,100 561,663
*Macheezmo Mouse Restaurants, Inc.................... 1,500 587
*MacNeal-Schwendler Corp............................. 6,700 68,256
*Macromedia, Inc..................................... 24,600 247,153
*Madden (Steven), Ltd................................ 600 4,200
Madison Gas & Electric Co............................ 8,150 164,528
*Magainin Pharmaceuticals, Inc....................... 14,900 120,597
*Magellan Health Services, Inc....................... 6,000 142,875
*Magnetek, Inc....................................... 16,300 340,263
*#Magnum Hunter Resources, Inc....................... 10,900 62,675
*Mail-Well, Inc...................................... 2,100 68,513
*Main Street & Main, Inc............................. 3,550 10,317
Maine Public Service Co.............................. 700 8,838
Mainstreet Bankgroup, Inc............................ 8,000 220,000
*Mallon Resources Corp............................... 2,200 22,000
*Managed Care Solutions, Inc......................... 2,366 6,507
*Manatron, Inc....................................... 1,102 2,152
*Manhattan Bagel Co., Inc............................ 3,700 5,030
Manitowoc Co., Inc................................... 8,700 289,819
*Manugistic Group, Inc............................... 10,800 377,663
*Mapics, Inc......................................... 8,400 91,875
*Mapinfo Corp........................................ 4,800 64,800
*Marcam Solutions, Inc............................... 2,700 23,456
Marcus Corp.......................................... 11,450 323,463
*Marine Drilling Companies, Inc...................... 1,000 22,781
*Mariner Health Group, Inc........................... 20,300 294,984
*Marisa Christina, Inc............................... 6,700 31,825
Maritrans, Inc....................................... 7,700 69,300
*Mark VII, Inc....................................... 3,600 64,800
*Markel Corp......................................... 2,700 415,800
*Marker International................................ 8,100 37,969
*Marlton Technologies, Inc........................... 2,200 14,575
*Marquette Medical Systems, Inc...................... 8,800 199,100
Marsh Supermarkets, Inc. Class A..................... 1,600 24,600
Marsh Supermarkets, Inc. Class B..................... 1,900 28,619
*Marshall Industries................................. 8,500 293,250
*Martek Biosciences Corp............................. 10,200 113,794
*Marten Transport, Ltd............................... 2,800 60,900
*#Marvel Entertainment Group, Inc.................... 1,000 1,375
Maryland Federal Bancorp............................. 2,520 65,756
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Massbank Corp. Reading, MA........................... 1,333 $ 59,735
*Mastec, Inc......................................... 6,800 173,188
*Mastering, Inc...................................... 12,100 105,119
*Matec Corp. DE...................................... 1,100 4,538
*Material Sciences Corp.............................. 13,500 198,281
*Mathsoft, Inc....................................... 6,300 20,672
*Matlack Systems, Inc................................ 7,500 65,156
*Matria Healthcare, Inc.............................. 16,300 85,575
*Matrix Pharmaceutical, Inc.......................... 16,600 58,619
*Matrix Service Co................................... 7,500 60,000
Matthews International Corp. Class A................. 3,400 142,163
*Matthews Studio Equipment Group..................... 6,200 24,800
*Mattson Technology, Inc............................. 8,400 82,163
*Maverick Tube Corp.................................. 8,400 240,188
*Max & Ermas Restaurants, Inc........................ 2,037 12,477
*Maxco, Inc.......................................... 1,900 21,969
*Maxicare Health Plans, Inc.......................... 10,800 139,725
*Maxim Group, Inc.................................... 11,700 179,888
*Maxwell Technologies, Inc........................... 2,900 76,941
*Maxxam, Inc......................................... 5,200 242,125
*Maxxim Medical, Inc................................. 6,600 144,375
*May & Speh, Inc..................................... 12,600 168,525
*Maynard Oil Co...................................... 2,400 29,400
*Mays (J.W.), Inc.................................... 200 1,978
*McClain Industries, Inc............................. 266 1,214
McDonald & Co. Investment, Inc....................... 9,000 242,438
McGrath Rent Corp.................................... 10,500 231,328
*McMoran Oil & Gas Co................................ 11,200 36,750
*McWhorter Technologies, Inc......................... 5,200 123,500
#Meadowbrook Insurance Group, Inc.................... 4,300 101,588
*Measurement Specialties, Inc........................ 1,400 5,688
*Mecklermedia Corp................................... 4,200 92,663
*#Mecon, Inc......................................... 5,400 36,619
*Medalliance, Inc. Liquidating Trust Escrow.......... 3,800 0
*Medaphis Corp....................................... 56,300 283,259
*Medar, Inc.......................................... 4,400 23,788
*Medarex, Inc........................................ 13,900 81,663
*#Medcath, Inc....................................... 6,700 113,063
*Medco Research, Inc................................. 7,000 113,750
Medford Savings Bank MA.............................. 2,300 85,388
*Media 100, Inc...................................... 5,800 27,006
*Media Arts Group, Inc............................... 8,800 97,350
*Media Logic, Inc.................................... 2,400 3,300
*Medical Action Industries, Inc...................... 3,200 11,500
*Medical Assurance, Inc.............................. 10,232 290,973
*Medical Graphics Corp............................... 1,000 4,188
*Medical Resources, Inc.............................. 10,650 96,183
*Medicalcontrol, Inc................................. 1,500 8,063
*#Medicis Pharmaceutical Corp. Class A............... 7,000 301,875
*Medicore, Inc....................................... 2,200 5,088
*Medicus Systems Corp................................ 3,200 23,400
*Medimmune, Inc...................................... 15,300 582,834
*Mediq, Inc.......................................... 11,600 118,175
*Medplus, Inc........................................ 3,000 28,594
*Medquist Inc........................................ 8,850 233,972
*Medstone International, Inc......................... 4,800 47,700
Medusa Corp.......................................... 8,100 328,556
*Mego Financial Corp................................. 3,600 16,425
*Mego Mortgage Corp.................................. 1,713 16,969
</TABLE>
124
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Mens Warehouse, Inc................................. 13,200 $ 464,063
Mentor Corp. MN...................................... 12,400 419,663
*Mentor Graphics Corp................................ 47,100 448,186
Merchants Bancorp, Inc............................... 2,100 50,794
Merchants Bancshares, Inc............................ 2,700 75,600
Merchants Group, Inc................................. 1,300 25,350
Merchants New York Bancorp, Inc...................... 800 22,875
#Mercury Air Group, Inc.............................. 3,700 21,391
*Mercury Interactive Corp............................ 14,000 341,250
*Meridian Data, Inc.................................. 7,100 29,953
Meridian Diagnostics, Inc............................ 8,600 91,644
*Meridian Gold, Inc.................................. 29,300 65,925
Meridian Insurance Group, Inc........................ 2,700 49,781
*Meridian Medical Technology, Inc.................... 2,400 21,000
*Meridian Resource Corp.............................. 18,540 198,146
*#Merisel, Inc....................................... 11,900 56,153
*Merit Medical Systems, Inc.......................... 3,500 22,094
*Merix Corp.......................................... 2,400 35,850
Merrill Corp......................................... 8,100 163,519
Merrimac Industries, Inc............................. 600 8,475
*Mesa Air Group, Inc................................. 22,100 122,931
*Mesa Labs, Inc...................................... 2,200 17,050
*Mesaba Holdings, Inc................................ 9,400 206,800
*Mestek, Inc......................................... 4,200 74,813
*Met-Coil Systems Corp............................... 1,000 3,157
Met-Pro Corp......................................... 11,175 182,292
*Metacreations Corp.................................. 11,500 136,922
*#Metal Management, Inc.............................. 7,421 155,377
*Metatec Corp. Class A............................... 5,300 26,500
Methode Electronics, Inc. Class A.................... 19,500 314,438
Methode Electronics, Inc. Class B.................... 500 8,875
*Metra Biosystems, Inc............................... 6,000 22,688
*#Metricom, Inc...................................... 10,900 145,447
*Metrocall, Inc...................................... 17,564 92,760
*Metrologic Instruments, Inc......................... 2,600 36,725
*Metromedia International Group, Inc................. 12,000 117,000
*Metrotrans Corp..................................... 1,600 17,900
Metrowest Bank MA.................................... 9,900 80,438
*Michael Anthony Jewelers, Inc....................... 4,100 11,275
Michael Foods, Inc................................... 12,891 284,005
*Michaels Stores, Inc................................ 18,200 586,381
*Micrel, Inc......................................... 3,400 119,213
*Micrion Corp........................................ 2,000 43,313
*#Micro Component Technology, Inc.................... 3,000 7,406
*Micro Linear Corp................................... 7,200 55,125
*Micro Warehouse, Inc................................ 22,700 333,406
*Microage, Inc....................................... 9,250 186,734
*Microdyne Corp...................................... 10,300 74,353
*Microfluidics International Corp.................... 1,000 3,031
*Micrografx, Inc..................................... 8,200 77,388
*Microlog Corp....................................... 1,500 10,594
*Micronics Computers, Inc............................ 11,300 24,013
*Microprose, Inc..................................... 18,700 89,409
*Micros Systems, Inc................................. 4,000 208,750
*Micros to Mainframes, Inc........................... 1,800 8,438
*Microsemi Corp...................................... 4,000 68,500
*Microtest, Inc...................................... 5,800 34,709
*Microtouch Systems, Inc............................. 7,300 152,388
*Microware Systems Corp.............................. 6,700 28,056
*Microwave Power Dynamics, Inc....................... 7,500 56,250
Mid Am, Inc.......................................... 13,866 285,120
Mid America Banccorp................................. 5,347 161,770
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Mid Atlantic Medical Services, Inc.................. 12,000 $ 160,125
*Midcom Communications, Inc.......................... 13,000 6,094
*Middleby Corp....................................... 3,400 34,956
Middlesex Water Co................................... 2,300 43,556
*Midisoft Corp....................................... 1,800 2,194
Midland Co........................................... 1,100 66,481
*Midwest Express Holdings, Inc....................... 1,050 35,766
*Midwest Grain Products, Inc......................... 4,400 61,600
Mikasa, Inc.......................................... 10,700 142,444
*Mikohn Gaming Corp.................................. 6,400 53,000
*Millennia, Inc...................................... 1,100 4,950
*Millennium Pharmaceuticals, Inc..................... 24,100 480,494
*Miller Building Systems, Inc........................ 1,600 13,500
*Miller Industries, Inc.............................. 40,200 391,950
*Miltope Group, Inc.................................. 11,000 37,813
*Mindspring Enterprises, Inc......................... 4,500 131,344
Mine Safety Appliances Co............................ 1,900 129,675
Minntech Corp........................................ 3,700 43,013
Minuteman International, Inc......................... 1,000 10,750
*#Miravant Medical Technologies...................... 6,200 289,463
#Mississippi Chemical Corp........................... 16,642 324,519
*Mitcham Industries, Inc............................. 6,200 173,988
*Mity-Lite, Inc...................................... 1,600 31,600
*Mobile America Corp................................. 2,900 34,438
Mobile Gas Service Corp.............................. 2,000 77,750
*Mobile Mini, Inc.................................... 4,000 21,250
*Mobile Telecommunications Technologies Corp......... 26,800 466,488
Modern Controls, Inc................................. 6,450 75,384
*Modtech, Inc........................................ 3,500 72,625
*Mohawk Industries, Inc.............................. 8,400 254,625
*Molecular Biosystems, Inc........................... 10,700 109,006
*Molecular Devices Corp.............................. 4,000 82,000
*Molecular Dynamics, Inc............................. 5,200 105,625
*#Molten Metal Technology, Inc....................... 15,800 4,938
*Monaco Coach Corp................................... 2,100 53,025
*Monaco Finance, Inc. Class A........................ 2,300 2,444
*Monarch Casino and Resort, Inc...................... 5,800 30,450
Monarch Machine Tool Co.............................. 1,400 11,725
*Mondavi (Robert) Corp. Class A...................... 3,700 174,594
*Moneygram Payment Systems, Inc...................... 14,500 186,688
*Monro Muffler Brake, Inc............................ 3,944 56,942
*Monroc, Inc......................................... 1,700 18,700
Monterey Bay Bancorp, Inc............................ 1,000 19,375
*#Monterey Pasta Co.................................. 3,400 4,781
*Moog, Inc. Class A.................................. 2,700 98,213
*Moog, Inc. Class B.................................. 600 22,050
*Moore Medical Corp.................................. 2,100 23,363
*Moore Products Co................................... 2,200 79,475
*Moovies, Inc........................................ 11,200 14,000
Morgan Keegan, Inc................................... 18,900 379,181
*Morgan Products, Ltd................................ 8,100 49,613
Morrison Health Care, Inc............................ 4,033 72,090
*Morrison Knudsen Corp............................... 42,900 423,638
Morrison Restaurants, Inc............................ 3,025 9,453
*#Morrow Snowboards, Inc............................. 1,000 2,688
*Morton's Restaurant Group, Inc...................... 3,200 72,000
*Mosaix, Inc......................................... 8,000 73,000
*Moscom Corp......................................... 3,400 23,588
Mosinee Paper Corp................................... 10,600 318,663
*#Mossimo, Inc....................................... 13,500 70,875
*Mother's Work, Inc.................................. 1,200 10,800
</TABLE>
125
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Motivepower Industries, Inc......................... 10,600 $ 280,900
*Motor Car Parts & Accessories, Inc.................. 2,400 39,975
*Motor Club of America............................... 700 9,538
Movado Group, Inc.................................... 4,450 80,100
*Movie Gallery, Inc.................................. 11,500 37,734
*Moviefone, Inc. Class A............................. 3,400 22,738
Mueller (Paul) Co.................................... 2,200 85,250
*Mueller Industries, Inc............................. 14,200 661,188
*Multi Color Corp.................................... 1,000 6,500
*Musicland Stores Corp............................... 20,600 112,013
*Mutual Savings Bank FSB Bay City, MI................ 1,700 21,888
*Mycogen Corp........................................ 16,900 333,775
Myers Industries, Inc................................ 9,460 163,185
*Mylex Corp.......................................... 14,600 117,713
*Myriad Genetics, Inc................................ 4,600 125,781
*Mysoftware Co....................................... 1,000 2,438
*N & F Worldwide Corp................................ 7,800 75,075
NAB Asset Corp. Liquidating Trust.................... 200 60
*NABI, Inc........................................... 27,800 117,281
*NAI Technologies, Inc............................... 5,487 12,346
NBT Bancorp.......................................... 3,828 98,818
*NBTY, Inc........................................... 16,200 350,325
NCH Corp............................................. 3,900 265,931
*NCI Building Systems, Inc........................... 4,800 186,900
*NCS Healthcare, Inc................................. 4,200 111,038
*NL Industries, Inc.................................. 25,600 414,400
NN Ball & Roller, Inc................................ 12,300 105,319
*NPC International, Inc.............................. 16,300 219,031
*NPS Pharmaceuticals, Inc............................ 7,200 66,600
*NS Group, Inc....................................... 11,600 217,500
*NSA International, Inc.............................. 2,400 4,125
NSC Corp............................................. 5,700 13,359
*NTL, Inc............................................ 5,000 141,250
*NTN Communications, Inc............................. 12,400 18,600
NUI Corp............................................. 5,500 135,438
NYMAGIC, Inc......................................... 7,600 193,800
Nacco Industries, Inc. Class A....................... 4,050 440,944
*#Nanometrics, Inc................................... 4,900 43,488
*Nantucket Industries, Inc........................... 1,200 525
*Napco Security Systems, Inc......................... 4,850 30,009
*#Napro Biotherapeutics, Inc......................... 9,500 60,563
Nash Finch Co........................................ 6,800 127,500
*Nashua Corp......................................... 4,800 62,700
*Nastech Pharmaceutical Co., Inc..................... 2,500 33,906
*Nathans Famous, Inc................................. 1,900 7,244
*National Auto Credit, Inc........................... 21,560 142,835
National Bancorp of Alaska, Inc...................... 2,200 266,475
*National Beverage Corp.............................. 10,400 102,700
*National City Bancorp............................... 3,990 111,720
National City Bankshares, Inc........................ 4,254 199,966
National Computer Systems, Inc....................... 9,200 337,525
*National Dentex Corp................................ 3,000 64,125
*National Energy Group, Inc.......................... 24,470 104,762
National Gas & Oil Co................................ 6,785 78,452
*National Home Centers, Inc.......................... 3,000 3,469
*National Home Health Care Corp...................... 2,115 11,239
*National Instruments Corp........................... 2,250 60,188
National Insurance Group............................. 2,600 27,463
*National Media Corp................................. 15,500 63,938
*National Patent Development Corp.................... 6,580 88,830
National Penn Bancshares, Inc........................ 3,966 127,160
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
National Presto Industries, Inc...................... 3,700 $ 144,994
*National Processing, Inc............................ 11,500 119,313
*National Record Mart, Inc........................... 1,900 7,184
*National RV Holdings, Inc........................... 3,100 74,303
*National Standard Co................................ 6,500 38,188
*National Steel Corp. Class B........................ 10,500 157,500
*National Surgery Centers, Inc....................... 4,700 119,263
National Technical Systems, Inc...................... 3,400 29,006
*National Techteam, Inc.............................. 12,100 131,588
*National Vision Association, Ltd.................... 10,200 53,231
*National Western Life Insurance Co. Class A......... 1,000 95,250
*Natural Alternatives International, Inc............. 3,400 30,813
*Natural Microsystems Corp........................... 6,200 295,275
*Natural Wonders, Inc................................ 4,000 30,250
Natures Sunshine Products, Inc....................... 11,259 246,994
*Navarre Corp........................................ 3,400 9,988
*Navigators Group, Inc............................... 3,200 60,600
Nelson (Thomas), Inc................................. 8,900 100,681
*Neogen Corp......................................... 2,700 30,038
*Neopath, Inc........................................ 8,600 142,975
*Neoprobe Corp....................................... 13,600 109,650
*Neorx Corp.......................................... 14,225 78,682
*Neose Technologies, Inc............................. 4,700 81,516
*#Neoware Systems, Inc............................... 3,100 9,106
*Netcom On-Line Communication Services, Inc.......... 5,800 116,000
*Netmanage, Inc...................................... 30,300 86,166
*Netrix Corp......................................... 4,700 6,316
*Netvantage, Inc. Class A............................ 4,200 29,663
*Network Appliance Corp.............................. 7,000 356,125
*Network Computing Devices, Inc...................... 11,000 90,750
*Network Equipment Technologies, Inc................. 13,100 190,769
*Network General Corp................................ 25,600 481,600
*#Network Imaging Corp............................... 11,600 14,319
*Network Peripherals, Inc............................ 9,700 50,925
*Network Six, Inc.................................... 275 739
*Neurex Co........................................... 19,800 311,231
*Neurobiological Technologies, Inc................... 2,700 5,231
*Neurogen Corp....................................... 8,600 168,238
*Neuromedical Systems, Inc........................... 20,800 77,350
*New Brunswick Scientific Co., Inc................... 2,541 19,693
New England Business Services, Inc................... 8,100 256,669
New England Community Bancorp, Inc. Class A.......... 1,700 39,738
New Hampsire Thrift BancShares, Inc.................. 200 4,125
*New Horizons Worldwide, Inc......................... 3,400 52,700
New Jersey Resources Corp............................ 9,100 316,794
*New Jersey Steel Corp............................... 2,300 51,822
*New Mexico & Arizona Land Co........................ 1,870 28,050
New York Bancorp, Inc................................ 11,333 400,905
Newcor, Inc.......................................... 2,415 20,829
Newmil Bancorp, Inc.................................. 3,500 49,000
#Newport Corp........................................ 6,800 114,750
*#Nexstar Pharmaceuticals, Inc....................... 18,496 254,320
*Nextel Communications Corp. Class A................. 3,221 81,431
*Nexthealth, Inc..................................... 3,400 3,772
</TABLE>
126
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Niagara Corp....................................... 1,300 $ 12,106
*Nichols Research Corp............................... 8,250 190,781
*Nimbus CD International, Inc........................ 2,000 19,875
*Nitches, Inc........................................ 785 4,710
*Nobel Education Dynamics, Inc....................... 2,400 14,325
*Nobility Homes...................................... 1,500 23,438
*Noel Group, Inc..................................... 8,000 28,500
Noland Co............................................ 200 4,775
*Noodle Kidoodle, Inc................................ 3,800 10,925
*Nord Resources Corp................................. 17,500 30,625
*Norland Medical System, Inc......................... 4,900 36,903
Norrell Corp......................................... 8,500 207,188
*Norstan, Inc........................................ 4,600 111,550
*Nortek, Inc......................................... 5,000 121,875
North Carolina Natural Gas Corp...................... 3,200 106,000
North Central Bancshares, Inc........................ 2,700 51,216
Northern Technologies International.................. 1,700 19,125
*#Northfield Laboratories, Inc....................... 9,800 110,863
#Northland Cranberries, Inc. Class A................. 9,100 127,684
Northrim Bank........................................ 300 4,163
Northwest Natural Gas Co............................. 11,250 312,891
*Northwest Pipe Co................................... 2,600 59,313
*Northwest Teleproductions, Inc...................... 200 475
Northwestern Public Service Co....................... 12,500 260,156
*Northwestern Steel & Wire Co........................ 18,500 69,375
*Norton McNaughton, Inc.............................. 6,000 36,375
Norwich Financial Corp............................... 2,400 71,550
*Norwood Promotional Products, Inc................... 2,200 33,413
*Novacare, Inc....................................... 10,000 123,750
*#Novadigm, Inc...................................... 8,300 41,241
*Novametrix Medical Systems, Inc..................... 6,100 46,322
*Novavax, Inc........................................ 8,700 38,063
*Noven Pharmaceuticals, Inc.......................... 13,400 95,894
*Novitron International, Inc......................... 1,300 3,656
*Nu Horizons Electronics Corp........................ 6,400 45,200
*Nu-Kote Holding, Inc. Class A....................... 17,600 9,625
*Nuko Information Systems, Inc....................... 3,300 1,581
*Numerex Corp. Class A............................... 2,000 14,625
*Nutramax Products, Inc.............................. 3,300 38,569
*Nview Corp.......................................... 3,000 3,656
*O'Charleys, Inc..................................... 4,100 73,031
*O'Reilly Automotive, Inc............................ 12,400 296,050
O'Sullivan Corp...................................... 10,100 100,369
*O'Sullivan Industries Holdings, Inc................. 9,400 119,850
*O.I. Corp........................................... 1,600 7,000
*ODS Networks, Inc................................... 8,200 69,444
*OEC Medical Systems, Inc............................ 6,600 141,900
*OHM Corp............................................ 15,500 131,750
OM Group, Inc........................................ 9,300 356,888
*OMI Corp............................................ 31,500 322,875
*OSI Pharmaceutical, Inc............................. 12,600 90,169
*#OTR Express, Inc................................... 200 1,188
*Oacis Healthcare Holdings Corp...................... 3,500 16,844
*Oak Hill Sportswear Corp............................ 800 3,100
*Oak Industries, Inc................................. 9,200 254,725
*Oak Technology, Inc................................. 35,700 295,641
*Objectshare, Inc.................................... 4,600 3,234
*Ocal, Inc........................................... 2,300 6,900
*Oceaneering International, Inc...................... 14,300 294,938
*Odetics, Inc. Class A............................... 300 2,025
*#Odwalla, Inc....................................... 2,500 19,688
*Offshore Logistics, Inc............................. 17,300 396,819
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Oglebay Norton Co.................................... 4,400 $ 134,750
Oil-Dri Corp. of America............................. 4,000 67,000
*Old America Stores, Inc............................. 1,800 507
*Old Dominion Freight Lines, Inc..................... 7,200 113,850
*Olympic Steel, Inc.................................. 10,000 140,313
*Omega Environmental, Inc............................ 18,065 1,129
Omega Financial Corp................................. 4,450 152,691
*Omni Multimedia Group, Inc.......................... 1,500 563
*On Assignment, Inc.................................. 5,200 117,650
*On Technology Corp.................................. 1,700 3,347
*#On-Point Technology Systems, Inc................... 2,900 7,884
OnbanCorp, Inc....................................... 6,200 418,113
*Oncor, Inc.......................................... 17,600 77,000
*Oncormed, Inc....................................... 3,400 22,525
*One Price Clothing Stores, Inc...................... 5,200 10,725
Oneida, Ltd.......................................... 7,600 285,475
*Oneita Industries, Inc.............................. 2,700 928
*Onyx Acceptance Corp................................ 200 1,550
*Open Market, Inc.................................... 12,000 122,625
*Opinion Research Corp............................... 1,700 8,500
*Opta Food Ingredients, Inc.......................... 9,000 46,125
*Optek Technology, Inc............................... 1,600 30,600
*Opti, Inc........................................... 9,200 56,925
Optical Coating Laboratory, Inc...................... 6,900 106,088
*Option Care, Inc.................................... 5,300 22,856
Orange & Rockland Utilities, Inc..................... 8,700 347,456
Orange Co., Inc...................................... 4,800 38,400
*Oravax, Inc......................................... 3,600 10,575
*Orbit International Corp............................ 2,400 5,925
*Orbital Sciences Corp............................... 22,500 577,969
*Orcad, Inc.......................................... 300 2,503
*Oregon Metallurgical Corp........................... 9,800 316,050
Oregon Steel Mills, Inc.............................. 15,400 302,225
*#Organogenesis, Inc................................. 8,875 303,969
*Oriole Homes Corp. Class A Convertible.............. 800 3,800
*Oriole Homes Corp. Class B.......................... 1,000 4,750
*Orion Network Systems, Inc.......................... 5,300 90,928
*Oroamerica, Inc..................................... 2,500 13,906
*Orphan Medical, Inc................................. 4,585 25,218
*Ortel Corp.......................................... 8,100 144,281
*Orthodontic Centers of America, Inc................. 4,400 79,750
*Orthologic Corp..................................... 17,500 90,234
Oshkosh B'Gosh, Inc. Class A......................... 6,200 201,500
Oshkosh Truck Corp. Class B.......................... 3,800 66,975
*Oshman's Sporting Goods, Inc........................ 2,900 16,675
*Osmonics, Inc....................................... 7,100 102,950
*Osteotech, Inc...................................... 3,900 117,731
*Ostex International, Inc............................ 10,000 31,563
Ottawa Financial Corp................................ 2,750 76,141
Otter Tail Power Co.................................. 6,300 217,350
*Outlook Group Corp.................................. 1,800 12,038
Overseas Shipholding Group, Inc...................... 11,200 273,700
Owens & Minor, Inc................................... 19,200 266,400
Owosso Corp.......................................... 3,600 28,013
Oxford Industries, Inc............................... 4,400 154,550
*#Oxigene, Inc....................................... 6,900 125,063
*Oxis International, Inc............................. 8,400 5,250
*P&F Industries, Inc. Class A........................ 1,300 8,572
*P-Com, Inc.......................................... 23,800 417,988
*PAM Transportation Services, Inc.................... 4,100 40,359
*PC Quote, Inc....................................... 3,600 4,950
</TABLE>
127
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*PC Service Source, Inc.............................. 3,400 $ 19,125
PCA International, Inc............................... 3,400 83,300
*#PHP Healthcare Corp................................ 8,000 129,000
*PICO Holdings, Inc.................................. 13,009 79,274
PLM International, Inc............................... 5,100 28,688
*PMC Sierra, Inc..................................... 14,300 395,931
*PMR Corp............................................ 2,400 54,150
*PMT Services, Inc................................... 22,900 357,813
*PPT Vision, Inc..................................... 2,700 21,263
*PRI Automation, Inc................................. 7,200 245,250
PS Group Holdings, Inc............................... 3,000 42,750
*PSC, Inc............................................ 8,900 102,906
*PST Vans, Inc....................................... 1,300 5,931
PXRE Corp............................................ 9,320 275,523
*Pacific Aerospace and Electronics, Inc.............. 3,800 24,047
*Pacific Crest Capital, Inc.......................... 1,060 17,291
*Pacific Pharmaceuticals, Inc........................ 3,200 4,800
Pacific Scientific Co................................ 9,600 152,400
*Pacific Sunwear of California, Inc.................. 6,000 196,125
*Pagemart Wireless, Inc. Class A..................... 2,500 24,844
*Pages, Inc.......................................... 1,700 3,294
*Palatin Technologies, Inc........................... 62 442
Palfed, Inc.......................................... 2,000 53,375
*Palm Harbor Homes, Inc.............................. 4,375 128,516
*Palmer (Arnold) Golf Co............................. 1,600 4,350
*Pamida Holdings Corp................................ 4,000 21,500
Pamrapo Bancorp, Inc................................. 1,300 31,769
*Panaco, Inc......................................... 5,000 22,813
Pancho's Mexican Buffet, Inc......................... 5,000 11,094
*#Panda Project, Inc................................. 4,500 29,109
*Par Technology Corp................................. 7,500 80,156
*Paracelsus Healthcare Corp.......................... 24,500 134,750
*Paragon Health Networks, Inc........................ 4,420 229,302
*Paragon Trade Brands, Inc........................... 7,100 159,750
*Parallel Petroleum Corp............................. 12,800 72,400
*Parexel International Corp.......................... 7,500 257,813
*Paris Corp.......................................... 200 338
Park Electrochemical Corp............................ 5,600 147,000
Park National Corp................................... 4,300 377,863
*Park-Ohio Industries, Inc........................... 6,634 118,997
*#Parkervision, Inc.................................. 5,500 105,188
Parkvale Financial Corp.............................. 2,440 71,523
*Parlux Fragrances, Inc.............................. 8,100 18,478
*Pathogenesis Corp................................... 10,500 374,063
*Patina Oil & Gas Corp............................... 3,134 25,464
Patrick Industries, Inc.............................. 3,500 50,313
*Patterson Dental Co................................. 10,200 417,881
*Patterson Energy, Inc............................... 8,540 311,710
*Paul Harris Stores, Inc............................. 7,300 153,756
*#Paul-Son Gaming Corp............................... 1,000 16,625
*Paxar Corp.......................................... 44,015 660,225
*Paxson Communications Corp.......................... 37,800 321,300
*Payless Cashways, Inc............................... 15,900 811
*Paymentech, Inc..................................... 16,100 249,550
*Pediatric Services of America, Inc.................. 3,500 68,250
*Pediatrix Medical Group, Inc........................ 6,000 265,500
Peerless Manufacturing Co............................ 200 2,350
*Penederm, Inc....................................... 6,900 78,488
Penn Engineering & Manufacturing Corp. Class A....... 600 15,469
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Penn Engineering & Manufacturing Corp. Non-voting.... 7,500 $ 196,875
*Penn National Gaming, Inc........................... 11,600 132,313
*#Penn Traffic Co.................................... 6,300 55,125
*Penn Treaty American Corp........................... 3,800 122,788
Penn Virginia Corp................................... 8,200 221,913
Penn-America Group, Inc.............................. 4,350 79,931
Pennfed Financial Services, Inc...................... 2,100 69,366
Pennsylvania Enterprises, Inc........................ 4,800 120,900
*#Penske Motorsports, Inc............................ 6,600 173,663
*Pentech International, Inc.......................... 5,900 17,147
Penwest, Ltd......................................... 3,200 118,600
Peoples Bancorp...................................... 300 6,975
Peoples Bancshares, Inc. Massachusetts............... 2,500 49,531
*Peoples Choice TV Corp.............................. 6,350 14,486
Peoples Heritage Financial Group, Inc................ 800 34,100
*Peoples Telephone Co., Inc.......................... 12,950 46,944
*Perceptron, Inc..................................... 6,550 145,738
*Performance Food Group Co........................... 5,800 123,250
*Performance Technologies, Inc....................... 3,100 46,306
*Perfumania, Inc..................................... 3,900 12,980
*Perini Corp......................................... 2,800 24,675
*Periphonics Corp.................................... 8,900 86,497
*Perseptive Biosystems, Inc.......................... 15,000 180,000
*Personnel Group of America, Inc..................... 10,800 394,875
*Personnel Management, Inc........................... 500 6,125
*Petco Animal Supplies, Inc.......................... 12,804 381,719
*Pete's Brewing Co................................... 4,300 21,366
*Petersen Companies, Inc. Class A.................... 12,000 216,000
*Petrocorp, Inc...................................... 6,900 62,531
*Petroleum Development Corp.......................... 5,200 31,850
Petroleum Heat & Power Co., Inc. Class A............. 13,500 38,602
*PetSmart, Inc....................................... 41,500 325,516
*Phar-Mor, Inc....................................... 4,900 41,497
*#Pharmaceutical Marketing Services, Inc............. 12,600 129,150
*Pharmaceutical Products Development Service Co...... 14,300 218,075
*Pharmaceutical Resources, Inc....................... 10,800 16,875
*Pharmacopeia, Inc................................... 5,300 100,369
*Pharmchem Laboratories, Inc......................... 3,300 9,900
*Pharmos Corp........................................ 6,200 14,047
Philadelphia Suburban Corp........................... 11,600 287,825
*Phildelphia Consolidated Holding Corp............... 6,000 100,125
*Philip Services Corp................................ 13,144 207,840
Phillips-Van Heusen Corp............................. 21,900 301,125
Phoenix Duff & Phelps Corp........................... 34,100 255,750
*Phoenix Gold International, Inc..................... 1,000 4,875
*Phoenix Network, Inc................................ 10,200 7,013
*Phoenix Technologies, Ltd........................... 12,700 187,722
*Photo Control Corp.................................. 1,000 2,813
*Photon Dynamics, Inc................................ 4,000 17,250
*Photran Corp........................................ 1,100 5,088
*Photronics, Inc..................................... 5,900 282,463
*Physician Computer Network, Inc..................... 46,100 221,856
*Physician Reliance Network, Inc..................... 33,000 325,875
*Physician Sales & Service, Inc...................... 21,200 484,950
*Physician Support Systems, Inc...................... 3,600 53,775
</TABLE>
128
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Physicians Health Services, Inc. Class A............ 2,800 $ 77,350
*Physicians Resource Group, Inc...................... 20,700 117,731
*Physiometrix, Inc................................... 3,300 8,456
Piccadilly Cafeterias, Inc........................... 5,300 66,581
*Picturetel Corp..................................... 26,400 230,588
Piedmont Natural Gas Co.............................. 9,600 313,800
*Piercing Pagoda, Inc................................ 4,200 109,200
*Pilgrim America Capital Corp........................ 1,900 36,456
Pilgrim Pride Corp................................... 16,600 265,600
#Pillowtex Corp...................................... 5,100 135,150
*Pinkertons, Inc..................................... 6,250 142,969
Pinnacle Financial Services, Inc..................... 3,300 137,775
*#Pinnacle Micro, Inc................................ 3,800 950
*Pinnacle Systems, Inc............................... 3,700 89,725
Pioneer Group, Inc................................... 15,100 479,425
Pioneer Natural Resouces Co.......................... 4,714 150,553
Pioneer Standard Electronics, Inc.................... 21,900 360,666
Piper Jaffray Companies, Inc......................... 11,200 310,100
Pitt-Des Moines, Inc................................. 3,600 124,650
Pittston Co. Burlington Group........................ 13,800 380,363
Pittston Co. Minerals Group.......................... 4,200 38,325
*Plains Resources, Inc............................... 11,600 191,400
*Planar Systems, Inc................................. 8,600 101,588
*Plantronics, Inc.................................... 9,800 363,825
*Plasma-Therm, Inc................................... 4,400 37,125
Plasti-Line, Inc..................................... 800 10,950
*Platinum Software Corp.............................. 16,600 129,688
*Play By Play Toys and Novelties, Inc................ 1,800 29,813
*Playboy Enterprises, Inc. Class A................... 2,800 34,125
*Playboy Enterprises, Inc. Class B................... 7,800 106,763
*Players International, Inc.......................... 27,550 88,677
*Playtex Products, Inc............................... 32,100 312,975
Plenum Publishing Corp............................... 1,500 72,094
*Plexus Corp......................................... 6,400 170,400
Poe & Brown, Inc..................................... 4,400 181,775
*Polk Audio, Inc..................................... 500 4,531
*Pollo Tropical, Inc................................. 4,100 27,163
*Polycom, Inc........................................ 14,500 87,000
*Polymedica Industries, Inc.......................... 3,700 34,225
*Polymer Group, Inc.................................. 27,000 266,625
*Polyphase Corp...................................... 6,600 7,013
*Pomeroy Computer Resource, Inc...................... 4,875 121,875
*Pool Energy Services Co............................. 11,500 296,844
Pope & Talbot, Inc................................... 7,600 125,400
*Porta Systems Corp.................................. 880 2,970
Portec, Inc.......................................... 7,610 105,589
*Positive Response Television, Inc. Escrow........... 1,400 0
*Positron Corp....................................... 1,400 875
*Possis Medical, Inc................................. 7,200 100,800
Poughkeepsie Financial Corp.......................... 9,100 90,431
*Powell Industries, Inc.............................. 5,300 74,200
*Powercerv Corp...................................... 10,600 31,138
*Powertel, Inc....................................... 16,500 319,688
*Praegitzer Industries, Inc.......................... 9,000 114,188
*Pre-Paid Legal Services, Inc........................ 13,200 373,725
*Precision Standard, Inc............................. 3,800 2,731
*Premenos Technology Corp............................ 9,500 125,281
Premier Bancshares, Inc.............................. 1,400 28,350
*#Premier Laser Systems, Inc. Class A................ 5,600 53,725
*Premier Parks, Inc.................................. 3,900 153,075
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Premiumwear, Inc..................................... 800 $ 3,750
Presidential Life Corp............................... 16,500 331,547
*Presley Companies Class A........................... 5,600 4,900
*Price Communications Corp........................... 4,600 50,600
Price Enterprises, Inc............................... 14,000 251,125
*Pricellular Corp. Class A........................... 17,500 188,125
*Pricesmart, Inc..................................... 3,500 57,313
*Pride International, Inc............................ 11,300 312,163
*Prima Energy Corp................................... 2,400 48,600
*Primadonna Resorts, Inc............................. 17,600 292,050
*Primark Corp........................................ 900 30,488
Prime Bancorp, Inc................................... 1,465 49,535
*Prime Medical Services, Inc......................... 9,500 126,469
Primesource Corp..................................... 2,581 31,295
*Primus Telecommunications Group, Inc................ 13,500 185,625
*Printrak International, Inc......................... 5,000 49,375
*Printronix, Inc..................................... 3,925 70,159
*Prism Solutions, Inc................................ 5,400 28,688
*Procept, Inc........................................ 714 1,294
*Procyte Corp........................................ 5,200 5,688
*Profit Recovery Group International, Inc............ 11,000 168,438
*Programmers Paradise, Inc........................... 2,400 23,550
Progress Financial Corp.............................. 1,050 15,947
*Progress Software Corp.............................. 6,300 130,725
Progressive Bank, Inc................................ 1,500 51,188
*Project Software & Development, Inc................. 8,800 171,050
*Pronet, Inc......................................... 10,100 44,819
#Protection One, Inc................................. 11,000 127,531
*Protein Design Labs, Inc............................ 10,900 456,438
*Proteon, Inc........................................ 7,700 12,513
*Protocol Systems, Inc............................... 6,300 64,969
Providence & Worcester Railroad Co................... 800 12,400
Providence Energy Corp............................... 5,300 100,369
*Provident American Corp............................. 8,500 22,844
Provident Bankshares Corp............................ 5,383 318,270
*Proxim, Inc......................................... 4,900 58,188
*Proxima Corp........................................ 6,300 46,463
*Proxymed, Inc....................................... 4,900 44,253
*Psinet, Inc......................................... 28,100 191,431
Psychemedics Corp.................................... 12,800 75,200
Public Service Co. of North Carolina................. 9,900 200,475
Pulaski Furniture Corp............................... 1,300 25,025
*Pure World, Inc..................................... 3,800 24,700
*Pyramid Breweries, Inc.............................. 3,300 8,869
*Q Logic Corp........................................ 4,100 134,531
*QMS, Inc............................................ 6,400 20,400
*Quad Systems Corp................................... 3,600 23,063
Quaker Chemical Corp................................. 4,300 80,894
*Quaker City Bancorp, Inc............................ 1,750 35,656
*Quaker Fabric Corp.................................. 4,000 79,250
Quaker State Corp.................................... 19,100 293,663
*Quality Dining, Inc................................. 14,000 58,188
*Quality Semiconductor, Inc.......................... 4,200 24,281
*Quality Systems, Inc................................ 2,700 19,913
Quanex Corp.......................................... 6,700 199,325
*Quarterdeck Office Systems, Inc..................... 32,300 68,133
Queens County Bancorp................................ 9,900 345,572
*Quest Medical, Inc.................................. 6,700 46,691
</TABLE>
129
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Quickresponse Services, Inc......................... 4,200 $ 147,788
*Quickturn Design Systems, Inc....................... 11,700 136,744
*Quidel Corp......................................... 18,800 71,969
*Quiksilver, Inc..................................... 3,500 92,313
*Quintel Entertainment, Inc.......................... 8,400 48,300
*Quipp, Inc.......................................... 1,400 23,975
Quixote Corp......................................... 4,300 37,356
*R & B, Inc.......................................... 4,100 39,463
*RCM Technologies, Inc............................... 3,000 47,063
*RDM Sports Group, Inc............................... 16,900 135
*RF Monolithics, Inc................................. 2,300 28,463
RLI Corp............................................. 4,500 196,594
*RMI Titanium Co..................................... 17,100 406,125
RPC, Inc............................................. 22,700 607,225
*RTW, Inc............................................ 7,100 47,259
*Racotek, Inc........................................ 15,800 20,984
*Rag Shops, Inc...................................... 2,300 7,152
*Ragan (Brad), Inc................................... 3,800 129,200
*#Railamerica, Inc................................... 3,400 20,613
*Railtex, Inc........................................ 6,600 97,763
*Rainbow Technologies, Inc........................... 3,700 89,263
*Rainforest Cafe, Inc................................ 8,700 312,113
*Ralcorp Holdings, Inc............................... 22,000 372,625
*#Rally's Hamburgers, Inc............................ 18,300 62,906
Ramapo Financial Corp................................ 4,000 36,750
*Ramsay Health Care, Inc............................. 7,700 33,447
*Ramtron International Corp.......................... 24,700 160,550
*Rare Hospitality International, Inc................. 5,781 62,146
Raritan Bancorp, Inc. DE............................. 300 8,175
*Raster Graphics, Inc................................ 1,000 5,813
Raven Industries, Inc................................ 2,100 43,378
*Rawlings Sporting Goods, Inc........................ 3,800 42,750
*Raytech Corp. DE.................................... 1,300 6,988
*Reading Entertainment, Inc.......................... 2,000 25,250
*Recoton Corp........................................ 7,666 104,449
*Recovery Engineering, Inc........................... 1,600 41,600
*Recycling Industries, Inc........................... 6,700 52,134
*#Redhook Ale Brewery, Inc........................... 2,000 13,250
*Redwood Empire Bancorp.............................. 900 14,119
*Reeds Jewelers, Inc................................. 220 1,513
Refac Technology Development Corp.................... 7,000 97,125
Regal Beloit Corp.................................... 10,300 280,031
*Regeneron Pharmaceuticals, Inc...................... 15,500 152,094
Regis Corp........................................... 11,270 269,071
*Rehabcare Group, Inc................................ 3,450 93,258
*Rehabilicare, Inc................................... 1,800 7,088
*Reliability, Inc.................................... 3,200 68,300
Reliance Steel and Aluminum Co....................... 10,600 297,463
Reliv International, Inc............................. 7,750 29,547
*Remec, Inc.......................................... 9,900 228,938
*Renal Treatment Centers, Inc........................ 12,200 406,413
*#Reno Air, Inc...................................... 7,600 44,413
*#Rent-Way, Inc...................................... 5,000 86,406
*Renters Choice, Inc................................. 11,700 265,809
*Rentrak Corp........................................ 9,300 46,209
*Repligen Corp....................................... 6,100 6,195
*Reptron Electronics, Inc............................ 3,200 47,900
*Republic Automotive Parts, Inc...................... 1,300 19,500
Republic Bancorp, Inc................................ 8,580 148,005
*Republic Engineered Steels, Inc..................... 7,800 11,456
*Republic First Bancorp, Inc......................... 1,700 22,206
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Republic Group, Inc.................................. 5,830 $ 111,134
Republic Security Financial Corp..................... 8,000 81,500
*#Res-Care, Inc...................................... 6,100 142,588
*Resound Corp........................................ 12,600 77,569
Resource America, Inc................................ 1,800 85,388
Resource Bancshares Mortgage Group, Inc.............. 13,986 194,056
*#Respironics, Inc................................... 13,800 366,563
*Response Oncology, Inc.............................. 10,456 101,946
*Retirement Care Association, Inc.................... 6,700 58,206
*Retix, Inc.......................................... 15,700 75,556
*Rex Stores Corp..................................... 5,000 56,875
*Rexel, Inc.......................................... 18,200 408,363
*Rexhall Industries, Inc............................. 1,102 5,441
*Rexworks, Inc....................................... 1,000 4,813
*Ribi Immunochem Research, Inc....................... 16,400 64,575
*Richey Electronics, Inc............................. 2,100 17,981
*Riddell Sports, Inc................................. 4,055 16,347
*Ride, Inc........................................... 5,400 13,838
Riggs National Corp.................................. 17,900 436,872
*Right Management Consultants, Inc................... 5,300 58,631
*Right Start, Inc.................................... 5,200 10,563
*Rightchoice Managed Care, Inc. Class A.............. 1,400 15,138
*Rimage Corp......................................... 2,000 12,750
*Ringer Corp......................................... 6,500 9,648
*Rio Hotel & Casino, Inc............................. 14,100 294,338
Rival Co............................................. 4,900 72,581
*River Oaks Furniture, Inc........................... 2,400 4,200
*Riverside Group, Inc................................ 1,000 1,375
Rivianna Foods, Inc.................................. 8,200 158,875
*Riviera Holdings Corporation........................ 2,500 34,219
Roanoke Electric Steel Corp.......................... 4,600 102,350
Robbins & Myers, Inc................................. 6,800 265,200
*Roberds, Inc........................................ 3,500 13,781
*Roberts Pharmaceutical Corp......................... 11,100 115,163
*Robertson-Ceco Corp................................. 8,018 73,164
Robinson Nugent, Inc................................. 1,900 10,213
*Robotic Vision Systems, Inc......................... 13,600 187,425
*Rochester Medical Corp.............................. 3,100 42,431
*Rock Bottom Restaurants, Inc........................ 4,000 43,000
Rock-Tenn Co. Class A................................ 19,600 396,900
*Rockford Industries, Inc............................ 3,500 29,859
*Rocky Mountain Chocolate Factory.................... 1,500 7,313
*Rocky Shoes & Boots, Inc............................ 2,000 34,125
*Rodman & Renshaw Capital Group, Inc................. 1,300 488
*Rogers Corp......................................... 10,000 408,125
*Rohr, Inc........................................... 15,200 465,500
Rollins Truck Leasing Corp........................... 32,200 545,388
Rollins, Inc......................................... 16,900 344,338
*Romac International, Inc............................ 12,300 239,081
*Ross Systems, Inc................................... 13,600 50,575
Rotonics Manufacturing, Inc.......................... 2,500 3,594
*Rottlund, Inc....................................... 2,300 9,200
Rouge Industries, Inc. Class A....................... 12,100 184,525
Rowe Furniture Corp.................................. 12,200 81,588
*Royal Appliance Manufacturing Co.................... 19,500 135,281
Royal Bancshares of Pennsylvania Class A............. 2,548 54,941
*Royal Energy, Inc................................... 800 3,550
*Royal Precision, Inc................................ 550 4,658
</TABLE>
130
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Ruby Tuesday, Inc................................... 9,500 $ 249,375
Ruddick Corp......................................... 23,300 474,738
*Rural Cellular Corp. Class A........................ 2,300 28,319
*Rural/Metro Corp.................................... 8,300 283,238
Russ Berrie & Co., Inc............................... 15,500 463,063
Ryan Beck & Co....................................... 210 1,391
*Ryans Family Steak Houses, Inc...................... 28,500 254,719
Rykoff-Sexton, Inc................................... 18,100 406,119
Ryland Group, Inc.................................... 11,600 253,025
*S&K Famous Brands, Inc.............................. 2,500 33,906
S&T Bancorp, Inc..................................... 6,300 248,063
*S3, Inc............................................. 42,500 272,930
*SABA Petroleum Co................................... 4,600 45,713
*SBE, Inc............................................ 900 12,966
*SBS Technologies, Inc............................... 3,500 101,719
*SDL, Inc............................................ 8,100 137,194
*SED International Holdings, Inc..................... 4,250 54,320
SEI Investments Co................................... 13,000 546,000
SEMCO Energy, Inc.................................... 9,621 169,871
*#SFX Broadcasting, Inc. Class A..................... 4,200 315,656
SI Handling, Inc..................................... 1,575 21,263
SIS Bancorp, Inc..................................... 2,800 94,675
SJNB Financial Corp.................................. 1,300 47,775
SJW Corp............................................. 1,600 91,200
SL Industries, Inc................................... 9,200 119,600
*SLH Corp............................................ 2,625 140,438
*SMC Corp............................................ 5,600 42,700
*SOS Staffing Services, Inc.......................... 6,000 124,500
*SPS Technologies, Inc............................... 6,000 262,500
*SPS Transaction Service, Inc........................ 13,600 293,250
*SPSS, Inc........................................... 3,700 92,269
SPX Corp............................................. 7,300 499,138
*SSE Telecom, Inc.................................... 3,500 17,281
*STB Systems, Inc.................................... 3,450 96,816
*STM Wireless, Inc. Class A.......................... 2,900 42,594
*SYNC Research, Inc.................................. 6,900 27,816
*Safeguard Health Enterprises, Inc................... 4,400 57,475
*Safeskin Corp....................................... 12,700 600,869
*Safety 1st, Inc..................................... 5,900 40,563
*Safety Components International, Inc................ 2,600 35,750
*Saga Communications, Inc. Class A................... 4,476 87,842
*Saint Jude Medical, Inc............................. 0 0
*Salant Corp. DE..................................... 11,000 21,313
Salient 3 Communications, Inc. Class A............... 2,400 30,750
*Salton/Maxim Housewares, Inc........................ 6,600 64,350
*San Filippo (John B.) & Son, Inc.................... 5,000 39,531
Sanderson Farms, Inc................................. 9,200 110,975
*Sandisk Corp........................................ 11,400 277,875
*Sands Regent Casino Hotel........................... 2,000 4,219
Sandwich Bancorp, Inc................................ 900 38,138
*Sangstat Medical Corp............................... 9,000 311,625
*Sano Corp........................................... 4,500 98,156
*Santa Cruz Operation, Inc........................... 25,600 150,400
*Santa Fe Gaming Corp................................ 2,400 1,800
Santa Monica Bank CA................................. 4,500 124,313
*Satcon Technology Corp.............................. 4,000 39,500
Savannah Foods & Industries, Inc..................... 8,080 144,430
*Savoir Technology Group, Inc........................ 1,600 16,500
*Sawtek, Inc......................................... 8,900 260,881
Sbarro, Inc.......................................... 10,200 285,600
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Scan-Optics, Inc.................................... 14,900 $ 132,703
*ScanSource, Inc..................................... 1,600 30,350
Schawk, Inc. Class A................................. 6,200 70,525
*Schein (Henry), Inc................................. 3,528 124,472
*Schieb (Earl), Inc.................................. 1,700 14,875
*Schlotzskys, Inc.................................... 3,500 61,250
*Schmitt Industries, Inc............................. 2,800 26,250
Schnitzer Steel Industries, Inc. Class A............. 2,300 64,400
*Scholastic Corp..................................... 9,200 351,900
*Schuler Homes, Inc.................................. 15,600 110,175
Schult Homes Corp.................................... 1,820 32,305
Schultz Sav-O Stores, Inc............................ 2,550 40,481
*Sciclone Pharmaceuticals, Inc....................... 13,700 55,228
*Scientific Games Holdings Corp...................... 8,600 181,138
Scientific Technologies, Inc......................... 6,700 72,025
*Scios-Nova, Inc..................................... 23,287 176,836
Scope Industries, Inc................................ 3,500 215,250
*Scopus Technology, Inc.............................. 12,000 144,375
Scotsman Industries, Inc............................. 8,900 226,394
*Scott's Liquid Gold, Inc............................ 5,000 19,688
*Scotts Co. Class A.................................. 9,600 280,800
Seacoast Banking Corp. Class A....................... 1,500 52,313
*Sealright Co., Inc.................................. 5,400 67,163
*Seattle Filmworks, Inc.............................. 14,300 140,542
Seaway Food Town, Inc................................ 400 8,800
*Secom General Corp.................................. 700 1,575
Second Bancorp, Inc.................................. 600 15,525
*Secure Computing Corp............................... 6,000 71,625
Security First Corp.................................. 1,900 36,100
*Seeq Technology, Inc. DE............................ 16,600 58,878
*Segue Software, Inc................................. 3,500 38,063
*Seibels Bruce Group, Inc............................ 3,100 24,219
*Seitel, Inc......................................... 5,000 192,500
Selas Corp. of America............................... 1,950 20,231
Selective Insurance Group, Inc....................... 7,300 370,019
*Selfcare, Inc....................................... 4,200 44,625
*Semiconductor Packaging Materials Co., Inc.......... 3,000 27,188
*Semitool, Inc....................................... 11,600 180,525
*Semtech Corp........................................ 3,000 146,250
*Seneca Foods Corp. Class A.......................... 200 3,350
*Seneca Foods Corp. Class B.......................... 1,100 18,563
*Sentry Technology Corp.............................. 1,829 3,887
*Sepracor, Inc....................................... 24,500 906,500
*Sequa Corp. Class A................................. 2,600 148,850
*Sequa Corp. Class B................................. 1,700 113,475
*Sequana Therapeutics, Inc........................... 8,000 99,500
*Sequent Computer Systems, Inc....................... 16,800 391,125
*Sequus Pharmaceuticals, Inc......................... 25,600 199,200
*Seragen, Inc........................................ 8,300 4,192
*Serologicals Corp................................... 7,300 162,425
*Service Merchandise Co., Inc........................ 67,800 228,825
*Servico, Inc........................................ 10,300 178,319
*Servotronics, Inc................................... 900 10,125
Sevenson Environmental Services, Inc................. 2,080 24,960
*#Shaman Pharmaceuticals............................. 14,000 69,125
*Shared Technologies Fairchild, Inc.................. 10,700 156,822
*Sharper Image Corp.................................. 5,900 24,338
*Shaw Group, Inc..................................... 5,800 141,375
*Sheffield Medical Technologies, Inc................. 7,000 13,125
</TABLE>
131
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Shelby Williams Industries, Inc...................... 4,400 $ 71,500
*Sheldahl, Inc....................................... 6,900 105,441
Shelter Components, Inc.............................. 3,800 66,025
*Sheridan Healthcare, Inc............................ 4,000 52,250
*Sherwood Group, Inc................................. 6,500 80,438
*Shiloh Industries, Inc.............................. 6,500 122,688
*Shiva Corp.......................................... 19,300 171,891
*Shoe Carnival, Inc.................................. 5,800 53,288
*Sholodge, Inc....................................... 3,600 58,275
*Shoney's, Inc....................................... 40,000 175,000
*Shopko Stores, Inc.................................. 19,400 407,400
Shoreline Financial Corp............................. 1,764 60,417
*Shorewood Packaging Corp............................ 9,200 221,375
*Show Biz Pizza Time, Inc............................ 7,200 156,150
Showboat, Inc........................................ 14,300 274,381
*Showscan Entertainment, Inc......................... 2,800 6,388
*Shuffle Master, Inc................................. 6,300 50,597
*Sierra Health Services, Inc......................... 8,900 323,738
Sierrawest Bancorp................................... 1,470 46,121
Sifco Industries, Inc................................ 7,000 143,500
Sigcorp, Inc......................................... 11,850 316,988
*Sight Resource Corp................................. 5,000 22,813
*Sigma Circuits, Inc................................. 1,500 11,672
*Sigma Designs, Inc.................................. 7,900 39,994
*Sigmatron International, Inc........................ 1,400 17,238
*#Signal Apparel Co., Inc. Class A................... 6,200 10,269
*Signal Technology Corp.............................. 2,700 14,175
*Signature Brands USA, Inc........................... 6,100 28,594
*Silicon Storage Technology, Inc..................... 3,500 12,469
*Silicon Valley Bancshares........................... 4,700 247,631
*Silicon Valley Group, Inc........................... 13,000 309,969
*Siliconix, Inc...................................... 4,000 196,500
*#Silverado Foods, Inc............................... 2,400 1,650
Simmons First National Corp. Class A................. 2,050 72,455
Simpson Industries, Inc.............................. 9,950 115,047
*Simula, Inc......................................... 4,950 79,200
*Sirena Apparel Group, Inc........................... 2,100 7,744
*Sitel Corp.......................................... 35,000 325,938
*Sizzler International, Inc.......................... 11,500 33,781
Skaneateles Bancorp, Inc............................. 600 16,313
Skyline Corp......................................... 5,100 138,338
Skywest, Inc......................................... 5,000 121,875
Smart & Final Food, Inc.............................. 10,200 186,150
*Smartflex Systems, Inc.............................. 2,800 27,825
Smith (A.O.) Corp.................................... 8,500 361,781
Smith (A.O.) Corp. Convertible Class A............... 2,400 102,000
*Smithfield Foods, Inc............................... 13,000 459,063
Smucker (J.M.) Co. Class A........................... 7,200 178,200
Smucker (J.M.) Co. Class B........................... 13,000 296,563
Snyder Oil Corp...................................... 17,700 351,788
*#Sodak Gaming, Inc.................................. 17,400 153,338
*#Softech, Inc....................................... 1,600 3,750
*Softnet Systems, Inc................................ 3,236 23,259
*#Software Spectrum, Inc............................. 1,900 25,531
*Sola International, Inc............................. 6,000 181,500
*Somatogen, Inc...................................... 15,800 90,850
Somerset Group, Inc.................................. 312 6,006
*Sonic Corp.......................................... 9,900 273,797
*Sonic Solutions..................................... 3,300 21,656
*Sonics & Materials, Inc............................. 300 769
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Sonus Pharmaceuticals, Inc.......................... 4,300 $ 166,625
*Sound Advice, Inc................................... 1,422 2,311
South Jersey Industries, Inc......................... 5,348 134,369
Southern California Water Co......................... 4,500 101,531
*Southern Energy Homes, Inc.......................... 9,875 92,887
*Southern Mineral Corp............................... 2,000 12,625
*#Southern Pacific Funding Corp...................... 18,500 228,938
*Southern Union Co................................... 9,014 229,863
*Southwall Technologies, Inc......................... 4,200 33,338
Southwest Bancorp, Inc............................... 1,500 37,500
Southwest Bancshares, Inc. DE........................ 1,350 34,341
Southwest Gas Corp................................... 16,200 301,725
Southwest National Corp.............................. 200 10,300
Southwest Securities Group, Inc...................... 4,840 114,345
Southwest Water Co................................... 2,080 37,895
Southwestern Energy Co............................... 12,400 144,925
Sovereign Bancorp, Inc............................... 6,055 114,856
*Spacehab, Inc....................................... 1,000 10,313
*Spacelabs Medical, Inc.............................. 7,000 152,250
*Spacetec IMC Corp................................... 300 1,097
*Spaghetti Warehouse, Inc............................ 5,000 34,063
Span-American Medical System, Inc.................... 1,700 12,963
Spartan Motors, Inc.................................. 8,900 50,897
Spartech Corp........................................ 23,200 382,800
*Sparton Corp........................................ 5,100 52,275
*Special Devices, Inc................................ 3,800 99,750
*Specialty Chemical Resources, Inc................... 1,500 1,594
*Specialty Equipment Co., Inc........................ 8,700 136,481
*Specialty Teleconstructors, Inc..................... 2,600 37,863
*Spectran Corp....................................... 3,300 37,847
*Spectranetics Corp.................................. 14,602 54,758
*Spectrian Corp...................................... 4,900 100,144
*Spectrum Control, Inc............................... 8,600 45,688
*Speedfam International, Inc......................... 9,300 238,894
*Speizman Industries, Inc............................ 1,200 7,500
*Spelling Entertainment Group, Inc................... 12,500 105,469
*Spice Entertainment Companies, Inc.................. 6,500 24,680
*Spiegel, Inc. Class A Non-Voting.................... 12,500 68,359
*#Spine-Tech, Inc.................................... 6,100 201,300
*#Spire Corp......................................... 3,200 59,600
*Sport Chalet, Inc................................... 1,400 6,738
*Sport Supply Group, Inc............................. 5,800 45,675
*Sport-Haley, Inc.................................... 2,200 26,263
*Sportmart, Inc...................................... 2,100 6,300
*Sportmart, Inc. Class A............................. 2,000 5,375
*Sports Authority, Inc............................... 17,400 341,475
*Sports Club Co., Inc................................ 6,700 54,438
Springs Industries, Inc. Class A..................... 7,700 388,369
*#Spyglass, Inc...................................... 2,000 15,125
St. Francis Capital Corp............................. 2,900 112,013
St. John Knits, Inc.................................. 8,300 316,956
St. Joseph Light & Power Co.......................... 54,400 918,000
St. Mary Land & Exploration Co....................... 6,600 272,663
St. Paul Bancorp, Inc................................ 16,537 407,224
*Staar Surgical Co................................... 9,200 160,425
*#Stac, Inc.......................................... 21,500 126,984
*Staff Builders, Inc. Class A........................ 15,300 41,836
*Stage II Apparel Corp............................... 1,700 2,019
*Standard Commercial Corp............................ 5,729 99,541
*Standard Management Corp............................ 2,100 14,569
*Standard Microsystems Corp.......................... 10,300 111,691
</TABLE>
132
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Standard Motor Products, Inc. Class A................ 6,600 $ 129,938
Standard Pacific Corp. DE............................ 22,100 298,350
Standard Products Co................................. 11,800 296,475
Standex International Corp........................... 6,700 234,919
*Stanford Telecommunications, Inc.................... 13,800 307,050
Stanhome, Inc........................................ 8,900 229,175
*Stanley Furniture, Inc.............................. 1,800 49,500
*Star Multi Care Services, Inc....................... 1,885 10,839
*Starcraft Corp...................................... 1,300 3,494
*Starmet Corp........................................ 13,000 344,500
Starret Corp......................................... 3,300 39,600
Starrett (L.S.) Co. Class A.......................... 3,500 134,750
*Starter Corp........................................ 15,700 52,988
State Auto Financial Corp............................ 7,500 188,906
State Financial Services Corp. Class A............... 1,560 40,950
*State of the Art, Inc............................... 5,600 85,050
*Station Casinos, Inc................................ 27,100 179,538
*Steck-Vaughn Publishing Corp........................ 1,700 25,447
*Steel of West Virginia, Inc......................... 4,400 42,900
Steel Technologies, Inc.............................. 6,000 68,250
*Stein Mart, Inc..................................... 18,500 552,688
Stepan Co............................................ 4,000 111,500
Stephan Co........................................... 1,600 20,400
Sterling Bancorp..................................... 3,700 81,169
Sterling Bancshares.................................. 7,225 138,855
*Sterling Electronics Corp........................... 3,600 74,700
*Sterling Financial Corp. WA......................... 2,720 57,970
*#Sterling Vision, Inc............................... 9,300 67,280
*Stevens International, Inc. Class A................. 4,000 4,750
Stewart & Stevenson Services, Inc.................... 9,700 211,581
Stewart Information Services Corp.................... 2,700 73,322
Stifel Financial Corp................................ 2,364 33,983
*Stillwater Mining Co................................ 10,200 186,150
*Stimsonite Corp..................................... 5,900 30,422
*Stokely USA, Inc.................................... 4,400 3,369
Stone & Webster, Inc................................. 6,400 300,000
*Stone Energy Corp................................... 7,300 209,875
*Storage Computer Corp............................... 8,400 56,700
*Stormedia, Inc. Class A............................. 6,000 22,313
*#Stratasys, Inc..................................... 2,300 30,763
*Strategic Diagnostics, Inc.......................... 1,000 2,156
*Strategic Distribution, Inc......................... 26,792 128,937
*Strattec Security Corp.............................. 2,800 70,000
Strawbridge and Clothier Liquidating Trust........... 4,200 38,065
Stride Rite Corp..................................... 27,100 323,506
*Strouds, Inc........................................ 7,200 14,175
*Structural Dynamics Research Corp................... 16,700 281,291
*Stuart Entertainment, Inc........................... 2,700 6,666
Sturm Ruger & Co., Inc............................... 15,500 280,938
*#Submicron Systems Corp............................. 8,400 25,463
*Substance Abuse Technologies, Inc................... 17,700 150
*Successories, Inc................................... 2,600 17,306
Suffolk Bancorp...................................... 3,000 93,000
*Sugen, Inc.......................................... 8,500 119,000
*Suiza Foods Corp.................................... 10,795 628,134
*Sulcus Computer Corp................................ 8,485 25,985
Sumitomo Bank of California.......................... 8,500 321,938
*Summa Four, Inc..................................... 3,000 35,063
Summit Bancshares, Inc............................... 1,000 37,250
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Summit Care Corp.................................... 3,900 $ 61,913
*Summit Technology, Inc.............................. 12,300 80,334
*Summitt Medical Systems, Inc........................ 9,400 26,144
*Sun Coast Industries, Inc........................... 3,200 16,000
*Sun Television and Appliances, Inc.................. 10,400 23,563
*Sunair Electronics, Inc............................. 3,000 7,875
*Sunbelt Nursery Group, Inc.......................... 2,600 2,600
*Sundance Homes, Inc................................. 3,000 3,750
*Sunglass Hut International, Inc..................... 38,300 245,359
*Sunrise Medical, Inc................................ 13,500 213,469
*Sunrise Resources, Inc.............................. 3,900 11,456
*Superconductor Technologies, Inc.................... 5,400 14,850
*Supergen, Inc....................................... 9,000 148,500
*#Superior Energy Services, Inc...................... 13,400 141,956
Superior Industries International, Inc............... 14,000 364,000
*Superior National Insurance Group, Inc.............. 1,600 22,700
Superior Surgical Manufacturing Co., Inc............. 9,900 149,738
*Supertex, Inc....................................... 26,500 329,594
*Suprema Specialties, Inc............................ 3,400 11,050
*Supreme Industries, Inc............................. 3,858 34,722
*Supreme International Corp.......................... 3,300 38,363
*Surety Capital Corp................................. 2,900 18,488
*Surgical Laser Technologies, Inc.................... 3,800 7,244
Susquehanna Bancshares, Inc.......................... 19,662 637,786
*Swift Energy Corp................................... 8,250 179,438
*Swift Transportation, Inc........................... 9,500 264,516
*Swing-n-Slide Corp.................................. 1,936 8,107
*Swisher International, Inc.......................... 700 6,256
*Swiss Army Brands, Inc.............................. 4,100 42,025
*Sybron Chemicals, Inc............................... 1,100 35,269
*Sylvan Learning Systems, Inc........................ 2,250 92,109
*Sylvan, Inc......................................... 5,700 79,088
*Symetrics Industries, Inc........................... 800 4,550
*Symix Systems, Inc.................................. 4,800 71,400
*Symmetricom, Inc.................................... 14,300 183,219
*Syms Corp........................................... 9,900 114,469
Synalloy Corp. DE.................................... 11,500 171,781
*Synaptic Pharmaceutical Corp........................ 6,600 82,706
*Synbiotics Corp..................................... 3,700 12,545
*Syncor International Corp. DE....................... 5,500 87,656
*Synetic, Inc........................................ 10,500 425,250
*Syntellect, Inc..................................... 12,000 25,500
*Synthetech, Inc..................................... 5,500 29,734
*#Syquest Technology, Inc............................ 34,700 113,317
*System Software Associates, Inc..................... 28,400 384,288
*Systems & Computer Technology Corp.................. 13,900 648,088
*Systemsoft Corp..................................... 20,300 147,175
*T Cell Sciences, Inc................................ 9,900 22,894
*T-HQ, Inc........................................... 200 3,725
*T-Netix, Inc........................................ 4,200 40,950
*TBC Corp............................................ 15,250 155,359
TCBY Enterprises, Inc................................ 16,700 105,419
*TCC Industries, Inc................................. 1,100 4,606
*TCI International, Inc.............................. 1,200 6,975
*TCI Music, Inc. Class A............................. 3,250 24,375
*TCSI Corp........................................... 15,000 93,281
*TESSCO Technologies, Inc............................ 1,700 38,038
TF Financial Corp.................................... 2,600 71,500
*TFC Enterprises, Inc................................ 4,500 5,906
</TABLE>
133
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*TII Industries, Inc................................. 4,060 $ 23,726
TJ International, Inc................................ 8,200 202,694
*#TMBR/Sharp Drilling, Inc........................... 1,300 28,234
TNP Enterprises, Inc................................. 6,500 178,750
TR Financial Corp.................................... 10,500 343,875
*TRC Companies, Inc.................................. 2,600 10,075
*TRM Copy Centers Corp............................... 4,000 38,000
*#TRO Learning, Inc.................................. 2,400 15,600
TSI, Inc. MN......................................... 6,600 65,588
*#TSR, Inc........................................... 4,000 61,000
*TST/Impreso, Inc.................................... 2,100 19,950
Tab Products Co. DE.................................. 2,100 30,450
*Taco Cabana, Inc.................................... 10,200 52,275
*Talbots, Inc........................................ 4,500 95,344
*Talley Industries, Inc.............................. 10,000 118,125
*Tandy Brand Accessories, Inc........................ 2,700 39,488
*Tandy Crafts, Inc................................... 6,300 28,350
*Tanknology Environmental, Inc....................... 5,600 10,763
*Targeted Genetics Corp.............................. 13,100 41,347
Tasty Baking Co...................................... 3,100 72,850
*Team, Inc........................................... 2,800 10,150
*Tech-Sym Corp....................................... 2,400 72,750
Tech/Ops Sevcon, Inc................................. 1,300 17,794
*Techdyne, Inc....................................... 1,000 3,688
*Techforce Corp...................................... 1,700 12,059
*Techne Corp......................................... 9,400 172,725
*#Technical Chemicals & Products, Inc................ 5,000 64,688
*Technical Communications Corp....................... 400 3,200
Technitrol, Inc...................................... 6,200 196,463
*Technol Medical Products, Inc....................... 10,000 217,500
Technology Research Corp............................. 2,100 6,956
*Technology Solutions Corp........................... 11,700 360,506
*Tegal Corp.......................................... 5,100 37,134
Tejon Ranch Co....................................... 9,100 263,900
*Tekelec............................................. 10,400 393,900
*Telco Systems, Inc.................................. 5,300 52,669
*Telcom Semiconductor, Inc........................... 13,200 108,488
*#Telemundo Group, Inc. Class A...................... 3,200 132,600
*Teletech Holdings, Inc.............................. 20,500 220,375
*Teltrend, Inc....................................... 3,200 53,800
*#Telular Corp....................................... 15,100 41,997
Telxon Corp.......................................... 10,800 265,950
*Temtex Industries, Inc.............................. 1,400 4,244
Tennant Co........................................... 4,000 148,000
*Terex Corp.......................................... 9,500 194,750
*Tesoro Petroleum Corp............................... 14,200 236,075
*Tetra Tech, Inc..................................... 5,312 136,784
*Tetra Technologies, Inc............................. 9,200 215,625
*Texas Biotechnology Corp............................ 15,400 93,363
Texas Industries, Inc................................ 11,200 521,500
*Texas Micro, Inc.................................... 7,900 38,019
Texas Regional Banchshares, Inc. Class A............. 6,600 182,325
*Texfi Industries, Inc............................... 6,200 32,163
*Thackeray Corp...................................... 3,600 12,825
*Theragenics Corp.................................... 10,400 421,850
*Theratech, Inc. UT.................................. 14,150 142,827
*Thermedics, Inc..................................... 22,000 349,250
*Thermo Ecotek Corp.................................. 14,100 192,113
*Thermo Fibergen, Inc................................ 1,500 14,250
*#Thermo Fibertek, Inc............................... 31,100 359,594
*Thermo Power Corp................................... 6,200 56,575
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Thermo Remediation, Inc.............................. 6,400 $ 40,000
*Thermo Sentron, Inc................................. 7,900 87,147
*Thermo Terratech, Inc............................... 12,000 104,625
*#Thermo Voltek Corp................................. 4,800 30,300
*#Thermolase Corp.................................... 24,800 341,000
*Thermospectra Corp.................................. 2,200 20,625
*Thermotrex Corp..................................... 9,600 232,800
*Thermwood Corp...................................... 1,000 2,250
*Thomas Group, Inc................................... 5,300 63,269
Thomas Industries, Inc............................... 5,300 168,275
Thomaston Mills, Inc................................. 1,900 16,625
Thor Industries, Inc................................. 4,300 135,719
*Thoratec Laboratories Corp.......................... 3,800 19,475
*Thorn Apple Valley, Inc............................. 3,900 54,844
*Three-Five Systems, Inc............................. 3,100 61,806
Timberline Software Corp............................. 2,750 38,844
*Tipperary Corp...................................... 6,600 33,825
*#Titan Corp......................................... 13,100 84,331
Titan Holdings, Inc.................................. 7,350 155,269
Titan International, Inc............................. 8,800 176,000
Toastmaster, Inc..................................... 3,000 15,750
*#Today's Man, Inc................................... 4,300 11,691
*Todd Shipyards Corp................................. 5,000 22,500
Todd-AO Corp. Class A................................ 220 2,186
*Toddhunter International, Inc....................... 3,600 36,788
*Tokheim Corp........................................ 3,300 62,081
*Toll Brothers, Inc.................................. 20,500 494,563
*Tollgrade Communications, Inc....................... 500 11,906
Tompkins County Trustco, Inc......................... 220 9,020
*#Top Source Technologies, Inc....................... 14,200 21,300
*Topps, Inc.......................................... 36,300 94,153
*#Tops Appliance City, Inc........................... 2,900 3,353
*Toreador Royalty Corp............................... 1,500 6,188
Toro Co.............................................. 6,000 264,750
*Total-Telephone USA Communications, Inc............. 1,500 43,781
*#Touchstone Software Corp........................... 3,100 8,331
*Tower Air, Inc...................................... 7,400 37,463
*Toy Biz, Inc. Class A............................... 10,200 91,800
*Tracor, Inc......................................... 14,900 418,597
*Tractor Supply Co................................... 7,000 111,125
*Trak Auto Corp...................................... 3,300 41,250
Trans Financial, Inc................................. 5,100 174,038
*#Trans World Airlines, Inc.......................... 34,500 260,906
*Trans World Entertainment Corp...................... 4,400 157,575
*Transact Technologies, Inc.......................... 1,507 22,652
*Transaction Network Services, Inc................... 10,600 182,850
*Transcend Services, Inc............................. 13,000 37,578
*Transfinancial Holdings, Inc........................ 3,300 30,938
*Transition Analysis Component Technology............ 299 1,962
*Transition Systems, Inc............................. 8,700 182,156
*Transmation, Inc.................................... 2,000 15,500
Transmedia Network, Inc.............................. 5,100 31,875
*Transmontaigne Oil Co............................... 12,800 192,000
*TransNet Corp....................................... 2,000 5,375
Transport Leasing International, Inc................. 1,500 14,625
*Transpro, Inc....................................... 1,300 11,700
Transtechnology Corp................................. 2,800 75,600
*Transwitch Corp..................................... 10,000 95,000
*Transworld Healthcare, Inc.......................... 9,100 68,250
Tranzonic Companies Class A.......................... 2,500 70,469
</TABLE>
134
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Travel Ports of America, Inc........................ 2,332 $ 8,964
Treadco, Inc......................................... 1,900 19,356
Tredegar Industries, Inc............................. 5,500 362,313
*Trega Biosciences, Inc.............................. 8,100 29,869
*Tremont Corp. DE.................................... 2,900 165,119
*Trend-Lines, Inc. Class A........................... 2,400 17,625
Trenwick Group, Inc.................................. 3,900 144,544
*Trescom International, Inc.......................... 2,000 19,250
*Tri-Lite, Inc....................................... 29 0
*Triad Guaranty, Inc................................. 6,600 192,225
*Triad Park L.L.C.................................... 8,800 11,176
Triangle Bancorp, Inc................................ 5,200 143,975
*Triangle Pacific Corp............................... 7,300 235,425
*Triarc Companies, Inc. Class A...................... 12,000 286,500
Trico Bancshares..................................... 2,200 61,738
*Tricord Systems, Inc................................ 5,300 4,223
*Trident Microsystems, Inc........................... 10,800 123,188
*Tridex Corp......................................... 4,200 21,525
Trigen Energy Corp................................... 10,000 229,375
*#Trikon Technologies, Inc........................... 1,000 2,156
*Trimark Holdings, Inc............................... 1,700 9,563
*Trimble Navigation, Ltd............................. 11,000 234,094
*Trimedyne, Inc...................................... 5,400 12,488
*Trinitec Systems, Inc. Class A...................... 4,300 25,800
Trion, Inc........................................... 2,800 12,075
*Triple S Plastics, Inc.............................. 700 4,856
*Tripos, Inc......................................... 1,100 16,638
*Triquint Semiconductor, Inc......................... 4,100 82,128
*Trism, Inc.......................................... 2,900 11,781
*Tristar Corp........................................ 1,000 10,625
True North Communications, Inc....................... 14,900 381,813
*Truevision, Inc..................................... 6,300 21,066
*Trump Hotels & Casino Resorts, Inc.................. 18,500 160,719
Trust Co. of New Jersey.............................. 11,800 261,075
Trustco Bank Corp. NY................................ 13,732 338,580
*Tseng Laboratories, Inc............................. 13,300 27,016
*Tucson Electric Power Co............................ 17,680 307,190
*Tuesday Morning Corp................................ 7,150 178,303
*Tultex Corp......................................... 19,100 85,950
*Turner Corp......................................... 2,600 60,125
Tuscarora, Inc....................................... 4,700 88,125
Twin Disc, Inc....................................... 1,000 32,375
*Tyler Corp.......................................... 10,900 55,863
U.S. Bancorp, Inc.................................... 2,000 129,500
*U.S. Bioscience, Inc................................ 14,500 134,125
*U.S. China Industrial Exchange, Inc................. 2,400 7,200
*U.S. Diagnostic, Inc................................ 13,200 57,338
U.S. Freightways Corp................................ 15,500 476,141
*U.S. Office Products Co............................. 7,554 150,372
*UFP Technologies, Inc............................... 2,300 9,272
UNR Industries, Inc.................................. 37,400 194,013
*URS Corp............................................ 5,300 84,800
*US Can Corp......................................... 10,500 173,250
*#US Servis, Inc..................................... 2,500 7,031
*US Xpress Enterprises, Inc. Class A................. 5,800 126,513
*#USA Detergents, Inc................................ 5,500 58,438
*USA Truck, Inc...................................... 1,900 23,750
*USCI, Inc........................................... 7,700 51,975
*USCS International, Inc............................. 11,600 221,125
*USData Corp......................................... 3,850 16,242
*USLD Communications Corp............................ 9,100 189,394
UST Corp............................................. 15,340 406,989
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
USX-Delhi Group...................................... 8,000 $ 157,000
*UTI Energy Corp..................................... 8,100 226,800
*Ultimate Electronics, Inc........................... 3,200 10,600
*Ultra Pacific, Inc.................................. 1,700 16,947
*Ultradata Corp...................................... 1,000 3,875
*Ultradata Systems, Inc.............................. 1,000 6,594
*#Ultrafem, Inc...................................... 6,400 24,000
*Ultrak, Inc......................................... 8,400 94,763
*#Ultralife Batteries, Inc........................... 3,100 44,756
*#Ultratech Stepper, Inc............................. 10,100 247,450
*#Unapix Entertainment, Inc.......................... 2,100 9,713
Uni-Marts, Inc....................................... 4,500 20,250
Unico American Corp.................................. 2,300 28,319
*UniComp, Inc........................................ 4,000 39,250
Unifirst Corp........................................ 10,300 265,869
*Uniflex, Inc........................................ 1,700 10,625
Uniforce Temporary Personnel, Inc.................... 1,100 34,650
*Unify Corp.......................................... 3,300 8,559
*Unigene Laboratories, Inc........................... 25,900 83,366
*Unimark Group, Inc.................................. 3,800 17,219
*#Unimed Pharmaceuticals, Inc........................ 3,900 33,150
*Union Acceptance Corp. Class A...................... 1,600 8,950
*Union Corp. DE...................................... 3,900 98,231
*Uniphase Corp....................................... 12,000 487,500
*Unique Casual Restaurants, Inc...................... 6,700 46,063
*Unique Mobility, Inc................................ 6,900 58,650
*Uniroyal Technology Corp............................ 11,600 64,163
*Unison Software, Inc................................ 9,200 139,725
*Unit Corp........................................... 12,100 132,344
*Unit Instruments, Inc............................... 3,200 32,400
*United American Healthcare Corp.,................... 4,000 11,500
United Bankshares, Inc. WV........................... 7,400 345,950
#United Companies Financial Corp..................... 15,500 336,156
*United Dental Care, Inc............................. 1,500 19,406
United Financial Corp. MN............................ 400 10,450
United Fire Casualty Co.............................. 5,400 239,288
*United Foods, Inc. Class A.......................... 54 142
United Guardian, Inc................................. 1,900 10,925
United Illuminating Co............................... 7,100 288,881
United Industrial Corp............................... 7,800 85,800
*United International Holdings Class A............... 13,200 141,900
United National Bancorp.............................. 3,684 94,863
*United Retail Group, Inc............................ 5,500 20,625
*United States Energy Corp........................... 5,600 55,650
*United States Home Corp............................. 5,700 211,613
*United Stationers, Inc.............................. 222 9,491
*United Video Satellite Group, Inc. Class A.......... 8,700 228,375
United Water Resources, Inc.......................... 17,100 307,800
United Wisconsin Services, Inc....................... 13,600 331,500
*Unitel Video, Inc................................... 700 4,988
Unitil Corp.......................................... 1,400 30,625
Unitog Co............................................ 4,800 108,000
*Unitrode Corp....................................... 11,600 218,225
*Universal American Financial Corp................... 1,300 3,738
*Universal Electronics, Inc.......................... 2,700 28,350
Universal Forest Products, Inc....................... 14,000 211,750
*Universal Hospital Services, Inc.................... 2,100 31,106
*Universal International, Inc........................ 2,000 5,219
*Universal Seismic Association, Inc.................. 1,600 2,700
*Universal Stainless & Alloy Products, Inc........... 3,100 45,919
</TABLE>
135
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Universal Standard Medical Labs, Inc................ 2,500 $ 7,031
*Univision Communications, Inc. Class A.............. 2,000 133,125
*Uno Restaurant Corp................................. 7,000 44,625
Upper Peninsula Energy Corp.......................... 1,000 24,250
*Uranuim Resources, Inc.............................. 9,900 47,334
*Urban Outfitters, Inc............................... 10,300 182,825
*Urocor, Inc......................................... 3,600 26,888
*Urogen Corp. (Restricted)........................... 2,100 0
*Urologix, Inc....................................... 4,000 79,750
*#Uromed Corp........................................ 18,600 92,419
*Utah Medical, Inc................................... 4,400 34,650
*Utilx Corp.......................................... 2,800 17,763
*V Band Systems, Inc................................. 2,100 3,084
*V Mark Software, Inc................................ 4,238 37,877
*VLSI Technology, Inc................................ 2,200 49,706
*VTEL Corp........................................... 11,048 79,925
*VWR Scientific Products Corp........................ 12,300 329,409
*Valence Technology, Inc............................. 15,300 100,406
*Vallen Corp......................................... 4,200 84,788
Valley Forge Corp.................................... 1,275 19,045
Valley Resources, Inc................................ 2,600 28,763
Valmont Industries, Inc.............................. 16,500 353,719
*Value City Department Stores, Inc................... 22,200 167,888
Value Line, Inc...................................... 4,000 144,000
*Valuevision International, Inc. Class A............. 19,600 79,013
*Vanguard Cellular System, Inc. Class A.............. 24,200 339,556
*Vans, Inc........................................... 8,000 128,750
*Vanstar Corp........................................ 18,600 255,750
*Vantive Corp........................................ 12,200 292,800
*#Vari L Co., Inc.................................... 1,400 13,825
*Variflex, Inc....................................... 3,900 22,913
Varlen Corp.......................................... 5,850 160,144
*Vaughn Communications, Inc.......................... 2,800 17,150
*Vectra Banking Corp................................. 1,500 39,891
*Vectra Technologies, Inc............................ 2,700 162
*Ventana Medical Systems, Inc........................ 8,000 122,500
*Venture Stores, Inc................................. 13,300 20,781
*Venturian Corp...................................... 200 2,000
*Verilink Corp....................................... 5,800 38,244
*Veritas DGC, Inc.................................... 4,500 180,000
*Verity, Inc......................................... 8,500 41,703
Vermont Financial Services Corp...................... 6,600 182,325
*Vermont Teddy Bear, Inc............................. 2,000 2,563
*Versar, Inc......................................... 2,000 10,500
*Vertex Communications Corp.......................... 2,800 68,600
*Vertex Pharmaceuticals, Inc......................... 12,500 345,313
*Veterinary Centers of America, Inc.................. 11,600 147,175
*Viasoft, Inc........................................ 6,900 252,713
*Viatel, Inc......................................... 8,500 54,188
*Vical, Inc.......................................... 11,800 163,725
*Vicon Industries, Inc............................... 1,400 9,975
*Vicorp Restaurants, Inc............................. 4,600 72,163
*Vidamed, Inc........................................ 7,500 43,125
*Video Display Corp.................................. 1,200 11,025
*Video Lottery Technologies, Inc..................... 4,200 48,038
*Video Services Corp................................. 1,000 3,031
*Video Update, Inc................................... 15,900 42,234
*Videonics, Inc...................................... 1,100 6,119
*#Vidioserver, Inc................................... 6,500 97,500
*View Technology, Inc................................ 2,400 16,200
*Viewlogic Systems, Inc.............................. 13,300 352,034
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Vimrx Pharmaceuticals, Inc.......................... 7,500 $ 16,523
Vintage Petroleum, Inc............................... 1,000 19,375
Virco Manufacturing Corp............................. 4,365 104,214
Virginia Beach Federal Financial Corp................ 2,000 33,375
Virginia First Financial Corp........................ 2,900 72,500
*#Vision Sciences, Inc............................... 5,100 7,650
*#Visioneer, Inc..................................... 11,700 41,681
*Visx, Inc. DE....................................... 10,800 267,300
Vital Signs, Inc..................................... 11,100 221,306
*Vitalcom, Inc....................................... 6,000 30,844
*Vitalink Pharmacy Services, Inc..................... 12,840 304,950
*#Vivid Technologies, Inc............................ 2,000 31,375
*#Vivus, Inc......................................... 13,000 291,281
*Vodavi Technology, Inc.............................. 1,400 7,044
*Voice Control Systems, Inc.......................... 5,600 20,300
Vulcan International Corp............................ 700 27,388
*WCI Steel, Inc. (Escrow)............................ 11,600 0
WD-40 Co............................................. 7,800 211,088
*#WFS Financial, Inc................................. 15,800 187,625
*WHG Resorts & Casinos, Inc.......................... 3,025 67,306
*#WHX Corp........................................... 16,700 197,269
WICOR, Inc........................................... 8,500 392,063
WLR Foods, Inc....................................... 10,898 97,401
*WMS Industries, Inc................................. 12,100 281,325
*WPI Group, Inc...................................... 2,300 17,250
WPS Resources Corp................................... 11,300 342,531
*#WTD Industries, Inc................................ 4,400 9,625
Wabash National Corp................................. 10,500 297,281
*Wachovia Corp....................................... 7,842 603,834
Wackenhut Corp. Class A.............................. 1,400 30,275
Wackenhut Corp. Class B Non-Voting................... 6,200 122,838
*Wackenhut Corrections Corp.......................... 12,500 350,000
*Wainoco Oil Corp.................................... 14,900 104,300
#Walbro Corp......................................... 4,300 62,081
*Walker Interactive Systems, Inc..................... 9,200 120,175
*Wall Data, Inc...................................... 8,300 135,394
*Wall Street Deli, Inc............................... 1,500 5,578
*Walsh International, Inc............................ 4,200 37,538
Walshire Assurance Co................................ 2,370 26,811
*Wandel & Goltermann Technologies, Inc............... 2,600 32,338
*Warrantech Corp..................................... 9,300 108,694
Warren Bancorp, Inc.................................. 1,400 28,613
*Washington Homes, Inc............................... 4,400 17,050
Washington National Corp............................. 4,800 158,700
Washington Savings Bank FSB Waldorf, MD.............. 1,600 11,800
Waters Instruments, Inc.............................. 200 1,338
Watkins-Johnson Co................................... 4,200 131,250
Watsco, Inc. Class A................................. 7,450 193,700
Watsco, Inc. Class B................................. 900 22,613
Watts Industries, Inc. Class A....................... 7,900 200,956
Wausau Paper Mills Co................................ 6,400 137,200
*Wave Technologies International, Inc................ 1,500 12,281
*#Wavephore, Inc..................................... 9,800 91,569
Waverly, Inc......................................... 3,600 153,000
*Waxman Industries, Inc.............................. 5,300 19,875
Webb (Del) Corp...................................... 15,800 341,675
*Webco Industries, Inc............................... 2,300 16,388
Webster Financial Corp............................... 5,962 375,233
*Weirton Steel Corp.................................. 31,500 92,531
</TABLE>
136
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Wellcare Management Group, Inc...................... 1,900 $ 5,463
Wellman, Inc......................................... 16,700 353,831
*Wells-Gardner Electronics Corp...................... 1,500 8,719
Werner Enterprises, Inc.............................. 8,750 189,219
Wesbanco, Inc........................................ 6,000 177,750
West Coast Bancorp................................... 3,993 105,315
*West Coast Entertainment Corp....................... 7,000 12,250
*#West Marine, Inc................................... 10,000 209,375
West, Inc............................................ 8,800 279,400
Westamerica Bancorporation........................... 5,543 508,570
*#Westbridge Capital Corp............................ 5,900 4,056
Westco Bancorp, Inc.................................. 1,100 29,838
Westcorp, Inc........................................ 17,496 297,432
*Westell Technologies, Inc........................... 7,500 124,922
Westerfed Financial Corp............................. 3,900 92,747
*Western Bancorp..................................... 911 29,437
*Western Beef, Inc................................... 2,700 20,588
Western Gas Resources, Inc........................... 15,600 356,850
Western Ohio Financial Corp.......................... 900 23,400
*#Western Pacific Airlines, Inc...................... 1,500 609
*Western Staff Services, Inc......................... 4,100 68,163
*Western Water Co.................................... 3,500 44,625
Westinghouse Air Brake Co............................ 12,400 285,200
*Weston (Roy F.), Inc. Class A....................... 2,900 12,008
*Westwood One, Inc................................... 14,500 430,469
*Wet Seal, Inc. Class A.............................. 4,900 144,703
*Whitehall Corp...................................... 3,200 54,400
*Whitman Education Group, Inc........................ 8,200 52,788
Whitney Holdings Corp................................ 6,700 337,513
*Whittaker Corp...................................... 5,600 50,750
*Wickes Lumber Co.................................... 5,500 19,938
Wiley (John) & Sons, Inc. Class A.................... 400 18,275
*Williams Clayton Energy, Inc........................ 4,400 70,675
*Williams Controls, Inc.............................. 6,900 15,848
*Williams-Sonoma, Inc................................ 7,625 289,988
*Wilmar Industries, Inc.............................. 6,600 169,125
*Wilshire Financial Services Group, Inc.............. 1,600 44,000
Wilshire Oil Co. of Texas............................ 3,700 21,044
*Wind River Systems, Inc............................. 900 34,931
Windmere Corp........................................ 12,200 294,325
Winnebago Industries, Inc............................ 19,300 148,369
*Winsloew Furniture, Inc............................. 4,500 66,656
*Winstar Communications, Inc......................... 19,800 524,700
Wireless Telecom Group, Inc.......................... 15,600 112,125
Wiser Oil Co......................................... 5,500 83,875
Wolohan Lumber Co.................................... 2,800 36,750
*Wolverine Tube, Inc................................. 6,900 219,075
*Wonderware Corp..................................... 6,900 126,572
Woodhead Industries, Inc............................. 5,200 99,125
*Workgroup Technology Corp........................... 3,200 11,500
*World Acceptance Corp............................... 9,300 48,825
*World Access, Inc................................... 9,400 229,125
*#World Airways, Inc................................. 3,600 28,238
World Fuel Services Corp............................. 4,000 112,500
*Worldcorp, Inc...................................... 9,400 10,575
*Worldtex, Inc....................................... 13,200 112,200
Worthington Foods, Inc............................... 7,233 166,359
*Wyant Corp.......................................... 200 1,325
*#Wyman-Gordon Co.................................... 1,000 21,625
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Wynns International, Inc............................. 6,850 $ 222,197
X-Rite, Inc.......................................... 10,500 202,125
*Xcellent, Inc....................................... 4,000 50,250
*Xeta Corp........................................... 1,000 21,563
*Xetel Corp.......................................... 3,100 12,691
*Xicor, Inc.......................................... 12,200 59,094
*Xircom, Inc......................................... 13,700 146,419
*Xoma Corp........................................... 33,200 227,731
*Xpedite Systems, Inc................................ 4,400 117,975
Xtra Corp............................................ 5,000 263,750
*Xylan Corp.......................................... 16,700 341,828
Yankee Energy Systems, Inc........................... 4,900 116,069
Yardville National Bancorp........................... 1,100 36,713
*Yellow Corp......................................... 16,900 447,850
*#Yes Entertainment Corp............................. 5,600 8,050
York Financial Corp.................................. 4,251 110,792
*York Research Corp.................................. 10,400 82,225
*Young Broadcasting, Inc. Class A.................... 6,100 221,125
*Youth Services International, Inc................... 7,000 101,500
*Zale Corp........................................... 17,600 391,600
*Zaring National Corp................................ 1,900 17,931
*Zebra Technologies Corp. Class A.................... 7,300 232,459
Zeigler Coal Holding Co.............................. 14,100 223,838
*Zemex Corp.......................................... 4,995 47,462
*Zenith Electronics Corp............................. 28,000 215,250
Zenith National Insurance Corp....................... 8,800 235,400
Zero Corp............................................ 6,100 170,419
*#Zila, Inc.......................................... 2,557 16,061
*Zilog, Inc.......................................... 16,000 306,000
*Zing Technologies, Inc.............................. 1,500 14,344
*Zitel Corp.......................................... 10,700 120,041
*Zoll Medical Corp................................... 5,200 35,994
*#Zoltek Companies, Inc.............................. 8,100 300,713
*#Zonagen, Inc....................................... 4,300 134,778
*#Zoran Corp......................................... 3,500 59,719
Zurn Industries, Inc................................. 6,200 211,984
*Zygo Corp........................................... 5,200 111,475
*Zytec Corp.......................................... 4,100 106,600
------------
TOTAL COMMON STOCKS
(Cost $334,723,904).................................. 426,558,729
------------
PREFERRED STOCKS -- (0.1%)
News Corp., Ltd. ADR (Representing 4 Preferred
Shares)
(Cost $263,020).................................... 31,521 622,540
------------
RIGHTS/WARRANTS -- (0.0%)
*American Satellite Network, Inc. Warrants
06/30/99........................................... 2,525 0
*Amvestors Financial Corp. Warrants Class A
04/02/02........................................... 391 3,177
*CSF Holdings, Inc. Litigation Rights 12/30/99....... 3,250 0
*Fusion Systems Corp. Contingent Payment Rights
03/31/99........................................... 3,800 4,097
*Millicom, Inc. Contingent Value Rights.............. 10,100 0
*PC Quote, Inc. Rights 12/19/97...................... 3,600 1,350
*Statesman Group, Inc. Contingent Payment Rights..... 9,765 0
*Today's Man, Inc. Rights 12/05/97................... 3,225 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $5,192)........................................ 8,624
------------
</TABLE>
137
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (2.7%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
6.25%, 07/31/98, valued at $11,988,113) to be
repurchased at $11,809,361.
(Cost $11,804,000)................................. $ 11,804 $ 11,804,000
------------
TOTAL INVESTMENTS -- (101.4%)
(Cost $346,796,116)++................................ 438,993,893
------------
OTHER ASSETS AND LIABILITIES -- (-1.4%)
Other Assets......................................... 1,475,773
Payable for Investment Securities Purchased.......... (7,556,963)
Other Liabilities.................................... (79,859)
------------
(6,161,049)
------------
NET ASSETS -- (100.0%) Applicable to 31,308,841
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $432,832,844
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 13.82
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++The cost for federal income tax purposes is $347,982,097.
</TABLE>
See accompanying Notes to Financial Statements.
138
<PAGE>
THE U.S. LARGE COMPANY SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (99.8%)
*3COM Corp............................................ 38,200 $ 1,383,556
AMP, Inc.............................................. 24,304 1,055,705
*AMR Corp............................................. 10,300 1,248,231
AON Corp.............................................. 18,475 978,020
AT & T Corp........................................... 179,539 10,031,742
Abbott Laboratories................................... 85,100 5,531,500
Adobe Systems, Inc.................................... 8,300 348,081
*Advanced Micro Devices, Inc.......................... 15,600 340,275
Aeroquip Vickers, Inc................................. 3,000 153,187
Aetna, Inc............................................ 16,537 1,246,476
#Ahmanson (H.F.) & Co................................. 10,800 642,600
Air Products & Chemicals, Inc......................... 12,200 935,587
*Airtouch Communications, Inc......................... 55,600 2,182,300
Alberto-Culver Co. Class B............................ 6,500 202,719
Albertson's Inc....................................... 27,200 1,207,000
Alcan Aluminum, Ltd................................... 25,000 673,437
Allegheny Teledyne, Inc............................... 19,400 499,550
Allergan, Inc......................................... 7,000 237,125
AlliedSignal, Inc..................................... 62,400 2,316,600
Allstate Corp......................................... 48,127 4,132,906
Alltel Corp........................................... 20,700 822,825
Aluminium Co. of America.............................. 19,200 1,291,200
*Alza Corp............................................ 9,200 245,525
Amerada Hess Corp..................................... 10,000 560,000
American Electric Power Co., Inc...................... 21,000 1,040,812
American Express Co................................... 51,800 4,085,725
American General Corp................................. 27,480 1,480,485
American Greetings Corp. Class A...................... 8,100 297,169
American Home Products Corp........................... 71,600 5,003,050
American International Group, Inc..................... 77,493 7,812,263
American Stores Co.................................... 30,300 600,319
Ameritech Corp........................................ 60,900 4,693,106
Amgen, Inc............................................ 29,300 1,499,794
Amoco Corp............................................ 54,300 4,887,000
Anadarko Petroleum Corp............................... 6,800 442,000
Andrew Corp........................................... 10,193 269,796
Anheuser-Busch Companies, Inc......................... 54,300 2,345,081
Apache Corp........................................... 9,800 360,150
*#Apple Computer, Inc................................. 14,200 251,606
*Applied Materials, Inc............................... 40,200 1,325,344
Archer-Daniels Midland Co............................. 61,991 1,325,058
*Armco, Inc........................................... 11,600 61,625
#Armstrong World Industries, Inc...................... 4,500 310,219
Asarco, Inc........................................... 4,650 115,669
Ashland, Inc.......................................... 8,100 378,169
#Atlantic Richfield Co................................ 35,400 2,885,100
Autodesk, Inc......................................... 5,600 215,075
Automatic Data Processing, Inc........................ 32,400 1,822,500
*#Autozone, Inc....................................... 16,700 501,000
Avery Dennison Corp................................... 11,500 481,562
#Avon Products, Inc................................... 14,700 849,844
Baker Hughes, Inc..................................... 18,600 778,875
Ball Corp............................................. 3,300 127,050
Baltimore Gas & Electric Co........................... 16,350 501,741
Banc One Corp......................................... 64,411 3,309,115
#Bank of New York Co., Inc............................ 42,000 2,257,500
BankAmerica Corp...................................... 77,236 5,638,228
BankBoston Corp....................................... 16,100 1,434,912
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Bankers Trust New York Corp........................... 11,000 $ 1,304,187
Bard (C.R.), Inc...................................... 6,300 188,606
Barnett Banks, Inc.................................... 21,900 1,541,212
#Barrick Gold Corp.................................... 41,300 684,031
Battle Mountain Gold Co............................... 25,200 127,575
Bausch & Lomb, Inc.................................... 6,100 241,712
Baxter International, Inc............................. 31,000 1,569,375
*Bay Networks, Inc.................................... 23,200 697,450
Becton Dickinson & Co................................. 13,600 701,250
Bell Atlantic Corp.................................... 85,806 7,658,185
Bellsouth Corp........................................ 109,400 5,989,650
Bemis Co., Inc........................................ 5,800 244,325
Beneficial Corp....................................... 5,700 442,462
*#Bethlehem Steel Corp................................ 12,600 129,150
*Beverly Enterprises.................................. 12,300 209,100
Biomet, Inc........................................... 12,500 298,047
Black & Decker Corp................................... 10,200 374,850
Block (H.&R.), Inc.................................... 11,300 463,300
Boeing Co............................................. 110,486 5,869,569
Boise Cascade Corp.................................... 6,000 202,125
*#Boston Scientific Corp.............................. 21,500 971,531
Briggs & Stratton Corp................................ 2,800 143,150
Bristol Myers Squibb Co............................... 110,100 10,308,112
Brown-Forman Corp. Class B............................ 7,900 405,862
Browning-Ferris Industries, Inc....................... 21,800 777,987
Brunswick Corp........................................ 10,800 361,125
Burlington Northern Santa Fe Corp..................... 17,237 1,577,185
#Burlington Resources, Inc............................ 19,590 871,755
CIGNA Corp............................................ 8,300 1,388,175
CPC International, Inc................................ 15,900 1,643,662
CSX Corp.............................................. 24,100 1,260,731
*CUC International, Inc............................... 45,350 1,303,812
CVS Corp.............................................. 19,000 1,261,125
*#Cabletron Systems, Inc.............................. 17,400 400,200
Caliber Systems, Inc.................................. 4,300 229,781
Campbell Soup Co...................................... 50,900 2,850,400
Cardinal Health, Inc.................................. 12,100 916,575
Carolina Power & Light Co............................. 16,700 624,162
#Case Corp............................................ 8,500 527,000
Caterpillar, Inc...................................... 41,500 1,989,406
Centex Corp........................................... 3,100 196,462
Central & South West Corp............................. 23,400 585,000
*#Ceridian Corp....................................... 8,700 381,712
Champion International Corp........................... 10,800 578,475
*Charming Shoppes, Inc................................ 11,900 58,198
Chase Manhattan Corp.................................. 46,796 5,083,215
Chevron Corp.......................................... 72,300 5,797,556
Chrysler Corp......................................... 74,400 2,552,850
Chubb Corp............................................ 19,000 1,347,812
Cincinnati Milacron, Inc.............................. 4,400 130,075
Cinergy Corp.......................................... 17,593 626,751
*Circuit City Stores, Inc. (Circuit City Group)....... 10,700 351,094
*Cisco Sytems, Inc.................................... 73,800 6,362,944
Citicorp.............................................. 50,700 6,080,831
*Clear Channel Communications, Inc.................... 10,900 738,475
#Clorox Co............................................ 11,600 900,450
Coastal Corp.......................................... 11,750 688,109
Coca-Cola Co.......................................... 276,300 17,268,750
</TABLE>
139
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Cognizant Corp........................................ 18,100 $ 776,037
Colgate-Palmolive Co.................................. 32,800 2,191,450
Columbia Gas System, Inc.............................. 6,100 443,775
Columbia/HCA Healthcare Corp.......................... 72,182 2,129,369
Comcast Corp. Class A Special......................... 38,550 1,080,605
Comerica, Inc......................................... 11,800 1,005,212
*Compaq Computer Corp................................. 83,395 5,206,975
Computer Associates International, Inc................ 60,412 3,145,226
*Computer Sciences Corp............................... 8,400 665,175
Conagra, Inc.......................................... 52,300 1,879,531
Conseco, Inc.......................................... 20,700 963,844
Consolidated Edison Co. of New York, Inc.............. 25,900 977,725
Consolidated Natural Gas Co........................... 10,700 646,012
Cooper Industries, Inc................................ 13,600 702,100
Cooper Tire & Rubber Co............................... 8,500 190,187
Coors (Adolph) Co. Class B............................ 4,000 143,500
Corestates Financial Corp............................. 22,400 1,731,800
#Corning, Inc......................................... 25,600 1,086,400
*Costco Companies, Inc................................ 23,403 1,038,508
Countrywide Credit Industries, Inc.................... 11,600 474,875
Crane Co.............................................. 5,000 210,625
Crown Cork & Seal Co., Inc............................ 14,300 698,019
Cummins Engine Co., Inc............................... 4,200 270,375
Cyprus Amax Minerals Co., Inc......................... 10,550 193,197
*DSC Communications Corp.............................. 13,200 297,825
#DTE Energy Co........................................ 16,100 528,281
Dana Corp............................................. 11,700 546,975
Darden Restaurants, Inc............................... 16,900 200,687
*Data General Corp.................................... 5,600 100,450
Dayton-Hudson Corp.................................... 24,000 1,594,500
Deere & Co............................................ 27,900 1,529,269
*#Dell Computer Corp.................................. 36,500 3,071,703
Delta Air Lines, Inc.................................. 8,000 891,500
#Deluxe Corp.......................................... 9,300 328,406
*Digital Equipment Corp............................... 16,900 832,325
Dillards, Inc. Class A................................ 12,100 442,406
Disney (Walt) Co...................................... 74,700 7,091,831
Dominion Resources, Inc. VA........................... 20,600 800,825
Donnelley (R.R.) & Sons Co............................ 16,200 571,050
Dover Corp............................................ 12,400 831,575
Dow Chemical Co....................................... 25,100 2,478,625
Dow Jones & Co., Inc.................................. 10,800 546,075
Dresser Industries, Inc............................... 19,300 721,337
DuPont (E.I.) de Nemours & Co......................... 124,800 7,558,200
#Duke Power Co........................................ 39,866 2,073,032
Dun & Bradstreet Corp................................. 18,800 526,400
E G & G, Inc.......................................... 5,100 100,087
*EMC Corp. MA......................................... 54,400 1,649,000
Eastern Enterprises................................... 2,300 92,575
Eastman Chemical Co................................... 8,550 516,206
Eastman Kodak Co...................................... 35,900 2,176,437
Eaton Corp............................................ 8,600 812,162
#Echlin, Inc.......................................... 6,900 218,644
Echo Bay Mines, Ltd................................... 15,500 35,844
Ecolab, Inc........................................... 7,100 362,100
Edison International.................................. 43,900 1,177,069
Emerson Electric Co................................... 49,100 2,700,500
Engelhard Corp........................................ 16,174 288,099
Enron Corp............................................ 33,900 1,313,625
#Entergy Corp......................................... 26,800 696,800
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Equifax, Inc......................................... 16,700 $ 569,887
Exxon Corp............................................ 275,700 16,817,700
*FMC Corp............................................. 4,100 299,556
#FPL Group, Inc....................................... 20,100 1,124,344
*Federal Express Corp................................. 12,700 851,694
Federal Home Loan Mortgage Corp....................... 76,900 3,172,125
#Federal National Mortgage Association................ 117,300 6,194,906
*Federated Department Stores, Inc..................... 23,100 1,052,494
Fifth Third Bancorp................................... 17,000 1,193,187
First Chicago NBD Corp................................ 32,793 2,566,052
#First Data Corp...................................... 49,000 1,387,312
First Union Corp...................................... 61,880 3,016,650
*FirstEnergy Corp..................................... 25,400 685,800
Fleet Financial Group, Inc............................ 27,664 1,827,553
Fleetwood Enterprises, Inc............................ 4,000 142,750
Fleming Companies, Inc................................ 4,200 69,825
*Fluor Corp........................................... 9,500 341,406
Ford Motor Co......................................... 132,100 5,680,300
Fort James Corp....................................... 20,800 813,800
Fortune Brands, Inc................................... 19,000 687,562
*#Foster Wheeler Corp................................. 4,450 137,116
#Freeport McMoran Copper & Gold, Inc. Class B......... 21,900 458,531
Frontier Corp......................................... 18,100 443,450
*#Fruit of The Loom, Inc. Class A..................... 8,000 186,500
GPU, Inc.............................................. 13,500 533,250
GTE Corp.............................................. 105,500 5,334,344
Gannett Co., Inc...................................... 31,300 1,817,356
Gap, Inc.............................................. 29,700 1,594,519
General Dynamics Corp................................. 6,800 589,050
General Electric Co................................... 364,300 26,867,125
General Mills, Inc.................................... 17,700 1,309,800
General Motors Corp................................... 80,600 4,916,600
General RE Corp....................................... 8,900 1,766,650
General Signal Corp................................... 5,500 224,469
Genuine Parts Co...................................... 19,975 639,200
Georgia-Pacific Corp.................................. 10,200 870,825
Giant Food, Inc. Class A.............................. 6,500 219,375
Gillette Co........................................... 61,700 5,695,681
Golden West Financial Corp............................ 6,200 555,675
Goodrich (B.F.) Co.................................... 5,900 262,550
Goodyear Tire & Rubber Co............................. 17,200 1,043,825
Grace (W.R.) and Co................................... 7,900 574,725
Grainger (W.W.), Inc.................................. 5,500 514,937
Great Atlantic & Pacific Tea Co., Inc................. 4,200 129,675
*Great Lakes Chemical Corp............................ 6,500 291,687
Green Tree Financial Corp............................. 15,100 462,437
Guidant Corp.......................................... 16,400 1,053,700
HBO & Co.............................................. 21,900 981,394
*HFS, Inc............................................. 17,600 1,207,800
#Halliburton Co....................................... 28,100 1,515,644
#Harcourt General, Inc................................ 8,023 439,259
#Harland (John H.) Co................................. 3,350 69,303
Harnischfeger Industries, Inc......................... 5,476 209,115
*Harrahs Entertainment, Inc........................... 11,400 228,712
Harris Corp........................................... 9,000 426,937
Hartford Financial Services Group, Inc................ 13,100 1,097,125
#Hasbro, Inc.......................................... 14,225 413,414
*Healthsouth Corp..................................... 42,700 1,120,875
Heinz (H.J.) Co....................................... 40,950 2,050,059
</TABLE>
140
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Helmerich & Payne, Inc................................ 2,800 $ 212,975
#Hercules, Inc........................................ 11,100 539,044
Hershey Foods Corp.................................... 15,800 969,725
Hewlett-Packard Co.................................... 114,800 7,009,975
#Hilton Hotels Corp................................... 27,600 859,050
Home Depot, Inc....................................... 80,772 4,518,184
Homestake Mining Co................................... 16,400 172,200
Honeywell, Inc........................................ 14,200 930,100
Household International, Inc.......................... 11,800 1,486,800
Houston Industries, Inc............................... 31,500 746,156
*Humana, Inc.......................................... 18,100 401,594
Huntington Bancshares, Inc............................ 21,000 711,375
*ITT Corp............................................. 13,000 986,375
ITT Industries, Inc................................... 13,300 422,275
Ikon Office Solutions, Inc............................ 14,800 450,475
Illinois Tool Works, Inc.............................. 27,600 1,512,825
Inco, Ltd............................................. 18,600 354,562
#Ingersoll-Rand Co.................................... 18,300 748,012
Inland Steel Industries, Inc.......................... 5,400 103,275
Intel Corp............................................ 181,500 14,094,609
International Business Machines Corp.................. 109,100 11,953,269
International Flavors & Fragrances, Inc............... 12,300 592,706
International Paper Co................................ 33,500 1,589,156
#Interpublic Group of Companies, Inc.................. 13,850 663,934
Jefferson-Pilot Corp.................................. 7,650 583,791
Johnson & Johnson..................................... 146,900 9,245,519
Johnson Controls, Inc................................. 9,100 416,894
Jostens, Inc.......................................... 4,300 103,200
*K Mart Corp.......................................... 53,700 674,606
*KLA-Tencor Corp...................................... 9,500 367,531
Kaufman & Broad Home Corp............................. 4,300 93,256
Kellogg Co............................................ 45,700 2,119,337
#Kerr-McGee Corp...................................... 5,200 344,825
Keycorp............................................... 23,900 1,611,756
Kimberly Clark Corp................................... 61,584 3,206,217
King World Productions, Inc........................... 4,100 222,937
Knight Ridder, Inc.................................... 9,500 476,187
*Kroger Co............................................ 28,200 971,138
*LSI Logic Corp....................................... 15,700 365,025
Laidlaw, Inc.......................................... 36,500 474,500
Lilly (Eli) & Co...................................... 122,800 7,744,075
Limited, Inc.......................................... 29,900 719,469
Lincoln National Corp................................. 11,300 806,538
Liz Claiborne, Inc.................................... 7,500 376,875
#Lockheed Martin Corp................................. 21,357 2,083,642
Loews Corp............................................ 12,800 1,358,400
Longs Drug Stores Corp................................ 4,300 125,775
#Louisiana-Pacific Corp............................... 12,300 248,306
Lowe's Companies, Inc................................. 19,300 886,594
Lucent Technologies, Inc.............................. 70,890 5,680,061
MBIA, Inc............................................. 10,000 628,750
#MBNA Corp............................................ 55,430 1,472,359
MCI Communications Corp............................... 76,400 3,354,438
#MGIC Investment Corp................................. 12,600 736,313
*Mallinckrodt, Inc.................................... 7,900 292,300
Manor Care, Inc....................................... 7,300 257,325
Marriott International, Inc........................... 14,200 1,028,613
#Marsh & McLennan Companies, Inc...................... 18,600 1,384,538
Masco Corp............................................ 18,200 857,675
Mattel, Inc........................................... 32,152 1,288,090
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
May Department Stores Co.............................. 25,600 $ 1,376,000
Maytag Corp........................................... 10,700 345,744
McDermott International, Inc.......................... 6,100 192,150
#McDonalds Corp....................................... 75,900 3,681,150
McGraw-Hill Companies, Inc............................ 11,100 759,656
Mead Corp............................................. 6,000 387,375
Medtronic, Inc........................................ 51,700 2,468,675
#Mellon Bank Corp..................................... 27,900 1,581,581
Mercantile Stores Co., Inc............................ 4,100 264,963
Merck & Co., Inc...................................... 134,500 12,718,656
Meredith Corp......................................... 5,900 205,763
#Merrill Lynch & Co., Inc............................. 36,600 2,568,863
*#Micron Technology, Inc.............................. 23,300 579,588
*Microsoft Corp....................................... 133,400 18,871,931
Millipore Corp........................................ 4,800 186,000
Minnesota Mining & Manufacturing Co................... 45,800 4,462,638
*#Mirage Resorts, Inc................................. 19,700 467,875
Mobil Corp............................................ 86,900 6,251,369
Monsanto Co........................................... 65,200 2,848,425
#Moore Corp., Ltd..................................... 9,600 149,400
Morgan (J.P.) & Co., Inc.............................. 19,700 2,249,494
Morgan Stanley Dean Witter Discover & Co.............. 64,909 3,525,370
Morton International, Inc............................. 15,200 517,750
Motorola, Inc......................................... 65,800 4,137,175
Nacco Industries, Inc. Class A........................ 800 87,100
Nalco Chemical Co..................................... 7,200 279,450
National City Corp.................................... 23,700 1,581,975
*#National Semiconductor Corp......................... 17,700 586,313
National Service Industries, Inc...................... 5,000 234,063
#NationsBank Corp..................................... 78,576 4,719,471
*Navistar International Corp.......................... 7,970 175,340
New York Times Class A................................ 10,400 617,500
Newell Co............................................. 17,700 722,381
Newmont Mining Corp................................... 17,313 520,472
*Nextlevel Systems, Inc............................... 16,280 215,710
*Niagara Mohawk Power Corp............................ 16,000 153,000
Nicor, Inc............................................ 5,300 213,325
#Nike, Inc. Class B................................... 31,900 1,553,131
Nordstrom, Inc........................................ 8,400 495,338
Norfolk Southern Corp................................. 41,600 1,323,400
Northern States Power Co. MN.......................... 8,400 460,950
#Northern Telecom, Ltd................................ 29,000 2,604,563
#Northrop Grumman Corp................................ 7,300 823,075
#Norwest Corp......................................... 82,900 3,103,569
*Novell, Inc.......................................... 38,600 354,034
#Nucor Corp........................................... 9,600 480,000
Occidental Petroleum Corp............................. 36,500 1,083,594
Oneok, Inc............................................ 3,100 115,863
*#Oracle Systems Corp................................. 108,262 3,603,095
*Oryx Energy Co....................................... 11,900 321,300
Owens Corning......................................... 6,200 227,850
*#Owens-Illinois, Inc................................. 15,600 528,450
PECO Energy Co........................................ 24,500 595,656
#PG&E Corp. (Holding Co.)............................. 48,300 1,364,475
PNC Bank Corp......................................... 33,850 1,821,553
PP&L Resources, Inc................................... 18,400 432,400
#PPG Industries, Inc.................................. 19,800 1,147,163
#Paccar, Inc.......................................... 8,420 459,943
Pacific Enterprises................................... 9,000 318,375
PacifiCorp............................................ 32,800 764,650
</TABLE>
141
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Pall Corp............................................. 14,166 $ 299,257
*Parametric Technology Corp........................... 14,200 717,544
Parker-Hannifin Corp.................................. 12,425 552,913
Penney (J.C.) Co., Inc................................ 27,600 1,773,300
Pennzoil Co........................................... 5,200 346,450
Peoples Energy Corp................................... 3,900 142,838
*Pep Boys - Manny, Moe & Jack......................... 6,900 173,363
Pepsico, Inc.......................................... 169,200 6,239,250
Perkin Elmer Corp..................................... 4,700 326,944
Pfizer, Inc........................................... 142,800 10,388,700
Pharmacia & Upjohn, Inc............................... 56,080 1,892,700
Phelps Dodge Corp..................................... 6,600 437,250
Philip Morris Companies, Inc.......................... 270,000 11,745,000
Phillips Petroleum Co................................. 29,000 1,404,688
Pioneer Hi-Bred International, Inc.................... 7,200 735,300
Pitney Bowes, Inc..................................... 15,900 1,336,594
Placer Dome, Inc...................................... 26,300 322,175
Polaroid Corp......................................... 5,000 212,500
Potlatch Corp......................................... 3,200 155,600
Praxair, Inc.......................................... 17,500 768,906
Procter & Gamble Co................................... 150,232 11,464,580
Progressive Corp...................................... 7,900 805,800
Providian Financial Corp.............................. 10,600 467,063
Public Service Enterprise Group, Inc.................. 25,500 744,281
Pulte Corp............................................ 2,400 97,350
Quaker Oats Co........................................ 15,200 805,600
Ralston Purina Group.................................. 11,800 1,097,400
Raychem Corp.......................................... 4,700 444,444
Raytheon Co........................................... 26,000 1,454,375
*Reebok International, Ltd............................ 6,100 239,806
Republic New York Corp................................ 6,000 652,500
Reynolds Metals Co.................................... 8,000 455,500
#Rite Aid Corp........................................ 13,700 900,775
Rockwell International Corp........................... 23,100 1,126,125
#Rohm & Haas Co....................................... 6,800 625,175
*Rowan Companies, Inc................................. 9,400 319,600
Royal Dutch Petroleum Co. Den Haag (N.Y. Registry).... 239,000 12,592,313
Rubbermaid, Inc....................................... 16,600 402,550
Russell Corp.......................................... 4,100 125,306
Ryder System, Inc..................................... 8,500 308,656
SBC Communications, Inc............................... 101,004 7,354,354
Safeco Corp........................................... 15,500 760,469
Safety Kleen Corp..................................... 6,400 177,600
*Saint Jude Medical, Inc.............................. 9,950 294,769
Saint Paul Companies, Inc............................. 9,400 752,000
Sara Lee Corp......................................... 53,100 2,807,663
Schering-Plough Corp.................................. 80,800 5,065,150
#Schlumberger, Ltd.................................... 54,800 4,510,725
#Schwab (Charles) Corp................................ 29,450 1,135,666
Scientific-Atlanta, Inc............................... 8,800 176,000
*Seagate Technology, Inc.............................. 26,800 608,025
#Seagram Co., Ltd..................................... 41,000 1,324,813
Sears, Roebuck & Co................................... 43,300 1,983,681
Service Corp. International........................... 27,900 1,020,094
#Shared Medical Systems Corp.......................... 2,700 172,800
Sherwin-Williams Co................................... 19,200 548,400
*Siebel Systems, Inc.................................. 0 28
Sigma-Aldrich Corp.................................... 10,900 391,038
*Silicon Graphics, Inc................................ 19,500 255,938
Snap-On, Inc.......................................... 6,600 289,988
#Sonat, Inc........................................... 9,700 422,556
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Southern Co........................................... 75,800 $ 1,819,200
Southwest Airlines Co................................. 24,300 593,831
Springs Industries, Inc. Class A...................... 2,150 108,441
*Sprint Corp.......................................... 47,700 2,793,431
Stanley Works......................................... 9,600 423,000
#State Street Corp.................................... 17,700 1,053,150
Stone Container Corp.................................. 10,800 135,000
#Sun Co., Inc......................................... 8,200 331,588
*Sun Microsystems..................................... 40,840 1,468,964
Sunamerica, Inc....................................... 21,650 876,825
#Suntrust Banks, Inc.................................. 23,600 1,675,600
Supervalu, Inc........................................ 6,900 271,256
Synovus Financial Corp................................ 19,300 616,394
Sysco Corp............................................ 19,200 855,600
TJX Companies, Inc.................................... 18,000 621,000
#TRW, Inc............................................. 13,700 777,475
Tandy Corp............................................ 11,530 495,790
Tektronix, Inc........................................ 5,850 245,334
*Tele-Communications, Inc. Class A (TCI Group)........ 55,900 1,280,459
*#Tellabs, Inc........................................ 20,100 1,044,572
Temple-Inland, Inc.................................... 6,600 377,025
*Tenet Healthcare Corp................................ 33,400 1,058,363
Tenneco, Inc.......................................... 18,800 814,275
Texaco, Inc........................................... 58,500 3,305,250
Texas Instruments, Inc................................ 42,500 2,093,125
Texas Utilities Co.................................... 26,697 1,067,880
Textron, Inc.......................................... 18,200 1,076,075
*Thermo-Electron Corp................................. 16,700 614,769
Thomas & Betts Corp................................... 6,000 272,250
Time Warner, Inc...................................... 61,960 3,609,170
#Times Mirror Co. Class A............................. 10,700 635,313
Timken Co............................................. 6,800 240,975
Torchmark Corp........................................ 15,100 616,269
*Toys R Us, Inc....................................... 31,500 1,074,938
Transamerica Corp..................................... 6,900 749,081
#Travelers Group, Inc................................. 126,535 6,390,018
Tribune Co............................................ 13,600 766,700
*Tricon Global Restaurants, Inc....................... 17,040 576,165
Tupperware Corp....................................... 6,700 159,963
Tyco International, Ltd............................... 59,000 2,315,750
U.S. Bancorp.......................................... 26,998 2,903,972
UNUM Corp............................................. 15,400 730,538
US West, Inc. Communications Group Class.............. 53,000 2,394,938
*US West, Inc. Media Group Class...................... 67,000 1,779,688
*USAir Group, Inc..................................... 10,200 562,275
USF&G Corp............................................ 12,400 250,325
UST, Inc.............................................. 20,400 629,850
USX-Marathon Group, Inc............................... 31,900 1,092,575
USX-US Steel Group.................................... 9,320 291,833
Unicom Corp., Inc..................................... 23,800 693,175
Unilever NV........................................... 70,700 4,105,019
Union Camp Corp....................................... 7,500 450,469
Union Carbide Corp.................................... 13,900 613,338
Union Electric Co..................................... 11,100 441,919
Union Pacific Corp.................................... 27,400 1,644,000
Union Pacific Resources Group, Inc.................... 28,076 698,391
*Unisys Corp.......................................... 19,300 276,231
United Healthcare Corp................................ 20,700 1,077,694
United States Surgical Corp........................... 8,000 211,000
United Technologies Corp.............................. 25,900 1,940,881
</TABLE>
142
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Unocal Corp........................................... 27,400 $ 1,090,863
*Unova, Inc........................................... 5,700 96,544
VF Corp............................................... 14,400 665,100
*Viacom, Inc. Class B................................. 39,134 1,369,690
*Wachovia Corp........................................ 18,700 1,439,900
Wal-Mart Stores, Inc.................................. 250,600 10,008,338
Walgreen Co........................................... 54,400 1,751,000
#Warner-Lambert Co.................................... 30,100 4,210,238
#Washington Mutual, Inc............................... 27,620 1,905,780
Waste Management, Inc................................. 50,200 1,236,175
#Wells Fargo & Co..................................... 9,899 3,041,468
Wendy's International, Inc............................ 14,700 308,700
*Western Atlas, Inc................................... 5,900 410,419
Westinghouse Electric Corp............................ 77,900 2,337,000
Westvaco Corp......................................... 11,450 373,556
Weyerhaeuser Co....................................... 22,100 1,167,156
Whirlpool Corp........................................ 8,100 443,981
Whitman Corp.......................................... 11,000 289,438
*Willamette Industries, Inc........................... 12,400 435,550
Williams Companies, Inc............................... 17,535 937,027
#Winn-Dixie Stores, Inc............................... 16,500 667,219
*Woolworth Corp....................................... 15,000 324,375
*#Worldcom, Inc....................................... 99,720 3,194,156
Worthington Industries, Inc........................... 10,875 196,430
Wrigley (Wm.) Jr. Co.................................. 12,900 1,020,713
#Xerox Corp........................................... 35,900 2,788,981
------------
TOTAL COMMON STOCKS
(Cost $525,673,682).................................. 820,902,308
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.5%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
6.25%, 07/31/98, valued at $4,146,188) to be
repurchased at $4,085,855 (Cost $4,084,000)......... $ 4,084 4,084,000
------------
TOTAL INVESTMENTS -- (100.3%) (Cost $529,757,682)++.... 824,986,308
------------
OTHER ASSETS AND LIABILITIES -- (-0.3%)
Other Assets.......................................... 1,485,666
Payable for Investment Securities Purchased........... (3,724,306)
Payable for Fund Shares Redeemed...................... (175,855)
Other Liabilities..................................... (78,991)
------------
(2,493,486)
------------
NET ASSETS -- (100.0%)................................. $822,492,822
------------
------------
- --------------------
+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.
143
<PAGE>
THE ENHANCED U.S. LARGE COMPANY SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
UNITED STATES -- (36.1%)
COMMERCIAL PAPER -- (27.4%)
Barton Capital Corp. C.P.
5.590%, 12/05/97.................................... 1,720 $ 1,718,934
Caisse Centrale des Jardins C.P.
5.730%, 01/26/98.................................... 736 729,508
Corporate Asset Funding Corp. C.P.
5.700%, 01/09/98.................................... 1,750 1,739,194
Den Norske Stats Olejeselskap A.S. C.P.
5.800%, 12/01/97.................................... 1,400 1,400,000
Eksportfinas C.P.
5.550%, 12/05/97.................................... 1,525 1,524,054
Enterprise Funding Corp. C.P.
5.730%, 01/02/98.................................... 700 696,435
Matterhorn Capital Corp. C.P.
5.720%, 01/12/98.................................... 700 695,345
Novartis Finance Corp. C.P.
5.600%, 12/10/97.................................... 560 559,215
Paccar Financial Corp. C.P.
5.750%, 12/01/97.................................... 1,000 1,000,000
Sheffield Receivables Corp. C.P.
5.580%, 12/01/97.................................... 1,500 1,500,000
Sigma Finance Corp. C.P.
5.850%, 01/30/98.................................... 1,495 1,480,872
------------
TOTAL COMMERCIAL PAPER
(Cost $13,043,028)................................... 13,043,557
------------
VARIABLE RATE OBLIGATIONS -- (4.2%)
American Express Centurion Bank
***5.682%, 12/05/97................................. 1,000 1,000,000
First USA Bank
***6.299%, 12/01/97................................. 1,000 1,002,700
------------
TOTAL VARIABLE RATE OBLIGATIONS (Cost $2,002,845)...... 2,002,700
------------
U.S. TREASURY OBLIGATIONS -- (4.2%)
U.S. Treasury Bills
**4.900%, 01/15/98 (Cost $1,987,700)................ 2,000 1,987,500
------------
COMMON STOCKS -- (0.3%)
Standard & Poors Depository Receipts
(Cost $141,861)..................................... 1,500 143,437
------------
TOTAL -- UNITED STATES
(Cost $17,304,434)................................... 17,177,194
------------
CANADA -- (25.7%)
BONDS -- (25.7%)
Alberta (Province of)
6.000%, 03/01/99.................................... 1,000 713,769
British Columbia (Province of)
7.000%, 06/09/99.................................... 1,000 725,009
Canada (Government of)
6.500%, 08/01/99.................................... 2,000 1,440,464
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
Cregem Finance NV
8.625%, 05/18/99.................................... 1,542 $ 1,137,464
Denmark (Kingdom of)
6.500%, 10/29/99.................................... 1,064 767,299
Electricite de France
9.750%, 09/08/99.................................... 1,562 1,178,773
Farm Credit Corp. Euro Medium Term Notes
6.250%, 01/08/99.................................... 2,116 1,510,335
General Electric Capital Canada, Inc.
7.000%, 07/20/99.................................... 2,000 1,448,613
Norwest Financial Canada, Inc.
6.250%, 12/21/98.................................... 1,238 883,385
Oesterreichische Kontrollbank AG
10.250%, 07/27/99................................... 2,000 1,519,569
World Bank (International Bank for Reconstruction and
Development)
10.125%, 07/20/99................................... 1,181 896,061
------------
TOTAL -- CANADA
(Cost $12,616,850)................................... 12,220,741
------------
GERMANY -- (13.1%)
BONDS -- (13.1%)
Bank Nederlandse Gemeenten
6.500%, 08/25/99.................................... 2,099 1,229,771
Bank voor Nederlandsche Gemeenten BNG Euro Medium Term
Notes
4.250%, 04/09/99.................................... 1,000 566,665
LKB Bader-Wuerttemberg Finance NV
6.000%, 05/10/99.................................... 2,000 1,161,110
Societe Nationale des Chemis de fer Francais
6.750%, 09/30/99.................................... 1,400 825,476
Suedwestdeutsche Landesbank Giro & Suedwestlb Capital
Markets P.L.C.
6.500%, 04/26/99.................................... 3,191 1,860,655
Treuhandanstalt
6.375%, 07/01/99.................................... 1,000 585,374
------------
TOTAL -- GERMANY
(Cost $6,210,322).................................... 6,229,051
------------
FRANCE -- (12.6%)
BONDS -- (12.6%)
African Development Bank
9.375%, 11/15/99.................................... 10,000 1,847,212
Credit d'Equipement des Petites et Moyennes Enterprises
9.000%, 08/19/99.................................... 7,000 1,275,974
Eurofima Societe Europeene pour le Financement de
Material Ferroviaire
8.625%, 09/01/99.................................... 9,000 1,632,611
European Investment Bank
6.250%, 07/28/99.................................... 7,000 1,223,090
------------
TOTAL BONDS
(Cost $5,847,674).................................... 5,978,887
------------
</TABLE>
144
<PAGE>
THE ENHANCED U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $1).............................. $ 1
------------
TOTAL -- FRANCE
(Cost $5,847,675).................................... 5,978,888
------------
NETHERLANDS -- (6.0%)
BONDS -- (6.0%)
Austria (Republic of)
6.500%, 05/07/99.................................... 1,000 516,864
Netherlands (Kingdom of)
7.000%, 08/15/99.................................... 3,000 1,573,229
Rabobank
6.875%, 07/15/99.................................... 1,500 782,464
------------
TOTAL BONDS
(Cost $2,830,905).................................... 2,872,557
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $4)........................ 4
------------
TOTAL -- NETHERLANDS
(Cost $2,830,909).................................... 2,872,561
------------
AUSTRALIA -- (3.0%)
BONDS -- (3.0%)
ABN-AMRO Australia, Ltd.
8.000%, 06/16/99.................................... 1,000 708,186
Rural & Industries Bank Western Australia
10.000%, 08/23/99................................... 1,000 733,161
------------
TOTAL BONDS
(Cost $1,560,393).................................... 1,441,347
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $48)......................... 47
------------
TOTAL -- AUSTRALIA
(Cost $1,560,441).................................... 1,441,394
------------
FACE
AMOUNT VALUE+
------------ ------------
(000)
JAPAN -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $19).............................. $ 18
------------
UNITED KINGDOM -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling (Cost $4)..................... 4
------------
TEMPORARY CASH INVESTMENTS -- (0.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
8.50%, 11/15/00, valued at $139,588) to be
repurchased at $129,059. (Cost $129,000)............ $ 129 129,000
------------
TOTAL INVESTMENTS -- (96.7%) (Cost $46,370,654)++...... 46,048,851
------------
OTHER ASSETS AND LIABILITIES -- (3.3%)
Other Assets.......................................... 683,564
Unrealized Gain on Futures............................ 739,500
Unrealized Gain on Forward Currency Contracts......... 207,948
Unrealized Gain on Swap Contract...................... 58,449
Payable for Futures Variation Margin.................. (4,600)
Payable for Investment Securities Purchased........... (95,876)
Other Liabilities..................................... (21,625)
------------
1,567,360
------------
NET ASSETS -- (100.0%) Applicable to 3,791,304
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $ 47,616,211
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 12.56
------------
------------
- --------------------
+See Note B to Financial Statements.
@Denominated in local currency.
*Non-Income Producing Securities
**Face amount of securities pledged as margin requirement for open futures
contracts.
***Rates shown are the rates as of November 30, 1997, and maturities shown are
the next interest readjustment date.
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
145
<PAGE>
THE U.S. 6-10 VALUE SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
COMMON STOCKS -- (98.8%)
*3-D Systems Corp..................................... 129,900 $ 1,087,913
AAR Corp.............................................. 130,400 5,028,550
*ABT Building Products Corp........................... 41,000 738,000
*ACT Networks, Inc.................................... 103,000 843,313
*ACX Technologies, Inc................................ 265,200 7,110,675
*AEP Industries, Inc.................................. 37,150 1,200,409
*AG Associates, Inc................................... 10,200 61,200
*AG Services America, Inc............................. 2,900 52,381
*#APS Holding Corp. Class A........................... 167,300 645,673
*ATL Ultrasound, Inc.................................. 100,827 4,360,768
Aames Financial Corp.................................. 287,800 3,885,300
*#Aasche Transportation Services, Inc................. 43,600 134,888
Abington Bancorp, Inc................................. 20,800 756,600
Abrams Industries, Inc................................ 10,000 77,500
*Abraxas Petroleum Corp............................... 68,200 1,116,775
*Accell International Corp............................ 53,000 200,406
*Acceptance Insurance Companies, Inc.................. 168,100 4,086,931
*Access Beyond, Inc................................... 30,400 164,350
*Acclaim Entertainment, Inc........................... 77,700 316,870
Aceto Corp............................................ 54,440 1,081,995
*Acme Metals, Inc..................................... 210,400 2,616,850
*Acme United Corp..................................... 8,700 50,569
*Adage, Inc........................................... 59,254 368,486
*Adam Software, Inc................................... 3,000 8,391
*Adflex Solutions, Inc................................ 800 15,425
*Advanced Magnetics, Inc.............................. 5,000 46,563
*Advanced Marketing Services, Inc..................... 61,500 795,656
Advantage Bancorp, Inc................................ 41,925 2,636,034
Advest Group, Inc..................................... 80,200 1,824,550
*Aeroflex, Inc........................................ 46,200 395,588
*Aerovox, Inc......................................... 60,800 330,600
Affiliated Community Bancorp.......................... 20,500 585,531
*Air Methods Corp..................................... 91,700 335,278
*Airtran Holdings, Inc................................ 14,600 74,597
*Alarmguard Holdings, Inc............................. 11,200 120,400
*#Alaska Air Group, Inc............................... 173,500 6,484,563
*Alba-Waldensian, Inc................................. 4,700 25,850
Albank Financial Corp................................. 89,180 4,158,018
*Aldila, Inc.......................................... 178,100 818,147
Alfa Corp............................................. 80,200 1,313,275
Alico, Inc............................................ 27,800 681,100
*Alkermes, Inc........................................ 68,500 1,357,156
*All American Semiconductor, Inc...................... 23,600 43,144
Allen Organ Co. Class B............................... 5,000 213,125
Alliance Bancorp...................................... 68,558 1,799,648
*Alliance Entertainment Corp.......................... 67,600 5,408
*Alliance Semiconductor Corp.......................... 364,700 2,313,566
*Allied Healthcare Products, Inc...................... 81,000 640,406
*Allied Holdings, Inc................................. 61,900 1,218,656
Allied Life Financial Corp............................ 31,600 667,550
*Allied Research Corp................................. 49,500 612,563
*Allou Health & Beauty Care, Inc. Class A............. 46,900 369,338
*Allstate Financial Corp.............................. 20,900 128,013
*Aloette Cosmetics, Inc............................... 17,300 51,359
*Alpha Beta Technology, Inc........................... 12,000 35,625
*Alpha Industries, Inc................................ 62,200 1,158,475
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Alpha Microsystems, Inc.............................. 28,500 $ 33,844
*Alpha Technologies Group, Inc........................ 74,400 274,350
Alpharma, Inc. Class A................................ 131,000 2,996,625
*Alteon, Inc.......................................... 13,400 77,469
Amcast Industrial Corp................................ 112,800 2,791,800
Amcore Financial, Inc................................. 51,850 1,241,159
*America West Holdings Corp. Class B.................. 486,900 7,759,969
American Annuity Group, Inc........................... 60,850 1,266,441
American Bank of Connecticut.......................... 23,300 1,096,556
*American Banknote Corp............................... 212,500 1,142,188
American Biltrite, Inc................................ 40,100 937,338
*American Classic Voyages Co.......................... 1,100 18,975
*American Eagle Group, Inc............................ 75,600 3,478
*American Eagle Outfitters, Inc....................... 33,700 1,139,481
*American Ecology Corp................................ 51,900 76,228
*American Freightways Corp............................ 472,000 6,903,000
American Heritage Life Investment Corp................ 129,400 4,755,450
*American Homepatient, Inc............................ 119,300 2,423,281
American Indemnity Financial Corp..................... 14,200 180,163
*American Medical Electronics, Inc. (Escrow-Bonus).... 20,800 0
*American Medical Electronics, Inc.
(Escrow-Earnings)................................... 20,800 0
*American Mobile Satellite Corp....................... 217,200 1,710,450
*American Oilfield Divers, Inc........................ 53,800 707,806
*American Pacific Corp................................ 90,400 666,700
*American Physicians Services Group, Inc.............. 42,400 307,400
*American Software, Inc. Class A...................... 122,100 1,137,056
*American Technical Ceramics Corp..................... 32,100 515,606
*American United Global, Inc.......................... 22,100 45,236
American Vanguard Corp................................ 7,040 51,040
*American Waste Services, Inc. Class A................ 200,900 301,350
American Woodmark Corp................................ 35,010 765,844
Americana Bancorp, Inc................................ 23,300 460,175
*Amerihost Properties, Inc............................ 60,600 399,581
*Ameristar Casinos, Inc............................... 54,800 288,556
*Ameriwood Industries International Corp.............. 47,200 297,950
Ameron, Inc........................................... 39,900 2,573,550
*Ames Department Stores, Inc.......................... 177,000 2,986,875
*Amistar Corp......................................... 42,300 153,338
Ampco-Pittsburgh Corp................................. 133,100 2,528,900
*Amrep Corp........................................... 76,592 421,256
*Amresco, Inc......................................... 10,000 277,500
*Amtech Corp.......................................... 157,700 734,291
*Amtran, Inc.......................................... 118,000 951,375
Amvestors Financial Corp.............................. 149,348 3,276,322
Amwest Insurance Group, Inc........................... 28,050 390,947
Analogic Corp......................................... 79,500 3,006,094
Analysis & Technology, Inc............................ 19,200 453,600
*#Anaren Microwave, Inc............................... 35,800 720,475
Anchor Bancorp Wisconsin, Inc......................... 59,850 1,874,053
Andover Bancorp, Inc. DE.............................. 57,460 2,152,954
Angelica Corp......................................... 163,400 3,513,100
*Ann Taylor Stores Corp............................... 395,900 5,641,575
</TABLE>
146
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Ansaldo Signal N.V................................... 69,550 $ 315,148
*Antec Corp........................................... 327,800 5,039,925
*Apertus Technologies, Inc............................ 107,400 184,594
*Apogee, Inc.......................................... 104,800 255,450
*Applied Extrusion Technologies, Inc.................. 117,700 930,566
*Applied Magnetics Corp............................... 63,000 1,063,125
*Applied Signal Technologies, Inc..................... 90,500 1,363,156
*#Arcadia Financial, Ltd.............................. 413,700 3,464,738
Arch Coal, Inc........................................ 55,000 1,447,188
*Arch Communications Group, Inc....................... 287,400 1,966,894
Arctic Cat, Inc....................................... 24,000 252,750
*#Argosy Gaming Corp.................................. 355,800 1,445,438
*Arkansas Best Corp................................... 219,000 2,422,688
*Armco, Inc........................................... 90,000 478,125
*Arrow Automotive Industries, Inc..................... 21,600 70,200
Arrow Financial Corp.................................. 5,495 180,328
*Artisoft, Inc........................................ 157,400 339,394
*Artistic Greetings, Inc.............................. 45,700 217,075
Arvin Industries, Inc................................. 156,800 5,409,600
*Asante Technologies, Inc............................. 92,500 450,938
*Ascent Entertainment Group, Inc...................... 66,696 721,151
*Aseco Corp........................................... 35,600 356,000
*Ashworth, Inc........................................ 7,400 79,781
*Astec Industries, Inc................................ 94,800 1,528,650
Astoria Financial Corp................................ 172,708 9,542,117
Astro-Med, Inc........................................ 49,675 409,819
*Astronics Corp....................................... 20,625 193,359
*Asyst Technologies, Inc.............................. 61,200 1,885,725
*Atchison Casting Corp................................ 76,200 1,314,450
*Athey Products Corp.................................. 17,140 73,381
*Atkinson (Guy F.) of California...................... 87,900 321,384
*Atlantic Gulf Communities Corp....................... 109,600 458,950
*Atlantic Tele-Network, Inc........................... 208,700 2,530,488
*Atlantis Plastics, Inc............................... 60,000 341,250
Atrion Corp........................................... 37,750 554,453
*Au Bon Pain, Inc. Class A............................ 115,500 1,046,719
*Audiovox Corp. Class A............................... 200,000 1,762,500
*Ault, Inc............................................ 9,500 65,609
*Autoimmune, Inc...................................... 123,000 357,469
*Autoinfo, Inc........................................ 71,700 42,572
*Autologic Information International, Inc............. 7,100 53,250
*Avatar Holdings, Inc................................. 23,000 652,625
*#Avatex Corp......................................... 189,340 331,345
*Aviall, Inc.......................................... 117,500 1,667,031
*Avid Technology, Inc................................. 116,500 3,422,188
*Avigen, Inc.......................................... 119,500 395,844
*Avondale Industries, Inc............................. 141,500 4,006,219
*Aydin Corp........................................... 54,300 624,450
*Aztar Corp........................................... 559,700 3,917,900
BEI Electronics, Inc.................................. 86,000 344,000
*BEI Technologies, Inc................................ 86,000 1,032,000
*BF Enterprises, Inc.................................. 2,300 19,838
*BFX Hospitality Group, Inc........................... 89,400 234,675
*BHC Communications, Inc. Class A..................... 7,100 891,050
*BI, Inc.............................................. 107,300 757,806
*BPI Packaging Technologies, Inc...................... 78,200 84,309
*BRC Holdings, Inc.................................... 55,400 2,309,488
BSB Bancorp, Inc...................................... 104,700 3,265,331
BT Financial Corp..................................... 28,912 1,340,794
*BT Office Products International, Inc................ 330,600 3,388,650
*BTU International, Inc............................... 75,800 431,113
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*BWAY Corp............................................ 76,200 $ 1,643,063
*Back Bay Restaurant Group, Inc....................... 36,200 233,038
Badger Meter, Inc..................................... 21,200 879,800
Badger Paper Mills, Inc............................... 10,400 87,750
Bairnco Corp.......................................... 88,200 870,975
Baker (J.), Inc....................................... 155,818 1,066,379
*Baker (Michael) Corp................................. 62,500 589,844
Baldwin & Lyons, Inc. Class B......................... 1,600 39,400
*Baldwin Piano & Organ Co............................. 27,000 445,500
*Baldwin Technology, Inc. Class A..................... 172,600 863,000
*Bally Total Fitness Holding Corp..................... 22,775 425,608
*Baltek Corp.......................................... 4,500 42,188
*Bancinsurance Corp................................... 51,700 248,806
Bancorp Connecticut, Inc.............................. 23,700 942,075
*Bank Plus Corp....................................... 169,000 1,869,563
*Bank United Financial Corp. Class A.................. 19,900 257,456
#BankAtlantic Bancorp, Inc. Class A................... 80,270 1,083,645
BankAtlantic Bancorp, Inc. Class B.................... 115,531 1,635,486
BankNorth Group, Inc. DE.............................. 27,200 1,640,500
*Banner Aerospace, Inc................................ 310,500 2,949,750
*Banyan System, Inc................................... 153,000 511,594
*Barry (R.G.) Corp.................................... 18,000 210,375
*Basin Exploration, Inc............................... 97,900 1,823,388
Bassett Furniture Industries, Inc..................... 135,350 3,975,906
Battle Mountain Gold Co............................... 317,700 1,598,428
#Bay View Capital Corp................................ 104,000 3,471,000
*Bayou Steel Corp. Class A............................ 121,300 439,713
*Be Aerospace, Inc.................................... 100,200 3,150,038
*Beazer Homes USA, Inc................................ 111,200 1,984,225
*Bel Fuse, Inc........................................ 57,800 1,130,713
*Bell Industries, Inc................................. 101,022 1,679,491
*Bell Microproducts, Inc.............................. 99,900 842,906
*Bell Sports Corp..................................... 158,700 1,334,072
*Bellwether Exploration Co............................ 81,600 851,700
*Ben & Jerry's Homemade, Inc. Class A................. 70,700 1,135,619
*Berlitz International, Inc........................... 79,100 2,041,769
*Bertuccis, Inc....................................... 99,100 631,763
*Best Buy Co., Inc.................................... 176,400 5,137,650
Bindley Western Industries, Inc....................... 133,100 4,092,825
Binks Sames Corp...................................... 30,918 1,329,474
*Bio Vascular, Inc.................................... 7,000 24,719
*Bio-Rad Laboratories, Inc. Class A................... 43,900 1,105,731
*Bird Corp............................................ 18,800 76,375
Birmingham Steel Corp................................. 401,500 6,147,969
*Biscayne Apparel, Inc................................ 2,093 1,439
*Black Hawk Gaming & Development, Inc................. 31,600 229,100
Blair Corp............................................ 127,100 2,422,844
Blessings Corp........................................ 66,700 950,475
*Bluegreen Corp....................................... 213,798 935,366
Bob Evans Farms, Inc.................................. 246,100 4,952,763
*Boca Research, Inc................................... 98,700 697,069
*Bombay Co., Inc...................................... 372,000 1,929,750
*Bon-Ton Stores, Inc.................................. 106,900 1,683,675
*Books-a-Million, Inc................................. 199,000 1,349,469
*Borland International, Inc........................... 124,100 1,248,756
*Boston Chicken, Inc.................................. 257,300 2,062,420
Bostonfed Bancorp, Inc................................ 15,000 308,438
Bowl America, Inc. Class A............................ 45,000 381,094
Bowne & Co., Inc...................................... 133,916 5,113,917
*Box Energy Corp. Class B............................. 5,200 37,538
</TABLE>
147
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Boyd Gaming Corp..................................... 353,000 $ 2,559,250
*Brauns Fashions Corp................................. 22,200 213,675
*Brazos Sportswear, Inc............................... 4,190 37,710
Brenton Banks, Inc.................................... 786 25,766
*Brite Voice Systems, Inc............................. 2,000 18,375
*Brock International, Inc............................. 45,700 188,513
*Brookstone, Inc...................................... 111,300 1,349,513
*Brothers Gourmet Coffees, Inc........................ 102,500 124,922
*Brown & Sharpe Manufacturing Co. Class A............. 173,600 1,779,400
Brown Group, Inc...................................... 297,200 4,810,925
Brush Wellman, Inc.................................... 156,000 3,705,000
*Buckhead America Corp................................ 15,700 129,525
*Buffets, Inc......................................... 103,000 917,344
*Builders Transport, Inc.............................. 61,600 184,800
*Building Materials Holding Corp...................... 197,000 2,228,563
*Bull Run Corp. GA.................................... 84,500 258,781
Burlington Coat Factory Warehouse Corp................ 364,500 6,811,594
*Burlington Industries, Inc........................... 14,000 203,000
*Burr Brown Corp...................................... 54,500 1,638,406
*Business Resource Group.............................. 33,400 123,163
*Butler International, Inc............................ 23,200 391,500
Butler Manufacturing Co............................... 45,500 1,541,313
*Buttrey Food & Drug Stores Co........................ 111,400 1,204,513
*C ATS Software, Inc.................................. 2,100 11,944
*C-COR Electronics, Inc............................... 12,000 187,500
*C.P. Clare Corp...................................... 52,000 698,750
CFX Corp.............................................. 151,000 4,190,250
*CMC Industries, Inc.................................. 30,700 374,156
*CML Group, Inc....................................... 326,300 1,142,050
CNA Surety Corp....................................... 135,600 1,966,200
*CNS Income........................................... 12,000 95,250
*CPAC, Inc............................................ 27,000 290,250
CPB, Inc.............................................. 107,000 2,223,594
CPI Corp.............................................. 112,400 2,093,450
*CSP, Inc............................................. 29,200 226,300
*CSS Industries, Inc.................................. 17,900 590,700
CTS Corp.............................................. 180,300 6,130,200
Cadmus Communications Corp............................ 94,100 2,011,388
*Caere Corp........................................... 33,900 297,155
*Cal-Maine Foods, Inc................................. 3,000 18,750
*Calcomp Technology, Inc.............................. 28,800 129,600
*#Caldor Corp......................................... 111,100 65,993
Calgon Carbon Corp.................................... 5,500 60,844
*California Microwave, Inc............................ 157,700 2,927,306
Calmat Co............................................. 272,500 7,136,094
*Calumet Bancorp, Inc................................. 27,000 870,750
*Cambridge Soundworks, Inc............................ 48,000 507,000
*Cameron Ashley Building Products, Inc................ 70,000 1,098,125
*Campo Eletronics, Appliances & Computers, Inc........ 43,900 43,214
*Canandaigua Wine Co., Inc. Class A................... 93,100 4,460,072
*Canisco Resources, Inc............................... 5,700 16,031
Cape Cod Bank & Trust Co.............................. 11,200 436,800
*Capital Pacific Holdings, Inc........................ 92,800 310,300
Capital Re Corp....................................... 101,400 5,684,738
Capitol Bancorp, Ltd.................................. 34,727 941,970
Capmac Holdings, Inc.................................. 106,600 3,611,075
*Capstone Pharmacy Services, Inc...................... 36,000 398,250
*Cardiotech International, Inc........................ 15,572 44,770
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Cardiovascular Dynamics, Inc......................... 105,000 $ 570,938
*Care Group, Inc...................................... 71,130 36,676
*Carlyle Industries, Inc.............................. 10,231 15,986
*Carmike Cinemas, Inc. Class A........................ 67,300 2,082,094
Carnegie Bancorp...................................... 18,195 564,045
*Carnegie Group, Inc.................................. 20,100 86,681
Carolina First Corp................................... 74,990 1,464,649
*Carr-Gottstein Foods Co.............................. 100,657 496,994
*Carson Pirie Scott & Co.............................. 180,400 9,313,150
*Carson, Inc.......................................... 8,000 65,000
Carter-Wallace, Inc................................... 270,800 4,485,125
*Carver Corp. WA...................................... 16,200 16,706
Cascade Corp.......................................... 14,600 262,800
*Casco International, Inc............................. 1,911 7,166
Cash America International, Inc....................... 239,200 2,990,000
*Casino America, Inc.................................. 323,400 929,775
*Casino Data Systems.................................. 206,300 934,797
*Casino Magic Corp.................................... 172,600 210,356
*Castle & Cooke, Inc.................................. 18,800 312,550
Castle Energy Corp.................................... 16,300 226,163
*Catalina Lighting, Inc............................... 85,700 530,269
*Catalyst Semiconductor, Inc.......................... 92,400 148,706
*Catherines Stores Corp............................... 114,400 718,575
Cato Corp. Class A.................................... 371,700 3,484,688
Cavalier Homes, Inc................................... 13,000 126,750
*Cayenne Software, Inc................................ 52,100 127,808
*Celadon Group, Inc................................... 100,000 1,512,500
*Celebrity, Inc....................................... 105,300 210,600
*Cell Genesys, Inc.................................... 35,500 303,969
*Cellpro, Inc......................................... 136,800 384,750
*Cellstar Corp........................................ 22,800 591,375
Cenfed Financial Corp................................. 58,722 2,354,385
Cenit Bancorp, Inc.................................... 18,300 1,251,263
*Centennial Cellular Corp. Class A.................... 166,800 3,184,838
*Centigram Communications Corp........................ 86,800 1,424,063
Central Co-Operative Bank Somerville, MA.............. 24,100 638,650
Central Reserve Life Corp............................. 26,600 133,000
*Central Sprinkler Corp............................... 31,900 574,200
Centris Group, Inc.................................... 72,400 1,570,175
*Cephalon, Inc........................................ 48,600 495,113
*Ceradyne, Inc........................................ 34,800 160,406
*Cerion Technologies, Inc............................. 81,500 185,922
Chaparral Steel Co.................................... 225,500 3,467,063
*Charming Shoppes, Inc................................ 1,221,500 5,973,898
*Chart House Enterprises, Inc......................... 114,300 800,100
Charter Financial, Inc................................ 46,400 1,028,050
*Check Technology Corp................................ 47,600 188,913
*#Checkers Drive-In Restaurant, Inc................... 100 111
*Checkmate Electronics, Inc........................... 62,000 457,250
*Checkpoint System, Inc............................... 306,500 4,942,313
Chemed Corp........................................... 29,500 1,154,188
*Chemfab Corp......................................... 16,050 368,147
*Cherry Corp. Class A................................. 48,700 744,197
*Cherry Corp. Class B................................. 32,500 475,313
Chesapeake Corp....................................... 1,500 51,375
#Chesapeake Energy Corp............................... 350,400 2,693,700
Chester Valley Bancorp................................ 794 21,240
*Chic by His, Inc..................................... 109,700 809,038
Chicago Rivet & Machine Co............................ 11,800 351,050
*Children's Discovery Centers of America, Inc. Class
A................................................... 76,200 619,125
</TABLE>
148
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Childtime Learning Centers, Inc...................... 37,900 $ 523,494
*Chips & Technologies, Inc............................ 19,300 297,341
Chittenden Corp....................................... 17,820 786,308
*Chock Full O' Nuts Corp.............................. 125,323 900,759
*Christiana Companies, Inc............................ 60,000 2,250,000
*Chrysalis International Corp......................... 65,000 255,938
*Cidco, Inc........................................... 128,800 2,632,350
*Cinergi Pictures Entertainment, Inc.................. 73,700 172,734
*Ciprico, Inc......................................... 23,800 299,731
*Circon Corp.......................................... 26,500 405,781
*Circuit Systems, Inc................................. 53,000 235,188
*Citadel Holding Corp................................. 73,300 297,781
*Citation Computer System, Inc........................ 11,200 76,300
*Citation Corp........................................ 153,900 2,625,919
Citfed Bancorp, Inc................................... 48,400 2,450,250
Citizens Banking Corp................................. 97,050 2,838,713
*Citizens, Inc. Class A............................... 10,600 72,875
*Civic Bancorp........................................ 37,695 610,188
*Clean Harbors, Inc................................... 117,500 229,492
Cleveland Cliffs, Inc................................. 131,300 5,662,313
*Clintrials Research, Inc............................. 286,300 2,451,444
*Coast Distribution System............................ 85,100 287,213
Coastal Bancorp, Inc.................................. 51,400 1,497,025
*Coastal Physician Group, Inc......................... 197,900 222,638
*Coastcast Corp....................................... 41,800 587,813
*Cobra Electronic Corp................................ 54,700 434,181
*Code-Alarm, Inc...................................... 23,200 55,100
*Coeur d'Alene Mines Corp. ID......................... 242,800 2,094,150
*Coherent, Inc........................................ 36,800 1,382,300
*Coho Energy, Inc..................................... 270,200 2,752,663
*Cohr, Inc............................................ 16,400 202,438
Collagen Corp......................................... 107,300 2,132,588
Collins Industries, Inc............................... 12,500 83,594
*Columbia Banking System, Inc......................... 32,697 870,558
*Columbus Energy Corp................................. 22,375 192,984
*Comdial Corp......................................... 91,800 975,375
Commercial Bancshares, Inc............................ 24,045 590,605
Commercial Federal Corp............................... 2,294 110,255
Commercial Intertech Corp............................. 86,600 1,547,975
Commercial Metals Co.................................. 154,900 5,102,019
Commonwealth Bancorp, Inc............................. 12,500 252,344
Commonwealth Industries, Inc.......................... 125,800 2,107,150
*Communications Central, Inc.......................... 57,200 575,575
Community Bank System, Inc............................ 58,000 1,674,750
Community Trust Bancorp, Inc.......................... 43,370 1,322,785
*Compdent Corp........................................ 61,600 1,274,350
*#Complete Management, Inc............................ 20,000 332,500
Computer Data Systems, Inc............................ 18,700 758,519
*Computer Network Technology Corp..................... 282,000 1,136,813
*Computer Outsourcing Services, Inc................... 42,800 377,175
*Computrac, Inc....................................... 25,900 25,900
*Comshare, Inc........................................ 14,250 83,719
*Comstock Resources, Inc.............................. 5,900 77,438
*Comtech Telecommunications Corp...................... 26,900 122,311
*Concord Camera Corp.................................. 12,300 51,891
*Concord Fabrics, Inc. Class A........................ 16,400 147,088
*Cone Mills Corp. NC.................................. 262,300 2,065,613
*Congoleum Corp. Class A.............................. 3,400 34,638
*Conmed Corp.......................................... 198,561 4,691,004
*Continental Can, Inc. DE............................. 38,400 844,800
Continental Homes Holding Corp........................ 79,748 2,596,794
*Continental Materials Corp........................... 2,300 62,963
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Cooker Restaurant Corp................................ 150,000 $ 1,490,625
*Cooperative Bankshares, Inc.......................... 20,800 357,500
*Copart, Inc.......................................... 122,700 2,139,581
*Copley Pharmaceutical, Inc........................... 148,100 1,055,213
*Coram Healthcare Corp................................ 45,800 166,025
*Corcom, Inc.......................................... 900 8,831
*Core, Inc............................................ 7,400 77,469
*Cornerstone Imaging, Inc............................. 86,400 413,100
*Corrpro Companies, Inc............................... 68,300 964,738
*Cortech, Inc......................................... 71,900 44,938
*Cosmetic Centers, Inc. Class C....................... 8,646 27,019
Courier Corp.......................................... 15,600 432,900
*Cover-All Technologies, Inc.......................... 31,901 124,613
Covest Bancshares, Inc................................ 32,550 862,575
*Craig Corp........................................... 38,600 738,225
*Criticare Systems, Inc............................... 53,900 218,969
Cross (A.T.) Co. Class A.............................. 160,300 1,718,216
*Crowley, Milner & Co................................. 18,000 184,500
*Crown Books Corp..................................... 20,300 151,616
*Crown Central Petroleum Corp. Class A................ 71,000 1,428,875
*Crown Central Petroleum Corp. Class B................ 59,400 1,128,600
Crown Crafts, Inc..................................... 80,900 1,314,625
*Crown Vantage, Inc................................... 21,020 210,200
*Crown-Andersen, Inc.................................. 20,000 135,000
*Cruise America, Inc.................................. 45,500 418,031
Cubic Corp............................................ 89,950 2,889,644
*Cuisine Solutions, Inc............................... 12,000 16,125
Culp, Inc............................................. 8,100 150,863
Curtiss-Wright Corp................................... 43,600 3,332,675
*Cyberoptics Corp..................................... 43,700 1,188,094
*Cybex International, Inc............................. 43,300 470,888
*Cyrk, Inc............................................ 193,500 2,261,531
*Cytrx Corp........................................... 86,000 357,438
D&N Financial Corp.................................... 49,700 1,208,331
*DBA Systems, Inc..................................... 45,900 324,169
*DII Group, Inc....................................... 66,400 1,489,850
*DIY Home Warehouse, Inc.............................. 84,800 339,200
*DM Management Co..................................... 32,300 575,344
*DSP Technology, Inc.................................. 13,600 146,200
DT Industries, Inc.................................... 59,300 1,651,134
*DVI, Inc............................................. 96,700 1,764,775
*Dairy Mart Convenience Stores, Inc. Class A.......... 9,000 40,500
*Dakota Mining Corp................................... 10,909 3,409
*Dakotah, Inc......................................... 5,000 10,156
*Damark International, Inc. Class A................... 80,800 999,900
Dames & Moore, Inc.................................... 178,300 2,206,463
Daniel Industries, Inc................................ 145,700 2,704,556
Dart Group Corp. Class A.............................. 5,600 653,800
*Data Broadcasting Corp............................... 119,470 843,757
*Data I/O Corp........................................ 69,400 511,825
*#Data Race, Inc...................................... 29,800 141,550
*Data Systems & Software, Inc......................... 86,800 463,838
*Data Systems Network Corp............................ 3,228 37,526
*Data Translation, Inc................................ 8,250 26,297
*Dataflex Corp........................................ 66,500 284,703
*Datakey, Inc......................................... 19,100 76,997
*Dataram Corp......................................... 31,160 268,755
*Datascope Corp....................................... 24,000 609,000
*Dataware Technologies, Inc........................... 65,700 209,419
</TABLE>
149
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Datron Systems, Inc.................................. 30,000 $ 305,625
*Datum, Inc........................................... 35,800 673,488
*Davco Restaurants, Inc............................... 42,800 839,950
*Daw Technologies, Inc................................ 111,900 227,297
*Dawson Geophysical Co................................ 36,600 697,688
Daxor Corp............................................ 52,000 624,000
*DeGeorge Financial Corp.............................. 19,900 17,413
Deb Shops, Inc........................................ 142,000 816,500
*Deckers Outdoor Corp................................. 100,100 835,209
Decorator Industries, Inc............................. 16,666 152,077
Defiance, Inc......................................... 73,100 581,373
*Deflecta-Shield Corp................................. 49,600 779,650
*Del Global Technologies Corp......................... 85,877 848,035
Delta Natural Gas Co., Inc............................ 26,100 473,063
Delta Woodside Industries, Inc........................ 278,200 1,634,425
*Designer Holdings, Ltd............................... 189,000 1,771,875
*Designs, Inc......................................... 178,800 611,831
*Detection Systems, Inc............................... 30,000 442,500
*Detrex Corp.......................................... 2,800 28,875
*Detroit Diesel Corp.................................. 190,300 4,341,219
*Devcon International Corp............................ 50,800 250,825
*Devlieg-Bullard, Inc................................. 6,600 28,463
*Diamond Multimedia Systems, Inc...................... 188,400 1,866,338
*Dianon Systems, Inc.................................. 40,000 337,500
*Digi International, Inc.............................. 124,000 2,425,750
*Digital Sound Corp................................... 25,000 28,906
Dime Bancorp, Inc..................................... 92,004 2,231,097
Dime Financial Corp................................... 38,900 1,213,194
*Discount Auto Parts, Inc............................. 167,900 3,137,631
*Dixie Group, Inc..................................... 122,400 1,346,400
*Dixon Ticonderoga Co................................. 27,250 383,203
*#Dominion Bridge Corp................................ 179,500 350,586
*Dominion Homes, Inc.................................. 70,100 638,567
Donegal Group, Inc.................................... 52,833 1,096,285
Donnelly Corp. Class A................................ 78,250 1,437,844
*Donnkenny, Inc....................................... 157,300 540,719
*Dotronix, Inc........................................ 1,000 953
Downey Financial Corp................................. 282,927 7,780,493
*Dravo Corp........................................... 22,800 226,575
*Dress Barn, Inc...................................... 160,823 4,161,295
*Drug Emporium, Inc................................... 188,400 741,825
*#Drypers Corp........................................ 49,400 276,331
*Durakon Industries, Inc.............................. 107,400 976,669
Dyersburg Corp........................................ 124,200 1,540,856
*Dynamics Research Corp............................... 71,364 896,510
*E-Z-Em, Inc. Class A................................. 43,200 318,600
*E-Z-Em, Inc. Class B................................. 2,473 17,002
*EA Engineering Science & Technology, Inc............. 55,825 113,395
*EA Industries, Inc................................... 44,400 258,075
*ECC International Corp............................... 90,500 356,344
*EFTC Corp............................................ 34,700 518,331
*EIS International, Inc............................... 132,800 879,800
*ELXSI Corp........................................... 27,900 369,675
EMC Insurance Group, Inc.............................. 33,600 449,400
*ERLY Industries, Inc................................. 21,120 151,800
*ESCO Electronics Corp. Trust Receipts................ 193,400 3,166,925
Eagle Bancshares, Inc................................. 64,600 1,231,438
Eagle Financial Corp.................................. 52,039 2,680,009
*Eagle Food Centers, Inc.............................. 79,200 396,000
*Eagle Hardware & Garden, Inc......................... 165,400 2,816,969
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Eagle Point Software Corp............................ 80,000 $ 277,500
Easco, Inc............................................ 108,000 1,262,250
Eastern Co............................................ 19,600 352,800
Eaton Vance Corp...................................... 159,846 5,584,620
Ecology & Environment, Inc. Class A................... 22,300 248,088
*Edelbrock Corp....................................... 85,000 1,381,250
*#Edison Brothers Stores, Inc......................... 44,500 0
Edo Corp.............................................. 31,500 279,563
*Education Alternatives, Inc.......................... 80,100 370,463
*Educational Insights, Inc............................ 49,300 120,939
*Egghead, Inc......................................... 224,625 1,635,551
*Ekco Group, Inc...................................... 214,300 1,500,100
*El Chico Restaurants, Inc............................ 42,900 496,031
*El Paso Electric Co.................................. 306,700 2,070,225
Elcor Corp............................................ 23,550 571,088
*Electro Rent Corp.................................... 37,000 1,385,188
*Electro Scientific Industries, Inc................... 42,400 1,762,250
*Electroglas, Inc..................................... 147,500 2,774,844
*Electromagnetic Sciences, Inc........................ 70,250 1,255,719
*Elek-Tek, Inc........................................ 52,400 5,240
Ellett Brothers, Inc.................................. 14,400 81,900
*Emcon................................................ 93,200 515,513
*#Empire of Carolina, Inc............................. 87,550 175,100
*Emulex Corp.......................................... 11,750 187,266
Energen Corp.......................................... 116,700 4,434,600
Engineered Support Systems, Inc....................... 24,500 528,281
#Engle Homes, Inc..................................... 78,700 1,153,447
Enhance Financial Services Group, Inc................. 41,100 2,296,463
*Enstar, Inc.......................................... 20,866 169,536
*Environmental Elements Corp.......................... 30,300 83,325
*Envirotest Systems Corp. Class A..................... 98,100 539,550
*#Equinox Systems, Inc................................ 35,400 651,581
*Equitex, Inc......................................... 9,400 9,106
*Equitrac Corp........................................ 26,500 445,531
*Equity Oil Co........................................ 142,900 473,356
Eskimo Pie Corp....................................... 3,300 34,856
Espey Manufacturing & Electronics Corp................ 3,500 60,375
*Esterline Technologies Corp.......................... 63,600 2,249,850
*Evans & Sutherland Computer Corp..................... 93,000 2,859,750
*Evans Systems, Inc................................... 23,585 42,011
*Evans, Inc........................................... 80,800 194,425
Evergreen Bancorp, Inc. DE............................ 63,100 1,494,681
*Evergreen Resources, Inc............................. 39,000 606,938
*Exabyte Corp......................................... 225,000 2,200,781
*Exar Corp............................................ 101,500 2,543,844
Excel Industries, Inc................................. 125,200 2,433,575
*Executone Information Systems, Inc................... 190,600 413,959
#Exide Corp........................................... 250,100 5,971,138
*Ezcorp, Inc. Class A Non-Voting...................... 139,100 1,577,916
FCB Financial Corp.................................... 22,600 618,675
FDP Corp.............................................. 10,500 108,281
FFLC Bancorp.......................................... 50,833 1,156,451
FFY Financial Corp.................................... 42,300 1,263,713
*FM Properties, Inc................................... 136,200 676,744
FNB Rochester Corp.................................... 30,300 516,994
*FPA Corp............................................. 20,100 23,241
*FSI International, Inc............................... 212,900 3,253,378
*FTP Software, Inc.................................... 299,800 679,234
Fab Industries, Inc................................... 67,081 1,995,660
</TABLE>
150
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Fabri-Centers of America, Inc. Class A............... 35,700 $ 747,469
*Fabri-Centers of America, Inc. Class B............... 35,700 718,463
*Failure Group, Inc................................... 69,500 655,906
*Fairchild Corp. Class A.............................. 143,900 3,264,731
*Fansteel, Inc........................................ 74,700 662,963
*Farah, Inc........................................... 163,600 848,675
Farmer Brothers Co.................................... 84 13,398
*Farr Co.............................................. 34,800 545,925
Farrel Corp........................................... 62,200 219,644
Federal Screw Works................................... 2,000 120,250
*Fibermark, Inc....................................... 46,550 986,278
Fidelity Bancorp, Inc. Delaware....................... 32,700 748,013
Fidelity National Financial, Inc...................... 9,000 234,000
*Fieldcrest Cannon, Inc............................... 104,600 3,523,713
*Figgie International, Inc. Class B................... 17,700 230,100
*Filenes Basement Corp................................ 246,200 1,546,444
*Filenet Corp......................................... 5,200 142,675
Financial Bancorp., Inc............................... 25,000 623,438
*Finish Line, Inc. Class A............................ 15,500 294,500
First Albany Companies, Inc........................... 28,866 427,587
*First Alert, Inc..................................... 270,400 760,500
First American Financial Corp......................... 112,500 6,890,625
First Bell Bancorp, Inc............................... 2,700 47,588
*First Cash, Inc...................................... 45,200 368,663
First Central Financial Corp.......................... 49,600 27,900
First Citizens Bancshares, Inc. NC.................... 30,400 3,351,600
First Colorado Bancorp................................ 4,200 96,075
First Commonwealth Financial Corp..................... 9,700 246,744
First Defiance Financial Corp......................... 108,600 1,676,513
First Essex Bancorp................................... 86,400 1,701,000
First Federal Capital Corp............................ 65,610 1,820,678
First Federal Savings & Loan Association of East
Hartford, CT........................................ 31,000 1,147,000
First Financial Holdings, Inc......................... 50,300 2,140,894
First Indiana Corp.................................... 76,922 2,009,587
First Liberty Financial Corp.......................... 47,850 1,312,884
*#First Merchants Acceptance Corp..................... 65,300 2,041
First Northern Capital Corp........................... 98,700 1,307,775
First Oak Brook Bancshares, Inc. Class A.............. 14,500 598,125
First Palm Beach Bancorp, Inc......................... 55,200 2,152,800
*First Republic Bank.................................. 112,703 3,113,420
First Savings Bancorp, Inc. North Carolina............ 48,000 1,152,000
First Savings Bank.................................... 77,200 1,944,475
*First Team Sports, Inc............................... 85,600 326,350
First Western Bancorp, Inc............................ 19,200 532,800
Firstbank of Illinois Co.............................. 1,800 57,206
*FirstFed Financial Corp. DE.......................... 95,700 3,493,050
*Fischer Imaging Corp................................. 100,600 578,450
Fleming Companies, Inc................................ 260,597 4,332,425
Flexsteel Industries, Inc............................. 78,400 921,200
Florida Rock Industries, Inc.......................... 186,000 4,836,000
*Florsheim Group, Inc................................. 82,400 744,175
Fluke Corp............................................ 96,620 2,294,725
*Fluor Daniel/GTI, Inc................................ 15,822 147,342
Flushing Financial Corp............................... 4,500 99,000
*Foilmark, Inc........................................ 36,100 114,505
*Foodarama Supermarkets, Inc.......................... 12,400 274,350
*Foothill Independent Bancorp......................... 39,842 647,433
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Forest City Enterprises, Inc. Class A................. 38,450 $ 2,196,456
*Foster (L.B.) Co. Class A............................ 115,800 607,950
*Four Kids Entertainment, Inc......................... 17,000 61,625
Frankfort First Bancorp, Inc.......................... 1,300 12,269
Franklin Bank National Associaton Southfield, MI...... 36,460 606,148
*Franklin Electronic Publishers, Inc.................. 86,100 1,226,925
Freds, Inc. Class A................................... 97,400 2,386,300
*Fresh Choice, Inc.................................... 64,900 273,797
Friedman Industries, Inc.............................. 55,517 388,619
*Friedmans, Inc. Class A.............................. 149,300 2,174,181
Frisch's Restaurants, Inc............................. 77,405 1,025,616
Frozen Food Express Industries, Inc................... 56,300 555,963
*Funco, Inc........................................... 34,300 647,413
*Fund American Enterprises Holdings, Inc.............. 1,000 122,625
*Fuqua Enterprises, Inc............................... 44,800 1,360,800
*G-III Apparel Group, Ltd............................. 73,200 382,013
GBC Bancorp........................................... 48,200 2,641,963
*GC Companies, Inc.................................... 71,300 3,092,638
*GKN Holding Corp..................................... 8,100 33,919
*GNI Group, Inc....................................... 42,700 248,194
*GT Bicycles, Inc..................................... 93,700 635,403
*GTI Corp............................................. 113,200 672,125
*GZA Geoenvironmental Technologies, Inc............... 36,500 185,922
Gainsco, Inc.......................................... 79,000 661,625
*Galey & Lord, Inc.................................... 118,500 2,133,000
*Galileo Corp......................................... 66,100 739,494
Gamma Biologicals, Inc................................ 52,000 260,000
*Gantos, Inc.......................................... 84,350 100,166
Garan, Inc............................................ 58,000 1,435,500
*Garden Botanika, Inc................................. 67,200 302,400
*Garden Fresh Restaurant Corp......................... 45,900 651,206
*Garnet Resources Corp................................ 39,600 9,281
*Gasonics International, Inc.......................... 19,200 255,600
*Gehl Co.............................................. 68,600 1,564,938
*General Communications, Inc. Class A................. 72,900 503,466
*#General Datacomm Industries, Inc.................... 219,000 1,149,750
*General Host Corp.................................... 314,370 1,670,091
General Housewares Corp............................... 38,700 362,813
*General Microwave Corp............................... 400 3,800
*General Surgical Innovations, Inc.................... 145,000 670,625
*Genesco, Inc......................................... 27,700 360,100
*#Geneva Steel Co. Class A............................ 202,100 505,250
*Genicom Corp......................................... 90,400 1,243,000
*Genlyte Group, Inc................................... 85,500 1,480,219
Genovese Drug Stores, Inc. Class A.................... 12,650 230,863
*Gensym Corp.......................................... 71,200 384,925
*Genus, Inc........................................... 178,300 763,347
Geon Co............................................... 103,500 2,445,188
George Mason Bankshares, Inc.......................... 15,000 577,500
*Geoscience Corp...................................... 50,000 612,500
Gerber Scientific, Inc................................ 339,500 6,790,000
*Getty Petroleum Marketing, Inc....................... 198,300 1,053,469
*Giant Group, Ltd..................................... 50,600 379,500
Giant Industries, Inc................................. 154,900 2,846,288
*Gibraltar Packaging Group, Inc....................... 67,200 180,600
*Gibson Greetings, Inc................................ 185,000 4,364,844
*Giga-Tronics, Inc.................................... 19,900 200,866
*Gish Biomedical, Inc................................. 42,300 206,213
</TABLE>
151
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Gleason Corp.......................................... 93,800 $ 2,432,938
*Global Industrial Technologies, Inc.................. 218,300 3,902,113
*Global Motorsport Group, Inc......................... 62,500 863,281
*Global Village Communication, Inc.................... 92,200 181,519
*Golden Books Family Entertainment, Inc............... 90,800 856,925
*Good Guys, Inc....................................... 218,300 1,800,975
Gorman-Rupp Co........................................ 15,100 283,125
*Gottschalks, Inc..................................... 107,300 918,756
*Government Technology Services, Inc.................. 68,200 362,313
*Gradco Systems, Inc.................................. 78,000 633,750
*Graham Corp.......................................... 25,950 544,950
*Graham-Field Health Products, Inc.................... 92,400 1,380,225
*Grand Casinos, Inc................................... 460,900 6,049,313
Grand Premier Financial, Inc.......................... 54,907 777,277
Granite Construction, Inc............................. 201,150 4,601,306
Granite State Bankshares, Inc......................... 22,800 508,725
Green (A.P.) Industries, Inc.......................... 95,294 1,107,793
Greenbrier Companies, Inc............................. 189,900 3,252,038
*Greyhound Lines, Inc................................. 254,000 1,000,125
*Grist Mill & Co...................................... 76,600 713,338
*Grossmans, Inc....................................... 154,000 1,386
*Group Technologies Corp.............................. 105,000 334,688
*Gryphon Holdings, Inc................................ 106,800 1,755,525
Guaranty National Corp................................ 79,305 2,845,067
*Guest Supply, Inc.................................... 58,700 807,125
Guilford Mills, Inc................................... 251,500 6,366,094
*Gulfmark Offshore, Inc............................... 22,200 746,475
*Gundle/SLT Environmental, Inc........................ 267,900 1,322,756
*HCIA, Inc............................................ 114,400 1,376,375
HF Financial Corp..................................... 29,300 747,150
*HMI Industries, Inc.................................. 9,000 50,625
*HMN Financial, Inc................................... 44,400 1,151,625
*HPSC, Inc............................................ 42,000 246,750
*HS Resources, Inc.................................... 221,300 3,526,969
*Haemonetics Corp..................................... 25,000 365,625
Haggar Corp........................................... 96,700 1,535,113
*Hahn Automotive Warehouse, Inc....................... 38,746 247,006
*Hampshire Group, Ltd................................. 19,100 362,900
*Hampton Industries, Inc.............................. 47,690 411,326
*Handleman Co......................................... 484,436 3,239,666
Handy & Harman........................................ 98,007 2,192,907
*Hanger Orthopedic Group, Inc......................... 5,600 69,300
*Harding Lawson Associates Group, Inc................. 51,700 494,381
Harleysville Group, Inc............................... 305,600 7,162,500
Harris Financial, Inc................................. 29,500 564,188
*#Harry's Farmers Market, Inc. Class A................ 46,100 96,522
*Hartmarx Corp........................................ 371,800 3,020,875
*Harvey Entertainment Co.............................. 36,600 516,975
Harvey's Casino Resorts............................... 112,100 2,220,981
Haskel International, Inc............................. 37,600 454,725
Hastings Manufacturing Co............................. 850 34,850
*Hathaway Corp........................................ 45,300 130,238
*Hauser, Inc.......................................... 116,700 780,431
Haven Bancorp, Inc.................................... 45,300 1,947,900
Haverty Furniture Co., Inc............................ 140,100 1,799,409
*Hawthorne Financial Corp............................. 30,600 640,688
*Hays Wheels International, Inc....................... 21,700 647,609
*Health Management Systems, Inc....................... 32,100 198,619
*Health Risk Management, Inc.......................... 42,800 460,100
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Healthcare Services Group, Inc....................... 92,200 $ 1,172,669
*Healthcor Holdings................................... 65,300 302,013
Healthplan Services Corp.............................. 19,453 375,686
*#Heartland Wireless Communications, Inc.............. 30,000 58,125
*Hector Communications Corp........................... 8,500 77,031
Heilig-Meyers Co...................................... 242,750 3,140,578
*Hein-Werner Corp..................................... 18,886 133,382
*Heist (C.H.) Corp.................................... 16,800 116,025
*Hello Direct, Inc.................................... 84,100 609,725
Heritage Financial Services, Inc...................... 500 12,813
*Herley Industries, Inc............................... 20,533 282,970
*Hi-Lo Automotive, Inc................................ 126,700 348,425
*Hi-Shear Industries, Inc............................. 53,500 132,092
*Hi-Tech Pharmacal, Inc............................... 48,700 246,544
*High Plains Corp..................................... 177,300 559,603
Hoenig Group, Inc..................................... 104,700 595,481
*Holiday RV Superstores, Inc.......................... 60,800 95,000
Holly Corp............................................ 88,500 2,389,500
*Hollywood Casino Corp. Class A....................... 5,900 14,566
*Hollywood Entertainment Corp......................... 67,100 577,689
*Hollywood Park, Inc.................................. 48,500 936,656
*Hologic, Inc......................................... 19,600 509,600
*Holopak Technologies, Inc............................ 27,800 97,300
Home Federal Bancorp.................................. 34,875 941,625
Home Port Bancorp, Inc................................ 14,500 342,563
*Home Products International, Inc..................... 4,900 54,819
*Home State Holdings, Inc............................. 79,500 12,402
*Homebase, Inc........................................ 104,550 875,606
*Homecorp, Inc........................................ 7,650 192,206
*Homeowners Group, Inc................................ 21,600 17,896
Horizon Financial Corp................................ 82,265 1,372,797
*Hospital Staffing Services, Inc...................... 62,200 58,313
*Housecall Medical Resources, Inc..................... 29,400 94,631
*Hovnanian Enterprises, Inc. Class A.................. 211,784 1,548,671
#Howell Corp.......................................... 34,200 664,763
Hudson Foods, Inc. Class A............................ 322,250 6,102,609
Hudson General Corp................................... 32,900 1,595,650
*Hudson Technologies, Inc............................. 33,100 154,122
Huffy Corp............................................ 128,500 1,935,531
Hughes Supply, Inc.................................... 191,000 6,255,250
*Hugoton Energy Corp.................................. 291,000 2,782,688
Hunt (J.B.) Transport Services, Inc................... 365,500 5,962,219
Huntco, Inc. Class A.................................. 84,500 1,066,813
*Hurco Companies, Inc................................. 23,500 198,281
*#Hutchinson Technology, Inc.......................... 12,000 285,750
*Hycor Biomedical, Inc................................ 77,700 165,113
*Hyde Athletic Industries, Inc. Class A............... 19,800 90,956
*Hyde Athletic Industries, Inc. Class B............... 30,000 150,000
IBS Financial Corp.................................... 4,900 84,984
*ICF Kaiser International, Inc........................ 60,300 128,138
ICO, Inc.............................................. 241,800 1,473,469
*ICU Medical, Inc..................................... 79,400 868,438
*IEC Electronics Corp................................. 118,600 1,823,475
IFR Systems, Inc...................................... 26,000 786,500
*IHOP Corp............................................ 33,900 1,158,956
*ILC Technology, Inc.................................. 12,000 174,000
*IPC Information Systems, Inc......................... 8,900 162,981
ISB Financial Corp. LA................................ 25,100 647,894
*ITC Learning Corp.................................... 49,200 218,325
*ITEQ, Inc............................................ 76,559 901,961
*ITI Technologies, Inc................................ 5,600 139,650
</TABLE>
152
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Ibah, Inc............................................ 243,000 $ 827,719
*Imation Corp......................................... 10,300 179,606
*Immulogic Pharmaceutical Corp........................ 180,100 410,853
#Imperial Holly Corp.................................. 172,100 1,860,831
*In Focus Systems, Inc................................ 24,000 790,500
*In Home Health, Inc.................................. 116,200 128,909
*#Inacom Corp......................................... 89,000 2,525,375
*Inco Homes Corp...................................... 156 556
*Indenet, Inc......................................... 68,000 149,813
Independence Holding Co............................... 52,600 644,350
Independent Bank Corp. MA............................. 61,200 998,325
Independent Bank East................................. 13,891 447,117
Industrial Acoustics Co., Inc......................... 700 7,788
*Inference Corp. Class A.............................. 115,000 589,375
*Information Resources, Inc........................... 77,600 1,164,000
*Information Storage Devices, Inc..................... 106,000 748,625
Ingles Market, Inc. Class A........................... 99,700 1,333,488
*Innodata Corp........................................ 11,600 9,606
*Innoserv Technologies, Inc........................... 13,700 32,966
Insituform East, Inc.................................. 31,200 83,850
*Insituform Technologies, Inc. Class A................ 256,300 2,274,663
*Inso Corp............................................ 36,000 387,000
Insteel Industries, Inc............................... 84,100 630,750
Instron Corp.......................................... 63,500 1,079,500
*Insurance Auto Auctions, Inc......................... 121,500 1,290,938
*Integrated Silicon Solution, Inc..................... 106,200 1,048,725
*Intellicall, Inc..................................... 29,500 162,250
*Intelligent Electronics, Inc......................... 334,639 1,725,482
*Intelligent Systems Corp............................. 52,375 274,969
Intercargo Corp....................................... 30,100 406,350
*Interface Systems, Inc............................... 49,600 148,800
Interface, Inc. Class A............................... 144,600 4,297,331
*Intergraph Corp...................................... 464,900 4,866,922
*Interlinq Software Corp.............................. 62,200 264,350
*International Alliance Services, Inc................. 17,560 253,523
International Aluminum Corp........................... 48,900 1,515,900
*International Lottery & Totalizer Systems, Inc....... 9,600 14,850
International Multifoods Corp......................... 241,400 6,487,625
*International Rectifier Corp......................... 548,400 7,746,150
*International Remote Imaging Systems, Inc............ 3,000 12,000
International Shipholding Corp........................ 70,475 1,264,145
*International Technology Corp........................ 111,725 921,731
*International Thoroughbred Breeders, Inc............. 110,000 385,000
*Interphase Corp...................................... 65,100 421,116
Interpool, Inc........................................ 125,400 1,747,763
Interra Financial, Inc................................ 37,250 2,055,734
Interstate Johnson Lane, Inc.......................... 40,100 1,037,588
*Intertan, Inc........................................ 131,400 747,338
*Intervisual Books, Inc. Class A...................... 9,900 25,369
Interwest Bancorp..................................... 17,600 683,100
Invacare Corp......................................... 12,100 281,325
Investors Financial Services Corp..................... 1,039 43,898
Investors Title Co.................................... 18,200 398,125
Isco, Inc............................................. 21,900 201,206
*Isolyser Co., Inc.................................... 507,600 1,522,800
*Iwerks Entertainment, Inc............................ 191,700 706,894
*J & J Snack Foods Corp............................... 100,100 1,626,625
J & L Specialty Steel, Inc............................ 365,800 3,566,550
*J. Alexander's Corp.................................. 63,500 345,281
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*JPE, Inc............................................. 63,300 $ 363,975
JSB Financial, Inc.................................... 105,400 4,914,275
*Jackpot Enterprises, Inc............................. 100,600 1,219,775
*Jaclyn, Inc.......................................... 26,900 117,688
*Jaco Electronics, Inc................................ 45,446 306,761
*Jacobson Stores, Inc................................. 62,650 689,150
*Jan Bell Marketing, Inc.............................. 262,500 738,281
*Jason, Inc........................................... 197,500 1,518,281
*Jean Philippe Fragrances, Inc........................ 103,200 799,800
Jefferson Savings Bancorp, Inc........................ 30,000 1,286,250
John Alden Financial Corp............................. 351,200 9,460,450
*Johnson Worldwide Associates, Inc. Class A........... 122,100 2,045,175
Johnston Industries, Inc.............................. 113,925 590,986
*Johnstown American Industries, Inc................... 117,900 1,245,319
*Jones Intercable, Inc................................ 48,900 641,813
*Jones Intercable, Inc. Class A....................... 335,100 4,691,400
*Jos. A. Bank Clothiers, Inc.......................... 117,300 821,100
*Jumbosports, Inc..................................... 335,000 984,063
Juno Lighting, Inc.................................... 12,000 229,500
*Just Toys, Inc....................................... 14,000 15,313
Justin Industries, Inc................................ 339,800 4,990,813
K Swiss, Inc. Class A................................. 37,000 612,813
*K-Tron International, Inc............................ 6,300 111,038
*KBK Capital Corp..................................... 5,000 49,375
*KLLM Transport Services, Inc......................... 52,099 661,006
*Kaiser Aluminum Corp................................. 168,100 1,744,038
*Kaiser Ventures, Inc................................. 102,900 1,389,150
Kaman Corp. Class A................................... 245,800 4,501,213
Katy Industries, Inc.................................. 135,800 2,376,500
Kaye Group, Inc....................................... 40,000 270,000
Keithley Instruments, Inc............................. 1,000 10,625
Kellwood Co........................................... 175,518 6,022,461
Kenan Transport Co.................................... 200 4,975
*Kentucky Electric Steel, Inc......................... 32,600 232,275
Kewaunee Scientific Corp.............................. 22,200 262,238
*Key Production Co., Inc.............................. 83,762 895,206
*Key Tronic Corp...................................... 108,600 604,088
*Keystone Consolidated Industries, Inc................ 100,586 1,282,472
Kimball International, Inc. Class B................... 59,900 2,405,359
*Kimmins Corp......................................... 44,000 209,000
*Kinark Corp.......................................... 70,900 230,425
*Kinnard Investment, Inc.............................. 71,100 419,934
*Kirby Corp........................................... 6,500 120,656
*Kit Manufacturing Co................................. 11,100 97,125
Klamath First Bancorp, Inc............................ 101,100 2,179,969
Knape & Vogt Manufacturing Co......................... 46,531 918,987
*Koss Corp............................................ 32,100 441,375
*Krug International Corp.............................. 65,400 412,838
LCS Industries, Inc................................... 13,200 234,300
LNR Property Corp..................................... 15,750 366,188
LSB Industries, Inc................................... 99,500 435,313
LSI Industries, Inc................................... 13,230 229,044
*LTX Corp............................................. 343,400 1,910,163
La-Z-Boy, Inc......................................... 12,900 554,700
Lab Holdings, Inc..................................... 61,300 1,446,297
*#Laboratory Corp. of America Holdings, Inc........... 360,700 743,944
*Laclede Steel Co..................................... 39,600 185,625
*Ladd Furniture, Inc.................................. 87,327 1,337,195
*Laidlaw Environmental Services, Inc.................. 648,134 2,916,603
</TABLE>
153
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Lamson & Sessions Co................................. 154,700 $ 1,005,550
*Landair Services, Inc................................ 16,200 447,525
*Lasermaster Technologies, Inc........................ 27,800 120,756
*Laserscope........................................... 61,000 324,063
*#LaserSight Corporation.............................. 26,400 90,750
Lawyers Title Corp.................................... 112,112 3,559,556
*Layne Christensen Co................................. 29,600 516,150
*Lazare Kaplan International, Inc..................... 500 7,156
*Learning Co., Inc.................................... 465,000 8,428,125
*Leasing Solutions, Inc............................... 9,600 229,800
*Lechters, Inc........................................ 226,400 1,287,650
Lennar Corp........................................... 78,250 1,633,469
*Lexford, Inc......................................... 28,500 874,594
*Liberty Technologies, Inc............................ 62,300 175,219
Life Bancorp, Inc..................................... 12,000 372,000
*Life USA Holdings, Inc............................... 221,700 3,713,475
*Lifeline Systems, Inc................................ 19,500 436,313
Lifetime Hoan Corp.................................... 15,200 154,850
*Ligand Pharmaceuticals, Inc. Class B................. 7,599 98,312
Lillian Vernon Corp................................... 97,400 1,357,513
*Lindal Cedar Homes, Inc.............................. 8,000 32,500
Lindberg Corp......................................... 64,800 939,600
*Liuski International, Inc............................ 30,700 28,781
*Lodgenet Entertainment Corp.......................... 134,000 1,691,750
*#Logic Devices, Inc.................................. 68,900 193,781
*Lone Star Steakhouse Saloon.......................... 63,500 1,186,656
*Loronix Information Systems, Inc..................... 52,800 108,900
*Louis Dreyfus Natural Gas Corp....................... 256,656 5,309,571
Lufkin Industries, Inc................................ 66,600 2,364,300
Lukens, Inc. DE....................................... 243,600 4,080,300
*Lumisy, Inc.......................................... 14,800 91,575
*Luria (L.) & Son, Inc................................ 75,800 1,099
*Lynch Corp........................................... 2,300 197,800
*M-Wave, Inc.......................................... 24,800 103,850
*M.H. Meyerson & Co., Inc............................. 43,100 231,663
M/A/R/C, Inc.......................................... 5,002 95,663
MAF Bancorp, Inc...................................... 73,861 2,409,715
#MDC Holdings, Inc.................................... 274,288 3,034,311
*MEMC Electronic Materials, Inc....................... 118,700 2,144,019
MFB Corp.............................................. 19,200 439,200
*MFRI, Inc............................................ 53,900 525,525
*MHM Services, Inc.................................... 712 801
*MI Schottenstein Homes, Inc.......................... 93,800 1,389,413
*MK Gold Corp......................................... 140,100 207,961
MMI Companies, Inc.................................... 131,200 3,165,200
*MRS Technology, Inc.................................. 67,600 69,713
*MS Carriers, Inc..................................... 134,000 3,232,750
*MTI Technology Corp.................................. 32,700 447,581
MTS Systems Corp...................................... 71,600 2,734,225
MYR Group, Inc........................................ 30,966 690,929
*Macheezmo Mouse Restaurants, Inc..................... 25,000 9,775
*Main Street & Main, Inc.............................. 24,000 69,750
*Manhattan Bagel Co., Inc............................. 4,100 5,573
*Mapinfo Corp......................................... 88,600 1,196,100
Marcus Corp........................................... 137,500 3,884,375
*Marine Drilling Companies, Inc....................... 30,300 690,272
*Mariner Health Group, Inc............................ 307,300 4,465,453
*Marisa Christina, Inc................................ 94,000 446,500
Maritrans, Inc........................................ 143,700 1,293,300
*Mark VII, Inc........................................ 19,800 356,400
*Marker International................................. 115,000 539,063
*Marlton Technologies, Inc............................ 28,000 185,500
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Marsh Supermarkets, Inc. Class A...................... 37,900 $ 582,713
Marsh Supermarkets, Inc. Class B...................... 50,400 759,150
*Marshall Industries.................................. 70,800 2,442,600
Maryland Federal Bancorp.............................. 79,130 2,064,798
Massbank Corp. Reading, MA............................ 40,266 1,804,420
*Matec Corp. DE....................................... 6,900 28,463
*Material Sciences Corp............................... 241,200 3,542,625
*Matlack Systems, Inc................................. 94,642 822,202
*Matria Healthcare, Inc............................... 58,800 308,700
*Matrix Pharmaceutical, Inc........................... 304,900 1,076,678
*Matrix Service Co.................................... 106,900 855,200
*Mattson Technology, Inc.............................. 3,900 38,147
*Maverick Tube Corp................................... 72,500 2,073,047
*Max & Ermas Restaurants, Inc......................... 20,400 124,950
*Maxco, Inc........................................... 38,500 445,156
*Maxim Group, Inc..................................... 35,000 538,125
*Maxwell Technologies, Inc............................ 32,190 854,041
*Maxxam, Inc.......................................... 93,300 4,344,281
*Maxxim Medical, Inc.................................. 125,900 2,754,063
*Maynard Oil Co....................................... 49,600 607,600
McDonald & Co. Investment, Inc........................ 58,000 1,562,375
McGrath Rent Corp..................................... 80,000 1,762,500
McRae Industries, Inc. Class A........................ 1,000 9,000
*Medalliance, Inc. Liquidating Trust Escrow........... 39,500 0
*Medaphis Corp........................................ 1,099,800 5,533,369
*#Medcath, Inc........................................ 13,400 226,125
Medford Savings Bank MA............................... 51,800 1,923,075
*Media 100, Inc....................................... 92,000 428,375
*Media Logic, Inc..................................... 20,100 27,638
*Medical Action Industries, Inc....................... 19,000 68,281
*Medical Assurance, Inc............................... 27,000 767,813
*Medical Graphics Corp................................ 27,800 116,413
*Medical Resources, Inc............................... 41,356 373,496
*Medicore, Inc........................................ 58,600 135,513
*Mediq, Inc........................................... 5,200 52,975
*Medstone International, Inc.......................... 14,500 144,094
Merchants Bancorp, Inc................................ 39,400 952,988
Merchants Group, Inc.................................. 25,600 499,200
#Mercury Air Group, Inc............................... 15,300 88,453
*Meridian Data, Inc................................... 105,900 446,766
Meridian Insurance Group, Inc......................... 47,000 866,563
*Merisel, Inc......................................... 335,800 1,584,556
*Merix Corp........................................... 77,100 1,151,681
Merrimac Industries, Inc.............................. 10,700 151,138
*Mesa Air Group, Inc.................................. 430,100 2,392,431
*Mesaba Holdings, Inc................................. 23,600 519,200
*Mestek, Inc.......................................... 13,500 240,469
*Metal Management, Inc................................ 7,300 152,844
*Metatec Corp. Class A................................ 100,600 503,000
*Metra Biosystems, Inc................................ 140,600 531,644
*Metrocall, Inc....................................... 295,700 1,561,666
*Michael Anthony Jewelers, Inc........................ 81,500 224,125
Michael Foods, Inc.................................... 173,981 3,833,019
*Michaels Stores, Inc................................. 329,900 10,628,966
*Micro Linear Corp.................................... 68,100 521,391
*Micro Warehouse, Inc................................. 411,600 6,045,375
*Microage, Inc........................................ 153,300 3,094,744
*Microdyne Corp....................................... 8,100 58,472
*Micronics Computers, Inc............................. 157,900 335,538
*Microtest, Inc....................................... 93,700 560,736
*Microwave Power Dynamics, Inc........................ 117,900 884,250
</TABLE>
154
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Mid America Banccorp.................................. 83,246 $ 2,518,211
Middlesex Water Co.................................... 7,500 142,031
*#Midisoft Corp....................................... 35,000 42,665
Midland Co............................................ 5,600 338,450
*Midwest Grain Products, Inc.......................... 100,900 1,412,600
Mikasa, Inc........................................... 175,400 2,335,013
*Mikohn Gaming Corp................................... 120,100 994,578
*Miller Building Systems, Inc......................... 27,300 230,344
*Miltope Group, Inc................................... 68,100 234,094
Mine Safety Appliances Co............................. 37,600 2,566,200
Minuteman International, Inc.......................... 9,000 96,750
#Mississippi Chemical Corp............................ 76,900 1,499,550
*Molecular Dynamics, Inc.............................. 4,500 91,406
*#Molten Metal Technology, Inc........................ 43,500 13,594
*Monaco Coach Corp.................................... 12,800 323,200
*Monarch Casino and Resort, Inc....................... 5,200 27,300
Monarch Machine Tool Co............................... 42,400 355,100
*Monro Muffler Brake, Inc............................. 24,300 350,831
Monterey Bay Bancorp, Inc............................. 13,200 255,750
*Moog, Inc. Class A................................... 54,000 1,964,250
*Moog, Inc. Class B................................... 12,800 470,400
*Moore Handley, Inc................................... 2,000 5,500
*Moore Medical Corp................................... 42,100 468,363
*Moore Products Co.................................... 40,400 1,459,450
*Moovies, Inc......................................... 205,700 257,125
*Morgan Products, Ltd................................. 115,100 704,988
*#Morrow Snowboards, Inc.............................. 22,500 60,469
*Mosaix, Inc.......................................... 43,100 393,288
*Mother's Work, Inc................................... 67,000 603,000
*Motivepower Industries, Inc.......................... 100,700 2,668,550
*Motor Club of America................................ 5,600 76,300
Movado Group, Inc..................................... 64,500 1,161,000
*Movie Gallery, Inc................................... 210,500 690,703
*Moviefone, Inc. Class A.............................. 29,500 197,281
Mueller (Paul) Co..................................... 3,900 151,125
*Multi Color Corp..................................... 7,600 49,400
*Multigraphics, Inc................................... 8,000 21,000
*Musicland Stores Corp................................ 263,000 1,430,063
*Mutual Savings Bank FSB Bay City, MI................. 50,900 655,338
Myers Industries, Inc................................. 500 8,625
*N & F Worldwide Corp................................. 31,000 297,406
*NAI Technologies, Inc................................ 26,700 60,075
NBT Bancorp........................................... 68,944 1,779,618
NCH Corp.............................................. 43,900 2,993,431
*NCS Healthcare, Inc.................................. 82,900 2,191,669
*NPS Pharmaceuticals, Inc............................. 105,500 975,875
*NS Group, Inc........................................ 122,000 2,287,500
*NSA International, Inc............................... 51,800 89,031
NSC Corp.............................................. 79,900 187,266
NYMAGIC, Inc.......................................... 132,700 3,383,850
Nacco Industries, Inc. Class A........................ 72,383 7,880,699
*Nantucket Industries, Inc............................ 6,500 2,844
*Napco Security Systems, Inc.......................... 49,600 306,900
Nash Finch Co......................................... 125,900 2,360,625
*Nashua Corp.......................................... 89,800 1,173,013
*Nathans Famous, Inc.................................. 58,400 222,650
*National Auto Credit, Inc............................ 428,690 2,840,071
*National City Bancorp................................ 74,559 2,087,652
*National Energy Group, Inc........................... 53,510 229,090
National Gas & Oil Co................................. 38,306 442,914
*National Home Centers, Inc........................... 54,500 63,016
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*National Home Health Care Corp....................... 58,211 $ 309,248
National Insurance Group.............................. 24,400 257,725
*National Media Corp.................................. 259,800 1,071,675
*National Patent Development Corp..................... 97,315 1,313,753
National Presto Industries, Inc....................... 78,900 3,091,894
*National Processing, Inc............................. 5,500 57,063
*National Record Mart, Inc............................ 31,400 118,731
*National Standard Co................................. 8,100 47,588
*National Steel Corp. Class B......................... 213,100 3,196,500
National Technical Systems, Inc....................... 58,000 494,813
*National Techteam, Inc............................... 164,500 1,788,938
*National Western Life Insurance Co. Class A.......... 24,300 2,314,575
*Natural Wonders, Inc................................. 89,100 673,819
*Navigators Group, Inc................................ 2,100 39,769
Nelson (Thomas), Inc.................................. 57,000 650,156
*#Netmanage, Inc...................................... 167,000 474,906
*Netrix Corp.......................................... 111,500 149,828
*Network Computing Devices, Inc....................... 162,300 1,338,975
*Network Equipment Technologies, Inc.................. 198,900 2,896,481
*Network Peripherals, Inc............................. 100,400 527,100
*New Brunswick Scientific Co., Inc.................... 42,088 326,182
*New Horizons Worldwide, Inc.......................... 55,100 854,050
New Jersey Resources Corp............................. 137,312 4,780,174
*New Jersey Steel Corp................................ 55,800 1,257,244
*New Mexico & Arizona Land Co......................... 34,816 522,240
Newcor, Inc........................................... 50,142 432,475
Newmil Bancorp, Inc................................... 41,100 575,400
#Newport Corp......................................... 74,700 1,260,563
*Nextel Communications Corp. Class A.................. 38,120 963,723
*Nexthealth, Inc...................................... 62,800 69,669
*Nichols Research Corp................................ 13,650 315,656
*Nitches, Inc......................................... 3,679 22,074
*Nobel Education Dynamics, Inc........................ 14,500 86,547
*Noel Group, Inc...................................... 95,400 339,863
Noland Co............................................. 2,000 47,750
*Noodle Kidoodle, Inc................................. 86,000 247,250
*Nord Resources Corp.................................. 250,500 438,375
*Norland Medical System, Inc.......................... 23,000 173,219
*Nortek, Inc.......................................... 99,300 2,420,438
Northrim Bank......................................... 300 4,163
*Northwestern Steel & Wire Co......................... 312,200 1,170,750
*Norton McNaughton, Inc............................... 105,000 636,563
Norwich Financial Corp................................ 56,100 1,672,481
*Norwood Promotional Products, Inc.................... 9,500 144,281
*Novacare, Inc........................................ 448,900 5,555,138
*Nu Horizons Electronics Corp......................... 88,100 622,206
*Nu-Kote Holding, Inc. Class A........................ 207,800 113,641
*Nview Corp........................................... 49,000 59,719
O'Sullivan Corp....................................... 173,600 1,725,150
*O'Sullivan Industries Holdings, Inc.................. 219,000 2,792,250
*O.I. Corp............................................ 48,200 210,875
*OHM Corp............................................. 201,500 1,712,750
*OMI Corp............................................. 497,700 5,101,425
*OSI Pharmaceutical, Inc.............................. 61,500 440,109
*OTR Express, Inc..................................... 15,000 89,063
*Oak Technology, Inc.................................. 620,500 5,138,516
*Offshore Logistics, Inc.............................. 351,700 8,067,119
Oglebay Norton Co..................................... 32,000 980,000
Oil-Dri Corp. of America.............................. 50,800 850,900
</TABLE>
155
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Old America Stores, Inc.............................. 39,300 $ 11,063
*Old Dominion Freight Lines, Inc...................... 133,400 2,109,388
*Olympic Steel, Inc................................... 186,000 2,609,813
*Omega Environmental, Inc............................. 37,000 2,313
OnbanCorp, Inc........................................ 73,800 4,976,888
*One Price Clothing Stores, Inc....................... 114,500 236,156
Oneida, Ltd........................................... 93,600 3,515,850
*Oneita Industries, Inc............................... 54,200 18,631
*Onyx Acceptance Corp................................. 10,000 77,500
*Opinion Research Corp................................ 43,900 219,500
*Opta Food Ingredients, Inc........................... 171,600 879,450
*Opti, Inc............................................ 149,200 923,175
Optical Coating Laboratory, Inc....................... 115,200 1,771,200
*Option Care, Inc..................................... 86,200 371,738
Orange Co., Inc....................................... 103,000 824,000
*Oravax, Inc.......................................... 30,000 88,125
*Orbital Sciences Corp................................ 268,100 6,886,819
*Oregon Metallurgical Corp............................ 100,300 3,234,675
Oregon Steel Mills, Inc............................... 248,061 4,868,197
*Oriole Homes Corp. Class A Convertible............... 20,500 97,375
*Oriole Homes Corp. Class B........................... 29,400 139,650
*Oroamerica, Inc...................................... 70,400 391,600
*Orthologic Corp...................................... 235,900 1,216,359
Oshkosh B'Gosh, Inc. Class A.......................... 46,300 1,504,750
Oshkosh Truck Corp. Class B........................... 86,400 1,522,800
*Oshman's Sporting Goods, Inc......................... 65,700 377,775
*Ostex International, Inc............................. 38,700 122,147
*Outlook Group Corp................................... 45,500 304,281
Overseas Shipholding Group, Inc....................... 167,600 4,095,725
Owosso Corp........................................... 57,000 443,531
Oxford Industries, Inc................................ 107,400 3,772,425
*PAM Transportation Services, Inc..................... 43,500 428,203
*PC Service Source, Inc............................... 37,400 210,375
*PICO Holdings, Inc................................... 96,900 590,484
PLM International, Inc................................ 90,500 509,063
*PPT Vision, Inc...................................... 89,000 700,875
PS Group Holdings, Inc................................ 31,500 448,875
*PST Vans, Inc........................................ 44,900 204,856
PXRE Corp............................................. 147,583 4,362,922
Pacific Scientific Co................................. 156,000 2,476,500
*Pacific Sunwear of California, Inc................... 29,750 972,453
*Pages, Inc........................................... 11,800 22,863
Palfed, Inc........................................... 55,800 1,489,163
*Palmer (Arnold) Golf Co.............................. 9,900 26,916
Pamrapo Bancorp, Inc.................................. 32,300 789,331
Pancho's Mexican Buffet, Inc.......................... 43,800 97,181
*Par Technology Corp.................................. 135,500 1,448,156
*Paragon Trade Brands, Inc............................ 142,500 3,206,250
*Park-Ohio Industries, Inc............................ 127,300 2,283,444
Parkvale Financial Corp............................... 39,940 1,170,741
*Parlux Fragrances, Inc............................... 189,800 432,981
*Patina Oil & Gas Corp................................ 49,126 399,149
Patrick Industries, Inc............................... 68,800 989,000
*Patterson Energy, Inc................................ 12 438
*Paxson Communications Corp........................... 252,000 2,142,000
*Payless Cashways, Inc................................ 415,300 21,180
*Paymentech, Inc...................................... 276,800 4,290,400
Peerless Manufacturing Co............................. 16,000 188,000
*#Penn Traffic Co..................................... 116,000 1,015,000
*Penn Treaty American Corp............................ 87,600 2,830,575
Penn Virginia Corp.................................... 147,000 3,978,188
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Pennfed Financial Services, Inc....................... 56,100 $ 1,853,053
*Pentech International, Inc........................... 45,600 132,525
Penwest, Ltd.......................................... 50,500 1,871,656
Peoples Bancshares, Inc. Massachusetts................ 32,400 641,925
*Peoples Choice TV Corp............................... 212,000 483,625
Peoples Heritage Financial Group, Inc................. 90,013 3,836,804
*Peoples Telephone Co., Inc........................... 91,000 329,875
*Perfumania, Inc...................................... 87,200 290,213
*Perini Corp.......................................... 59,300 522,581
*Periphonics Corp..................................... 27,200 264,350
*Pete's Brewing Co.................................... 14,900 74,034
*Petrocorp, Inc....................................... 95,200 862,750
*Petroleum Development Corp........................... 14,300 87,588
*Phar-Mor, Inc........................................ 3,800 32,181
*Pharmaceutical Marketing Services, Inc............... 10,400 106,600
*Pharmaceutical Resources, Inc........................ 201,400 314,688
*Pharmchem Laboratories, Inc.......................... 64,900 194,700
*Philip Services Corp................................. 109,581 1,732,750
Phillips-Van Heusen Corp.............................. 376,100 5,171,375
Phoenix Duff & Phelps Corp............................ 434,800 3,261,000
*Photo Control Corp................................... 4,200 11,813
*Physician Reliance Network, Inc...................... 513,300 5,068,838
*Physicians Health Services, Inc. Class A............. 45,900 1,267,988
*Physicians Resource Group, Inc....................... 204,500 1,163,094
*Physiometrix, Inc.................................... 67,500 172,969
Piccadilly Cafeterias, Inc............................ 99,000 1,243,688
*Picturetel Corp...................................... 341,000 2,978,422
*Pilgrim America Capital Corp......................... 42,900 823,144
Pilgrim Pride Corp.................................... 271,200 4,339,200
#Pillowtex Corp....................................... 18,900 500,850
*Pinkertons, Inc...................................... 34,500 789,188
Pinnacle Bancshares, Inc.............................. 9,800 160,475
Pinnacle Financial Services, Inc...................... 23,950 999,913
*Pinnacle Systems, Inc................................ 60,300 1,462,275
Pioneer Natural Resouces Co........................... 17,871 569,638
Piper Jaffray Companies, Inc.......................... 100,496 2,782,483
Pitt-Des Moines, Inc.................................. 34,650 1,199,756
Pittston Co. Burlington Group......................... 218,900 6,033,431
*Planar Systems, Inc.................................. 141,100 1,666,744
Plasti-Line, Inc...................................... 10,000 136,875
*Players International, Inc........................... 448,900 1,444,897
*Polk Audio, Inc...................................... 5,500 49,844
*Pollo Tropical, Inc.................................. 74,800 495,550
*Polymedica Industries, Inc........................... 78,140 722,795
*Polymer Group, Inc................................... 492,500 4,863,438
*Pool Energy Services Co.............................. 164,358 4,242,491
Pope & Talbot, Inc.................................... 160,500 2,648,250
*Porta Systems Corp................................... 5,100 17,213
Portec, Inc........................................... 48,106 667,471
Poughkeepsie Financial Corp........................... 143,900 1,430,006
*Powell Industries, Inc............................... 49,000 686,000
*Powercerv Corp....................................... 191,000 561,063
*Powertel, Inc........................................ 247,600 4,797,250
*Premenos Technology Corp............................. 119,100 1,570,631
Premiumwear, Inc...................................... 20,100 94,219
*President Casinos, Inc............................... 17,683 68,522
Presidential Life Corp................................ 325,700 6,544,534
*Presley Companies Class A............................ 83,300 72,888
</TABLE>
156
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Price Communications Corp............................ 81,600 $ 897,600
Price Enterprises, Inc................................ 205,400 3,684,363
*Pricesmart, Inc...................................... 36,850 603,419
*Primark Corp......................................... 71,100 2,408,513
Prime Bancorp, Inc.................................... 30,847 1,043,014
Primesource Corp...................................... 67,254 815,455
*Printronix, Inc...................................... 22,500 402,188
*Procyte Corp......................................... 110,500 120,859
Progress Financial Corp............................... 27,300 414,619
*Progress Software Corp............................... 98,500 2,043,875
Progressive Bank, Inc................................. 38,500 1,313,813
*Pronet, Inc.......................................... 120,900 536,494
*Proteon, Inc......................................... 152,200 247,325
*Protocol Systems, Inc................................ 99,500 1,026,094
Providence & Worcester Railroad Co.................... 19,300 299,150
*Provident American Corp.............................. 4,900 13,169
Provident Bankshares Corp............................. 52,400 3,098,150
*Proxim, Inc.......................................... 33,600 399,000
*Proxima Corp......................................... 114,900 847,388
Pulaski Furniture Corp................................ 33,200 639,100
Pulte Corp............................................ 7,400 300,163
*Pure World, Inc...................................... 72,000 468,000
*Pyramid Breweries, Inc............................... 17,800 47,838
*QMS, Inc............................................. 119,200 379,950
*Quad Systems Corp.................................... 68,000 435,625
Quaker Chemical Corp.................................. 71,600 1,346,975
*Quaker City Bancorp, Inc............................. 50,850 1,036,069
*Quaker Fabric Corp................................... 78,400 1,553,300
Quaker State Corp..................................... 388,500 5,973,188
*#Quality Dining, Inc................................. 198,500 825,016
*Quality Semiconductor, Inc........................... 77,400 447,469
*Quality Systems, Inc................................. 78,500 578,938
Quanex Corp........................................... 205,000 6,098,750
*Quarterdeck Office Systems, Inc...................... 71,900 151,664
Queens County Bancorp................................. 109,148 3,809,947
*Quest Medical, Inc................................... 25,060 174,637
*Quiksilver, Inc...................................... 1,800 47,475
Quixote Corp.......................................... 80,600 700,213
*R & B, Inc........................................... 87,100 838,338
*RDM Sports Group, Inc................................ 118,500 948
RLI Corp.............................................. 88,650 3,872,897
RPC, Inc.............................................. 54,000 1,444,500
*RTW, Inc............................................. 36,500 242,953
*Rag Shops, Inc....................................... 53,100 165,108
*Ragan (Brad), Inc.................................... 21,000 714,000
*Railtex, Inc......................................... 105,400 1,561,238
*Rainbow Technologies, Inc............................ 19,100 460,788
*#Rally's Hamburgers, Inc............................. 60,300 207,281
*Ramsay Health Care, Inc.............................. 123,800 537,756
*Rare Hospitality International, Inc.................. 133,500 1,435,125
Raritan Bancorp, Inc. DE.............................. 1,575 42,919
*Reading Entertainment, Inc........................... 33,736 425,917
*Recoton Corp......................................... 143,300 1,952,463
*Redwood Empire Bancorp............................... 28,200 442,388
Refac Technology Development Corp..................... 41,685 578,379
*Regeneron Pharmaceuticals, Inc....................... 73,200 718,275
*Reliability, Inc..................................... 48,500 1,035,172
Reliance Steel and Aluminum Co........................ 62,250 1,746,891
*Rentrak Corp......................................... 63,000 313,031
*Repligen Corp........................................ 30,200 30,672
*Republic Automotive Parts, Inc....................... 39,800 597,000
Republic Bancorp, Inc................................. 34,769 599,781
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Republic Engineered Steels, Inc...................... 340,000 $ 499,375
Republic Security Financial Corp...................... 47,100 479,831
Resource Bancshares Mortgage Group, Inc............... 24,700 342,713
*Response Oncology, Inc............................... 183,889 1,792,918
*Rex Stores Corp...................................... 96,100 1,093,138
*Rexhall Industries, Inc.............................. 12,789 63,146
Richardson Electronics, Ltd........................... 41,400 481,275
*Riddell Sports, Inc.................................. 94,900 382,566
*Ride, Inc............................................ 131,800 337,738
Riggs National Corp................................... 298,400 7,282,825
*Right Management Consultants, Inc.................... 78,300 866,194
*Rightchoice Managed Care, Inc. Class A............... 38,200 413,038
*Rimage Corp.......................................... 3,300 21,038
*Rio Hotel & Casino, Inc.............................. 151,300 3,158,388
Rival Co.............................................. 72,600 1,075,388
*River Oaks Furniture, Inc............................ 47,600 83,300
*Riverside Group, Inc................................. 3,200 4,400
Roanoke Electric Steel Corp........................... 87,400 1,944,650
*Roberds, Inc......................................... 79,700 313,819
*Roberts Pharmaceutical Corp.......................... 251,100 2,605,163
Robinson Nugent, Inc.................................. 53,900 289,713
*Rock Bottom Restaurants, Inc......................... 94,400 1,014,800
Rock-Tenn Co. Class A................................. 261,300 5,291,325
*Rocky Shoes & Boots, Inc............................. 33,500 571,594
*Rodman & Renshaw Capital Group, Inc.................. 19,700 7,388
*Rohr, Inc............................................ 93,100 2,851,188
Rollins Truck Leasing Corp............................ 549,600 9,308,850
*Rottlund, Inc........................................ 37,800 151,200
Rouge Industries, Inc. Class A........................ 220,200 3,358,050
*Royal Precision, Inc................................. 14,150 119,833
*Ruby Tuesday, Inc.................................... 68,000 1,785,000
Russ Berrie & Co., Inc................................ 169,300 5,057,838
*Ryans Family Steak Houses, Inc....................... 549,400 4,910,263
Rykoff-Sexton, Inc.................................... 289,975 6,506,314
Ryland Group, Inc..................................... 213,664 4,660,546
*S&K Famous Brands, Inc............................... 57,700 782,556
*S3, Inc.............................................. 421,000 2,703,609
*SBE, Inc............................................. 2,900 41,778
*SBS Technologies, Inc................................ 40,000 1,162,500
*SED International Holdings, Inc...................... 57,400 733,644
*SLH Corp............................................. 34,575 1,849,763
*SSE Telecom, Inc..................................... 68,100 336,244
*STM Wireless, Inc. Class A........................... 64,000 940,000
*SYNC Research, Inc................................... 29,500 118,922
*Safety 1st, Inc...................................... 65,400 449,625
*Salant Corp. DE...................................... 153,800 297,988
Salient 3 Communications, Inc. Class A................ 72,900 934,031
*San Filippo (John B.) & Son, Inc..................... 74,800 591,388
Sanderson Farms, Inc.................................. 108,600 1,309,988
*Sands Regent Casino Hotel............................ 43,282 91,298
Sandwich Bancorp, Inc................................. 19,400 822,075
*Santa Cruz Operation, Inc............................ 119,100 699,713
Santa Monica Bank CA.................................. 43,900 1,212,738
*Savoir Technology Group, Inc......................... 12,300 126,844
*Scan-Optics, Inc..................................... 62,200 553,969
*Schein (Henry), Inc.................................. 28,885 1,019,099
*Schieb (Earl), Inc................................... 70,500 616,875
*Scholastic Corp...................................... 63,900 2,444,175
</TABLE>
157
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Schuler Homes, Inc................................... 281,500 $ 1,988,094
Schultz Sav-O Stores, Inc............................. 15,300 242,888
*Scios-Nova, Inc...................................... 145,300 1,103,372
Scope Industries, Inc................................. 4,200 258,300
Seaboard Corp......................................... 100 36,200
*Sealright Co., Inc................................... 111,100 1,381,806
*Secom General Corp................................... 57,500 129,375
*Segue Software, Inc.................................. 69,200 752,550
Selas Corp. of America................................ 61,500 638,063
Selective Insurance Group, Inc........................ 131,900 6,685,681
*Semiconductor Packaging Materials Co., Inc........... 9,100 82,469
*Seneca Foods Corp. Class B........................... 10,500 177,188
*Sentry Technology Corp............................... 16,802 35,704
*Sequa Corp. Class A.................................. 68,600 3,927,350
*Sequa Corp. Class B.................................. 31,400 2,095,950
*Sequent Computer Systems, Inc........................ 390,000 9,079,688
*Service Merchandise Co., Inc......................... 1,081,800 3,651,075
*Servico, Inc......................................... 57,900 1,002,394
*Shaman Pharmaceuticals............................... 35,800 176,763
*Sharper Image Corp................................... 93,400 385,275
Shelby Williams Industries, Inc....................... 8,000 129,500
Shelter Components, Inc............................... 80,600 1,400,425
*Sherwood Group, Inc.................................. 2,400 29,700
*Shiloh Industries, Inc............................... 156,300 2,950,163
*Shoe Carnival, Inc................................... 127,300 1,169,569
*Sholodge, Inc........................................ 75,000 1,214,063
*Shoney's, Inc........................................ 530,304 2,320,080
*Shopko Stores, Inc................................... 246,200 5,170,200
*Show Biz Pizza Time, Inc............................. 86,600 1,878,138
Showboat, Inc......................................... 262,000 5,027,125
Sifco Industries, Inc................................. 41,600 852,800
*Sight Resource Corp.................................. 96,800 441,650
*Sigma Circuits, Inc.................................. 36,200 281,681
*Sigma Designs, Inc................................... 11,300 57,206
*Signal Technology Corp............................... 79,400 416,850
*Signature Brands USA, Inc............................ 108,500 508,594
*Silicon Valley Bancshares............................ 22,300 1,174,931
*#Silicon Valley Group, Inc........................... 163,200 3,891,300
Simmons First National Corp. Class A.................. 41,600 1,470,300
Simpson Industries, Inc............................... 204,500 2,364,531
*Sizzler International, Inc........................... 212,700 624,806
Skaneateles Bancorp, Inc.............................. 9,300 252,844
Skyline Corp.......................................... 101,600 2,755,900
Skywest, Inc.......................................... 123,900 3,020,063
*Smartflex Systems, Inc............................... 20,800 206,700
Smith (A.O.) Corp..................................... 138,500 5,894,906
Smith (A.O.) Corp. Convertible Class A................ 37,900 1,610,750
Snyder Oil Corp....................................... 45,100 896,363
*Sodak Gaming, Inc.................................... 112,000 987,000
*#Softech, Inc........................................ 31,300 73,359
*#Software Spectrum, Inc.............................. 51,900 697,406
*Sound Advice, Inc.................................... 16,600 26,975
South Jersey Industries, Inc.......................... 110,377 2,773,222
*Southern Energy Homes, Inc........................... 100 941
*Southwall Technologies, Inc.......................... 83,600 663,575
Southwest Bancshares, Inc. DE......................... 19,500 496,031
Southwest Securities Group, Inc....................... 66,000 1,559,250
Southwestern Energy Co................................ 357,900 4,182,956
Sovereign Bancorp, Inc................................ 108,454 2,057,237
*Spacelabs Medical, Inc............................... 138,400 3,010,200
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Spaghetti Warehouse, Inc............................. 96,100 $ 654,681
Span-American Medical System, Inc..................... 25,300 192,913
Spartan Motors, Inc................................... 130,300 745,153
*Sparton Corp......................................... 100,600 1,031,150
*Spec's Music, Inc.................................... 36,900 39,206
*Specialty Chemical Resources, Inc.................... 23,000 24,438
*Spectran Corp........................................ 76,300 875,066
*Speizman Industries, Inc............................. 37,400 233,750
*Spelling Entertainment Group, Inc.................... 56,700 478,406
*Spiegel, Inc. Class A Non-Voting..................... 240,000 1,312,500
*Sport Chalet, Inc.................................... 42,300 203,569
*Sport Supply Group, Inc.............................. 85,900 676,463
*#Sportmart, Inc...................................... 54,300 162,900
*Sportmart, Inc. Class A.............................. 43,500 116,906
*Sports Club Co., Inc................................. 69,900 567,938
Springs Industries, Inc. Class A...................... 120,700 6,087,806
St. Francis Capital Corp.............................. 46,300 1,788,338
St. Paul Bancorp, Inc................................. 255,937 6,302,449
*#Stac, Inc........................................... 89,200 526,838
*Staff Builders, Inc. Class A......................... 233,400 638,203
*Stage II Apparel Corp................................ 31,600 37,525
*Standard Commercial Corp............................. 94,680 1,645,065
*Standard Management Corp............................. 53,500 371,156
*Standard Microsystems Corp........................... 189,300 2,052,722
Standard Motor Products, Inc. Class A................. 142,150 2,798,578
Standard Pacific Corp. DE............................. 333,672 4,504,572
Standard Products Co.................................. 265,900 6,680,738
*Stanford Telecommunications, Inc..................... 26,100 580,725
*Stanley Furniture, Inc............................... 38,200 1,050,500
*Starcraft Corp....................................... 27,300 73,369
Starret Corp.......................................... 69,900 838,800
Starrett (L.S.) Co. Class A........................... 58,400 2,248,400
*Starter Corp......................................... 167,700 565,988
*#Station Casinos, Inc................................ 526,100 3,485,413
*Steel of West Virginia, Inc.......................... 68,000 663,000
Steel Technologies, Inc............................... 130,500 1,484,438
Stepan Co............................................. 107,600 2,999,350
Stephan Co............................................ 49,000 624,750
Sterling Bancorp...................................... 63,500 1,393,031
*Sterling Electronics Corp............................ 33,100 686,825
*Sterling Financial Corp. WA.......................... 66,980 1,427,511
*Stevens International, Inc. Class A.................. 53,000 62,938
Stewart & Stevenson Services, Inc..................... 12,000 261,750
Stewart Information Services Corp..................... 69,000 1,867,313
Stifel Financial Corp................................. 59,340 853,013
*Stokely USA, Inc..................................... 84,000 64,313
Stone & Webster, Inc.................................. 134,400 6,300,000
*Stormedia, Inc. Class A.............................. 36,000 133,875
*Strategic Diagnostics, Inc........................... 45,000 97,031
*Strategic Distribution, Inc.......................... 243,600 1,172,325
Strawbridge and Clothier Liquidating Trust............ 71,881 651,466
*Strouds, Inc......................................... 136,000 267,750
*Stuart Entertainment, Inc............................ 60,000 148,125
*#Sulcus Computer Corp................................ 141,900 434,569
Sumitomo Bank of California........................... 86,600 3,279,975
*Summa Four, Inc...................................... 68,300 798,256
*Summit Care Corp..................................... 86,200 1,368,425
*Summit Technology, Inc............................... 12,000 78,375
*Summitt Medical Systems, Inc......................... 169,000 470,031
*Sun Coast Industries, Inc............................ 56,800 284,000
</TABLE>
158
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Sun Healthcare Group, Inc............................ 48,800 $ 1,049,200
*Sun Television and Appliances, Inc................... 206,300 467,398
*Sunbelt Nursery Group, Inc........................... 22,700 22,700
*Sunrise Medical, Inc................................. 222,000 3,510,375
*Sunrise Resources, Inc............................... 77,000 226,188
Superior Surgical Manufacturing Co., Inc.............. 80,900 1,223,613
*Suprema Specialties, Inc............................. 50,500 164,125
*Supreme International Corp........................... 68,550 796,894
*Surety Capital Corp.................................. 66,400 419,150
Susquehanna Bancshares, Inc........................... 156,915 5,089,930
*Swiss Army Brands, Inc............................... 87,300 894,825
*Sybron Chemicals, Inc................................ 1,600 51,300
*Sylvan, Inc.......................................... 104,000 1,443,000
*Symix Systems, Inc................................... 8,600 127,925
*Syms Corp............................................ 128,700 1,488,094
*Synbiotics Corp...................................... 53,400 181,059
*Syncor International Corp. DE........................ 117,600 1,874,250
*Syntellect, Inc...................................... 218,100 463,463
*Syquest Technology, Inc.............................. 75,900 247,861
*TBC Corp............................................. 165,000 1,680,938
TCBY Enterprises, Inc................................. 200,966 1,268,598
*TCC Industries, Inc.................................. 6,700 28,056
*TCI International, Inc............................... 27,600 160,425
*TCSI Corp............................................ 59,500 379,313
*TII Industries, Inc.................................. 77,900 455,228
TJ International, Inc................................. 105,800 2,615,244
TR Financial Corp..................................... 136,400 4,467,100
*TRC Companies, Inc................................... 71,450 276,869
*TRM Copy Centers Corp................................ 72,000 684,000
Tab Products Co. DE................................... 50,900 738,050
*Taco Cabana, Inc..................................... 187,900 962,988
*Tandy Brand Accessories, Inc......................... 12,600 184,275
*Tandy Crafts, Inc.................................... 149,700 673,650
*Tanknology Environmental, Inc........................ 111,600 214,481
Tasty Baking Co....................................... 2,400 56,400
*Team, Inc............................................ 56,500 204,813
*Tech-Sym Corp........................................ 63,400 1,921,813
*Technical Communications Corp........................ 6,300 50,400
*Tegal Corp........................................... 47,300 344,403
*Tekelec.............................................. 35,200 1,333,200
*Telco Systems, Inc................................... 43,500 432,281
*#Tele-Communications International, Inc. Class A..... 14,300 230,141
Telxon Corp........................................... 130,200 3,206,175
*Temtex Industries, Inc............................... 31,700 96,091
*Tesoro Petroleum Corp................................ 285,700 4,749,763
*Tetra Technologies, Inc.............................. 37,900 888,281
Texas Industries, Inc................................. 117,562 5,473,981
*Texas Micro, Inc..................................... 137,700 662,681
*Texfi Industries, Inc................................ 27,100 140,581
*Thermo Power Corp.................................... 82,700 754,638
Thermo Remediation, Inc............................... 78,000 487,500
*Thermo Sentron, Inc.................................. 135,500 1,490,500
*#Thermo Terratech, Inc............................... 130,000 1,133,438
*Thermo Voltek Corp................................... 1,500 9,469
Thomas Industries, Inc................................ 83,700 2,657,475
Thomaston Mills, Inc.................................. 34,800 304,500
Thor Industries, Inc.................................. 2,600 82,063
*Thorn Apple Valley, Inc.............................. 62,615 880,523
*Tipperary Corp....................................... 88,400 453,050
*#Titan Corp.......................................... 45,700 294,194
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Titan Holdings, Inc................................... 132,833 $ 2,806,097
Titan International, Inc.............................. 196,000 3,920,000
Toastmaster, Inc...................................... 83,600 438,900
*#Today's Man, Inc.................................... 86,000 233,813
*Todd Shipyards Corp.................................. 114,200 513,900
Todd-AO Corp. Class A................................. 3,740 37,166
*Topps, Inc........................................... 44,500 115,422
*Tower Air, Inc....................................... 166,400 842,400
*Tracor, Inc.......................................... 800 22,475
*Tractor Supply Co.................................... 1,000 15,875
*Trak Auto Corp....................................... 40,200 502,500
*#Trans World Airlines, Inc........................... 638,300 4,827,144
*Trans World Entertainment Corp....................... 86,100 3,083,456
*Transcend Services, Inc.............................. 20,100 58,102
*Transfinancial Holdings, Inc......................... 68,700 644,063
Transmedia Network, Inc............................... 11,000 68,750
*TransNet Corp........................................ 59,500 159,906
Transport Leasing International, Inc.................. 45,700 445,575
#Transport Lux Corp................................... 2,546 35,167
Transtechnology Corp.................................. 47,300 1,277,100
*#Travel Ports of America, Inc........................ 62,018 238,382
Treadco, Inc.......................................... 40,000 407,500
*Tremont Corp. DE..................................... 68,133 3,879,323
*Trend-Lines, Inc. Class A............................ 70,900 520,672
Trenwick Group, Inc................................... 48,000 1,779,000
*Triangle Pacific Corp................................ 30,000 967,500
*Tricord Systems, Inc................................. 89,500 71,320
*Trident Microsystems, Inc............................ 63,000 718,594
*Tridex Corp.......................................... 71,900 368,488
Trigen Energy Corp.................................... 175,200 4,002,225
*Trimark Holdings, Inc................................ 30,300 170,438
Trion, Inc............................................ 2,100 9,056
*Triple S Plastics, Inc............................... 30,500 211,594
*Tripos, Inc.......................................... 16,166 244,511
*Trism, Inc........................................... 64,800 263,250
*Truevision, Inc...................................... 117,800 393,894
*Trump Hotels & Casino Resorts, Inc................... 314,800 2,734,825
*Tseng Laboratories, Inc.............................. 180,100 365,828
*Tuesday Morning Corp................................. 66,150 1,649,616
*Tultex Corp.......................................... 323,307 1,454,882
*Turner Corp.......................................... 41,732 965,053
Twin Disc, Inc........................................ 33,600 1,087,800
*Tyler Corp........................................... 213,100 1,092,138
U.S. Bancorp, Inc..................................... 40,300 2,609,425
*U.S. Diagnostic, Inc................................. 33,700 146,384
*URS Corp............................................. 68,202 1,091,232
*US Can Corp.......................................... 166,100 2,740,650
*US Servis, Inc....................................... 18,400 51,750
*US Xpress Enterprises, Inc. Class A.................. 26,100 569,306
*USData Corp.......................................... 6,750 28,477
UST Corp.............................................. 64,310 1,706,225
*Ultimate Electronics, Inc............................ 82,700 273,944
*Ultra Pacific, Inc................................... 31,700 316,009
*Ultradata Corp....................................... 25,000 96,875
*#Ultrafem, Inc....................................... 114,000 427,500
*Ultrak, Inc.......................................... 150,500 1,697,828
*#Ultralife Batteries, Inc............................ 50,400 727,650
*#Ultratech Stepper, Inc.............................. 12,000 294,000
Uni-Marts, Inc........................................ 68,200 306,900
Unico American Corp................................... 44,700 550,369
Unifirst Corp......................................... 31,800 820,838
*Unimark Group, Inc................................... 95,900 434,547
</TABLE>
159
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Union Acceptance Corp. Class A....................... 51,400 $ 287,519
*Union Corp. DE....................................... 35,200 886,600
*Unique Casual Restaurants, Inc....................... 98,000 673,750
*Uniroyal Technology Corp............................. 163,600 904,913
*Unit Instruments, Inc................................ 66,700 675,338
*United American Healthcare Corp.,.................... 80,200 230,575
United Companies Financial Corp....................... 213,600 4,632,450
United Fire Casualty Co............................... 18,750 830,859
United Industrial Corp................................ 145,100 1,596,100
United National Bancorp............................... 7,865 202,524
*United Retail Group, Inc............................. 116,300 436,125
*United States Energy Corp............................ 15,700 156,019
*United States Home Corp.............................. 129,100 4,792,838
*United States Homecare Corp.......................... 43,400 44,073
United Wisconsin Services, Inc........................ 244,800 5,967,000
*Unitel Video, Inc.................................... 29,500 210,188
*Universal Electronics, Inc........................... 63,900 670,950
*Universal Hospital Services, Inc..................... 58,900 872,456
*Universal International, Inc......................... 34,600 90,284
*Universal Standard Medical Labs, Inc................. 64,100 180,281
*Uno Restaurant Corp.................................. 103,100 657,263
*Uranuim Resources, Inc............................... 180,000 860,625
*Urogen Corp. (Restricted)............................ 14,500 0
*Utilx Corp........................................... 81,600 517,650
*V Band Systems, Inc.................................. 50,700 74,466
*V Mark Software, Inc................................. 3,000 26,813
*VLSI Technology, Inc................................. 168,200 3,800,269
*VTEL Corp............................................ 102,500 741,523
*Valence Technology, Inc.............................. 105,800 694,313
*Vallen Corp.......................................... 66,300 1,338,431
Valley Forge Corp..................................... 22,500 336,094
*Value City Department Stores, Inc.................... 399,100 3,018,194
Value Line, Inc....................................... 4,000 144,000
*Valuevision International, Inc. Class A.............. 307,300 1,238,803
*Variflex, Inc........................................ 65,500 384,813
Varlen Corp........................................... 100,857 2,760,960
*Vaughn Communications, Inc........................... 54,500 333,813
*Vectra Technologies, Inc............................. 58,100 3,486
*Venture Stores, Inc.................................. 266,179 415,905
*Verity, Inc.......................................... 125,000 613,281
Vermont Financial Services Corp....................... 86,800 2,397,850
*Versar, Inc.......................................... 1,300 6,825
*Versatility, Inc..................................... 3,500 20,016
*Vertex Communications Corp........................... 45,600 1,117,200
*Veterinary Centers of America, Inc................... 184,400 2,339,575
*Vicorp Restaurants, Inc.............................. 93,600 1,468,350
*Video Display Corp................................... 44,400 407,925
*Video Lottery Technologies, Inc...................... 94,200 1,077,413
*Video Services Corp.................................. 10,000 30,313
*Video Update, Inc.................................... 293,600 779,875
Vintage Petroleum, Inc................................ 4,000 77,500
Virco Manufacturing Corp.............................. 102,396 2,444,705
Virginia Beach Federal Financial Corp................. 51,950 866,916
Virginia First Financial Corp......................... 14,700 367,500
Vital Signs, Inc...................................... 194,000 3,867,875
*Vitalink Pharmacy Services, Inc...................... 11,700 277,875
Vulcan International Corp............................. 12,200 477,325
*#WHX Corp............................................ 372,500 4,400,156
WICOR, Inc............................................ 40,500 1,868,063
WLR Foods, Inc........................................ 176,006 1,573,054
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*WPI Group, Inc....................................... 9,200 $ 69,000
*#WSMP, Inc........................................... 2,000 48,750
Wackenhut Corp. Class A............................... 16,300 352,488
Wackenhut Corp. Class B Non-Voting.................... 20,500 406,156
#Walbro Corp.......................................... 103,752 1,497,920
*Walker Interactive Systems, Inc...................... 47,600 621,775
*Wall Data, Inc....................................... 33,700 549,731
*Wall Street Deli, Inc................................ 39,700 147,634
Walshire Assurance Co................................. 50,527 571,587
*Wandel & Goltermann Technologies, Inc................ 47,900 595,756
Warren Bancorp, Inc................................... 36,000 735,750
*Washington Homes, Inc................................ 74,500 288,688
Washington National Corp.............................. 108,800 3,597,200
Washington Savings Bank FSB Waldorf, MD............... 23,500 173,313
Watkins-Johnson Co.................................... 93,000 2,906,250
Watts Industries, Inc. Class A........................ 59,400 1,510,988
Webb (Del) Corp....................................... 311,188 6,729,441
*Webco Industries, Inc................................ 3,000 21,375
Webster Financial Corp................................ 51,498 3,241,155
*Weirton Steel Corp................................... 468,700 1,376,806
Wellco Enterprises, Inc............................... 4,800 69,000
Wellman, Inc.......................................... 349,900 7,413,506
*Wells-Gardner Electronics Corp....................... 33,700 195,881
Werner Enterprises, Inc............................... 220,500 4,768,313
Wesbanco, Inc......................................... 18,900 559,913
*West Coast Entertainment Corp........................ 136,500 238,875
West, Inc............................................. 98,500 3,127,375
*#Westbridge Capital Corp............................. 12,000 8,250
Westco Bancorp, Inc................................... 11,400 309,225
Westcorp, Inc......................................... 247,356 4,205,052
Westerfed Financial Corp.............................. 69,900 1,662,309
*Western Beef, Inc.................................... 57,400 437,675
*Weston (Roy F.), Inc. Class A........................ 87,200 361,063
Weyco Group, Inc...................................... 2,400 57,000
Whitney Holdings Corp................................. 90,171 4,542,364
*Whittaker Corp....................................... 131,900 1,195,344
*Wickes Lumber Co..................................... 96,600 350,175
*Williams Clayton Energy, Inc......................... 122,000 1,959,625
Wilshire Oil Co. of Texas............................. 105,354 599,201
Windmere Corp......................................... 50,300 1,213,488
Winnebago Industries, Inc............................. 222,700 1,712,006
Wiser Oil Co.......................................... 100,175 1,527,669
Wolf (Howard B.), Inc................................. 5,000 30,313
Wolohan Lumber Co..................................... 74,478 977,524
*Wolverine Tube, Inc.................................. 1,000 31,750
*Wonderware Corp...................................... 117,000 2,146,219
*Workgroup Technology Corp............................ 18,600 66,844
*Worldcorp, Inc....................................... 25,000 28,125
*Worldtex, Inc........................................ 242,700 2,062,950
Worthington Foods, Inc................................ 17,666 406,318
*Wyant Corp........................................... 600 3,975
Wynns International, Inc.............................. 61,350 1,990,041
*Xetel Corp........................................... 15,600 63,863
*Xicor, Inc........................................... 65,300 316,297
Xtra Corp............................................. 103,400 5,454,350
Yankee Energy Systems, Inc............................ 101,100 2,394,806
Yardville National Bancorp............................ 23,400 780,975
*Yellow Corp.......................................... 265,400 7,033,100
York Financial Corp................................... 95,261 2,482,740
</TABLE>
160
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*Zale Corp............................................ 248,400 $ 5,526,900
*Zaring National Corp................................. 46,000 434,125
*Zemex Corp........................................... 106,528 1,012,021
Zenith National Insurance Corp........................ 173,700 4,646,475
Ziegler Co., Inc...................................... 1,700 36,338
*Zilog, Inc........................................... 290,500 5,555,813
*Zoll Medical Corp.................................... 91,000 629,891
Zurn Industries, Inc.................................. 115,900 3,969,575
*Zygo Corp............................................ 23,100 495,206
---------------
TOTAL COMMON STOCKS
(Cost $1,676,856,817)................................ 2,198,202,781
---------------
RIGHTS/WARRANTS -- (0.0%)
*Amvestors Financial Corp. Warrants Class A
04/02/02............................................ 3,620 29,413
*CSF Holdings, Inc. Litigation Rights 12/30/99........ 40,500 0
*Fusion Systems Corp. Contingent Payment Rights
03/31/99............................................ 64,000 69,000
*National Mercantile Bancorp Warrants 06/02/99........ 165 0
*Statesman Group, Inc. Contingent Payment Rights...... 37,500 0
*Today's Man, Inc. Rights 12/05/97.................... 64,500 0
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 98,413
---------------
FACE
AMOUNT
-------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.1%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
6.25%, 07/31/98, valued at $46,841,681) to be
repurchased at $46,165,958.
(Cost $46,145,000).................................. $ 46,145 46,145,000
---------------
TOTAL INVESTMENTS -- (100.9%)
(Cost $1,723,001,817)++.............................. 2,244,446,194
---------------
OTHER ASSETS AND LIABILITIES -- (-0.9%)
Other Assets.......................................... 5,815,430
Payable for Investment Securities Purchased........... (25,299,333)
Payable for Fund Shares Redeemed...................... (126,147)
Other Liabilities..................................... (567,730)
---------------
(20,177,780)
---------------
NET ASSETS -- (100.0%) Applicable to 105,405,078
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $ 2,224,268,414
---------------
---------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 21.10
---------------
---------------
- --------------------
+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.
161
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
COMMON STOCKS -- (98.8%)
AK Steel Holding Corp................................ 156,800 $ 3,087,000
*AMR Corp............................................ 226,500 27,448,969
*Advanced Micro Devices, Inc......................... 210,900 4,600,256
#Advanta Corp. Class A............................... 36,800 1,053,400
#Advanta Corp. Class B Non-Voting.................... 74,000 2,002,625
Aetna, Inc........................................... 544,726 41,058,722
#Ahmanson (H.F.) & Co................................ 112,800 6,711,600
Albemarle Corp....................................... 97,500 2,431,406
Alexander & Baldwin, Inc............................. 109,700 2,958,472
Alleghany Corp....................................... 8,432 2,272,424
*Alumax, Inc......................................... 138,500 4,354,094
Ambac, Inc........................................... 150,200 6,026,775
Amerada Hess Corp.................................... 179,900 10,074,400
#American General Corp............................... 440,707 23,743,090
American Greetings Corp. Class A..................... 19,400 711,737
American National Insurance Co....................... 21,900 2,095,556
*#Apple Computer, Inc................................ 344,800 6,109,425
Archer-Daniels Midland Co............................ 1,098,510 23,480,651
Argonaut Group, Inc.................................. 32,100 1,059,300
Asarco, Inc.......................................... 104,900 2,609,387
Astoria Financial Corp............................... 13,800 762,450
Avnet, Inc........................................... 50,600 3,352,250
Ball Corp............................................ 112,500 4,331,250
Bankers Trust New York Corp.......................... 101,900 12,081,519
Bear Stearns Companies, Inc.......................... 204,437 8,484,135
Berkley (W.R.) Corp.................................. 39,600 1,660,725
*#Bethlehem Steel Corp............................... 275,500 2,823,875
*Beverly Enterprises................................. 296,100 5,033,700
Black & Decker Corp.................................. 222,800 8,187,900
Block Drug Co., Inc. Class A......................... 19,494 901,635
Boise Cascade Corp................................... 162,100 5,460,744
Borg Warner Automotive, Inc.......................... 46,300 2,181,887
Bowater, Inc......................................... 66,300 2,975,212
*Brinker International, Inc.......................... 194,900 2,874,775
*Burlington Industries, Inc.......................... 100,800 1,461,600
Burlington Northern Santa Fe Corp.................... 273,700 25,043,550
CIGNA Corp........................................... 84,608 14,150,688
*#CNA Financial Corp................................. 137,500 16,843,750
CSX Corp............................................. 419,500 21,945,094
Capital Re Corp...................................... 8,300 465,319
Carpenter Technology Corp............................ 2,000 94,250
Centex Corp.......................................... 47,400 3,003,975
Century Telephone Enterprises, Inc................... 81,200 3,740,275
Champion International Corp.......................... 196,000 10,498,250
Chesapeake Corp...................................... 15,100 517,175
#Chiquita Brands International, Inc.................. 111,200 1,883,450
*Chris-Craft Industries, Inc......................... 66,804 3,348,550
Chrysler Corp........................................ 1,751,826 60,109,530
Cincinnati Financial Corp............................ 93,860 9,567,854
Citizens Corp........................................ 21,600 635,850
Coca-Cola Enterprises, Inc........................... 275,000 8,404,687
Commerce Bancshares, Inc............................. 53,277 3,309,834
Commerce Group, Inc.................................. 54,700 1,716,212
Comsat Corp. Series 1................................ 96,600 2,209,725
*Consolidated Freightways Corp....................... 50,450 796,164
Consolidated Papers, Inc............................. 11,300 608,787
Coors (Adolph) Co. Class B........................... 80,500 2,887,937
Countrywide Credit Industries, Inc................... 258,600 10,586,437
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Cummins Engine Co., Inc.............................. 95,200 $ 6,128,500
*Cypress Semiconductor Corp.......................... 184,700 2,020,156
Cyprus Amax Minerals Co., Inc........................ 238,900 4,374,856
Darden Restaurants, Inc.............................. 356,000 4,227,500
*Digital Equipment Corp.............................. 464,300 22,866,775
Dillards, Inc. Class A............................... 246,700 9,019,969
Dime Bancorp, Inc.................................... 140,300 3,402,275
Donaldson, Lufkin & Jenrette, Inc.................... 53,500 3,898,812
#Enhance Financial Services Group, Inc............... 13,200 737,550
Enron Corp........................................... 69,100 2,677,625
*Enserch Exploration, Inc............................ 434,154 3,636,040
Equitable Companies, Inc............................. 66,800 3,185,525
*Federated Department Stores, Inc.................... 606,300 27,624,544
Fina, Inc. Class A................................... 35,200 2,305,600
Financial Security Assurance Holdings, Ltd........... 41,800 1,833,975
Fingerhut Companies, Inc............................. 106,800 2,216,100
Finova Group, Inc.................................... 73,200 3,449,550
First Citizens Bancshares, Inc. NC................... 10,100 1,113,525
First Hawaiian, Inc.................................. 98,600 3,715,987
Florida East Coast Industries, Inc................... 12,400 1,171,800
Ford Motor Co........................................ 2,655,700 114,195,100
Fort James Corp...................................... 177,400 6,940,775
*#Fruit of The Loom, Inc. Class A.................... 120,600 2,811,487
GATX Corp............................................ 42,200 2,563,650
General Motors Corp.................................. 1,556,700 94,958,700
General Motors Corp. Class H......................... 195,846 13,121,682
Georgia-Pacific Corp................................. 164,900 14,078,337
*Golden State Bancorp, Inc........................... 114,900 3,827,606
#Golden West Financial Corp.......................... 90,800 8,137,950
Great Atlantic & Pacific Tea Co., Inc................ 76,700 2,368,112
Greenpoint Financial Corp............................ 71,600 4,770,350
#Hollinger International, Inc. Class A............... 147,100 1,939,881
*IVAX Corp........................................... 361,000 2,549,562
*Ing Groep NV ADR.................................... 5,246 213,774
#Inland Steel Industries, Inc........................ 174,600 3,339,225
*Integrated Device Technology, Inc................... 292,900 2,993,072
#Integrated Health Services, Inc..................... 22,500 684,844
#International Paper Co.............................. 677,200 32,124,675
*International Speciality Products, Inc.............. 252,000 3,732,750
*#K Mart Corp........................................ 1,417,400 17,806,087
*#Komag, Inc......................................... 156,300 3,150,422
LNR Property Corp.................................... 60,000 1,395,000
*#LSI Logic Corp..................................... 151,800 3,529,350
LTV Corp............................................. 225,900 2,513,138
#Lafarge Corp........................................ 136,700 4,083,912
Lehman Brothers Holdings, Inc........................ 297,600 15,047,400
Liberty Corp......................................... 35,900 1,615,500
Liberty Financial Companies, Inc..................... 81,000 4,389,187
Lincoln National Corp................................ 193,050 13,778,944
Loews Corp........................................... 219,300 23,273,212
Longs Drug Stores Corp............................... 28,000 819,000
Longview Fibre Co.................................... 62,900 1,014,263
#Louisiana-Pacific Corp.............................. 298,100 6,017,894
MBIA, Inc............................................ 116,600 7,331,225
Mead Corp............................................ 140,500 9,071,031
Media General, Inc. Class A.......................... 11,600 494,450
Mercantile Stores Co., Inc........................... 140,012 9,048,276
</TABLE>
162
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
*#Micron Technology, Inc............................. 700,200 $ 17,417,475
Mitchell Energy & Development Corp. Class A.......... 68,500 1,823,813
Mitchell Energy & Development Corp. Class B.......... 41,600 1,102,400
#Morgan (J.P.) & Co., Inc............................ 94,300 10,767,881
*#Navistar International Corp........................ 221,900 4,881,800
*Nextel Communications Corp. Class A................. 346,200 8,752,369
Norfolk Southern Corp................................ 607,900 19,338,819
*Novell, Inc......................................... 1,021,700 9,370,905
Occidental Petroleum Corp............................ 632,600 18,780,313
*Officemax, Inc...................................... 367,200 5,163,750
Ogden Corp........................................... 151,696 4,038,906
#Ohio Casualty Corp.................................. 64,800 2,980,800
Old Republic International Corp...................... 248,850 8,974,153
Overseas Shipholding Group, Inc...................... 37,500 916,406
Pacific Century Financial Corp....................... 55,800 2,845,800
*Pacificare Health Systems, Inc. Class B............. 7,356 395,845
Paine Webber Group, Inc.............................. 114,450 3,848,381
*Pep Boys - Manny, Moe & Jack........................ 18,600 467,325
#Phelps Dodge Corp................................... 105,900 7,015,875
Potlatch Corp........................................ 94,600 4,599,925
Provident Companies, Inc............................. 95,108 3,120,731
Providian Financial Corp............................. 287,600 12,672,375
Pulte Corp........................................... 35,700 1,448,081
RJR Nabisco Holdings Corp............................ 548,880 19,999,815
Rayonier, Inc........................................ 83,000 4,056,625
*#Read-Rite Corp..................................... 204,700 3,908,491
Republic New York Corp............................... 64,900 7,057,875
Reynolds Metals Co................................... 131,800 7,504,363
Russell Corp......................................... 24,400 745,725
Ryder System, Inc.................................... 195,800 7,109,988
Safeco Corp.......................................... 279,200 13,698,250
#Saint Paul Companies, Inc........................... 213,400 17,072,000
*Seagate Technology, Inc............................. 444,100 10,075,519
Sensormatic Electronics Corp......................... 270,400 4,394,000
*#Silicon Graphics, Inc.............................. 436,700 5,731,688
*Sprint Corp......................................... 86,700 5,077,369
St. Joe Corp......................................... 34,600 3,269,700
Stone Container Corp................................. 237,400 2,967,500
*Stratus Computer, Inc............................... 88,400 2,878,525
*Sun Healthcare Group, Inc........................... 23,600 507,400
TIG Holdings, Inc.................................... 92,700 2,983,781
Tecumseh Products Co. Class A........................ 26,300 1,295,275
Tecumseh Products Co. Class B........................ 5,700 280,725
Telephone & Data Systems, Inc........................ 152,900 6,718,044
Temple-Inland, Inc................................... 138,200 7,894,675
Tenneco, Inc......................................... 324,700 14,063,569
Terra Industries, Inc................................ 153,400 1,869,563
Timken Co............................................ 92,800 3,288,600
Transamerica Corp.................................... 231,400 25,121,363
Travelers Group, Inc................................. 482,736 24,378,168
Trinity Industries, Inc.............................. 28,500 1,293,188
Tyson Foods, Inc. Class A............................ 13,000 235,625
UMB Financial Corp................................... 32,381 1,700,003
USF&G Corp........................................... 236,900 4,782,419
USX-Marathon Group, Inc.............................. 384,650 13,174,263
#USX-US Steel Group.................................. 314,400 9,844,650
#Union Camp Corp..................................... 142,600 8,564,913
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Union Pacific Corp................................... 273,200 $ 16,392,000
Unionbancal Corp..................................... 53,200 4,618,425
*United States Cellular Corp......................... 91,300 2,990,075
Unitrin, Inc......................................... 111,900 6,902,831
Valero Energy Corp................................... 81,100 2,544,513
Valhi, Inc........................................... 80,100 760,950
*Viacom, Inc. Class A................................ 107,100 3,721,725
*#Viacom, Inc. Class B............................... 805,200 28,182,000
*Vishay Intertechnology, Inc......................... 92,680 1,963,658
Weis Markets, Inc.................................... 19,300 670,675
Wesco Financial Corp................................. 8,500 2,796,500
Westvaco Corp........................................ 186,650 6,089,456
Weyerhaeuser Co...................................... 124,000 6,548,750
Wheelabrator Technologies, Inc....................... 138,100 2,097,394
#Whirlpool Corp...................................... 69,000 3,782,063
Xtra Corp............................................ 1,200 63,300
---------------
TOTAL COMMON STOCKS
(Cost $1,153,348,013)................................ 1,472,558,876
---------------
PREFERRED STOCKS -- (0.0%)
*Pacificare Health Systems, Inc. 5% Cumulative,
Convertible, Redeemable Class A (Cost $185,737).... 2,340 119,925
---------------
FACE
AMOUNT
-------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.3%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
6.25%, 07/31/98, valued at $3,915,844) to be
repurchased at $3,854,750 (Cost $3,853,000)........ $3,853 3,853,000
---------------
TOTAL INVESTMENTS -- (99.1%) (Cost $1,157,386,750)++... 1,476,531,801
---------------
OTHER ASSETS AND LIABILITIES -- (0.9%)
Other Assets......................................... 18,221,524
Payable for Investment Securities Purchased.......... (4,491,144)
Other Liabilities.................................... (266,031)
---------------
13,464,349
---------------
NET ASSETS -- (100.0%) Applicable to 82,384,104
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $ 1,489,996,150
---------------
---------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 18.09
---------------
---------------
- --------------------
+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.
163
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (98.4%)
COMMON STOCKS -- (98.4%)
ASK Corp., Yokohama.................................. 6,000 $ 10,343
Achilles Corp........................................ 410,000 600,744
Aica Kogyo Co., Ltd.................................. 139,000 523,871
Aichi Corp........................................... 57,000 192,047
Aichi Machine Industry Co., Ltd...................... 172,000 454,174
Aichi Tokei Denki Co., Ltd........................... 67,000 127,044
Aida Engineering, Ltd................................ 160,000 676,983
Akai Electric Co., Ltd............................... 66,000 58,954
#Akebono Brake Industry Co., Ltd..................... 141,000 399,937
Amada Metrecs Co., Ltd............................... 21,000 126,699
Amada Sonoike Co., Ltd............................... 132,000 344,415
*#Amada Wasino Co., Ltd.............................. 122,000 122,358
Ando Corp............................................ 120,000 192,752
#Anest Iwata Corp.................................... 74,000 132,780
*#Aoki Corp.......................................... 70,000 16,454
#Arai-Gumi, Ltd...................................... 49,300 72,236
Araya Industrial Co., Ltd............................ 84,000 96,094
#Asahi Denka Kogyo KK................................ 139,000 631,694
Asahi Diamond Industrial Co., Ltd.................... 23,000 122,547
Asahi Kogyosha Co., Ltd.............................. 48,000 135,397
*Asahi Optical Co., Ltd.............................. 215,000 461,587
#Asahi Organic Chemicals Industry Co., Ltd........... 190,000 602,938
Asahi Tec Corp....................................... 86,000 171,158
Asanuma Corp......................................... 159,000 200,580
Ashimori Industry Co., Ltd........................... 84,000 157,963
*Asics Corp.......................................... 333,000 313,105
Atsugi Nylon Industrial Co., Ltd..................... 79,000 134,323
Azel Corp., Tokyo.................................... 89,000 198,746
Bando Chemical Industries, Ltd....................... 213,000 567,444
Bank of Okinawa, Ltd................................. 19,300 332,693
*#Bank of Osaka, Ltd................................. 393,000 514,249
#Bank of the Ryukyus, Ltd............................ 20,280 222,464
Bunka Shutter Co., Ltd............................... 146,000 401,536
CKD Corp............................................. 113,000 460,411
*#Cabin Co., Ltd..................................... 67,000 81,371
Calpis Co., Ltd...................................... 150,000 511,263
Central Finance Co., Ltd............................. 180,000 265,152
Central Glass Co., Ltd............................... 422,000 714,217
#Chiba Kogyo Bank, Ltd............................... 40,400 728,071
#Chino Corp.......................................... 70,000 173,320
Chisan Tokan Co., Ltd................................ 64,000 60,176
*Chiyoda Corp........................................ 56,000 94,778
*#Chori Co., Ltd..................................... 150,000 264,447
Chuetsu Pulp and Paper Co., Ltd...................... 172,000 327,491
#Chugai Ro Co., Ltd.................................. 139,000 274,460
Chugoku Marine Paints, Ltd........................... 111,000 220,043
Chugokukogyo Co., Ltd................................ 45,000 70,519
Chukyo Coca-Cola Bottling Co., Ltd................... 92,000 583,898
Chukyo Sogo Bank, Ltd................................ 219,000 737,864
Chuo Paperboard Co., Ltd............................. 62,000 43,722
Chuo Spring Co., Ltd., Nagoya........................ 99,000 250,554
*Clarion Co., Ltd.................................... 172,000 495,953
Cleanup Corp......................................... 72,000 358,237
*Co-Op Chemical Co., Ltd............................. 80,000 72,086
*Copal Co., Ltd...................................... 78,000 226,131
*Cosmo Securities Co., Ltd........................... 102,000 71,929
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
D'urban, Inc......................................... 114,000 $ 218,844
#Dai Nippon Construction............................. 81,000 126,934
#Dai Nippon Toryo, Ltd............................... 193,000 314,547
Dai-Dan Co., Ltd..................................... 80,000 569,794
Dai-Ichi Hotel, Ltd., Tokyo.......................... 52,000 156,866
*#Dai-Ichi Katei Denki Co., Ltd...................... 91,000 55,616
Dai-Ichi Kogyo Seiyaku Co., Ltd...................... 47,000 110,848
*#Dai-Ichi Securities Co., Ltd....................... 228,000 182,221
Daido Concrete Co., Ltd.............................. 33,000 37,493
Daido Hoxan, Inc..................................... 196,000 360,901
Daido Kogyo Co., Ltd................................. 60,000 102,488
Daido Steel Sheet Corp............................... 84,000 233,653
Daidoh, Ltd.......................................... 54,000 252,176
*Daiei OMC, Inc...................................... 371,000 563,949
#Daihen Corp......................................... 205,000 401,567
Daiho Corp........................................... 96,000 173,007
Daiichi Cement Co., Ltd.............................. 33,000 46,543
*#Daiichi Chuo Kisen Kaisha.......................... 390,000 354,476
#Daiichi Jitsugyo Co., Ltd........................... 80,000 183,036
Daiki Co., Ltd....................................... 6,000 47,013
#Daikyo, Inc......................................... 53,000 60,631
#Daimei Telecom Engineering Corp..................... 66,000 439,569
Dainichiseika Colour & Chemicals Manufacturing Co.,
Ltd................................................ 163,000 717,775
Daiso Co., Ltd....................................... 112,000 175,514
*#Daisue Construction Co., Ltd....................... 185,000 126,112
*#Daito Woolen Spinning & Weaving Co., Ltd., Tokyo... 42,000 37,845
*#Daiwa Danchi Co., Ltd.............................. 222,000 405,297
#Daiwa Seiko, Inc.................................... 145,000 363,565
Daiwabo Co., Ltd..................................... 288,000 374,597
*Dantani Corp........................................ 68,000 109,226
Danto Corp........................................... 42,000 273,473
#Denki Kogyo Co., Ltd................................ 123,000 558,981
*Deodeo Corp......................................... 14,200 123,502
#Descente, Ltd....................................... 146,000 312,306
*Dijet Industrial Co., Ltd........................... 34,000 53,015
#Dynic Corp.......................................... 52,000 152,791
Eagle Industry Co., Ltd.............................. 43,000 117,924
Ehime Bank, Ltd...................................... 78,000 238,355
*Enshu, Ltd.......................................... 69,000 111,914
*FDK Corp............................................ 94,000 203,283
First Baking Co., Ltd................................ 67,000 78,221
#France Bed Co., Ltd................................. 193,000 620,020
#Fudo Construction Co., Ltd.......................... 201,000 314,985
Fuji Car Manufacturing Co., Ltd...................... 36,000 47,107
Fuji Denki Reiki Co., Ltd............................ 81,800 285,859
*Fuji Kosan Co., Ltd................................. 130,000 147,698
Fuji Kyuko Co., Ltd.................................. 207,000 846,652
Fuji Oil Co., Ltd.................................... 171,000 716,827
#Fuji Spinning Co., Ltd., Tokyo...................... 163,000 275,871
Fujii & Co., Ltd..................................... 44,000 52,059
#Fujiko Co., Ltd..................................... 55,000 45,250
#Fujirebio, Inc...................................... 75,000 235,064
*Fujitsu General, Ltd................................ 22,000 87,914
*Fujiya Co., Ltd..................................... 190,000 330,500
Fukuda Corp.......................................... 65,000 190,989
Fukusuke Corp........................................ 95,000 164,505
*#Fukutoku Bank, Ltd................................. 177,000 219,126
</TABLE>
164
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Furukawa Battery Co., Ltd........................... 45,000 $ 93,438
Furukawa Co., Ltd.................................... 38,000 72,948
Fuso Pharmaceutical Industries, Ltd.................. 180,000 564,153
*Ga-jo-en Kanko K.K.................................. 37,000 0
#Gakken Co., Ltd..................................... 158,000 324,357
Gastec Service, Inc.................................. 41,000 167,052
Godo Shusei Co., Ltd................................. 74,000 116,545
*#Godo Steel, Ltd.................................... 245,000 287,953
*Graphtec Corp....................................... 39,000 100,842
Gun-Ei Chemical Industry Co., Ltd.................... 164,000 251,863
*Gunze Sangyo, Inc., Tokyo........................... 90,000 139,628
*Hakone Tozan Railway Co., Ltd....................... 52,000 150,347
Hakuyosha Co., Ltd................................... 57,000 227,330
#Hanshin Sogo Bank, Ltd.............................. 189,000 219,173
Harima Chemicals, Inc................................ 37,000 188,443
*#Hayashikane Sangyo Co., Ltd........................ 128,000 109,320
Hazama Corp.......................................... 19,000 11,314
Hibiya Engineering, Ltd.............................. 12,000 54,535
Hisaka Works, Ltd.................................... 48,000 242,962
#Hisamitsu Pharmaceutical Co., Inc................... 69,000 457,928
#Hitachi Electronics, Ltd............................ 100,000 595,495
Hitachi Medical Corp................................. 11,000 99,119
Hitachi Plant Engineering & Construction Co., Ltd.... 229,000 644,161
#Hitachi Seiki Co., Ltd.............................. 141,000 249,685
Hochiki Corp......................................... 42,000 139,205
*Hodogaya Chemical Co., Ltd.......................... 100,000 150,441
*Hohsui Corp......................................... 56,000 69,767
Hokkai Can Co., Ltd., Tokyo.......................... 127,000 260,717
*#Hokkaido Bank, Ltd................................. 100,000 97,943
#Hokkaido Gas Co., Ltd............................... 87,000 202,460
Hokko Chemical Industry Co., Ltd..................... 41,000 98,625
*Hoko Fishing Co., Ltd............................... 79,000 69,947
Hokuriku Electric Industry Co., Ltd.................. 112,000 187,800
Hokuriku Electrical Construction Co., Ltd............ 36,000 115,087
Honen Corp........................................... 128,000 240,705
#Horiba, Ltd......................................... 54,000 550,049
*Hosiden Corp........................................ 37,000 321,802
Hosokawa Micron Corp................................. 40,000 272,674
#Howa Machinery, Ltd................................. 181,000 280,807
Ichida and Co., Ltd.................................. 78,000 116,733
Ichikawa Co., Ltd.................................... 49,000 89,073
Ichiken Co., Ltd..................................... 48,000 56,415
#Ichikoh Industries, Ltd............................. 141,000 309,344
#Idec Izumi Corp..................................... 60,000 282,076
Ihara Chemical Industry Co., Ltd..................... 80,000 413,712
*Iino Kaiun Kaisha, Ltd.............................. 161,000 312,854
#Ikegai Corp......................................... 90,000 119,882
Ikegami Tsushinki Co., Ltd........................... 102,000 336,470
#Inabata and Co., Ltd., Osaka........................ 85,000 352,987
Inageya Co., Ltd..................................... 80,000 608,031
#Intec, Inc.......................................... 73,000 565,696
*Inui Steamship Co., Ltd............................. 31,000 31,334
#Ishii Iron Works Co., Ltd........................... 52,000 103,491
*#Ishikawa Seisakusho, Ltd........................... 75,000 81,685
Ishizuka Glass Co., Ltd.............................. 49,000 95,984
Itochu Fuel Corp..................................... 192,000 535,569
Itoki Crebio Corp.................................... 56,000 146,993
Iwasaki Electric Co., Ltd............................ 110,000 187,894
*Iwatsu Electric Co., Ltd............................ 145,000 180,646
Izumi Co., Ltd....................................... 19,000 111,060
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Izutsuya Co., Ltd................................... 118,000 $ 165,500
#JDC Corp............................................ 256,000 94,276
JMS Co., Ltd......................................... 59,000 175,671
*#Janome Sewing Machine Co., Ltd..................... 224,000 114,084
Japan Aircraft Manufacturing Co., Ltd................ 70,000 126,699
Japan Aviation Electronics Industry, Ltd............. 25,000 140,451
Japan Carlit Co., Ltd................................ 28,000 122,641
*Japan Coated Paper Manufacturing Co., Ltd........... 132,000 124,114
Japan Digital Laboratory Co., Ltd.................... 49,500 643,839
Japan Foundation Engineering Co., Ltd................ 9,000 69,109
*#Japan Metals & Chemicals Co., Ltd.................. 201,000 211,040
Japan Oil Transportation Co., Ltd.................... 45,000 86,033
Japan Paperboard Industries Co., Ltd., Tokyo......... 91,000 136,188
Japan Pulp and Paper Co., Ltd........................ 281,000 944,556
*Japan Steel Works, Ltd.............................. 81,000 90,758
Japan Transcity Corp................................. 90,000 213,673
Japan Vilene Co., Ltd................................ 101,000 250,868
Japan Wool Textile Co., Ltd.......................... 27,000 120,799
Jeol, Ltd............................................ 97,000 356,458
#Joban Kosan Co., Ltd................................ 101,000 190,723
Joshin Denki Co., Ltd................................ 98,000 289,489
*#Jujiya Co., Ltd.................................... 161,000 151,381
Juken Sangyo Co., Ltd................................ 86,000 316,709
Juki Corp............................................ 153,000 317,689
Kagawa Bank, Ltd..................................... 149,350 807,455
Kagome Co., Ltd...................................... 137,000 729,951
Kahma Co., Ltd....................................... 7,000 38,503
Kaken Pharmaceutical Co., Ltd........................ 138,000 322,225
*Kakuei (L.) Corp.................................... 100,000 62,684
#Kamei Corp.......................................... 59,000 442,876
#Kanaden Corp........................................ 50,000 227,620
Kanagawa Chuo Kotsu Co., Ltd......................... 90,000 388,560
Kanematsu Corp....................................... 84,000 100,701
#Kanematsu Electronics, Ltd.......................... 38,000 159,593
Kanematsu-NNK Corp................................... 3,000 21,156
*#Kankaku Securities Co., Ltd........................ 170,000 119,882
*#Kansai Kisen Kaisha................................ 184,000 115,338
Kansei Corp.......................................... 93,000 551,624
Kanto Auto Works, Ltd., Yokosuka..................... 122,000 387,150
#Kanto Bank, Ltd..................................... 13,400 111,295
Kanto Denka Kogyo Co., Ltd........................... 83,000 260,787
Kanto Natural Gas Development Co., Ltd............... 104,000 374,848
*#Kanto Special Steel Works, Ltd..................... 84,000 92,803
Kasho Co., Ltd., Tokyo............................... 46,000 432,517
#Kasumi Co., Ltd..................................... 105,000 416,298
Katakura Industries Co., Ltd......................... 49,000 275,283
Kato Works Co., Ltd.................................. 82,000 141,352
Katsumura Construction Co., Ltd...................... 48,600 59,405
Kawada Industries, Inc............................... 76,000 125,054
Kawai Musical Instruments Manufacturing Co., Ltd..... 99,000 119,459
*Kawashima Textile Manufacturers, Ltd................ 126,000 187,581
Kawasho Corp......................................... 229,000 326,566
#Keihin Co., Ltd..................................... 100,000 242,899
#Keiyo Co., Ltd...................................... 113,000 546,296
</TABLE>
165
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Kenwood Corp........................................ 42,000 $ 105,967
Kimmon Manufacturing Co., Ltd........................ 41,000 64,251
#Kimura Chemical Plants Co., Ltd..................... 27,000 49,716
*Kinki Nippon Tourist Co., Ltd....................... 101,000 308,639
#Kinki Sharyo Co., Ltd., Nagaokakyo.................. 101,000 160,650
#Kinseki, Ltd........................................ 61,000 415,828
*Kinsho-Mataichi Corp................................ 42,000 49,692
*Kinugawa Rubber Industrial Co., Ltd................. 83,000 76,090
*Kioritz Corp........................................ 96,000 139,910
Kita-Nippon Bank, Ltd................................ 14,306 652,387
Kitagawa Iron Works Co., Ltd......................... 124,000 202,092
#Kitano Construction Corp............................ 116,000 205,414
Kitz Corp............................................ 257,000 378,578
#Koa Corp............................................ 73,000 772,184
Koatsu Gas Kogyo Co., Ltd............................ 78,000 210,852
*#Kobe Kiito Co., Ltd................................ 53,000 38,621
Kokune Corp.......................................... 42,000 37,187
Kokusai Kogyo Co., Ltd............................... 60,000 236,474
Komai Tekko, Inc..................................... 53,000 137,042
Komatsu Construction Co., Ltd........................ 29,000 31,812
Komatsu Forklift Co., Ltd............................ 168,000 394,907
Komatsu Seiren Co., Ltd.............................. 75,000 416,650
#Komatsu Zenoah Co................................... 75,000 128,110
Kosei Securities Co., Ltd............................ 137,000 251,189
Krosaki Corp......................................... 96,000 147,432
Kumiai Chemical Industry Co., Ltd., Tokyo............ 153,000 288,917
Kurabo Industries, Ltd............................... 78,000 110,010
Kuraya Corp.......................................... 11,000 74,123
#Kyodo Shiryo Co., Ltd............................... 145,000 169,285
Kyoei Tanker Co., Ltd................................ 53,000 53,986
Kyokuto Kaihatsu Kogyo Co., Ltd...................... 3,300 13,239
*#Kyokuyo Co., Ltd................................... 167,000 251,236
Kyosan Electric Manufacturing Co., Ltd............... 94,000 279,882
#Kyowa Leather Cloth Co., Ltd........................ 32,000 162,977
#Kyushu Bank, Ltd.................................... 146,000 463,310
Life Corp............................................ 83,000 370,695
MR Max Corp.......................................... 9,300 36,799
Maezawa Industries, Inc.............................. 5,700 66,100
Magara Construction Co., Ltd......................... 61,000 68,349
*#Marudai Food Co., Ltd.............................. 232,000 519,898
#Maruei Department Store Co., Ltd.................... 72,000 242,586
Maruetsu, Inc........................................ 43,000 126,684
Maruha Corp.......................................... 87,000 96,799
#Marusan Securities Co., Ltd......................... 154,000 458,531
#Maruwn Corp......................................... 44,000 328,212
*Maruyama Manufacturing Co., Inc..................... 73,000 86,370
Maruzen Co., Ltd..................................... 179,000 504,917
Maruzen Showa Unyu Co., Ltd.......................... 192,000 461,853
Matsui Construction Co., Ltd......................... 40,000 112,204
Matsuo Bridge Co., Ltd............................... 37,000 60,592
Matsuya Co., Ltd..................................... 74,000 205,258
*Meiji Shipping Co., Ltd............................. 47,000 82,492
Meisei Industrial Co., Ltd........................... 29,000 49,309
#Meito Sangyo Co., Ltd............................... 38,000 345,387
*Meiwa Trading Co., Ltd.............................. 55,000 157,297
Melco, Inc........................................... 8,000 118,472
Mercian Corp......................................... 42,000 147,761
Misawa Homes Co., Ltd................................ 37,000 114,225
#Misawa Resort Co., Ltd.............................. 40,000 285,211
#Mitsuba Corp........................................ 67,000 383,232
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Mitsubishi Cable Industries, Ltd..................... 56,000 $ 129,442
Mitsubishi Kakoki Kaisha, Ltd........................ 117,000 200,768
Mitsubishi Pencil Co., Ltd........................... 61,000 540,098
Mitsubishi Plastics, Inc............................. 63,000 111,068
*Mitsubishi Shindoh Co., Ltd......................... 82,000 134,927
*Mitsubishi Steel Manufacturing Co., Ltd............. 253,000 342,950
Mitsuboshi Belting, Ltd.............................. 153,000 371,636
Mitsui Construction Co., Ltd......................... 314,000 287,859
Mitsui Home Co., Ltd................................. 19,000 104,212
Mitsui Matsushima Co., Ltd........................... 90,000 112,831
*#Mitsui Mining Co., Ltd............................. 225,000 262,684
#Mitsui Sugar Co., Ltd............................... 116,000 192,690
Mitsuuroko Co., Ltd.................................. 106,000 373,751
Miura Co., Ltd....................................... 65,000 718,119
Miyaji Iron Works Co. Ltd............................ 90,000 121,293
*Miyakoshi Corp...................................... 18,000 14,809
Miyazaki Bank, Ltd................................... 125,420 486,448
#Miyoshi Oil & Fat Co., Ltd.......................... 120,000 225,661
Miyuki Keori Co., Ltd................................ 50,000 203,722
*Morinaga & Co., Ltd................................. 77,000 106,186
Morita Corp.......................................... 72,000 160,784
*Morozoff, Ltd., Osaka............................... 50,000 121,450
Mory Industries, Inc................................. 66,000 128,251
Mos Food Services, Inc............................... 10,000 129,285
*#Mutoh Industries, Ltd.............................. 61,000 67,393
*Mutow Co., Ltd...................................... 38,000 133,986
NOF Corp............................................. 54,000 121,434
Nabco, Ltd........................................... 120,000 230,362
*Nachi-Fujikoshi Corp................................ 65,000 123,761
*#Nagasakiya Co., Ltd. (Tokyo)....................... 231,000 255,209
Nagatanien Co., Ltd.................................. 53,000 323,918
Naigai Co., Ltd...................................... 109,000 192,165
Nakabayashi Co., Ltd................................. 92,000 260,952
Nakamuraya Co., Ltd.................................. 85,000 252,419
#Nakano Corp......................................... 66,000 74,468
Nakayama Steel Works, Ltd............................ 206,000 356,717
*National Securities Co., Ltd........................ 146,000 121,261
*Navix Line, Ltd..................................... 119,000 114,688
Nemic-Lambda K.K..................................... 5,000 71,303
Neturen Co., Ltd., Tokyo............................. 67,000 209,990
*New Japan Securities Co., Ltd....................... 125,000 104,799
Nichia Steel Works, Ltd.............................. 64,900 172,897
#Nichias Corp........................................ 237,000 505,105
#Nichiban Co., Ltd................................... 58,000 163,604
*#Nichiboshin, Ltd................................... 119,000 72,729
Nichiha Corp......................................... 9,000 70,519
Nichimo Co., Ltd..................................... 54,000 87,585
Nichimo Corp......................................... 85,000 86,582
Nichireki Co., Ltd................................... 44,000 133,077
Nichiro Corp......................................... 289,000 403,071
Nifco, Inc........................................... 114,000 769,081
*#Nihon Kentetsu Co., Ltd............................ 27,000 70,872
Nihon Kohden Corp.................................... 85,000 304,368
#Nihon Matai Co., Ltd................................ 50,000 129,285
*#Nihon Nohyaku Co., Ltd............................. 103,000 250,186
#Nihon Nosan Kogyo K.K............................... 201,000 247,263
Nihon Parkerizing Co., Ltd........................... 92,000 259,510
*Nihon Spindle Manufacturing Co., Ltd................ 56,000 111,890
Nihon Tokushu Toryo Co., Ltd......................... 35,000 68,560
Niigata Chuo Bank, Ltd............................... 130,000 300,490
</TABLE>
166
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Niigata Engineering Co., Ltd........................ 602,000 $ 325,469
Nikken Chemicals Co., Ltd............................ 130,000 427,816
Nikkiso Co., Ltd..................................... 114,000 502,895
Nikko Co., Ltd., Akashi.............................. 65,000 164,505
Nippon Beet Sugar Manufacturing Co., Ltd............. 291,000 522,147
Nippon Carbide Industries Co., Inc., Tokyo........... 101,000 312,595
*Nippon Carbon Co., Ltd.............................. 177,000 328,690
Nippon Chemi-Con Corp................................ 218,000 710,582
Nippon Chemical Industrial Co., Ltd.................. 131,000 431,107
#Nippon Chemiphar Co., Ltd........................... 49,000 103,663
#Nippon Chutetsukan KK............................... 44,000 89,638
*Nippon Columbia Co., Ltd............................ 99,000 165,226
#Nippon Concrete Industries Co., Ltd................. 65,000 118,159
Nippon Conlux Co., Ltd............................... 63,000 259,158
*#Nippon Conveyor Co., Ltd........................... 43,000 56,266
Nippon Denko Co., Ltd................................ 159,000 198,088
#Nippon Densetsu Kogyo Co., Ltd...................... 118,000 416,063
*#Nippon Electric Industry Co., Ltd.................. 67,000 89,246
#Nippon Felt Co., Ltd................................ 28,000 75,690
Nippon Flour Mills Co., Ltd.......................... 54,000 126,934
*Nippon Formula Feed Manufacturing Co., Ltd.......... 100,000 132,419
Nippon Gas Co., Ltd.................................. 62,000 225,896
Nippon Hume Pipe Co., Ltd............................ 43,000 107,816
*Nippon Kasei Chemical Co., Ltd...................... 113,000 115,988
#Nippon Kinzoku Co., Ltd............................. 93,000 142,096
Nippon Koei Co., Ltd., Tokyo......................... 146,000 329,465
#Nippon Koshuha Steel Co., Ltd....................... 151,000 140,795
*#Nippon Lace Co., Ltd............................... 26,000 21,798
Nippon Metal Industry Co., Ltd....................... 310,000 434,789
#Nippon Pipe Manufacturing Co., Ltd.................. 35,000 71,303
#Nippon Piston Ring Co., Ltd......................... 133,000 227,181
Nippon Road Co., Ltd................................. 147,000 190,049
#Nippon Sharyo, Ltd.................................. 42,000 139,534
Nippon Shinyaku Co., Ltd............................. 133,000 703,428
Nippon Signal Co., Ltd............................... 109,000 445,822
*Nippon Steel Chemical Co., Ltd...................... 73,000 92,090
*Nippon Suisan Kaisha, Ltd........................... 86,000 123,314
Nippon Synthetic Chemical Industry Co., Ltd.......... 152,000 273,928
Nippon Thompson Co., Ltd............................. 109,000 615,781
Nippon Valqua Industries, Ltd........................ 119,000 200,470
*Nippon Yakin Kogyo Co., Ltd......................... 243,000 215,154
#Nippon Yusoki Co., Ltd.............................. 49,000 150,503
Nissan Construction Co., Ltd......................... 128,000 185,544
Nissan Shatai Co., Ltd............................... 4,000 12,819
*#Nisseki House Industry Co., Ltd.................... 260,000 301,508
Nissha Printing Co., Ltd............................. 81,000 559,146
Nisshin Oil Mills, Ltd............................... 42,000 120,447
Nissin Corp.......................................... 150,000 392,556
Nissin Electric Co., Ltd............................. 205,000 449,755
Nitsuko Corp......................................... 157,000 500,678
Nittetsu Mining Co., Ltd............................. 147,000 689,935
#Nitto Chemical Industry Co., Ltd.................... 116,000 210,868
Nitto Flour Milling Co., Ltd......................... 54,000 114,241
#Nitto Seiko Co., Ltd................................ 56,000 118,472
*Nitto Seimo Co., Ltd................................ 32,000 37,861
Nittoc Construction Co., Ltd......................... 61,000 160,595
#Nohmi Bosai, Ltd.................................... 59,000 318,981
Noritz Corp.......................................... 15,000 107,542
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
North Pacific Bank, Ltd.............................. 170,000 $ 612,733
*Nozaki and Co., Ltd................................. 56,000 43,879
*O-M, Ltd............................................ 46,000 95,514
*OKK Corp............................................ 101,000 150,362
Obayashi Road Corp................................... 65,000 115,612
Odakyu Construction Co., Ltd......................... 29,000 70,214
*Odakyu Real Estate Co., Ltd......................... 58,000 98,617
Ohki Corp............................................ 73,000 108,678
*Ohkura Electric Co., Ltd............................ 34,000 62,605
Okabe Co., Ltd....................................... 39,000 184,878
Okamoto Industries, Inc.............................. 44,000 104,807
*Okasan Securities Co., Ltd.......................... 379,000 469,203
#Oki Electric Cable Co., Ltd......................... 56,000 96,533
*Okuma and Howa Machinery, Ltd....................... 69,000 135,162
*#Okura and Co., Ltd................................. 228,000 437,689
Okura Industrial Co., Ltd............................ 96,000 206,856
*#Ono Sokki Co., Ltd................................. 43,000 181,939
Optec Dai-Ichi Denko Co., Ltd........................ 178,000 206,417
Organo Corp.......................................... 101,000 408,353
Oriental Construction Co., Ltd....................... 8,000 51,401
Origin Electric Co., Ltd............................. 54,000 291,526
Osaka Oxygen Industries, Ltd......................... 190,000 282,860
#Osaki Electric Co., Ltd............................. 56,000 146,993
Pacific Industrial Co., Ltd.......................... 78,000 224,298
*Pacific Metals Co., Ltd............................. 299,000 342,049
Parco Co., Ltd....................................... 82,000 378,437
*#Pasco Corp......................................... 150,000 550,049
Pilot Corp........................................... 32,000 127,373
#Pokka Corp.......................................... 48,000 195,573
#Press Kogyo Co., Ltd................................ 143,000 178,155
*Prima Meat Packers, Ltd............................. 230,000 236,082
Raito Kogyo Co., Ltd................................. 101,700 567,368
Rasa Industries, Ltd................................. 119,000 416,791
Renown Look, Inc..................................... 50,000 60,725
*Renown, Inc......................................... 154,000 115,839
Rheon Automatic Machinery Co., Ltd................... 40,000 134,770
Rhythm Watch Co., Ltd................................ 298,000 490,343
#Riken Corp.......................................... 193,000 430,989
#Riken Vinyl Industry Co., Ltd....................... 123,000 479,953
#Rohto Pharmaceutical Co., Ltd....................... 92,000 702,840
#Ryobi, Ltd.......................................... 218,000 567,099
Ryoden Trading Co., Ltd.............................. 80,000 292,106
Ryoyo Electro Corp................................... 62,000 655,828
S.T. Chemical Co., Ltd............................... 48,000 191,812
SMK Corp............................................. 127,000 367,193
*SS Pharmaceutical Co., Ltd., Tokyo.................. 255,000 819,197
SXL Corp............................................. 148,000 403,557
Saeki Kensetsu Kogyo Co., Ltd........................ 71,000 63,976
Sagami Co., Ltd...................................... 60,000 165,015
Sakai Chemical Industry Co., Ltd..................... 184,000 529,113
Sakai Heavy Industries, Ltd.......................... 60,000 149,500
Sakai Ovex Co., Ltd.................................. 85,000 149,187
#Sakata Inx Corp..................................... 92,000 390,707
Sakurada Co., Ltd.................................... 38,000 49,426
San-Ai Oil Co., Ltd.................................. 118,000 259,808
Sankei Building Co., Ltd............................. 97,000 305,536
Sanko Metal Industrial Co., Ltd., Tokyo.............. 54,000 67,698
Sankyo Aluminum Industry Co., Ltd.................... 73,000 83,510
*#Sankyo Seiki Manufacturing Co., Ltd................ 87,000 613,516
Sankyo Seiko Co., Ltd................................ 86,000 185,309
</TABLE>
167
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sankyu, Inc., Tokyo.................................. 82,000 $ 118,864
*Sanrio Co., Ltd..................................... 61,000 391,929
*#Sansui Electric Co., Ltd........................... 353,000 160,423
Sanyo Industries, Ltd., Tokyo........................ 48,000 112,831
Sanyo Special Steel Co., Ltd......................... 339,000 424,995
Sasaki Glass Co., Ltd................................ 56,000 81,614
Sasebo Heavy Industries Co., Ltd., Tokyo............. 257,000 338,304
#Sata Construction Co., Ltd., Gumma.................. 61,000 97,982
#Sato Kogyo Co., Ltd................................. 34,000 22,644
Sato Shoji Corp...................................... 31,000 136,023
*Sawafugji Electric Co., Ltd......................... 31,000 58,296
Seika Corp........................................... 145,000 306,758
*Seikitokyu Kogyo Co., Ltd........................... 86,000 66,711
Seiren Co., Ltd...................................... 81,000 142,801
Seiyo Food Systems, Inc.............................. 150,000 661,704
Sekisui Jushi Co., Ltd............................... 93,000 523,205
Sekisui Plastics Co., Ltd............................ 150,000 258,570
Senko Co., Ltd....................................... 205,000 436,905
Senshukai Co., Ltd................................... 71,000 298,186
*#Settsu Corp........................................ 324,000 274,178
Shibaura Engineering Works Co., Ltd.................. 45,000 92,027
Shibusawa Warehouse Co., Ltd......................... 119,000 354,319
Shibuya Kogyo Co., Ltd............................... 54,000 448,501
*Shikibo, Ltd........................................ 155,000 132,380
#Shikoku Chemicals Corp.............................. 89,000 225,943
Shimizu Bank, Ltd.................................... 18,200 909,822
Shimura Kako Co., Ltd................................ 55,000 94,809
Shin Nippon Air Technologies Co., Ltd................ 37,180 168,967
#Shin-Etsu Polymer Co., Ltd.......................... 143,000 557,994
#Shin-Kobe Electric Machinery Co., Ltd............... 71,000 172,458
#Shinagawa Fuel Co., Ltd............................. 160,000 626,836
Shinagawa Refractories Co., Ltd...................... 116,000 463,546
*#Shinko Electric Co., Ltd........................... 257,000 545,716
Shinko Shoji Co., Ltd................................ 41,000 258,930
Shinmaywa Industries, Ltd............................ 34,000 111,357
#Shinsho Corp........................................ 110,000 150,833
*#Shintom Co., Ltd................................... 53,000 82,225
*#Shinwa Kaiun Kaisha, Ltd........................... 238,000 255,483
Shinyei Kaisha....................................... 54,000 65,583
Shiroki Co., Ltd..................................... 132,000 273,050
Shoko Co., Ltd....................................... 156,000 206,574
*#Shokusan Jutaku Sogo Co., Ltd...................... 207,000 82,719
#Showa Corp.......................................... 117,000 825,073
Showa Electric Wire & Cable Co., Ltd., Kawasaki...... 63,000 131,800
#Showa Highpolymer Co., Ltd.......................... 79,000 272,360
*#Showa Line, Ltd.................................... 438,000 223,075
Showa Sangyo Co., Ltd................................ 185,000 327,600
*#Silver Seiko, Ltd.................................. 87,000 67,487
#Sintokogio, Ltd., Nagoya............................ 118,000 447,499
Soda Nikka Co., Ltd.................................. 35,000 69,931
*#Sogo Co., Ltd...................................... 263,000 459,542
Sokkisha Co., Ltd.................................... 40,000 114,398
#Sotetsu Rosen Co., Ltd.............................. 42,000 192,517
Star Micronics Co., Ltd.............................. 84,000 268,537
#Subaru Enterprise Co., Ltd.......................... 36,000 132,012
Suminoe Textile Co., Ltd............................. 142,000 222,527
Sumisho Computer Systems Corp........................ 12,000 206,856
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sumitomo Coal Mining Co., Ltd........................ 107,000 $ 146,719
#Sumitomo Construction Co., Ltd...................... 320,000 330,970
*Sumitomo Corporation's Leasing, Ltd................. 35,000 82,272
Sumitomo Densetsu Co., Ltd........................... 6,000 33,379
#Sumitomo Light Metal Industries, Ltd................ 527,000 478,997
#Sumitomo Precision Products Co., Ltd., Amagasaki
City............................................... 78,000 305,583
Sumitomo Seika Chemicals Co., Ltd.................... 102,000 234,970
Sun Wave Corp........................................ 96,000 479,154
SunTelephone Co., Ltd................................ 65,000 224,094
*#Suzutan Co., Ltd................................... 62,000 62,668
#TYK Corp............................................ 67,000 184,266
Tabai Espec Corp..................................... 34,000 214,989
Tadano, Ltd.......................................... 23,000 102,182
Taihei Dengyo Kaisha, Ltd............................ 66,000 219,785
Taihei Kogyo Co., Ltd................................ 114,000 160,784
*Taiheiyo Kaiun Co., Ltd............................. 72,000 50,774
Taiheiyo Kouhatsu, Inc............................... 90,000 98,727
*#Taiheiyo Securities Co., Ltd....................... 218,000 95,655
Taikisha, Ltd........................................ 72,000 823,663
Taisei Fire & Marine Insurance Co., Ltd.............. 118,000 355,965
*Taisei Prefab Construction Co., Ltd................. 134,000 128,094
Taisei Rotec Corp.................................... 127,000 224,893
#Taito Co., Ltd...................................... 70,000 180,999
Taiyo Toyo Sanso Co., Ltd............................ 256,000 483,416
*Taka-Q Co., Ltd..................................... 77,000 53,696
Takada Kiko Co., Ltd................................. 31,000 100,074
Takaoka Electric Manufacturing Co., Ltd., Tokyo...... 156,000 256,690
Takara Co., Ltd...................................... 39,000 110,010
*Takarabune Corp..................................... 52,000 185,387
#Takasago International Corp......................... 179,000 827,502
*#Takasaki Paper Manufacturing Co., Ltd.............. 157,000 116,866
#Takashima & Co., Ltd................................ 60,000 139,158
#Takiron Co., Ltd.................................... 153,000 383,624
Tamura Corp.......................................... 137,000 534,582
#Tamura Electric Works, Ltd.......................... 74,000 237,728
#Tasaki Shinju Co., Ltd.............................. 53,000 174,417
*#Tateho Chemical Industries Co., Ltd................ 106,000 90,531
Tatsuta Electric Wire & Cable Co., Ltd............... 106,000 216,776
*#Tayca Corp......................................... 74,000 78,276
*#Teac Corp.......................................... 109,000 331,377
#Teijin Seiki Co., Ltd............................... 138,000 506,045
#Teikoku Hormone Manufacturing Co., Ltd.............. 33,000 199,099
*Teikoku Sen-I Co., Ltd.............................. 39,000 78,229
#Teikoku Tsushin Kogyo Co., Ltd...................... 73,000 177,316
Teisan K.K........................................... 219,000 499,346
Tekken Corp.......................................... 313,000 461,070
Tenma Corp........................................... 60,000 695,788
Tesac Corp........................................... 92,000 87,945
The Daito Bank, Ltd.................................. 16,000 50,899
*Titan Kogyo K.K..................................... 36,000 76,161
#Toa Corp............................................ 57,000 91,557
Toa Doro Kogyo Co., Ltd.............................. 85,000 116,552
*#Toa Steel Co., Ltd................................. 205,000 123,683
</TABLE>
168
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Toa Wool Spinning & Weaving Co., Ltd................ 73,000 $ 96,666
*#Tobishima Corp..................................... 100,000 47,013
Tobu Store Co., Ltd.................................. 71,000 145,755
Tochigi Bank, Ltd.................................... 77,000 425,951
Tochigi Fuji Industrial Co., Ltd..................... 51,000 131,871
Toda Kogyo Corp...................................... 88,000 311,663
Todentu Corp......................................... 57,000 171,949
Toenec Corp.......................................... 170,000 705,975
*Toho Rayon Co., Ltd................................. 128,000 160,470
#Toho Real Estate Co., Ltd........................... 98,000 513,708
#Toho Zinc Co., Ltd.................................. 205,000 634,476
*Tohpe Corp.......................................... 36,000 131,166
Tohto Suisan Co., Ltd................................ 54,000 86,315
#Tokai Corp.......................................... 108,000 433,269
*Tokai Kanko Co., Ltd................................ 132,000 81,708
Tokai Maruman Securities Co., Ltd.................... 99,000 142,731
#Tokai Pulp Co., Ltd................................. 88,000 342,002
Tokai Rika Co., Ltd.................................. 139,000 446,543
*Tokai Senko K.K., Nagoya............................ 47,000 49,716
Tokico, Ltd.......................................... 189,000 380,592
Tokimec, Inc......................................... 119,000 205,132
Tokin Corp........................................... 101,000 791,381
Toko Electric Corp................................... 39,000 95,036
#Tokushu Paper Manufacturing Co., Ltd................ 95,000 670,676
*#Tokuyo City Bank, Ltd.............................. 115,000 1,802
Tokyo Denki Komusho Co., Ltd......................... 57,000 200,979
#Tokyo Kikai Seisak.................................. 157,400 758,480
*Tokyo Nissan Auto Sales Co., Ltd.................... 63,000 180,670
#Tokyo Rakutenchi Co., Ltd........................... 92,000 223,467
Tokyo Rope Manufacturing Co., Ltd.................... 286,000 459,393
*Tokyo Securities Co., Ltd........................... 193,000 161,810
Tokyo Tanabe Co., Ltd., Tokyo........................ 119,000 503,506
*Tokyo Tekko Co., Ltd................................ 67,000 63,522
Tokyo Theatres Co., Inc., Tokyo...................... 116,000 145,426
*Tokyotokeiba Co., Ltd............................... 77,000 127,303
Tokyu Car Corp....................................... 234,000 302,527
#Tokyu Construction Co., Ltd......................... 356,000 284,521
*Tokyu Hotel Chain Co., Ltd.......................... 189,000 429,461
#Tokyu Store Chain Corp.............................. 133,000 640,901
*Tokyu Tourist Corp.................................. 38,000 56,572
Toli Corp............................................ 101,000 217,630
Tomoe Corp........................................... 56,000 96,533
*Tomoegawa Paper Co., Ltd............................ 55,000 162,468
Tomoku Co., Ltd...................................... 203,000 361,066
Tonami Transportation Co., Ltd....................... 173,000 338,883
Topcon Corp.......................................... 68,000 229,109
Topre Corp........................................... 85,000 335,671
Topy Industries, Ltd................................. 65,000 123,252
Torishima Pump Manufacturing Co., Ltd., Osaka........ 45,000 249,990
Toshiba Engineering & Construction Co., Ltd.......... 128,000 332,976
*#Toshiba Machine Co., Ltd........................... 294,000 697,998
Toshiba Tungaloy Co.,Ltd............................. 124,000 347,832
Tosho Printing Co., Ltd.............................. 94,000 232,744
Tostem Viva Corp..................................... 119,000 289,050
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Totenko Co., Ltd..................................... 35,000 $ 98,727
Totetsu Kogyo Co., Ltd............................... 53,000 99,667
Totoku Electric Co., Ltd., Tokyo..................... 62,000 140,881
*#Towa Real Estate Development Co., Ltd.............. 160,000 56,415
Toyama Chemicals Co., Ltd............................ 192,000 458,844
Toyo Aluminium K.K................................... 81,000 253,869
#Toyo Chemical Co., Ltd.............................. 52,000 137,716
#Toyo Construction Co., Ltd.......................... 290,000 193,144
Toyo Corp............................................ 41,000 366,229
*Toyo Electric Co., Ltd.............................. 67,000 78,746
Toyo Engineering Corp................................ 31,000 39,593
Toyo Exterior Co., Ltd............................... 18,000 130,460
#Toyo Information System Co., Ltd.................... 78,000 1,069,540
Toyo Kanetsu K.K..................................... 206,000 148,498
Toyo Radiator Co., Ltd............................... 104,000 183,350
*Toyo Securities Co., Ltd............................ 113,000 123,957
Toyo Shutter Co., Ltd................................ 77,000 209,959
#Toyo Sugar Refining Co., Ltd........................ 60,000 59,236
Toyo Tire & Rubber Co., Ltd.......................... 301,000 759,428
#Toyo Umpanki Co., Ltd............................... 146,000 440,431
Toyo Wharf & Warehouse Co., Ltd...................... 118,000 198,786
Tsubaki Nakashima Co., Ltd........................... 111,000 634,907
Tsubakimoto Machinery & Engineering Co., Ltd......... 44,000 94,809
Tsudakoma Corp....................................... 101,000 237,414
*Tsugami Corp........................................ 124,000 179,745
Tsukamoto Co., Ltd................................... 44,000 111,357
Tsukishima Kikai Co., Ltd............................ 6,000 60,646
#Tsumura & Co., Inc.................................. 124,000 718,981
#Tsurumi Manufacturing Co., Ltd...................... 42,000 236,944
Tsutsumi Jewelry Co., Ltd............................ 5,000 61,900
Tsutsunaka Plastic Industry Co., Ltd................. 71,000 228,090
Uchida Yoko Co., Ltd................................. 72,000 164,733
Ueki Corp............................................ 47,000 73,653
Uniden Corp.......................................... 57,000 580,607
Utoc Corp............................................ 38,000 59,252
Wakachiku Construction Co., Ltd...................... 194,000 199,130
#Wakamoto Pharmaceutical Co., Ltd.................... 48,000 125,618
#Yahagi Construction Co., Ltd........................ 59,000 231,146
*Yahagi Iron Co., Ltd................................ 40,000 128,501
Yamamura Glass Co., Ltd.............................. 213,000 403,886
#Yamatane Corp....................................... 131,000 225,818
*#Yamatane Securities Co., Ltd....................... 203,000 141,563
Yamato International, Inc............................ 43,000 59,636
*#Yamazen Co., Ltd................................... 140,000 290,695
Yokogawa Bridge Corp................................. 70,400 242,711
*Yokohama Matsuzakaya, Ltd........................... 27,000 35,965
Yokohama Reito Co., Ltd.............................. 84,000 677,924
Yomeishu Seizo Co., Ltd.............................. 46,000 244,733
#Yomiuri Land Co., Ltd............................... 157,000 430,558
Yondenko Corp........................................ 58,800 230,362
Yonekyu Corp......................................... 8,000 104,055
Yoshihara Oil Mill, Ltd.............................. 36,000 71,083
#Yoshimoto Kogyo Co., Ltd............................ 60,000 517,140
*Yuasa Corp.......................................... 375,000 473,066
Yuasa Trading Co., Ltd............................... 174,000 289,034
Yuken Kogyo Co., Ltd................................. 60,000 135,867
</TABLE>
169
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Yurtec Corp.......................................... 18,000 $ 104,368
#Zenchiku Co., Ltd................................... 126,000 194,492
Zuken, Inc........................................... 7,000 49,363
------------
TOTAL COMMON STOCKS
(Cost $390,173,449).................................. 172,544,236
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $87,533)......................... 86,134
------------
TOTAL -- JAPAN
(Cost $390,260,982).................................. 172,630,370
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97
(Collateralized by U.S. Treasury Notes 8.50%,
11/15/00, valued at $7,408,875)
to be repurchased at $7,299,314. (Cost
$7,296,000)........................................ $ 7,296 7,296,000
------------
TOTAL INVESTMENTS -- (102.6%)
(Cost $397,556,982)++................................ 179,926,370
------------
OTHER ASSETS AND LIABILITIES -- (-2.6%)
Other Assets......................................... 837,666
Payable for Fund Shares Redeemed..................... (5,354,964)
Other Liabilities.................................... (66,638)
------------
(4,583,936)
------------
NET ASSETS -- (100.0%)................................. $175,342,434
------------
------------
- --------------------
+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.
170
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
HONG KONG -- (27.0%)
COMMON STOCKS -- (26.9%)
ABC Communications (Holdings), Ltd................... 338,000 $ 87,448
ALCO Holdings, Ltd................................... 314,000 18,279
ASM Pacific Technology, Ltd.......................... 346,000 214,843
*AWT World Transport Holdings, Ltd................... 250,800 10,220
*Allied Group, Ltd................................... 4,622,000 454,410
Allied Properties (Hong Kong), Ltd................... 1,280,000 127,498
Anex International Holdings, Ltd..................... 152,000 9,045
*Applied International Holdings, Ltd................. 1,243,000 49,847
*Asia Commercial Holdings, Ltd....................... 72,800 4,662
Asia Financial Holdings, Ltd......................... 1,729,179 438,430
*Asia Securities International, Ltd.................. 523,600 86,699
#Asia Standard International Group, Ltd.............. 890,000 185,362
Associated International Hotels, Ltd................. 898,000 453,049
Beauforte Investors Corp., Ltd....................... 72,000 121,082
*Beijing Development (Hong Kong), Ltd................ 166,000 37,150
*Benelux International, Ltd.......................... 30,000 539
Bossini International Holdings, Ltd.................. 122,000 17,992
Burlingame International Co., Ltd.................... 190,000 49,157
Burwill Holdings, Ltd................................ 1,480,000 204,856
*#CCT Telecom Holdings, Ltd.......................... 920,000 92,830
*CIL Holdings, Ltd................................... 122,000 14,362
CNT Group, Ltd....................................... 980,000 97,616
Cafe de Coral Holdings, Ltd.......................... 485,000 91,601
*Capetronic International Holdings, Ltd.............. 14,490 2,174
Capital Asia, Ltd.................................... 987,361 91,963
Century City International Holdings, Ltd............. 542,056 114,999
Champion Technology Holdings, Ltd.................... 1,321,288 162,377
Cheerful Holdings, Ltd............................... 94,000 20,672
Chen Hsong Holdings, Ltd............................. 1,275,000 494,807
Cheuk Nang Properties (Holdings), Ltd................ 750,008 158,146
Cheung Tai Hong Holdings, Ltd........................ 332,000 17,609
*Cheung Wah Development Co., Ltd..................... 1,286,000 47,412
Chevalier (OA) International, Ltd.................... 1,776,251 160,845
Chevalier Construction Holdings, Ltd................. 131,203 11,881
Chevalier Development International, Ltd............. 216,524 56,020
Chevalier International Holdings, Ltd................ 1,844,103 226,628
China Aerospace International Holdings, Ltd.......... 853,200 251,094
*China Development Corp., Ltd........................ 1,150,000 81,821
*China Everbright Technology, Ltd.................... 578,000 141,317
#China Foods Holdings, Ltd........................... 1,232,000 434,292
*China Investments Holdings, Ltd..................... 175,000 17,884
China Motor Bus Co., Ltd............................. 114,200 1,063,660
#China Pharmaceutical Enterprise and Investment
Corp., Ltd......................................... 396,000 45,592
*China Star Entertainment, Ltd....................... 1,602,000 36,474
*China United (Holdings), Ltd........................ 115,000 3,317
China-Hong Kong Photo Products Holdings, Ltd......... 532,000 130,070
Chinney Investments, Ltd............................. 220,000 45,251
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Chow Sang Sang Holdings International, Ltd........... 1,098,400 $ 298,390
*Chuang's China Investments, Inc..................... 820,000 21,427
Chuang's Consortium International, Ltd............... 1,122,883 90,060
Chun Wo Holdings, Ltd................................ 169,400 21,476
*Chung Hwa Devlopment Holdings, Ltd.................. 891,425 25,254
Climax International Co., Ltd........................ 296,000 33,313
Companion Building Material (Holdings), Ltd.......... 1,193,514 44,002
Companion Marble (Holdings), Ltd..................... 48,171 4,424
Continental Holdings, Ltd............................ 98,825 7,287
#Continental Mariner Investment Co., Ltd............. 576,000 230,987
Cosmos Machinery Enterprises, Ltd.................... 500,000 109,957
Crocodile Garments, Ltd.............................. 1,539,000 89,589
Cross Harbour Tunnel Co., Ltd........................ 365,603 603,009
*Culturecom Holdings, Ltd............................ 2,161,000 54,792
DC Finance (Holdings), Ltd........................... 1,080,000 74,046
*Dah Hwa International Holdings,
Ltd................................................ 128,000 23,182
*Daido Concrete (Hong Kong), Ltd..................... 223,000 29,425
Dong-Jun Holdings, Ltd............................... 354,000 80,139
*Dransfield Holdings, Ltd............................ 190,000 4,916
Dynamic Holdings, Ltd................................ 158,000 36,382
Easyknit International Holdings, Ltd................. 769,000 27,854
#Egana International Holdings, Ltd................... 2,140,800 146,776
Elec & Eltek International Holdings, Ltd............. 2,565,659 1,003,988
Emporer (China Concept) Investments, Ltd............. 148,000 33,505
Emporer International Holdings, Ltd.................. 148,369 35,507
*Englong International, Ltd.......................... 130,000 5,045
Esprit Holdings, Ltd................................. 202,000 65,981
Essential Enterprises Co., Ltd....................... 320,000 40,982
FPB Bank Holding Co., Ltd............................ 1,399,520 324,068
*Fairwood Holdings, Ltd.............................. 426,000 18,737
*Fairyoung Holdings, Ltd............................. 144,000 45,639
Far East Consortium International, Ltd............... 1,592,235 220,392
*Far East Holdings International, Ltd................ 70,000 6,791
*Far East Hotels & Entertainment, Ltd................ 1,853,000 521,361
*Firstone International Holdings, Ltd................ 464,000 25,510
Fong's Industries Co., Ltd........................... 174,000 15,531
Fortei Holdings, Ltd................................. 242,000 9,079
Fountain Set Holdings, Ltd........................... 346,000 60,872
Four Seas Mercantile Holdings, Ltd................... 242,000 124,439
Frankie Dominion International, Ltd.................. 630,173 28,532
*Fu Hui Jewelry Co. (Hong Kong), Ltd................. 232,000 24,310
Furama Hotel Enterprises, Ltd........................ 475,287 2,004,369
Giordano International, Ltd.......................... 598,000 156,650
Gold Peak Industries (Holdings), Ltd................. 1,031,400 567,049
Gold-Face Holdings, Ltd.............................. 201,600 69,762
*Golden Harvest Entertainment Holdings, Ltd.......... 254,000 17,415
</TABLE>
171
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Golden Power International Holdings, Ltd............. 34,000 $ 6,509
Golden Resources Development International, Ltd...... 971,000 101,744
Goldlion Holdings, Ltd............................... 693,000 226,360
*Goldtron (Bermuda) Holdings, Ltd.................... 51,111 3,504
*Golik Holdings, Ltd................................. 114,000 19,761
Grand Hotel Holdings, Ltd. Series A.................. 1,333,000 422,474
Grande Holdings, Ltd................................. 420,088 163,029
Great Wall Electronic International, Ltd............. 3,159,034 224,761
Group Sense (International), Ltd..................... 408,000 43,279
H B International Holdings, Ltd...................... 396,000 17,673
HKCB Bank Holding Co., Ltd........................... 268,000 143,876
*Hanny Holdings, Ltd................................. 383,280 47,598
Harbour Centre Development, Ltd...................... 375,000 375,956
Harbour Ring International Holdings, Ltd............. 1,618,000 74,304
*High Fashion International, Ltd..................... 178,000 12,434
#Hon Kwok Land Investment Co.,
Ltd................................................ 2,290,145 479,935
Hong Kong Building & Loan Agency,
Ltd................................................ 101,000 15,548
Hong Kong Ferry (Holdings) Co., Ltd.................. 771,300 997,763
Hong Kong Parkview Group, Ltd........................ 1,130,000 745,509
Hop Hing Holdings, Ltd............................... 660,265 83,704
Hsin Chong Construction Group, Ltd................... 456,224 82,035
*#Hualing Holdings, Ltd.............................. 358,000 32,881
Huey Tai International, Ltd.......................... 675,000 57,630
Hung Hing Printing Group, Ltd........................ 412,442 158,728
Hwa Kay Thai Holdings, Ltd........................... 2,444,238 73,672
IDT International, Ltd............................... 1,171,992 84,902
IMC Holdings, Ltd.................................... 604,000 230,496
Ideal Pacific Holdings, Ltd.......................... 200,000 24,579
Innovative International (Holdings), Ltd............. 438,000 77,058
Interform Ceramics Technologies, Ltd................. 364,000 46,146
International Bank of Asia, Ltd...................... 158,000 58,762
International Pipe, Ltd.............................. 642,726 97,278
International Tak Cheung Holdings, Ltd............... 124,000 17,966
*#Island Dyeing & Printing Co., Ltd.................. 148,000 153,164
JCG Holdings, Ltd.................................... 378,333 154,166
*Jinhui Holdings Co., Ltd............................ 370,000 23,453
Joyce Boutique Holdings, Ltd......................... 680,000 37,825
K Wah International Holdings, Ltd.................... 2,138,905 423,338
KPI Co., Ltd......................................... 264,000 29,029
KTP Holdings, Ltd.................................... 90,200 22,870
*Kader Holdings Co., Ltd............................. 545,600 29,643
*Kantone Holdings, Ltd............................... 123,902 12,021
Keck Seng Investments (Hong Kong), Ltd............... 572,400 128,100
Kee-Shing Holdings Co., Ltd.......................... 886,000 99,714
King Fook Holdings, Ltd.............................. 1,000,000 84,085
Kingboard Chemical Holdings, Ltd..................... 98,000 22,059
Kingmaker Footwear Holdings, Ltd..................... 194,000 15,058
*Kong Sun Holdings, Ltd.............................. 480,000 32,289
*Kong Tai International Holdings Co., Ltd............ 745,000 40,477
*Kosonic International Holdings, Ltd................. 198,000 6,301
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Kumagai Gumi Hong Kong, Ltd......................... 685,000 $ 536,105
Kwong Sang Hong International, Ltd................... 604,000 177,755
Lai Sun Garment (International), Ltd................. 465,000 290,238
Lai Sun Hotels International, Ltd.................... 102,000 7,653
*Lam Soon (Hong Kong), Ltd........................... 302,310 89,947
*Lam Soon Food Industries, Ltd....................... 87,000 32,638
Lamex Holdings, Ltd.................................. 202,000 41,548
Laws International Holdings, Ltd..................... 410,000 55,160
Le Saunda Holdings, Ltd.............................. 236,000 28,392
Leefung-Asco Printers Holdings, Ltd.................. 144,000 21,981
*Leung Kee Holdings, Ltd............................. 354,000 12,593
Li & Fung, Ltd....................................... 548,000 737,256
#Lippo, Ltd.......................................... 749,760 392,809
Liu Chong Hing Investment, Ltd....................... 635,200 608,060
*Luks Industrial Co., Ltd............................ 1,793,212 98,588
Lung Kee (Bermuda) Holdings, Ltd..................... 90,000 25,614
*Magnificent Estates, Ltd............................ 1,012,000 22,386
*Magnum International Holdings, Ltd.................. 300,000 9,314
*Mansion Holdings, Ltd............................... 151,800 9,426
Mansion House Group, Ltd............................. 698,200 108,384
*Megga (S.) International Holdings, Ltd.............. 1,513,400 59,711
Melbourne Enterprises, Ltd........................... 45,500 279,582
Melco International Development, Ltd................. 180,000 46,570
*Millenium Group, Ltd................................ 3,712,000 393,755
Min Xin Holdings, Ltd................................ 739,200 180,729
Mingly Corp., Ltd.................................... 4,032,600 772,060
Moulin International Holdings, Ltd................... 815,887 106,600
*Mui Hong Kong, Ltd.................................. 1,230,000 30,232
Nanyang Holdings, Ltd................................ 125,000 134,212
National Electronics Holdings, Ltd................... 1,324,000 70,222
New Island Printing Holdings, Ltd.................... 176,000 21,857
Ngai Lik Industrial Holdings, Ltd.................... 560,000 144,885
*Ocean Information Holdings, Ltd..................... 122,000 15,782
Onfem Holdings, Ltd.................................. 222,000 32,452
Orient Telecom & Technology Holdings, Ltd............ 94,000 21,645
*Oriental Metals Holdings Co., Ltd................... 319,800 28,131
#Oriental Press Group, Ltd........................... 770,000 204,197
Oxford Properties & Finance, Ltd..................... 110,000 139,451
Pacific Rim Infrastructure Management Enterprises,
Ltd................................................ 1,757,560 63,661
*Paramount Publishing Group, Ltd..................... 620,000 134,743
Paul Y. ITC Construction Holdings, Ltd............... 16,610 2,149
*Paul Y. Properties Group, Ltd....................... 50,440 3,132
Peace Mark (Holdings), Ltd........................... 1,264,122 28,454
Perfectech International Holdings, Ltd............... 187,500 33,472
Pico Far East Holdings, Ltd.......................... 232,000 59,723
Playmate Toys Holdings, Ltd.......................... 837,000 88,786
Pokfulam Development Co., Ltd........................ 234,000 115,028
*#Poly Investments Holdings, Ltd..................... 2,670,000 310,855
Prestige Properties Holdings, Ltd.................... 965,000 129,827
*Prod-Art Technology (Holdings),
Ltd................................................ 322,000 51,651
QPL International Holdings, Ltd...................... 318,000 197,457
RNA Holdings, Ltd.................................... 20,600 2,105
Raymond Industrial, Ltd.............................. 605,400 64,219
*Rhine Holdings, Ltd................................. 64,000 2,401
*Rivera Holdings, Ltd................................ 3,160,000 87,888
</TABLE>
172
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Ryoden Development, Ltd.............................. 478,000 $ 92,134
Safety Godown Co., Ltd............................... 408,000 245,424
San Miguel Brewery Hong Kong, Ltd.................... 930,800 234,798
Sea Holdings, Ltd.................................... 286,000 148,914
*Seapower International Holdings, Ltd................ 260,000 72,313
Seapower Resources International, Ltd................ 2,528,000 241,999
Semi-Tech (Global) Co., Ltd.......................... 1,395,192 285,164
Shaw Brothers Hong Kong, Ltd......................... 249,000 185,213
Shell Electric Manufacturing (Holdings) Co., Ltd..... 990,000 195,943
Shenyin Wanguo (Hong Kong), Ltd...................... 322,500 45,891
*#Shenzhen International Holdings, Ltd............... 1,865,000 226,783
*#Shougang Concord Century Holdings, Ltd............. 302,000 23,831
#Shougang Concord Grand (Group), Ltd................. 354,000 46,710
#Shougang Concord International Enterprises Co.,
Ltd................................................ 1,466,000 182,058
Shougang Concord Technology Holdings, Ltd............ 995,914 128,833
*Shun Ho Construction (Holdings), Ltd................ 1,037,452 50,998
*Shun Ho Resources Holdings, Ltd..................... 483,000 28,741
*Shun Shing Holdings, Ltd............................ 489,600 254,924
#Silver Grant International Industries, Ltd.......... 765,000 156,359
Sime Darby Hong Kong, Ltd............................ 418,000 243,329
Sincere Co., Ltd..................................... 505,500 52,314
Sing Tao Holdings, Ltd............................... 733,000 225,202
*Singamas Container Holdings, Ltd.................... 320,000 16,972
South China Brokerage Co., Ltd....................... 4,060,000 70,378
South China Industries, Ltd.......................... 1,124,000 116,322
*South China Strategic Investments, Ltd.............. 857,400 61,003
*South Sea Development Co., Ltd...................... 578,158 33,656
Southeast Asia Properties & Finance, Ltd............. 159,720 55,786
*Star Telecom International Holdings, Ltd............ 388,000 169,399
Starlight International Holdings, Ltd................ 1,049,034 66,495
#Stelux Holdings International, Ltd.................. 735,702 78,992
*Styland Holdings, Ltd............................... 1,939,200 57,697
*Sun Fook Kong Holdings, Ltd......................... 1,534,000 373,068
Sun Hung Kai & Co., Ltd.............................. 1,825,600 366,051
Suwa International Holdings, Ltd..................... 1,062,000 42,588
*Swank International Manufacturing Co., Ltd.......... 638,000 69,327
Tack Hsin Holdings, Ltd.............................. 148,000 28,144
Tai Cheung Holdings, Ltd............................. 327,000 141,709
Tai Sang Land Development, Ltd....................... 458,984 163,281
Tak Sing Alliance Holdings, Ltd...................... 2,909,865 225,854
Tak Wing Investment Holdings, Ltd.................... 432,800 48,709
Techtronic Industries Co., Ltd....................... 954,000 175,243
#Tem Fat Hing Fung (Holdings), Ltd................... 4,120,000 442,364
Termbray Industries International (Holdings), Ltd.... 112,490 106,228
Tern Properties Co., Ltd............................. 61,200 16,032
Texwinca Holdings, Ltd............................... 556,000 88,468
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Tian An China Investments Co., Ltd................... 4,355,750 $ 298,637
Tian Teck Land, Ltd.................................. 1,098,000 237,205
Triplenic Holdings, Ltd.............................. 388,000 91,852
*Tristate Holdings, Ltd.............................. 138,000 48,200
Truly International Holdings, Ltd.................... 214,000 35,711
Tse Sui Luen Jewellry (International), Ltd........... 1,491,928 328,096
Tung Fong Hung (Holdings), Ltd....................... 1,114,560 27,683
Tungtex (Holdings) Co., Ltd.......................... 976,000 94,692
Tysan Holdings, Ltd.................................. 369,600 57,374
*UDL Holdings, Ltd................................... 474,000 38,630
USI Holdings, Ltd.................................... 928,999 201,896
*Ultronics International Holdings, Ltd............... 168,000 14,344
#Union Bank of Hong Kong, Ltd........................ 633,623 737,696
*Universal Appliances, Ltd........................... 710,000 22,594
Varitronix International, Ltd........................ 495,000 838,843
Wah Ha Realty Co., Ltd............................... 278,600 62,349
Wah Kwong Shipping Holdings, Ltd..................... 125,500 90,915
*Wah Nam Group, Ltd.................................. 1,934,800 31,286
Wai Kee Holdings, Ltd................................ 492,738 84,138
Wing On Co. International, Ltd....................... 565,000 431,226
Wing On International Holdings, Ltd.................. 50,000 68,561
Wing Shan International, Ltd......................... 406,000 52,521
Winsor Industrial Corp., Ltd......................... 498,000 124,978
Winsor Properties Holdings, Ltd...................... 249,000 248,024
*Wo Kee Hong (Holdings), Ltd......................... 1,944,000 104,363
Wong's International (Holdings), Ltd................. 1,012,000 274,919
*Wong's Kong King International (Holdings), Ltd...... 1,139,600 38,329
World Houseware (Holdings), Ltd...................... 535,123 29,074
YGM Trading, Ltd..................................... 70,000 43,918
Yangtzekiang Garment Manufacturing Co., Ltd.......... 405,000 62,870
*Yaohan Food Processing & Trading Co., Ltd........... 124,000 10,747
*Yaohan Hong Kong Corp., Ltd......................... 760,000 42,275
Yaohan International Caterers, Ltd................... 512,000 107,960
*Yaohan International Holdings, Ltd.................. 974,000 76,859
Yau Lee Holdings, Ltd................................ 360,000 16,067
*Yeebo International Holdings, Ltd................... 40,800 3,536
*Yiu Wing International Holdings,
Ltd................................................ 282,000 30,643
*Yoshiya International Corp., Ltd.................... 612,300 38,020
Yugang International, Ltd............................ 1,326,000 111,496
------------
TOTAL COMMON STOCKS
(Cost $52,347,707)................................... 39,730,568
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Hong Kong Dollars
(Cost $144,341).................................... 144,472
------------
RIGHTS/WARRANTS -- (0.0%)
*Applied International Holdings, Ltd. Rights
12/09/97........................................... 497,200 0
*Dransfield Holdings, Ltd. Rights.................... 76,000 0
*Far East Consortium International, Ltd. Warrants
10/31/98........................................... 159,223 1,854
*Far East Consortium International, Ltd. Warrants
10/31/99........................................... 89,223 1,050
*Frankie Dominiun International, Ltd. Warrants
11/27/00........................................... 126,034 978
*Gold Peak Industries (Holdings), Ltd. Warrants
08/06/00........................................... 206,280 20,280
</TABLE>
173
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Grande Holdings, Ltd. Warrants 10/15/00............. 84,017 $ 6,521
*KTP Holdings, Ltd. Warrants 09/30/99................ 18,040 411
*Millenium Group, Ltd. Warrants 06/30/99............. 165,600 4,284
*Moulin International Holdings, Ltd. Warrants
10/16/99........................................... 67,083 1,293
*Ocean Information Holdings, Ltd. Warrants
09/30/99........................................... 24,400 1,610
*Orient Telecom & Technology Holdings, Ltd. Warrants
12/31/00........................................... 18,800 0
*Rhine Holdings, Ltd. Warrants 12/31/98.............. 8,000 102
*Shell Electric Manufacturing (Holdings) Co., Ltd.
Warrants 05/31/99.................................. 165,000 4,376
*South China Strategic Investments, Ltd. Warrants
09/10/98........................................... 128,610 0
*Star Telecom International Holdings, Ltd. Warrants
12/31/98........................................... 77,600 0
*Sun Hung Kai Co., Ltd. Rights....................... 912,800 1,181
*Yiu Wing International Holdings, Ltd. Warrants
1998............................................... 28,200 120
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 44,060
------------
TOTAL -- HONG KONG
(Cost $52,492,048)................................... 39,919,100
------------
AUSTRALIA -- (26.9%)
COMMON STOCKS -- (26.8%)
AAPC, Ltd............................................ 774,961 259,826
*AWA, Ltd............................................ 373,000 163,341
Aberfoyle, Ltd....................................... 185,050 322,877
Abigroup, Ltd........................................ 54,710 112,304
*Acacia Resources, Ltd............................... 294,603 211,658
Adelaide Bank, Ltd................................... 53,711 183,756
#Adelaide Brighton, Ltd.............................. 243,923 233,662
*Agen, Ltd........................................... 71,000 8,016
*Airboss, Ltd........................................ 274,800 11,282
Allgas Energy, Ltd................................... 20,699 184,120
Amalgamated Holdings, Ltd............................ 207,560 830,819
*Amity Oil NL........................................ 34,527 22,207
*An Feng Kingstream Steel, Ltd....................... 45,076 12,337
*Aquarius Platinum NL................................ 44,452 12,166
*Ariadne Australia, Ltd.............................. 75,114 23,642
#Ashanti Goldfields Co., Ltd......................... 16,243 124,478
#Ashton Mining, Ltd.................................. 523,700 483,753
Atkins Carlyle, Ltd.................................. 60,966 179,376
*Auridiam Consolidated NL............................ 63,097 4,317
*Aurora Gold, Ltd.................................... 102,934 102,125
Ausdoc Group, Ltd.................................... 65,734 98,051
*Ausdoc Group, Ltd. Issue 97......................... 5,362 8,255
Ausdrill, Ltd........................................ 32,318 17,912
Australian Chemical Holdings, Ltd.................... 61,900 92,332
*Australian Kaolin, Ltd.............................. 182,145 28,042
Australian Oil & Gas Corp., Ltd...................... 84,300 106,710
Australian Provincial Newspaper Holdings, Ltd........ 316,860 496,489
*Australian Resources, Ltd........................... 141,446 15,001
Avatar Industries, Ltd............................... 31,979 24,288
BRL Hardy, Ltd....................................... 149,941 451,419
SHARES VALUE+
------------ ------------
Bank of Queensland, Ltd.............................. 117,294 $ 421,349
*Beach Petroleum NL.................................. 165,200 13,564
*Beaconsfield Gold NL................................ 23,206 15,878
*Beyond International, Ltd........................... 54,450 61,474
*#Biota Holdings, Ltd................................ 82,600 166,728
Blackmores, Ltd...................................... 27,894 77,299
*Bligh Oil & Minerals NL............................. 58,844 17,716
*Boulder Group NL.................................... 78,500 12,891
Bridgestone Australia, Ltd........................... 49,000 98,907
Buderim Ginger, Ltd.................................. 7,300 4,945
CIM Resources, Ltd................................... 209,281 37,948
#Caltex Australia, Ltd............................... 111,008 345,599
Campbell Brothers, Ltd............................... 40,379 135,381
Campbell Brothers, Ltd. Issue 97..................... 9,601 32,190
*Cape Range, Ltd..................................... 244,600 14,226
Capral Aluminium, Ltd................................ 383,995 722,546
Carrington Cotton Corp., Ltd......................... 22,200 56,583
*Centaur Mining & Exploration, Ltd................... 514,948 232,549
Central Equity, Ltd.................................. 123,243 118,059
Central Norseman Gold Corp., Ltd..................... 409,800 92,532
Centro Properties, Ltd............................... 229,519 351,782
*Cityview Energy Corp., Ltd.......................... 4,945 9,136
*Clements Marshall Consolidated, Ltd................. 2,555 892
Clifford Corp., Ltd.................................. 69,664 23,357
*Climax Mining, Ltd.................................. 134,600 31,314
Coal & Allied Industries, Ltd........................ 11,250 55,231
Computer Power Group, Ltd............................ 47,260 109,946
Computershare, Ltd................................... 102,440 269,859
Consd Paper.......................................... 20,952 37,274
*Consolidated Gold NL................................ 123,748 5,080
Consolidated Rutile, Ltd............................. 399,003 136,507
*Coolgardie Gold NL.................................. 222,685 7,619
*Coplex Resources NL................................. 231,400 53,833
*Cortecs International, Ltd.......................... 100,097 319,164
Country Road, Ltd.................................... 99,911 143,562
Coventry Group, Ltd.................................. 63,616 248,112
Crane (G.E) Holdings, Ltd............................ 71,674 664,520
*Croesus Mining NL................................... 97,100 15,946
Cudgen RZ, Ltd....................................... 36,650 16,300
*Cultus Petroleum NL................................. 116,217 206,752
*DJL, Ltd............................................ 277,900 1,521
Danks Holdings, Ltd.................................. 10,425 51,359
Davids Limited....................................... 521,562 271,223
Delfin Property Group, Ltd........................... 24,747 105,830
Delta Gold NL........................................ 373,100 331,876
*Denehurst, Ltd...................................... 95,000 3,250
*Devex, Ltd.......................................... 205,364 47,776
Devine, Ltd.......................................... 39,566 17,597
*Dominion Mining, Ltd................................ 168,015 45,985
ERG, Ltd............................................. 298,635 257,465
*Eagle Mining Corp. NL............................... 48,026 98,584
Eltin, Ltd........................................... 138,822 113,985
*Emporer Mines, Ltd.................................. 120,600 44,560
Energy Developments, Ltd............................. 40,404 71,880
*Energy Equity Corp., Ltd............................ 320,488 195,168
Energy Resources of Australia, Ltd. Series A......... 231,589 649,694
*Equatorial Mining NL................................ 864,290 100,535
Evans Deakin Industries, Ltd......................... 196,596 517,896
FAI Insurances, Ltd.................................. 596,966 228,741
FAI Life, Ltd........................................ 201,219 95,000
</TABLE>
174
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Finemore Holdings, Ltd............................... 60,000 $ 106,741
Fleetwood Corp., Ltd................................. 12,019 16,694
Foodland Associated, Ltd............................. 96,144 723,639
*Formulab Neuronetics Corp., Ltd..................... 74,250 7,621
Forrester Parker Group, Ltd.......................... 29,354 28,119
#Futuris Corp., Ltd.................................. 643,432 673,599
GUD Holdings, Ltd.................................... 73,576 195,836
GWA International, Ltd............................... 150,645 273,154
Gazal Corp., Ltd..................................... 25,365 23,430
Gibson Chemical Industries, Ltd...................... 36,300 211,122
*Gold Mines of Australia, Ltd........................ 55,307 6,244
*Golden West Refining Corp., Ltd..................... 17,330 8,063
Goldfields, Ltd...................................... 282,605 158,563
Gowing Bros., Ltd.................................... 51,843 94,003
Great Central Mines, Ltd............................. 162,502 166,785
Gunns, Ltd........................................... 39,400 53,918
Gwalia Consolidated, Ltd............................. 101,623 57,018
Hancock and Gore, Ltd................................ 20,233 19,105
*Haoma Mining NL..................................... 98,816 10,649
Harris Scarfe Holdings, Ltd.......................... 24,800 48,362
Harvey Norman Holdings, Ltd.......................... 127,340 893,091
*Harvey Norman Holdings, Ltd.
Issue 97........................................... 5,094 36,424
*Helix Resources NL.................................. 25,000 7,185
Henry Walker Group, Ltd.............................. 168,957 231,214
*Herald Resources, Ltd............................... 69,910 15,307
Hills Industries, Ltd................................ 176,000 242,056
Hudson Conway, Ltd................................... 33,170 124,375
*ISR Group, Ltd...................................... 85,500 10,530
Iama, Ltd............................................ 95,057 146,344
Incitec, Ltd......................................... 205,935 825,724
*Intellect Holdings, Ltd............................. 23,840 17,454
Ipoh, Ltd............................................ 117,000 172,120
*Johnson's Well Mining NL............................ 20,000 47,212
Joyce Corp., Ltd..................................... 12,640 12,411
Jupiters, Ltd........................................ 200,762 357,159
Just Jeans Holdings, Ltd............................. 94,342 124,586
KLZ, Ltd............................................. 106,594 176,504
*Keycorp, Ltd........................................ 36,542 75,010
*Kidston Gold Mines, Ltd............................. 246,300 85,949
*Kingsgate Consolidated NL........................... 12,587 6,029
*Kresta Holdings, Ltd................................ 189,000 8,341
Kurts (Peter) Properties, Ltd........................ 134,436 105,784
Lemarne Corp., Ltd................................... 20,790 44,098
MMI, Ltd............................................. 141,570 321,600
*MRI Holdings, Ltd................................... 36,169 15,591
MacMahon Holdings, Ltd............................... 192,179 61,803
Magellan Petroleum Australia, Ltd.................... 31,200 59,775
Manettas, Ltd........................................ 74,250 23,878
Maryborough Sugar Factory, Ltd....................... 600 4,311
*Matrix Telecommunications Group Series A............ 99,300 38,389
*McConnell Dowell Corp., Ltd......................... 27,438 39,426
McGuigan (Brian) Wines, Ltd.......................... 21,486 23,522
McPherson's, Ltd..................................... 61,500 69,854
*Meekatharra Minerals, Ltd........................... 70,200 9,126
Memtec, Ltd.......................................... 15,499 551,990
Metal Manufactures, Ltd.............................. 295,010 393,621
Mirvac, Ltd.......................................... 307,891 484,543
*Mirvac, Ltd. Issue 97............................... 75,446 112,022
Morgan and Banks, Ltd................................ 19,097 128,056
*Mosaic Oil NL....................................... 118,661 20,704
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Mount Kersey Mining NL.............................. 73,076 $ 46,001
National Can Industries, Ltd......................... 97,016 155,999
National Consolidated, Ltd........................... 396,328 109,829
National Foods, Ltd.................................. 533,577 788,602
Nautronix, Ltd....................................... 26,064 21,757
*Newcrest Mining, Ltd................................ 127,708 127,579
Normandy Mt. Leyshon, Ltd............................ 133,376 135,066
North Flinders Mines, Ltd............................ 70,723 254,055
Northern Building Society, Ltd....................... 11,694 18,884
#OPSM Protector, Ltd................................. 289,801 743,598
Oil Company of Australia, Ltd........................ 51,800 106,331
*Orbital Engine Corp., Ltd........................... 537,358 286,791
*Oroton International, Ltd........................... 34,600 20,360
PMP Communications, Ltd.............................. 371,610 750,095
Pacific BBA, Ltd..................................... 282,867 880,645
Pacific Hydro, Ltd................................... 26,970 19,930
*Pan Pacific Petroleum NL............................ 327,800 33,644
Parbury, Ltd......................................... 163,809 51,559
*Payce Consolidated, Ltd............................. 18,000 9,484
Penfold (W.C.), Ltd.................................. 14,100 15,436
*Peptide Technology, Ltd............................. 176,600 21,146
*Perilya Mines NL.................................... 123,500 21,126
Permanent Trustee Co., Ltd........................... 14,000 56,518
Petaluma, Ltd........................................ 11,319 30,980
*Petroz NL........................................... 308,910 196,572
*Petsec Energy, Ltd.................................. 97,992 348,659
Pirelli Cables Australia, Ltd........................ 40,420 18,254
Plutonic Resources, Ltd.............................. 123,754 180,362
*Polartechnics, Ltd.................................. 33,485 75,609
Portman Mining, Ltd.................................. 166,100 210,256
*Power Pacific, Ltd.................................. 302,000 9,299
Primac Holdings, Ltd................................. 9,173 18,830
Prime Television, Ltd................................ 145,863 249,513
#QUF Industries, Ltd................................. 164,814 358,615
*Quantum Resources, Ltd.............................. 115,007 31,477
Queensland Cotton Holdings, Ltd...................... 29,888 126,793
*Queensland Metals Corp., Ltd........................ 327,666 201,781
*Raptis Group, Ltd................................... 12,000 1,478
Rebel Sport, Ltd..................................... 20,908 27,897
Reece Australia, Ltd................................. 32,100 195,480
Resolute, Ltd........................................ 320,738 226,045
#Ridley Corp., Ltd................................... 571,191 527,621
Rock Building Society, Ltd........................... 11,373 18,365
Ross Mining NL....................................... 212,544 79,987
Rothmans Holdings, Ltd............................... 205,927 1,056,773
#Rural Press, Ltd.................................... 198,599 543,556
SGIO Insurance, Ltd.................................. 154,514 142,728
Savage Resources, Ltd................................ 834,661 428,330
Schaffer Corp., Ltd.................................. 13,800 21,340
Scientific Services, Ltd............................. 35,179 15,405
Scott Corp., Ltd..................................... 43,000 82,382
Siddons Ramset, Ltd.................................. 96,453 455,378
Simeon Wines, Ltd.................................... 9,313 23,578
Simsmetal, Ltd....................................... 137,307 718,723
Singleton Group, Ltd................................. 10,063 24,099
Sino Securities International, Ltd................... 8,118 9,998
*Sipa Resources International NL..................... 81,000 3,048
Skilled Engineering, Ltd............................. 71,079 63,225
Sonic Healthcare, Ltd................................ 140,439 142,219
Sons of Gwalia, Ltd.................................. 165,516 387,323
Southern Cross Broadcasting (Australia), Ltd......... 17,785 75,449
</TABLE>
175
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Southern Pacific Petroleum NL....................... 437,600 $ 748,556
*Spectrum Network Systems, Ltd. Series B............. 71,031 20,413
Spicers Paper, Ltd................................... 246,300 252,792
Spotless Group, Ltd.................................. 224,111 487,638
Spotless Services, Ltd............................... 584,690 528,089
*St. Barbara Mines, Ltd.............................. 375,500 51,386
*Strategic Minerals Corp. NL......................... 13,100 385
Sydney Aquarium, Ltd................................. 10,135 27,046
*Tandou, Ltd......................................... 3,100 1,994
*Tanganyika Gold NL.................................. 73,800 10,099
*Target Mining Corp., Ltd............................ 54,667 7,481
Tassal, Ltd.......................................... 73,211 63,620
*Techniche, Ltd...................................... 17,610 11,447
Telecasters Australia, Ltd........................... 20,546 84,350
Telecasters North Queensland, Ltd.................... 49,213 244,132
Television & Media Services, Ltd..................... 122,461 104,741
Thakral Holdings Group............................... 424,902 178,801
*Ticor, Ltd.......................................... 287,850 98,479
*Titan Resources NL.................................. 50,000 5,132
Toll Holdings, Ltd................................... 19,137 27,498
*Tooth & Co., Ltd.................................... 153,000 23,031
*Transcom International, Ltd......................... 223,200 15,272
*Triako Resources, Ltd............................... 5,400 1,035
*Troy Resources NL................................... 22,548 7,251
*Union Gold Mining Co. NL............................ 142,500 24,376
United Construction Group, Ltd....................... 71,876 137,705
*Victoria Petroleum NL............................... 147,973 11,137
Villa World, Ltd..................................... 134,700 97,697
Visions Systems, Ltd................................. 5,192 24,335
Waco Kwikform, Ltd................................... 209,000 47,192
*Walhalla Mining Company NL.......................... 681 51
#Walker Corp., Ltd................................... 216,920 109,092
Wattyl, Ltd.......................................... 155,864 655,886
Webster, Ltd......................................... 32,700 19,018
Wesfi, Ltd........................................... 74,725 86,920
Western Metals, Ltd.................................. 158,734 89,062
Weston (George) Foods, Ltd........................... 23,045 144,910
Westralian Sands, Ltd................................ 168,535 347,107
White (Joe) Maltings, Ltd............................ 25,159 85,213
Wide Bay Capricorn Building Society, Ltd............. 11,184 22,805
Wills (W.D. & H.O.) Holdings, Ltd.................... 259,700 310,969
Yates (Arthur) and Co. Property, Ltd................. 33,746 20,319
------------
TOTAL COMMON STOCKS
(Cost $43,611,206)................................... 39,701,143
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Australian Dollar
(Cost $109,602).................................... 108,614
------------
RIGHTS/WARRANTS -- (0.0%)
*Biota Holdings, Ltd. Rights......................... 6,948 95
*Mosaic Oil NL Rights 12/08/97....................... 16,951 615
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 710
------------
PREFERRED STOCKS -- (0.0%)
*Ashanti GSM, Ltd. Redeemable Series A............... 15,990 0
*Ashanti GSM, Ltd. Redeemable Series B............... 15,990 0
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Ashanti GSM, Ltd. Redeemable Series C............... 15,990 $ 0
*Ashanti GSM, Ltd. Redeemable Series D............... 15,990 0
*Ashanti GSM, Ltd. Redeemable Series E............... 15,990 0
------------
TOTAL PREFERRED STOCKS
(Cost $0)............................................ 0
------------
TOTAL -- AUSTRALIA
(Cost $43,720,808)................................... 39,810,467
------------
MALAYSIA -- (21.9%)
COMMON STOCKS -- (20.7%)
A&M Realty Berhad.................................... 15,000 10,742
Actacorp Holdings Berhad............................. 26,000 9,086
Advance Synergy Berhad............................... 406,800 88,560
Ajinimoto (Malaysia) Berhad.......................... 44,000 30,249
Aluminum Co. of Malaysia............................. 139,000 54,946
Amalgamated Containers Berhad........................ 47,000 10,097
Amalgamated Industrial Steel Berhad.................. 125,000 61,944
Anakku Corp. Berhad.................................. 10,000 4,583
Ancom Berhad......................................... 116,000 35,554
Angkasa Marketing Berhad............................. 164,000 66,238
Anson Perdana Berhad................................. 116,000 86,060
Antah Holding Berhad................................. 312,000 102,777
*Aokam Perdana Berhad................................ 213,000 40,879
Arab Malaysia Corp. Berhad........................... 356,000 160,101
Arab Malaysia Development Berhad..................... 778,000 144,857
Arensi Holdings (Malaysia) Berhad.................... 33,000 27,035
Asas Dunia Berhad.................................... 226,000 52,761
Asia Pacific Land Berhad............................. 909,100 131,507
Asiatic Development Berhad........................... 874,000 275,391
Austral Amalgamated Berhad........................... 125,333 22,438
Austral Enterprises Berhad........................... 208,499 232,924
Autoways Holdings Berhad............................. 10,000 12,661
Ayer Hitam Planting Syndicate Berhad................. 51,000 186,993
*Ayer Hitam Tin Dredging Malaysia Berhad............. 36,000 18,046
*Ayer Molek Rubber Co. Berhad........................ 1,000 9,596
BIMB Holdings Berhad................................. 369,600 123,869
Ban Hin Lee Bank Berhad.............................. 78,500 112,431
Bandar Raya Developments Berhad...................... 622,000 183,516
Batu Kawan Berhad.................................... 394,500 481,395
Berjaya Industrial Berhad............................ 673,000 144,584
Berjaya Singer Berhad................................ 142,000 157,008
*Berjuntai Tin Dredging Berhad....................... 36,000 30,936
*Best World Land Berhad.............................. 120,100 22,362
Bina Puri Holdings Berhad............................ 49,000 64,285
Bolton Properties Berhad............................. 207,000 56,330
Boustead Holdings Berhad............................. 321,000 332,858
CCM Bioscience Berhad................................ 550 473
*CHG Industries Berhad............................... 33,000 10,493
CI Holdings Berhad................................... 72,000 62,698
Cahya Mata Sarawak Berhad............................ 390,000 273,701
Carlsberg Brewery Malaysia Berhad.................... 65,000 223,429
Cement Industries of Malaysia Berhad................. 178,000 156,022
Chase Perdana Berhad................................. 34,000 29,802
Chemical Co. of Malaysia Berhad...................... 224,000 254,090
Chin Teck Plantations Berhad......................... 75,000 87,653
</TABLE>
176
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Chocolate Products (Malaysia) Berhad................. 334,100 $ 59,335
Choo Bee Metal Industries Berhad..................... 120,000 30,936
Cold Storage (Malaysia) Berhad....................... 102,000 32,139
Computer Forms Malaysia Berhad....................... 19,000 15,130
Concrete Engineering Products Berhad................. 29,000 10,799
*Construction & Supplies House Berhad................ 146,000 50,186
Country Heights Holdings Berhad...................... 313,600 325,184
Cycle & Carriage Bintang Berhad...................... 130,000 151,932
DMIB Berhad.......................................... 288,000 89,097
*DNP Holdings Berhad................................. 412,000 88,512
Daibochi Plastic & Packaging Industry Berhad......... 32,200 11,991
Daiman Development Berhad............................ 110,000 38,126
*Damansara Realty Berhad............................. 688,000 154,705
*Dataprep Holdings Berhad............................ 36,000 20,418
Datuk Keramat Holdings Berhad........................ 295,000 130,978
*Denko Industrial Corp. Berhad....................... 38,000 40,710
Diethelm Holdings (Malaysia) Berhad.................. 52,000 13,108
Diperdana Corp. Berhad............................... 43,000 36,952
Diversified Resources Berhad......................... 323,000 155,438
Dutch Baby Milk Industry (Malaysia) Berhad........... 22,000 60,498
Eastern & Oriental Berhad............................ 67,500 21,655
Eastern Pacific Industrial Corp. Berhad.............. 43,000 10,470
Econstates Berhad.................................... 144,000 39,186
Ekran Berhad......................................... 164,000 129,188
*FA Peninsular Berhad................................ 95,000 15,239
FACB Berhad.......................................... 1,217,000 176,046
FCW Holdings Berhad.................................. 224,000 48,765
*Faber Group Berhad Issue 96......................... 303,000 67,699
Far East Holdings Berhad............................. 74,000 27,980
Federal Flour Mills Berhad........................... 271,250 298,364
Fima Corp. Berhad.................................... 39,000 20,109
Gadek (Malaysia) Berhad.............................. 144,000 128,695
Gadek Capital Berhad................................. 48,000 17,187
*General Corp. Berhad................................ 423,000 73,912
George Kent (Malaysia) Berhad........................ 122,998 30,828
George Town Holdings Berhad.......................... 147,000 67,372
Glenealy Plantations (Malaysia) Berhad............... 88,000 123,516
Goh Ban Huat Berhad.................................. 75,000 27,069
Gold Coin (Malaysia) Berhad.......................... 52,000 37,685
Golden Frontier Berhad............................... 29,000 8,805
*Golden Pharos Berhad................................ 74,000 19,713
Golden Plus Holdings Berhad.......................... 172,000 75,382
Gopeng Berhad........................................ 171,500 49,126
*Granite Industries Berhad........................... 274,000 100,463
Guinness Anchor Berhad............................... 275,000 333,998
*Gula Perak Berhad................................... 314,000 98,040
Guthrie Ropel Berhad................................. 160,000 104,954
H&R Johnson (Malaysia) Berhad........................ 27,000 5,259
HLG Capital Berhad................................... 145,000 112,975
Hap Seng Consolidated Berhad......................... 392,000 547,963
Hexza Corp. Berhad................................... 163,000 28,481
Hil Industries Berhad................................ 22,000 8,571
Ho Hup Construction Co. Berhad....................... 80,000 47,665
Hock Hua Bank Berhad (Foreign)....................... 137,000 151,479
Hong Leong Industries Berhad......................... 180,000 221,710
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hong Leong Properties Berhad......................... 812,000 $ 230,269
IGB Corp. Berhad..................................... 625,000 216,626
IJM Corp. Berhad..................................... 430,000 160,124
IOI Properties Berhad................................ 52,700 25,361
*Idris Hydraulic (Malaysia) Berhad................... 660,000 189,055
*Inchcape Timuran Berhad............................. 215,250 120,849
*Insas Berhad........................................ 644,200 148,546
*Instangreen Corp. Berhad............................ 15,000 7,992
Integrated Logistics Berhad.......................... 59,000 18,590
*Intria Behard....................................... 802,500 114,937
Ipmuda Berhad........................................ 45,000 16,499
Island & Peninsular Berhad........................... 310,000 235,317
Jasa Megah Industries Berhad......................... 170,000 97,392
Jaya Netting Industries Berhad....................... 21,000 11,730
Jeram Kuantan (Malaysia) Berhad...................... 64,000 13,933
Johan Holdings Berhad................................ 410,000 103,350
*Johor Land Berhad................................... 47,800 47,649
KFC Holdings (Malaysia) Berhad....................... 233,666 348,052
KIG Glass Industrial Berhad.......................... 82,000 18,556
KPJ Healthcare Berhad................................ 59,000 49,011
Kamunting Corp. Berhad............................... 927,000 183,220
Kanzen Berhad........................................ 105,000 27,972
Keck Seng (Malaysia) Berhad.......................... 316,500 154,123
Kedah Cement Holdings Berhad......................... 676,000 240,112
*Kelanamas Industries Berhad......................... 142,000 28,473
Kelang Container Terminal Berhad..................... 169,000 101,660
Kemayan Corp. Berhad................................. 432,000 111,990
*Khong Guan Holdings (Malaysia) Berhad............... 21,000 12,512
Kian Joo Can Factory Berhad.......................... 121,500 121,812
Kim Hin Industry Berhad.............................. 119,900 28,506
Kluang Rubber Co. (Malaysia) Berhad.................. 2,000 65,024
*Kramat Tin Dredging Berhad.......................... 1,800 3,687
Kretam Holdings Berhad............................... 110,500 125,344
*Kuala Lumpur Industries Holdings Berhad............. 138,000 41,902
Kuala Sidim Berhad................................... 153,000 153,393
*Kuantan Flour Mills Berhad.......................... 19,000 7,130
Kuchai Development Berhad............................ 1,600 7,104
Kulim Malaysia Berhad................................ 239,800 240,415
Kumpulan Belton Berhad............................... 44,100 15,538
*Kumpulan Emas Berhad................................ 301,000 43,973
Kym Holdings Berhad.................................. 46,000 13,572
Ladang Perbadanan-Fima Berhad........................ 130,000 115,811
Land & General Berhad................................ 574,000 180,863
Landmarks Berhad..................................... 532,000 134,865
Larut Consolidated Berhad............................ 206,000 64,319
Leader Universal Holdings Berhad..................... 514,000 176,681
Leisure Management Berhad............................ 149,999 726,140
*Leong Hup Holdings Berhad........................... 186,000 43,423
Lien Hoe Corp. Berhad................................ 240,000 59,810
Lim Kim Hai Holdings Berhad.......................... 97,000 46,402
*Lingkaran Trans Kota Holdings Berhad................ 383,000 331,322
Lingui Development Berhad............................ 574,000 282,804
*Lion Corp. Berhad................................... 149,500 74,514
Lion Land Berhad..................................... 664,375 157,956
Long Huat Group Berhad............................... 33,000 12,856
*MBF Holdings Berhad................................. 1,450,250 253,407
*MBF Land Berhad..................................... 1,014,000 156,847
*MCB Holdings Berhad................................. 199,000 40,757
</TABLE>
177
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
MMC Engineering Group Berhad......................... 43,000 $ 20,939
MUI Properties Berhad................................ 772,800 138,354
MWE Holdings Berhad.................................. 184,500 44,922
Malayan Cement Berhad................................ 528,500 322,455
Malayan Flour Mills Berhad........................... 92,400 26,468
Malayawata Steel Berhad.............................. 273,000 78,200
Malaysia Aica Berhad................................. 126,000 36,814
Malaysia Assurance Alliance Berhad................... 129,938 152,604
Malaysia British Assurance Berhad.................... 53,000 47,367
Malaysia Building Society Berhad..................... 155,000 56,387
Malaysia Smelting Corp. Berhad....................... 87,000 31,400
Malaysian Helicopter Services Berhad................. 814,000 142,233
Malaysian Industrial Development Finance Berhad...... 731,000 284,775
Malaysian Mosaics Berhad............................. 368,000 189,743
Malaysian Oxygen Berhad.............................. 143,500 369,947
Malaysian Pacific Industries......................... 187,000 514,231
Malaysian Packaging Industry......................... 14,000 4,812
Malaysian Plantations Berhad......................... 395,000 135,776
Malaysian Tobacco Co. Berhad......................... 275,000 172,513
Malex Industries Berhad.............................. 340,500 263,346
Mamee-Double Decker (Malaysia) Berhad................ 18,000 10,518
Mancon Berhad........................................ 138,000 105,544
Maruichi Malaysia Steel Tube Berhad.................. 75,000 60,154
Matsushita Electric Co. (Malaysia) Berhad............ 48,400 122,697
Mechmar Corp......................................... 94,000 21,541
Mega First Corp. Berhad.............................. 268,000 43,374
Menang Corp.......................................... 272,000 49,865
*Mentiga Corp. Berhad................................ 41,000 12,919
Metacorp Berhad...................................... 193,333 77,532
Metrojaya Berhad..................................... 153,000 40,320
Metroplex Berhad..................................... 975,000 343,522
*Minho (Malaysia) Berhad............................. 70,000 14,838
Mintye Industries Berhad............................. 45,000 16,886
Muda Holdings Berhad................................. 208,125 53,357
Muhibbah Engineering Berhad.......................... 58,000 63,133
Mulpha International Berhad.......................... 1,232,750 236,589
*Mun Loong Berhad.................................... 40,000 96,819
NCK Corp. Berhad..................................... 18,000 10,261
Nam Fatt Berhad...................................... 112,000 53,577
Nanyang Press (Malaya) Berhad........................ 70,400 73,001
Negara Properties (Malaysia) Berhad.................. 86,000 182,295
Negri Sembilan Oil Palms Berhad...................... 34,000 37,399
New Straits Times Press (M) Berhad................... 253,000 281,188
North Borneo Timbers Berhad.......................... 30,000 388,853
Nylex (Malaysia) Berhad.............................. 304,500 122,113
O'Connor's Corp. Berhad.............................. 52,000 92,351
OSK Holdings......................................... 333,000 144,988
*Olympia Industries Berhad........................... 625,000 146,804
*PJ Development Holdings Berhad...................... 345,800 69,833
PSC Industries Berhad................................ 52,332 464,702
PWE Industries Berhad................................ 39,200 218,961
Pacific Chemicals Berhad............................. 105,000 78,200
Palmco Holdings Berhad............................... 179,000 44,352
Pan Pacific Asia Berhad.............................. 123,000 68,000
Panglobal Berhad..................................... 134,000 39,535
Paramount Corp. Berhad............................... 73,000 18,610
*Parit Perak Holdings Berhad......................... 200,000 45,832
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Park May Berhad...................................... 48,000 $ 13,062
Peladang Kimia Berhad................................ 143,000 106,501
Pelangi Berhad....................................... 656,250 289,491
*Perdana Industrial Holdings Berhad.................. 46,000 13,835
Pernas International Holdings Berhad................. 762,950 227,287
Petaling Garden Berhad............................... 254,000 232,825
Petaling Tin Berhad.................................. 23,000 16,471
Phileo Allied Berhad................................. 403,250 207,918
Phileo Land Berhad................................... 616,000 520,533
Pilecon Engineering Berhad........................... 290,500 84,045
Poly Glass Fibre (Malaysia) Berhad................... 90,000 24,491
Prime Utilities Berhad............................... 58,000 57,152
Projek Penyelenggaraan Lebuhraya Berhad.............. 44,000 27,224
*Promet Berhad....................................... 674,000 131,285
Putera Capital Berhad................................ 82,000 26,307
RJ Reynolds Berhad................................... 217,000 369,847
Rahman Hydraulic Tin Berhad.......................... 111,000 36,565
*Red Box (Malaysia) Berhad........................... 41,000 9,748
Riverview Rubber Estates Berhad...................... 5,400 10,750
Road Builders (Malaysia) Holdings Berhad............. 159,000 95,645
S P Setia Berhad..................................... 181,000 108,879
SCB Developments Berhad.............................. 240,500 91,625
SCK Group Berhad..................................... 22,000 10,713
*SPK Sentosa Corp. Berhad............................ 51,000 14,536
Samanda Holdings Berhad.............................. 73,000 116,054
Sanda Plastics Industries Berhad..................... 11,000 5,514
Sanyo Industries (Malaysia) Berhad................... 33,600 33,494
Sapura Telecommunications Berhad..................... 187,000 99,632
Sarawak Oil Palms Berhad............................. 117,600 56,593
*Sateras Resources (Malaysia) Berhad................. 193,000 32,894
Scientex, Inc. Berhad................................ 75,000 44,686
Selangor Dredging Berhad............................. 355,000 71,182
Selangor Properties Berhad........................... 459,000 160,405
Setegap Berhad....................................... 33,332 10,694
*Setron (Malaysia) Berhad............................ 61,666 15,986
Shangri-la Hotels (Malaysia) Berhad.................. 519,000 169,480
Siah Brothers Corp. Berhad........................... 64,000 17,966
Sime UEP Properties Berhad........................... 142,000 102,502
*Sin Heng Chan Berhad................................ 20,000 17,531
Sistem Television Malaysia Berhad.................... 209,000 101,176
Sitt Tatt Berhad..................................... 85,000 32,626
*South East Asia Lumber, Inc. Berhad................. 137,500 38,599
South Johore Amalgamated Holding Berhad.............. 40,500 16,938
South Malaysia Industries Berhad..................... 157,500 25,716
Southern Acids (Malaysia) Berhad..................... 80,700 26,121
Southern Bank Berhad (Foreign)....................... 299,000 155,023
*Southern Bank Berhad (Foreign) Issue 97............. 109,500 53,009
Southern Steel Berhad................................ 70,000 62,159
Sriwani Holdings Berhad.............................. 143,800 53,549
Store Corp. Berhad................................... 31,000 11,988
Sungei Bagan Rubber Co. (Malaysia) Berhad............ 2,000 46,261
Sungei Way Holdings Berhad........................... 463,000 185,675
TA Enterprise Berhad................................. 916,000 275,505
</TABLE>
178
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Tai Wah Garments Manufacturing Berhad (Foreign)..... 60,000 $ 13,749
Taiping Consolidated Berhad.......................... 232,000 33,560
Tajo Berhad.......................................... 32,000 9,716
Talam Corp. Berhad................................... 187,000 58,922
Tan & Tan Developments Berhad........................ 393,000 127,208
Tasek Cement Berhad.................................. 192,000 145,745
Tenggara Capital Berhad.............................. 99,200 22,732
Time Engineering Berhad.............................. 880,000 282,323
Tiong Nam Transport Holdings Berhad.................. 17,000 9,009
*Tongkah Holdings Berhad............................. 195,000 81,552
Tractors Malaysia Holdings Berhad.................... 398,000 228,012
Tradewinds Malaysia Berhad........................... 276,000 141,517
*Trengganu Development & Management Berhad........... 66,000 72,975
Tronoh Mines Malaysia Berhad......................... 40,000 30,936
*U-Wood Holdings Berhad.............................. 20,000 6,989
UAC Berhad........................................... 67,000 46,061
UMW Holdings Berhad.................................. 312,000 294,926
*Union Paper Holdings Berhad......................... 20,000 11,744
Uniphone Telecommunications Berhad................... 185,000 50,873
United Chemical Industries Berhad.................... 18,000 10,054
United Malacca Rubber Estates Berhad................. 96,000 144,370
United Malayan Land Berhad........................... 182,000 224,174
United Plantations Berhad............................ 206,000 224,231
Utusan Melayu (Malaysia) Berhad...................... 34,000 9,593
*Wembley Industries Holdings
Berhad............................................. 138,000 44,273
*Westmont Industries Berhad.......................... 223,520 42,898
Westmont Land (Asia) Berhad.......................... 254,600 77,305
Wing Tiek Holdings Berhad............................ 95,800 24,698
Worldwide Holdings Berhad............................ 213,800 66,142
Yee Lee Corp. Berhad................................. 14,000 8,823
Yeo Hiap Seng (Malaysia) Berhad...................... 103,000 65,204
------------
TOTAL COMMON STOCKS
(Cost $65,885,480)................................... 30,595,516
------------
INVESTMENT IN CURRENCY -- (1.2%)
*Malaysian Ringetts
(Cost $1,771,307).................................. 1,773,539
------------
TOTAL -- MALAYSIA
(Cost $67,656,787)................................... 32,369,055
------------
SINGAPORE -- (14.9%)
COMMON STOCKS -- (14.8%)
AV Jennings Homes, Ltd............................... 30,800 10,637
Acma, Ltd............................................ 274,600 246,575
*Alliance Technology & Development, Ltd.............. 48,000 19,290
Amtek Engineering, Ltd............................... 222,500 169,055
Ana Hotels Singapore, Ltd............................ 89,000 101,712
Apollo Enterprises, Ltd.............................. 162,000 125,122
Avimo Group, Ltd..................................... 190,250 258,042
Bonvests Holdings, Ltd............................... 390,000 154,283
British-American Tobacco Co. (Singapore), Ltd........ 149,000 462,195
Broadway Industrial Group, Ltd....................... 117,000 15,061
Bukit Sembawang Estates, Ltd......................... 48,334 361,170
*CK Tang, Ltd........................................ 83,000 60,978
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
CSA Holdings, Ltd.................................... 212,000 $ 113,153
CWT Distribution, Ltd................................ 202,500 101,725
Carnaudmetalbox Asia, Ltd............................ 106,000 119,809
*Causeway Investment, Ltd............................ 133,000 28,395
Central Properties, Ltd.............................. 66,000 600,931
Chemical Industries (Far East), Ltd.................. 77,910 117,413
Chevalier Singapore Holdings, Ltd.................... 114,000 22,907
Chuan Hup Holdings, Ltd.............................. 395,000 156,261
Comfort Group, Ltd................................... 543,000 264,249
Compact Metal Industries............................. 196,000 35,076
Cosco Investment (Singapore), Ltd.................... 134,400 64,139
Courts Singapore, Ltd................................ 263,000 115,602
Econ International, Ltd.............................. 339,000 156,459
*Eltech Electronics, Ltd............................. 237,000 34,229
Eng Wah Organisation, Ltd............................ 116,000 38,787
Focal Finance, Ltd................................... 95,200 113,580
Fuji Offset Plates Manufacturing, Ltd................ 33,750 6,040
GB Holdings, Ltd..................................... 90,000 18,084
GK Goh Holdings...................................... 549,000 344,734
*General Magnetics, Ltd.............................. 94,000 16,822
Goldtron, Ltd........................................ 473,000 109,894
Guthrie GTS, Ltd..................................... 1,174,400 368,721
HTP Holdings, Ltd.................................... 321,000 99,775
Hai Sun Hup Group, Ltd............................... 689,000 300,688
#Haw Par Brothers International, Ltd................. 374,200 521,638
Hind Hotels International, Ltd....................... 112,000 139,953
Hitachi Zosen (Singapore), Ltd....................... 497,000 152,920
Hong Kok Corp., Ltd.................................. 251,000 226,960
Hotel Grand Central, Ltd............................. 332,640 146,213
Hotel Plaza, Ltd..................................... 579,000 178,151
Hotel Properties, Ltd................................ 418,000 301,847
Hotel Royal, Ltd..................................... 98,333 98,794
Hour Glass, Ltd...................................... 138,000 60,658
Hup Seng Huat, Ltd................................... 331,000 75,864
Hwa Hong Corp., Ltd.................................. 291,000 243,028
*Hwa Tat Lee, Ltd.................................... 158,000 26,788
IPC Corp., Ltd....................................... 1,936,000 243,135
*Inno-Pacific Holdings, Ltd.......................... 300,500 23,587
Insurance Corp. of Singapore, Ltd.................... 93,250 127,064
International Factors (Singapore), Ltd............... 169,000 71,101
Intraco, Ltd......................................... 167,500 91,505
Isetan (Singapore), Ltd.............................. 61,000 100,739
Jack Chia-MPH, Ltd................................... 413,000 232,106
Jaya Holdings, Ltd................................... 122,400 36,892
Jurong Cement, Ltd................................... 80,500 238,842
Jurong Engineering, Ltd.............................. 87,000 97,788
Kay Hian Holdings, Ltd. (Foreign).................... 606,000 266,369
Keppel Finance, Ltd.................................. 253,750 164,118
Keppel Integrated Engineering, Ltd................... 267,000 138,318
Keppel Marine Industries, Ltd........................ 304,500 244,743
Keppel Telecommunications and Transportation, Ltd.... 512,000 376,156
Khong Guan Flour Milling, Ltd........................ 10,000 13,815
Kim Eng Holdings, Ltd................................ 984,200 423,337
L & M Group Investments, Ltd......................... 209,100 77,467
LC Development, Ltd.................................. 140,333 45,822
Lee Kim Tah Holdings, Ltd............................ 159,000 87,860
Liang Court Holdings, Ltd............................ 783,000 236,002
Liang Huat Aluminum, Ltd............................. 361,000 69,138
Lim Kah Ngam, Ltd.................................... 270,999 161,660
Low Keng Huat Singapore, Ltd......................... 144,000 27,127
</TABLE>
179
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Lum Chang Holdings, Ltd.............................. 503,359 $ 246,539
Marco Polo Developments, Ltd......................... 134,000 214,564
Metalock (Singapore), Ltd............................ 20,000 14,568
Metro Holdings, Ltd.................................. 209,160 392,701
Neptune Orient Lines, Ltd............................ 664,000 396,099
*Nippecraft, Ltd..................................... 232,000 24,766
Orchard Parade Holdings, Ltd......................... 462,320 261,275
#Osprey Maritime, Ltd................................ 313,000 336,088
Overseas Union Enterprise, Ltd....................... 173,000 401,939
Overseas Union Trust (Foreign)....................... 163,800 195,425
*PCI, Ltd............................................ 225,000 35,321
*Pacific Can Investment Holdings, Ltd................ 101,000 38,053
Pacific Carriers, Ltd................................ 434,000 189,403
*Pacific Century Regional Developments, Ltd.......... 260,500 139,040
Pan Malayan Holdings, Ltd............................ 100,000 100,469
*Pan Pacific Public Co., Ltd......................... 46,500 15,767
Pan-United Corp., Ltd................................ 883,000 224,558
Pentex-Schweizer Circuits, Ltd....................... 79,200 62,165
Pertama Holdings, Ltd................................ 68,750 11,872
*Pokka Corp. (Singapore), Ltd........................ 79,000 11,162
Prima, Ltd........................................... 75,000 178,019
Provisions Suppliers Corp............................ 268,600 88,548
Republic Hotels and Resorts, Ltd..................... 471,000 257,308
Resources Development Corp., Ltd..................... 75,000 98,899
Robinson & Co., Ltd.................................. 141,360 438,496
Rotary Engineering, Ltd.............................. 230,000 57,770
Rothmans Industries, Ltd. Issue 95................... 130,000 685,701
SNP Corp., Ltd....................................... 68,000 25,620
*SPP, Ltd............................................ 182,000 28,571
ST Capital, Ltd...................................... 192,200 127,930
San Teh, Ltd......................................... 366,672 138,147
*Scotts Holdings, Ltd................................ 393,000 194,954
Sea View Hotel, Ltd.................................. 44,000 201,692
Shangri-la Hotel, Ltd................................ 285,700 548,964
Sime Singapore, Ltd.................................. 902,000 387,980
Sing Investments & Finance, Ltd. (Foreign)........... 94,500 59,340
Singapore Finance, Ltd............................... 408,000 312,559
Singapore Reinsurance Corp., Ltd..................... 152,700 115,062
Singapore Technologies Automotive, Ltd............... 207,600 638,757
Singapura Building Society, Ltd...................... 65,250 40,153
*Singatronics, Ltd................................... 360,000 80,250
Ssangyong Cement (Singapore), Ltd.................... 134,000 133,787
Stamford Tyres Corp., Ltd............................ 62,000 15,183
*Sunright, Ltd....................................... 237,000 319,963
Superior Metal Printing, Ltd......................... 157,000 35,491
Tat Lee Finance, Ltd................................. 66,000 47,660
Tibs Holdings, Ltd................................... 122,000 69,713
Tiger Medicals, Ltd.................................. 101,000 73,568
Times Publishing, Ltd................................ 209,000 396,338
Transmarco, Ltd...................................... 12,000 54,630
Tuan Sing Holdings, Ltd.............................. 2,220,000 369,412
United Engineers, Ltd................................ 306,500 232,878
United Overseas Finance, Ltd......................... 134,500 101,348
United Overseas Insurance, Ltd....................... 75,500 104,299
United Pulp & Paper Co., Ltd......................... 133,000 51,779
Van der Horst, Ltd................................... 167,100 99,156
Van der Horst, Ltd. 3.5% Unsecured Loan Stock
08/31/98........................................... 23,400 13,665
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Vickers Ballas Holdings, Ltd......................... 635,000 $ 348,895
WBL Corp., Ltd....................................... 226,000 332,075
Wearnes International (1994), Ltd.................... 33,000 14,505
------------
TOTAL COMMON STOCKS
(Cost $33,257,293)................................... 21,929,937
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Singapore Dollars
(Cost $107,741).................................... 107,406
------------
RIGHTS/WARRANTS -- (0.0%)
*Sembawang Resources, Ltd. Rights 12/01/97 (Cost
$0)................................................ 11,250 0
------------
TOTAL -- SINGAPORE
(Cost $33,365,034)................................... 22,037,343
------------
NEW ZEALAND -- (7.0%)
COMMON STOCKS -- (7.0%)
AFFCO Holdings, Ltd.................................. 227,088 57,424
Advantage Group, Ltd................................. 22,000 10,177
*Asian Properties, Ltd............................... 15,000 11,564
Baycorp Holdings, Ltd................................ 72,007 262,025
CDL Hotels NZ, Ltd................................... 657,244 125,662
CDL Investments NZ, Ltd.............................. 191,786 31,937
Cavalier Corp., Ltd.................................. 43,907 59,576
Ceramco Corp., Ltd................................... 59,127 49,231
Colonial Motor Co., Ltd.............................. 37,752 47,732
*Corporate Investments, Ltd.......................... 807,127 433,089
*Cue Energy Resources NL............................. 452,354 44,639
DB Group, Ltd........................................ 189,577 286,463
Donaghys, Ltd........................................ 37,239 34,451
Eastern Equities Corp., Ltd.......................... 41,001 23,518
Ebos Group, Ltd...................................... 9,036 30,930
Enerco New Zealand, Ltd.............................. 159,734 605,883
Ernest Adams, Ltd.................................... 20,495 32,233
*Evergreen Forests, Ltd.............................. 122,501 39,288
Fernz Corp., Ltd..................................... 191,102 542,175
Fisher & Paykel Industries, Ltd...................... 152,396 486,877
Force Corp., Ltd..................................... 291,114 131,070
Hallenstein Glassons Holdings, Ltd................... 109,038 142,571
Hellaby Holdings, Ltd................................ 61,379 105,997
Independent Newspapers, Ltd. (Auckland).............. 150,547 821,735
*Kingsgate International Corp., Ltd.................. 479,679 65,086
LWR Industries, Ltd.................................. 73,706 60,460
Michael Hill International, Ltd...................... 47,040 43,519
Milburn New Zealand, Ltd............................. 206,833 318,916
Natural Gas Corp. Holdings, Ltd...................... 42,200 57,520
*New Zealand Oil & Gas, Ltd.......................... 189,110 47,821
New Zealand Refining Co., Ltd........................ 42,119 506,558
Northland Port Corp. (New Zealand), Ltd.............. 77,971 105,797
Nuplex Industries, Ltd............................... 80,695 179,170
*Otter Gold Mines, Ltd............................... 89,321 50,682
Owens Group, Ltd..................................... 119,058 146,860
PDL Holdings, Ltd.................................... 16,581 82,835
Pacific Retail Group, Ltd............................ 52,744 34,157
Port of Tauranga, Ltd................................ 143,746 288,135
Ports of Auckland.................................... 177,558 698,678
Progessive Enterprises, Ltd.......................... 395,773 402,760
Radio Pacific, Ltd................................... 5,200 11,289
Reid Farmers, Ltd.................................... 68,334 22,759
Richina Pacific, Ltd................................. 130,366 108,546
</TABLE>
180
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sanford, Ltd......................................... 174,612 $ 255,234
*Scott Technology, Ltd............................... 23,274 22,249
Seafresh Fisheries................................... 80,520 11,919
Shortland Properties, Ltd............................ 381,380 211,698
South Eastern Utilities, Ltd......................... 73,279 39,320
South Port New Zealand, Ltd.......................... 39,528 28,280
St. Lukes Group, Ltd................................. 264,179 260,696
*St. Lukes Group, Ltd. Issue 97...................... 10,090 11,264
Steel & Tube Holdings, Ltd........................... 117,010 229,491
*Summit Gold, Ltd.................................... 107,419 21,863
Tasman Agriculture, Ltd.............................. 263,200 139,605
Taylors Group, Ltd................................... 29,646 22,124
Tourism Holdings, Ltd................................ 48,840 37,653
Trans Tasman Properties, Ltd......................... 494,424 213,459
Warehouse Group, Ltd................................. 251,743 721,982
Waste Management NZ, Ltd............................. 73,676 259,010
Williams & Kettle, Ltd............................... 17,172 21,923
Wrightson, Ltd....................................... 317,720 150,887
Zuellig NZ, Ltd...................................... 148,825 59,663
------------
TOTAL COMMON STOCKS
(Cost $12,275,350)................................... 10,366,115
------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $7,390)...................................... 7,244
------------
RIGHTS/WARRANTS -- (0.0%)
*Shortland Properties, Ltd. Rights 12/09/97
(Cost $0).......................................... 95,345 0
------------
TOTAL -- NEW ZEALAND
(Cost $12,282,740)................................... 10,373,359
------------
SOUTH KOREA -- (1.6%)
COMMON STOCKS -- (1.6%)
*Aluminum of Korea................................... 7,257 16,940
*Anam Electronics Co................................. 6,000 18,418
Asia Paper Manufacturing Co., Ltd.................... 1,590 8,769
*Bing Grae Co., Ltd.................................. 7,898 24,314
Boryung Pharmaceutical Co., Ltd...................... 3,619 43,013
Bukwang Pharmaceutical Co., Ltd...................... 850 21,223
Byuck San Corp....................................... 6,580 27,063
Central Banking Corp................................. 4,887 13,205
Chang Won Carbureter Industries Co., Ltd............. 900 12,698
Chong Kun Dang....................................... 2,095 45,680
Choong Wae Pharmaceutical............................ 2,110 31,573
Chosun Refractories Co., Ltd......................... 1,311 11,658
Chung Ho Computer Co., Ltd........................... 1,520 21,315
Crown Confectionery Co., Ltd......................... 1,500 15,391
*Dae Chang Industrial Co............................. 1,600 10,822
Dae Dong Industrial Co., Ltd......................... 6,233 33,363
Dae Han Jung Suok Co., Ltd........................... 4,969 28,340
*Dae Han Pulp Co., Ltd............................... 1,000 8,636
Dae Ryung Industries, Inc............................ 2,914 36,627
Dae Sung Electric Wire Co., Ltd...................... 1,565 39,209
Daehan Synthetic Fiber Co., Ltd...................... 630 21,278
Daesang Corp......................................... 814 28,273
Daesun Distilling Co., Ltd........................... 1,428 16,617
Daeyoung Electronics Industries Co., Ltd............. 1,530 16,092
Dai Han Paint & Ink Manufacturing Co., Ltd........... 680 9,303
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Dainong Corporation Co., Ltd........................ 6,560 $ 1,402
Dong Shin Pharmaceutical Co., Ltd.................... 1,349 19,494
Dong Wha Pharmaceutical Industries Co., Ltd.......... 630 9,813
*Dong Won Co., Ltd................................... 900 15,391
*Dong Yang Tech Co., Ltd............................. 2,600 2,423
Dong Yang Tin Plate Industrial Co., Ltd.............. 3,079 38,701
Dong-A Pharmaceutical Co., Ltd....................... 1,993 20,279
*Donghae Pulp........................................ 2,501 7,506
Dongsung Chemical Industries......................... 1,500 19,624
Doosan Industrial Co., Ltd........................... 11,388 46,643
*Doosan Manufacturing Co., Ltd....................... 4,551 25,800
First Technology Co., Ltd............................ 1,000 6,806
Global Enterprise Co., Ltd........................... 530 12,689
HS Chemical Co., Ltd................................. 2,095 20,780
*Haedong Fire and Marine Insurance Co., Ltd.......... 3,677 34,270
Hai Tai Stores Co., Ltd.............................. 2,850 2,291
Han Il Iron & Steel Co., Ltd......................... 763 10,112
Hangdo Merchant Bank................................. 3 42
Hanil Cement Manufacturing Co., Ltd.................. 613 11,794
*Hanjin Engineering and Construction Co., Ltd........ 9,290 22,877
Hanshin Machinery Co., Ltd........................... 535 9,012
*Hanwha Energy Co., Ltd.............................. 6,000 13,493
Heesung Cable, Ltd................................... 7,339 38,719
Hwa Sung Industrial Co............................... 4,339 18,555
Hwacheon Machiney Works, Ltd......................... 1,050 9,337
Hyosung Motors & Machinery, Inc...................... 6,630 19,785
Hyundai Corp......................................... 4,416 33,002
*Hyundai Mipo Dockyard Co., Ltd...................... 1,910 20,415
*Hyundai Pipe Co., Ltd............................... 6,300 23,864
Hyundai Precision Industry Co., Ltd.................. 4,018 21,198
*Hyundai Wood Industry............................... 12,472 30,713
Il Dong Pharmaceutical Co., Ltd...................... 1,363 23,439
Il Jin Electronics & Machinery Co., Ltd.............. 1,000 10,859
Il Shin Spinning..................................... 2,011 89,072
Il Sung Pharmaceutical Co., Ltd...................... 1,090 13,980
Il Yang Pharmaceutical Co., Ltd...................... 29 322
International Fire & Marine Insurance Co., Ltd....... 1,123 20,645
Keum Kang Development Industry Co., Ltd.............. 1,540 11,048
*Kia Steel Co., Ltd.................................. 39,817 23,492
Kohap Co., Ltd....................................... 4,212 14,046
Korea Computer Co., Ltd.............................. 1,400 11,133
Korea Cottrell Co., Ltd.............................. 580 13,390
Korea Export Packing Industries Co., Ltd............. 1,635 8,178
Korea Green Cross Co., Ltd........................... 1,214 50,657
Kwang Myung Electric Engineering Co., Ltd............ 900 5,041
Kyung Nam Energy Co., Ltd............................ 1,350 20,778
Kyungwon-Century Co., Ltd............................ 2,700 27,242
LG International Corp................................ 682 2,158
LG Metals Corp....................................... 3,850 21,332
Lotte Confectionery Co., Ltd......................... 750 63,489
Manho Rope & Wire, Ltd............................... 370 29,423
Maxon Electronics Co., Ltd........................... 1,250 11,864
</TABLE>
181
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Midopa Department Store............................. 3,952 $ 8,786
*Miwon Petrochemical Corp............................ 9,628 21,158
Namyang Dairy Products Co., Ltd...................... 380 25,962
*Nong Shim Co., Ltd.................................. 959 28,295
*Oriental Brewery Co., Ltd........................... 2,811 53,119
Oriental Fire & Marine Insurance Co., Ltd............ 4,800 37,760
Ottogi Corp.......................................... 1,820 28,634
Pacific Chemical Co., Ltd............................ 2,000 29,414
Rifa Industrial Co................................... 1,480 17,084
Rocket Electric...................................... 1,950 17,007
*STC Corp............................................ 2,400 14,919
Saehan Media Corp.................................... 2,780 18,827
Sam Lip Industrial Co., Ltd.......................... 690 14,219
Sam Sung Radiator Industrial Co., Ltd................ 420 12,390
Sambu Construction Co., Ltd.......................... 3,693 17,778
*Samyang Foods Co., Ltd.............................. 2,060 21,137
Se Poong Corp........................................ 8,670 22,685
Seah Steel Corp...................................... 2,652 24,264
Shin Won JMC Corp.................................... 1,126 15,694
Shin Young Securities Co., Ltd....................... 4,220 24,898
*Shinho Paper Co., Ltd............................... 12,545 9,869
Shinwon Industrial Co., Ltd.......................... 1,625 7,851
Song Woun Industries Co., Ltd........................ 658 11,872
Soosan Heavy Industries Co., Ltd..................... 2,464 6,932
Ssangyong Fire & Marine Insurance Co., Ltd........... 2,630 9,580
*Sung Chang Enterprise Co., Ltd...................... 1,680 27,150
Sung Shin Cement Co., Ltd............................ 1,315 9,524
Sungwon Construction Co., Ltd........................ 3,390 9,189
*Taegu Department Store Co., Ltd..................... 3,003 14,508
Tai Lim Packaging Industries Co., Ltd................ 1,454 13,552
Tong Yang Cement Corp................................ 1,490 9,976
Tong Yang Mool San Co., Ltd.......................... 6,145 33,733
Tongyang Confectionery Co............................ 1,537 15,902
Youngpoong Corp...................................... 2,000 136,811
------------
TOTAL COMMON STOCKS (Cost $7,845,827).................. 2,368,717
------------
VALUE+
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Korean Won
(Cost $3,543)...................................... $ 2,875
------------
TOTAL -- SOUTH KOREA
(Cost $7,849,370).................................... 2,371,592
------------
CANADA -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars
(Cost $1).......................................... 1
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH
INVESTMENTS -- (7.0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
8.50%, 11/15/00, valued at $10,431,481) to be
repurchased at $10,277,666.
(Cost $10,273,000)................................. $ 10,273 10,273,000
------------
TOTAL INVESTMENTS -- (106.3%)
(Cost $227,639,788)++................................ 157,153,917
------------
OTHER ASSETS AND LIABILITIES -- (-6.3%)
Other Assets......................................... 686,838
Payable for Investment Securities Purchased.......... (3,646,792)
Payable for Fund Shares Redeemed..................... (6,246,895)
Other Liabilities.................................... (152,143)
------------
(9,358,992)
------------
NET ASSETS -- (100.0%)................................. $147,794,925
------------
------------
- --------------------
+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.
182
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
UNITED KINGDOM -- (97.1%)
COMMON STOCKS -- (96.9%)
600 Group P.L.C....................................... 135,000 $ 272,939
*AAF Industries P.L.C................................. 53,256 19,740
ABI Leisure Group P.L.C............................... 73,000 38,742
AIM Group P.L.C....................................... 37,619 185,389
API Group P.L.C....................................... 51,500 505,422
ASDA Property Holdings P.L.C.......................... 94,000 266,857
*ASW Holdings P.L.C................................... 415,900 269,774
Abacus Polar P.L.C.................................... 150,000 386,664
Abbeycrest P.L.C...................................... 61,590 120,889
Abbot Group P.L.C..................................... 92,595 266,769
Abbott Mead Vickers P.L.C............................. 141,750 802,441
Aberdeen Trust P.L.C.................................. 38,500 63,568
Acal P.L.C............................................ 2,000 12,282
Acatos & Hutcheson P.L.C.............................. 79,000 380,666
*Acorn Computer Group P.L.C........................... 100,000 241,770
Adam & Harvey Group P.L.C............................. 10,500 59,705
Admiral P.L.C......................................... 135,000 1,389,716
Adscene Group P.L.C................................... 92,000 213,128
Adwest Group P.L.C.................................... 204,250 516,184
*African Lakes Corp. P.L.C............................ 6,208 4,968
Airflow Streamlines P.L.C............................. 20,500 55,262
Airsprung Furniture Group P.L.C....................... 58,000 150,976
Alba P.L.C............................................ 110,625 370,900
Alexanders Holdings P.L.C............................. 188,000 31,674
Alexandra Workwear P.L.C.............................. 91,243 186,778
*Alexon Group P.L.C................................... 121,500 481,055
Allders P.L.C......................................... 16,000 60,114
Allied Leisure P.L.C.................................. 265,166 147,429
Allied London Properties P.L.C........................ 182,000 269,839
Allied Textile Companies P.L.C........................ 169,238 370,674
Alpha Airports Group P.L.C............................ 32,000 38,818
*Alphameric P.L.C..................................... 1,637 1,379
Alumasc Group P.L.C................................... 85,000 447,528
Alvis P.L.C........................................... 150,000 391,718
Amber Industrial Holdings P.L.C....................... 42,000 76,069
Amey P.L.C............................................ 50,000 383,294
Andrews Sykes Group P.L.C............................. 38,727 456,733
*Anglesey Mining P.L.C................................ 55,000 9,266
Anglian Group P.L.C................................... 157,850 575,776
Anglo Eastern Plantations P.L.C....................... 57,166 85,238
*Anglo United P.L.C................................... 826,666 13,928
*Anite Group P.L.C.................................... 250,000 172,693
Appleyard Group P.L.C................................. 160,627 212,441
Arcadian International P.L.C.......................... 312,892 316,298
Arcolectric Holdings P.L.C............................ 10,000 10,783
Arlen P.L.C........................................... 200,728 107,375
Armitage Brothers P.L.C............................... 4,000 13,546
Armour Trust P.L.C.................................... 98,500 34,021
Ascot Holdings P.L.C.................................. 50,000 211,865
Ash & Lacy P.L.C...................................... 101,098 287,008
Ashtead Group P.L.C................................... 75,996 218,946
*Associated British Engineering P.L.C................. 534,500 18,011
*Aukett Associates P.L.C.............................. 142,375 12,593
Austin Reed Group P.L.C............................... 77,000 252,974
Avesco P.L.C.......................................... 23,999 151,020
Avon Rubber P.L.C..................................... 67,438 710,126
Avonside Group P.L.C.................................. 50,000 32,433
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Azlan Group P.L.C..................................... 80,000 $ 77,501
BNB Resources P.L.C................................... 59,000 145,627
BPP Holdings P.L.C.................................... 57,450 476,702
BS P.L.C.............................................. 7,000 17,396
BSG International P.L.C............................... 659,597 1,372,450
BWI P.L.C............................................. 182,322 285,675
Babcock International Group P.L.C..................... 122,557 158,994
Baggeridge Brick P.L.C................................ 98,000 151,077
Bailey (Ben) Construction P.L.C....................... 26,000 22,341
*Bailey (C.H.) P.L.C.................................. 109,500 13,836
*Bailey (C.H.) P.L.C. Class B......................... 10,000 3,454
Baldwin P.L.C......................................... 51,000 98,814
Bandt P.L.C........................................... 315,000 156,561
Banks (Sidney C.) P.L.C............................... 38,507 189,116
Barbour Index P.L.C................................... 41,000 141,608
Barcom P.L.C.......................................... 120,000 102,099
Barlows P.L.C......................................... 50,000 45,490
Barr & Wallace Arnold Trust P.L.C..................... 16,000 44,749
Barr (A.G.) P.L.C..................................... 47,000 315,952
Baynes (Charles) P.L.C................................ 341,378 615,418
Beales Hunter P.L.C................................... 22,254 23,059
*Bearing Power International P.L.C.................... 81,757 20,662
Beattie (James) P.L.C................................. 102,247 273,904
Beauford P.L.C........................................ 1,312 608
Bellway P.L.C......................................... 93,000 544,488
*Bellwinch P.L.C...................................... 163,266 53,639
Bemrose Corp. P.L.C................................... 94,500 644,023
Benchmark Group P.L.C................................. 26,892 108,512
Benson Group P.L.C.................................... 77,856 42,631
Bentalls P.L.C........................................ 101,500 248,817
Beradin Holdings P.L.C................................ 37,000 23,377
Berisford P.L.C....................................... 200,000 631,804
Bespak P.L.C.......................................... 60,718 719,157
Betacom P.L.C......................................... 149,652 89,508
Bett Brothers P.L.C................................... 41,000 111,214
Betterware P.L.C...................................... 228,870 345,114
*Beverley Group P.L.C................................. 86,820 1,097
Bilton P.L.C.......................................... 180,000 791,524
Birkby P.L.C.......................................... 119,513 305,055
*Birkdale Group P.L.C................................. 33,600 1,274
Birse Group P.L.C..................................... 515,900 195,569
Black (A & C) P.L.C................................... 2,250 12,131
Black (Peter) Holdings P.L.C.......................... 134,495 844,079
Black Arrow Group P.L.C............................... 56,500 95,668
Blacks Leisure Group P.L.C............................ 69,959 558,103
Blagden Industries P.L.C.............................. 173,875 442,349
Blick P.L.C........................................... 74,555 329,729
Blockleys P.L.C....................................... 73,678 52,757
*Bolton Group (International), Ltd.................... 23,000 1,938
Boosey & Hawkes P.L.C................................. 47,500 640,228
Boot (Henry) & Sons P.L.C............................. 57,000 279,459
*Booth Industries Group P.L.C......................... 5,000 3,580
Bostrom P.L.C......................................... 36,000 206,221
Bourne End Properties P.L.C........................... 185,454 160,914
Bradstock Group P.L.C................................. 130,000 167,554
Brammer (H.) P.L.C.................................... 97,000 980,559
Brasway P.L.C......................................... 208,631 72,937
Breedon P.L.C......................................... 75,428 128,988
Brent International P.L.C............................. 239,531 401,546
</TABLE>
183
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Brent Walker Group P.L.C............................. 128,571 $ 119
Bridgend Group P.L.C.................................. 93,000 20,369
Bridport-Gundry P.L.C................................. 38,500 78,811
Bristol United Press P.L.C............................ 40,500 286,586
Bristol Water Holdings P.L.C.......................... 12,000 261,819
Britannia Group P.L.C................................. 50,000 26,536
British Dredging P.L.C................................ 45,600 106,406
British Fittings Group P.L.C.......................... 62,658 100,288
British Mohair Holdings P.L.C......................... 31,500 53,072
British Polythene Industries P.L.C.................... 56,740 438,786
British Steam Specialties Group P.L.C................. 56,505 447,441
*British Thornton Holdings P.L.C...................... 35,000 10,319
British-Borneo Petroleum Syndicate P.L.C.............. 27,700 206,978
Britton Group P.L.C................................... 362,200 829,924
Brockhampton Holdings P.L.C........................... 12,000 37,706
Brockhampton Holdings P.L.C. Series A Non-Voting...... 48,000 76,019
Brooke Industrial Holdings P.L.C...................... 15,574 30,831
Brooks Service Group P.L.C............................ 25,500 35,015
*Brown & Jackson P.L.C................................ 622,019 340,595
Brown (David) Group P.L.C............................. 6,000 21,835
Brunel Holdings P.L.C................................. 276,000 72,076
Budgens P.L.C......................................... 399,285 364,950
Bulgin (A.F.) & Co. P.L.C............................. 4,000 6,402
Bulgin (A.F.) & Co. P.L.C. Class A Non-Voting......... 52,000 11,827
*Bullers P.L.C........................................ 97 0
Bullough P.L.C........................................ 256,000 489,538
Bulmer (H.P.) Holdings P.L.C.......................... 60,500 425,562
Burn Stewart Distillers P.L.C......................... 142,500 115,241
Burnden Leisure P.L.C................................. 33,000 13,900
Burndene Investments P.L.C............................ 285,500 137,089
Burtonwood Brewery P.L.C.............................. 52,000 133,605
CLS Holdings P.L.C.................................... 100,000 222,395
CRT Group P.L.C....................................... 124,251 718,034
Caffyns P.L.C......................................... 6,000 34,117
*Cairn Energy P.L.C................................... 60,000 475,622
Cala P.L.C............................................ 98,400 171,588
Calderburn P.L.C...................................... 107,636 86,139
Camellia P.L.C........................................ 2,950 156,561
*Campari International P.L.C.......................... 25,000 0
Canning (W.) P.L.C.................................... 68,354 304,607
*Cantab Pharmaceuticals P.L.C......................... 40,000 483,540
Cape P.L.C............................................ 132,000 256,866
Capital Corp. P.L.C................................... 135,000 326,390
Capital Industries P.L.C.............................. 75,937 170,799
Carclo Engineering Group P.L.C........................ 179,777 655,757
*Cardinal Business Group P.L.C........................ 25,000 2,317
*Carlisle Group P.L.C................................. 375,000 55,283
Carr's Milling Industries P.L.C....................... 19,000 89,632
Castings P.L.C........................................ 102,000 363,464
*Castle Mill International P.L.C...................... 31,500 1,327
*Cathay International P.L.C........................... 439,600 94,432
Cattles P.L.C......................................... 39,280 257,438
Cavaghan & Grey Group P.L.C........................... 31,500 37,681
Caverdale Group P.L.C................................. 63,924 183,090
*Celltech P.L.C....................................... 7,000 34,202
Chamberlin & Hill P.L.C............................... 18,000 57,620
Channel Holdings P.L.C................................ 130,500 67,060
Charles Sidney P.L.C.................................. 50,000 70,341
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Chemring Group P.L.C.................................. 49,000 $ 140,345
Chesterfield Properties P.L.C......................... 25,000 250,194
*Chiroscience Group P.L.C............................. 10,000 43,384
Chloride Group P.L.C.................................. 571,500 382,740
Christie Group P.L.C.................................. 50,846 40,263
Chrysalis Group P.L.C................................. 72,036 691,792
Church & Co. P.L.C.................................... 26,500 180,822
City Centre Restaurants P.L.C......................... 408,500 887,836
*City Site Estates P.L.C.............................. 20,000 15,163
Claremont Garments (Holdings) P.L.C................... 135,700 174,901
Clark (Matthew) P.L.C................................. 50,000 197,123
Clarkson (Horace) P.L.C............................... 60,489 109,556
Clayhithe P.L.C....................................... 41,500 45,797
*Clinical Computing P.L.C............................. 40,000 21,229
Clinton Cards P.L.C................................... 132,000 225,731
Cliveden P.L.C........................................ 13,570 12,003
*Clubhaus P.L.C....................................... 27,733 37,613
Clyde Blowers P.L.C................................... 19,635 95,936
*Coal Investments P.L.C............................... 1,102 0
*Coda Group P.L.C..................................... 14,898 39,031
*Cohen (A.) & Co. P.L.C............................... 2,100 15,921
*Cohen (A.) & Co. P.L.C. Class A Non-Voting........... 1,500 9,477
Colefax & Fowler Group P.L.C.......................... 60,000 104,627
*Colorvision P.L.C.................................... 50,000 0
Community Hospitals Group P.L.C....................... 81,333 535,105
Concentric P.L.C...................................... 133,026 274,551
Conrad Ritblat Group P.L.C............................ 44,009 210,206
*Consolidated Coal P.L.C.............................. 9,166 772
Cooper (Frederick) P.L.C.............................. 86,954 15,383
Cornwell Parker P.L.C................................. 78,333 221,060
Cosalt P.L.C.......................................... 30,700 121,292
*Costain Group P.L.C.................................. 112,060 40,592
Country Casuals Holdings P.L.C........................ 5,040 7,897
Countryside Property P.L.C............................ 183,454 287,449
Courts P.L.C.......................................... 151,355 1,179,395
Coutts Consulting Group P.L.C......................... 92,000 42,626
Cradley Group Holdings P.L.C.......................... 80,000 51,892
Crest Nicholson P.L.C................................. 311,250 563,727
Crestacare P.L.C...................................... 381,864 181,752
*Creston Land & Estates P.L.C......................... 50,000 7,160
Cropper (James) P.L.C................................. 22,000 95,074
Culver Holdings P.L.C................................. 338 755
Cussins Property Group P.L.C.......................... 43,750 71,131
Daejan Holdings P.L.C................................. 23,000 612,260
Dagenham Motors Group P.L.C........................... 65,000 108,418
Dart Group P.L.C...................................... 37,000 173,611
Davis Service Group P.L.C............................. 57,480 300,213
Dawson Group P.L.C.................................... 100,674 356,195
Dawson International P.L.C............................ 408,769 478,645
*Deanes Holdings P.L.C................................ 4,316 291
Debenham Tewson & Chinnocks Holdings P.L.C............ 89,500 127,418
*Delaney Group P.L.C.................................. 270,000 10,235
Delphi Group P.L.C.................................... 51,183 569,142
Delyn Group P.L.C..................................... 22,500 36,013
Denby Group P.L.C..................................... 41,237 99,004
Dencora P.L.C......................................... 23,000 78,470
Densitron International P.L.C......................... 42,386 35,349
Derwent Valley Holdings P.L.C......................... 90,000 856,726
Development Securities P.L.C.......................... 62,000 295,094
</TABLE>
184
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Dewhirst Group P.L.C.................................. 275,760 $ 1,080,202
Dewhurst P.L.C........................................ 9,000 9,174
Dewhurst P.L.C. Class A Non-Voting.................... 15,500 13,710
Diploma P.L.C......................................... 96,000 367,962
Dixon Motors P.L.C.................................... 55,408 277,722
Doeflex P.L.C......................................... 25,762 93,536
Dolphin Packaging P.L.C............................... 49,110 210,990
Domino Printing Sciences P.L.C........................ 127,187 828,215
*Donelon Tyson P.L.C.................................. 322,588 0
Dowding & Mills P.L.C................................. 400,875 503,172
Drummond Group P.L.C.................................. 26,250 12,162
Dyson (J.& J.) P.L.C. Class A Non-Voting.............. 28,500 58,101
EBC Group P.L.C....................................... 30,000 23,250
EIS Group P.L.C....................................... 113,333 589,064
*ERA Group P.L.C...................................... 400,000 23,587
Eadie Holdings P.L.C.................................. 118,000 22,863
East Surrey Holdings P.L.C............................ 36,800 162,133
Eclipse Blinds P.L.C.................................. 85,670 167,432
Edinburgh Fund Managers Group P.L.C................... 61,000 492,798
Elbief P.L.C.......................................... 23,500 14,253
*Eleco Holdings P.L.C................................. 104,685 30,865
Electronic Data Processing P.L.C...................... 55,200 51,616
*Electronics Boutique P.L.C........................... 50,000 35,592
Elliott (B.) & Co. P.L.C.............................. 6,087 7,845
Ellis & Everard P.L.C................................. 224,935 1,116,075
Emess P.L.C........................................... 288,250 109,270
*English & Overseas Properties P.L.C.................. 380,000 108,839
Epwin Group P.L.C..................................... 58,000 198,370
Etam P.L.C............................................ 159,500 358,751
Eurocamp P.L.C........................................ 93,439 372,315
Eurocopy P.L.C........................................ 131,000 65,109
Eurodis Electron P.L.C................................ 70,000 163,932
Euromoney Publications P.L.C.......................... 30,000 841,563
European Colour P.L.C................................. 82,090 91,282
European Motor Holdings P.L.C......................... 140,000 221,721
Evans Halshaw Holdings P.L.C.......................... 77,454 378,436
Evans of Leeds P.L.C.................................. 80,000 203,525
Ewart P.L.C........................................... 30,000 35,381
Expamet International P.L.C........................... 152,749 297,243
FII Group P.L.C....................................... 41,166 62,248
Faber Prest P.L.C..................................... 29,500 170,229
Fairey Group P.L.C.................................... 13,226 123,895
Falcon Holdings P.L.C................................. 5,500 13,205
Farepak P.L.C......................................... 90,000 333,592
*Farringford P.L.C.................................... 30,000 10,235
Fenner P.L.C.......................................... 215,276 683,688
Ferguson International Holdings P.L.C................. 105,000 240,591
Field Group P.L.C..................................... 10,000 60,822
Fife Indmar P.L.C..................................... 24,000 19,207
Fine Art Developments P.L.C........................... 8,000 20,689
Finelist Group P.L.C.................................. 7,000 39,037
Finlay (James) P.L.C.................................. 239,500 457,986
First Choice Holidays................................. 570,500 807,395
First Technology P.L.C................................ 110,250 584,185
Firth (G.M.) Holdings P.L.C........................... 163,080 87,923
Firth Rixson P.L.C.................................... 339,666 610,901
Fitch P.L.C........................................... 15,500 12,143
Five Oaks Investments P.L.C........................... 150,000 79,607
Flare Group P.L.C..................................... 20,600 16,139
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Fletcher King P.L.C................................... 17,500 $ 9,140
Folkes Group P.L.C.................................... 28,000 32,315
Folkes Group P.L.C. Non-Voting........................ 65,500 75,593
Forminster P.L.C...................................... 32,500 58,863
Forth Ports P.L.C..................................... 51,000 515,552
*Fortune Oil P.L.C.................................... 609,000 135,952
Forward Technology Industries P.L.C................... 84,260 17,035
*Foster (John) & Son P.L.C............................ 27,500 4,402
French P.L.C.......................................... 32,000 26,957
Friendly Hotels P.L.C................................. 49,415 103,236
Frogmore Estates P.L.C................................ 51,000 412,012
Frost Group P.L.C..................................... 175,080 293,502
*Futura Holdings P.L.C................................ 9,000 0
GBE International P.L.C............................... 149,628 30,251
GEI International P.L.C............................... 87,000 149,510
GWR Group P.L.C....................................... 35,698 104,651
Galliford P.L.C....................................... 239,500 78,685
Gardiner Group P.L.C.................................. 310,500 104,627
Garton Engineering P.L.C.............................. 10,248 25,036
Gaskell P.L.C......................................... 9,000 56,332
Geest P.L.C........................................... 85,000 531,305
Gerrard Group P.L.C................................... 123,860 650,040
Gibbs & Dandy P.L.C................................... 4,500 7,695
Gibbs & Dandy P.L.C. Class A Non-Voting............... 11,000 14,734
Gleeson (M.J.) Group P.L.C............................ 25,000 434,892
Glenmorangie P.L.C.................................... 20,000 320,114
Go-Ahead Group P.L.C.................................. 4,000 34,101
Gold Greenlees Trott P.L.C............................ 124,447 398,372
Goldsmiths Group P.L.C................................ 50,000 256,934
Goode Durrant P.L.C................................... 122,500 1,019,563
Goodhead Group P.L.C.................................. 36,000 19,712
Graham Group P.L.C.................................... 13,000 36,358
Grainger Trust, Ltd................................... 22,000 116,757
Grampian Holdings P.L.C............................... 200,324 489,386
Graseby P.L.C......................................... 136,480 480,581
Graystone P.L.C....................................... 77,496 47,657
Greenway Holdings P.L.C............................... 60,197 45,639
*Greenwich Resources P.L.C............................ 219,332 59,125
Greggs P.L.C.......................................... 26,000 876,101
Greycoat P.L.C........................................ 185,000 642,081
Guiness Peat Group P.L.C.............................. 163,641 95,118
H & C Furnishings P.L.C............................... 40,750 190,864
Haden Maclellan Holdings P.L.C........................ 296,914 490,239
Haggas (John) P.L.C................................... 59,000 82,008
Hall Engineering (Holdings) P.L.C..................... 110,528 337,987
Halstead (James) Group P.L.C.......................... 74,955 344,126
Hambro Countrywide P.L.C.............................. 624,000 1,166,967
Hampden Group P.L.C................................... 25,000 39,804
Hampson Industries P.L.C.............................. 283,463 351,022
*Hampton Trust P.L.C.................................. 232,050 103,604
Hardy Oil & Gas P.L.C................................. 213,750 1,010,159
Hardys & Hansons P.L.C................................ 48,000 173,872
Harris (Philip) P.L.C................................. 25,866 124,201
Hartstone Group P.L.C................................. 800,263 94,380
Havelock Europa P.L.C................................. 64,250 161,291
Hawtal Whiting Holdings P.L.C......................... 22,588 31,016
Hawtin P.L.C.......................................... 146,500 73,430
*Hay (Norman) P.L.C................................... 48,000 28,305
Haynes Publishing Group P.L.C......................... 38,635 172,495
Hazlewood Foods P.L.C................................. 200,000 523,976
Headlam Group P.L.C................................... 99,696 545,899
</TABLE>
185
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Headlam Group P.L.C.................................. 11,077 $ 60,000
Heath (Samuel) & Sons P.L.C........................... 7,500 15,669
*Helene P.L.C......................................... 416,326 49,100
Helical Bar P.L.C..................................... 35,000 324,621
Hemingway Properties P.L.C............................ 200,000 160,899
Henderson P.L.C....................................... 47,000 1,108,605
Henlys Group P.L.C.................................... 5,931 40,520
Hewetson P.L.C........................................ 31,428 71,483
Hi-Tech Sports P.L.C.................................. 132,446 91,490
Hicking Pentecost P.L.C............................... 49,096 231,609
*Hickson International P.L.C.......................... 500,000 501,231
*High-Point P.L.C..................................... 57,510 51,838
Hill & Smith Holdings P.L.C........................... 105,101 101,818
Hodder Headline P.L.C................................. 61,000 211,713
Hogg Robinson P.L.C................................... 186,000 698,825
*Hollas Group P.L.C................................... 354,000 14,911
Holliday Chemical Holdings P.L.C...................... 100,000 293,157
*Holmes & Marchant Group P.L.C........................ 54,000 8,188
Holt (Joseph) P.L.C................................... 6,000 219,868
Home Counties Newspapers Holdings P.L.C............... 25,000 101,089
Hopkinsons Group P.L.C................................ 210,557 111,746
*Horace Small Apparel P.L.C........................... 82,500 106,333
How Group P.L.C....................................... 88,000 101,560
Howard Holdings P.L.C................................. 57,730 17,508
*Hozelock Group P.L.C................................. 11,320 61,031
Hunting P.L.C......................................... 218,695 762,711
*Huntingdon Life Sciences Group P.L.C................. 138,000 116,252
IBC P.L.C............................................. 96,470 657,448
ISA International P.L.C............................... 95,214 132,344
Ibstock P.L.C......................................... 625,200 558,272
*Iceland Group P.L.C.................................. 34,000 71,891
Ideal Hardware P.L.C.................................. 20,000 222,395
*Incepta Group P.L.C.................................. 176,000 62,271
Industrial Control Services Group P.L.C............... 26,666 14,601
Inn Business Group.................................... 150,471 148,306
Intelek P.L.C......................................... 79,904 21,203
Intereurope Technology Services P.L.C................. 23,500 48,897
*International Tool & Supply P.L.C.................... 159,187 16,762
Isotron P.L.C......................................... 30,500 228,671
Ivory & Sime P.L.C.................................... 78,125 259,303
JBA Holdings P.L.C.................................... 50,000 825,557
JLI Group P.L.C....................................... 103,000 102,386
Jackson Group P.L.C................................... 78,000 72,278
Jacobs (John I.) P.L.C................................ 116,000 176,871
Jardine Lloyd Thompson Group P.L.C.................... 392,800 1,009,235
Jarvis P.L.C.......................................... 175,086 1,002,955
Jarvis Porter Group P.L.C............................. 99,894 359,326
Jerome (S.) & Sons Holdings P.L.C..................... 27,562 22,522
Jeyes Group P.L.C..................................... 50,000 107,407
Johnson Group Cleaners P.L.C.......................... 119,535 425,948
Johnston Group P.L.C.................................. 26,000 153,318
Johnston Press P.L.C.................................. 10,000 35,465
Jones & Shipman P.L.C................................. 29,500 16,650
Jones Stroud Holdings P.L.C........................... 42,500 249,899
Joseph (Leopold) Holdings P.L.C....................... 14,000 148,600
Jourdan (Thomas) P.L.C................................ 40,000 32,011
Kalamazoo Computer Group P.L.C........................ 56,120 65,713
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Keller Group P.L.C.................................... 5,000 $ 16,385
Kelsey Industries P.L.C............................... 7,500 52,440
*Kendell P.L.C........................................ 568,260 7,181
Kenwood Appliances P.L.C.............................. 120,000 235,536
Kode International P.L.C.............................. 43,100 65,354
Kunick P.L.C.......................................... 600,000 222,395
Laing (John) P.L.C.................................... 105,007 604,171
Lambert Fenchurch P.L.C............................... 202,000 382,873
Lambert Howarth Group P.L.C........................... 34,000 117,431
Lambert Smith Hampton P.L.C........................... 3,591 6,050
Lamont Holdings P.L.C................................. 72,231 165,506
Laura Ashley Holdings P.L.C........................... 66,100 46,217
Leeds Group P.L.C..................................... 86,938 163,319
Leslie Wise Group P.L.C............................... 107,000 43,266
Liberty P.L.C......................................... 51,875 310,268
Lilleshall P.L.C...................................... 80,564 103,837
Linton Park P.L.C..................................... 39,000 251,003
Linx Printing Technologies P.L.C...................... 36,000 96,742
Lionheart P.L.C....................................... 20,997 4,157
*Lister & Co. P.L.C................................... 41,000 6,908
Locker (Thomas) Holdings P.L.C........................ 295,250 196,489
London Scottish Bank P.L.C............................ 281,000 501,837
Lookers P.L.C......................................... 53,160 98,073
Lopex P.L.C........................................... 154,948 84,844
*Lovell (Y.J.) Holdings P.L.C......................... 70,932 13,146
Lowe (Robert H.) & Co. P.L.C.......................... 1,985 736
Lyles (S.) P.L.C...................................... 16,000 19,544
Lynx Holdings P.L.C................................... 100,000 166,796
M.R. Data Management Group P.L.C...................... 136,158 255,781
ML Holdings P.L.C..................................... 350,132 306,751
MS International P.L.C................................ 71,500 23,490
MacFarlane Group Clansman P.L.C....................... 292,687 909,810
Macro 4 P.L.C......................................... 50,000 286,418
Mallett P.L.C......................................... 37,437 65,913
Manchester United P.L.C............................... 42,482 434,813
Manders P.L.C......................................... 87,492 220,374
Manganese Bronze Holdings P.L.C....................... 46,184 357,543
Mansfield Brewery P.L.C............................... 155,500 779,414
Marling Industries P.L.C.............................. 478,398 130,977
Marshalls P.L.C....................................... 302,100 710,029
Martin International Holdings P.L.C................... 97,000 57,199
Marylebone Warwick Balfour Group P.L.C................ 41,600 68,686
Matthews (Bernard) P.L.C.............................. 298,000 474,459
Maunders (John) Group P.L.C........................... 61,000 186,020
Mayflower Corp. P.L.C................................. 344,012 985,311
McAlpine (Alfred) P.L.C............................... 171,111 369,011
McCarthy & Stone P.L.C................................ 209,968 445,733
*McDonnell Information Systems Group P.L.C............ 138,000 99,395
McKay Securities P.L.C................................ 87,000 180,292
McLeod Russel Holdings P.L.C.......................... 149,524 420,706
Meggitt P.L.C......................................... 522,190 1,284,495
*Melrose Energy P.L.C................................. 250,000 82,134
Mentmore Abbey P.L.C.................................. 76,090 57,689
Menvier-Swain Group P.L.C............................. 6,358 32,672
Menzies (John) P.L.C.................................. 5,000 31,717
Merchant Retail Group P.L.C........................... 263,766 142,207
Meristem P.L.C........................................ 109,250 87,431
Merrydown P.L.C....................................... 35,000 29,484
Metal Bulletin P.L.C.................................. 24,000 412,441
Metalrax Group P.L.C.................................. 368,740 503,218
</TABLE>
186
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Metaltech International P.L.C........................ 401,163 $ 82,796
*Micro Focus Group P.L.C.............................. 34,500 1,155,253
Microgen Holdings P.L.C............................... 105,000 132,679
Microvitec P.L.C...................................... 100,000 19,796
Mitie Group P.L.C..................................... 125,000 489,648
Molins P.L.C.......................................... 68,000 398,121
Moorfield Estates P.L.C............................... 150,000 66,971
More Group P.L.C...................................... 91,991 1,149,231
Morland & Co. P.L.C................................... 66,380 550,801
Moss Brothers Group P.L.C............................. 268,000 1,054,320
Mowlem (John) & Co. P.L.C............................. 426,504 686,242
Mucklow (A & J) Group P.L.C........................... 175,000 467,324
Narborough Plantations P.L.C.......................... 63,829 15,056
Neepsend P.L.C........................................ 66,250 44,089
Nestor - BNA P.L.C.................................... 180,200 493,354
Newmarket Venture Capital P.L.C....................... 80,000 7,413
Nichols (J.N.) (Vimto) P.L.C.......................... 98,750 368,521
Nightfreight P.L.C.................................... 125,000 57,915
Norcros P.L.C......................................... 292,857 377,457
Northamber P.L.C...................................... 88,888 335,461
Novo Group P.L.C...................................... 113,000 98,047
*OEM P.L.C............................................ 12,000 7,177
OMI International P.L.C............................... 173,158 49,596
Ocean Wilson Holdings, Ltd............................ 84,250 149,752
*Oceonics Group P.L.C................................. 52,760 17,778
Ockham Holdings P.L.C................................. 122,000 175,743
*Oliver Group P.L.C................................... 68,000 32,652
Olives Property P.L.C................................. 126,208 59,538
Osborne & Little P.L.C................................ 17,500 178,379
*Osprey Communications P.L.C.......................... 23,524 7,332
*Owen & Robinson P.L.C................................ 9,485 1,398
Oxford Instruments P.L.C.............................. 122,000 664,944
*Oxford Molecular Group P.L.C......................... 25,000 85,083
P & P P.L.C........................................... 129,250 342,975
PGA European Tour Courses P.L.C....................... 80,000 47,175
PWS Holdings P.L.C.................................... 134,428 37,370
Parity P.L.C.......................................... 56,250 593,738
Park Food Group P.L.C................................. 382,500 283,554
Parkland Group P.L.C.................................. 30,000 82,893
Partridge Fine Arts P.L.C............................. 58,000 79,641
Paterson Zochonis P.L.C............................... 22,000 162,719
Paterson Zochonis P.L.C. Non-Voting................... 27,000 171,724
Peek P.L.C............................................ 291,608 388,130
Pemberstone P.L.C..................................... 9,158 9,258
Pendragon P.L.C....................................... 95,750 455,731
Perkins Foods P.L.C................................... 350,000 583,787
Perry Group P.L.C..................................... 61,666 187,531
*Pex P.L.C............................................ 68,414 4,322
Photo-Me International P.L.C.......................... 145,000 271,170
Pifco Holdings P.L.C.................................. 20,000 68,740
Pifco Holdings P.L.C. Class A......................... 20,000 67,392
Pittards P.L.C........................................ 60,985 71,410
*Pittencrieff Resources P.L.C......................... 74,000 78,546
Pizza Express P.L.C................................... 32,000 452,068
Plantation & General Investment P.L.C................. 96,224 146,718
Plysu P.L.C........................................... 117,800 316,561
Porter Chadburn P.L.C................................. 256,000 107,828
Portmeirion Potteries (Holdings) P.L.C................ 28,000 150,959
Portsmouth & Sunderland Newspapers P.L.C.............. 30,000 432,154
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Porvair P.L.C......................................... 35,000 $ 182,212
Premier Consolidated Oilfields P.L.C.................. 2,488 2,285
*Premier Land P.L.C................................... 50,000 13,900
Pressac Holdings P.L.C................................ 94,000 415,727
Prestwick Holdings P.L.C.............................. 90,000 51,555
Princedale Group P.L.C................................ 250,000 109,513
Property Partnerships P.L.C........................... 10,000 44,058
*Prospect Industries P.L.C............................ 372,477 7,844
Protean P.L.C......................................... 71,076 284,405
Proudfoot P.L.C....................................... 202,646 95,598
Prowting P.L.C........................................ 173,630 345,190
Psion P.L.C........................................... 7,000 49,828
*QS Holdings P.L.C.................................... 95,775 48,409
*Quadrant Group P.L.C................................. 5,662 4,770
*Quality Software Products Holdings P.L.C............. 5,000 19,796
Quick Group P.L.C..................................... 56,165 115,918
RCO Holdings P.L.C.................................... 27,000 77,333
Radamec Group P.L.C................................... 35,000 56,315
Raglan Property P.L.C................................. 104,631 45,834
*Raine P.L.C.......................................... 467,965 145,860
Ransom (William) & Son P.L.C.......................... 30,000 32,096
Ransomes P.L.C........................................ 308,000 298,380
Rea Brothers Group P.L.C.............................. 106,562 98,745
Rea Holdings P.L.C.................................... 55,729 272,289
Readicut International P.L.C.......................... 473,263 332,897
Rebus Group P.L.C..................................... 75,000 109,934
Record Holdings P.L.C................................. 89,727 82,389
*Reece P.L.C.......................................... 283,750 7,171
Reed Executive P.L.C.................................. 116,500 224,741
Reg Vardy P.L.C....................................... 128,597 601,236
Regal Hotel Group P.L.C............................... 200,000 149,948
*Regent Corp. P.L.C................................... 2,488 21
Regent Inns P.L.C..................................... 85,000 471,873
Relyon Group P.L.C.................................... 45,777 333,568
Renishaw P.L.C........................................ 176,806 1,027,702
Renold P.L.C.......................................... 144,000 652,628
Ricardo Group P.L.C................................... 96,709 241,146
*Richards Group P.L.C................................. 16,000 2,291
Richards P.L.C........................................ 61,500 36,266
Richardsons Westgarth P.L.C........................... 96,928 141,259
*Richmond Oil & Gas P.L.C............................. 220,000 0
*Rodime P.L.C......................................... 261,000 6,596
Rolfe & Nolan P.L.C................................... 24,000 121,306
*Ross Group P.L.C..................................... 13,200 667
Rotork P.L.C.......................................... 219,500 1,015,144
Rowe Evans Investments P.L.C.......................... 114,417 174,458
Roxboro Group P.L.C................................... 5,000 16,764
Roxspur P.L.C......................................... 585,225 71,484
Royal Doulton P.L.C................................... 10,000 36,560
Rubicon Group P.L.C................................... 47,890 88,754
Russell (Alexander) P.L.C............................. 47,500 68,424
Rutland Trust P.L.C................................... 684,000 573,324
S & U P.L.C........................................... 29,040 158,034
SEP Industrial Holdings P.L.C......................... 200,000 94,349
SIG P.L.C............................................. 103,200 499,014
Salvesen (Christian) P.L.C............................ 100,000 156,687
Sanderson Bramall Motor Group P.L.C................... 79,166 320,778
Sanderson Electronics P.L.C........................... 90,000 97,045
Saville (J.) Gordon Group P.L.C....................... 454,228 455,346
Savills P.L.C......................................... 104,000 190,990
</TABLE>
187
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Scholl P.L.C.......................................... 166,250 $ 767,473
Scottish Metropolitan Property P.L.C.................. 314,266 513,594
Secure Trust Group P.L.C.............................. 40,000 416,148
*Seet P.L.C........................................... 7,000 3,420
Sennah Rubber Co., Ltd. (Guernsey).................... 1,214 158,515
Serco Group P.L.C..................................... 17,500 241,770
Servomex P.L.C........................................ 30,000 150,875
Seton Healthcare Group P.L.C.......................... 88,366 709,413
Severfield-Reeve P.L.C................................ 20,000 147,421
Shaftesbury P.L.C..................................... 112,500 380,978
Shandwick International P.L.C......................... 302,640 203,956
Shani Group P.L.C..................................... 30,000 26,788
Shanks & McEwan Group P.L.C........................... 192,000 483,608
Sharpe & Fisher P.L.C................................. 46,257 176,521
*Sheffield United P.L.C............................... 3,000 2,552
Sherwood Group P.L.C.................................. 270,000 131,921
Shiloh P.L.C.......................................... 14,500 26,995
*ShopRite Group P.L.C................................. 204,780 69,866
Sidlaw Group P.L.C.................................... 176,071 280,331
Silentnight Holdings P.L.C............................ 129,000 613,987
*Simon Engineering P.L.C.............................. 378,141 254,838
*Sims Food Group P.L.C................................ 99,000 68,386
Sinclair (William) Holdings P.L.C..................... 53,000 194,216
Sindall (William) P.L.C............................... 75,500 211,793
Singapore Para Rubber Estates P.L.C................... 26,000 102,942
Singer & Friedlander Group P.L.C...................... 364,000 846,314
Sirdar P.L.C.......................................... 145,266 124,820
Sketchley P.L.C....................................... 141,800 111,091
Smart (J.) & Co. (Contractors) P.L.C.................. 22,500 95,718
South Staffordshire Water Holdings P.L.C.............. 11,600 638,105
*Spring Ram Corp. P.L.C............................... 616,000 129,730
St. James Beach Hotels P.L.C.......................... 25,590 86,013
St. Modwen Properties P.L.C........................... 50,000 60,232
Stanley (Charles) Group P.L.C......................... 19,200 57,418
Stanley Leisure Organisation P.L.C.................... 231,258 977,961
Stat-Plus Group P.L.C................................. 58,000 126,057
Staveley Industries P.L.C............................. 245,000 598,529
Steel Burrill Jones Group P.L.C....................... 165,682 82,347
Sterling Industries P.L.C............................. 76,000 310,510
Stirling Group P.L.C.................................. 336,000 220,777
Stoddard Sekers International P.L.C................... 179,100 42,999
Stratagem Group P.L.C................................. 70,315 75,227
Stylo P.L.C........................................... 117,000 167,554
Sunleigh P.L.C........................................ 1,000,000 16,848
Sutcliffe Speakman P.L.C.............................. 360,864 121,597
Swallowfield P.L.C.................................... 15,000 53,956
Swan (John) and Sons P.L.C............................ 1,000 6,823
Swan Hill Group P.L.C................................. 109,500 163,271
Syltone P.L.C......................................... 50,400 97,652
T & S Stores P.L.C.................................... 253,910 782,856
TGI P.L.C............................................. 59,560 58,201
*Talbex Group P.L.C. (In Receivership)................ 385,000 0
Tamaris P.L.C......................................... 206,460 6,957
*Tandem Group P.L.C................................... 327,365 28,956
Tay Homes P.L.C....................................... 76,266 172,824
Taylor Nelson AGB P.L.C............................... 468,475 586,049
Tele-Cine Cell Group P.L.C............................ 30,000 19,460
Telemetrix P.L.C...................................... 246,722 243,173
Telspec P.L.C......................................... 25,000 89,506
Tex Holdings P.L.C.................................... 14,000 31,961
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Thorntons P.L.C....................................... 188,000 $ 745,933
Thorpe (F.W.) P.L.C................................... 24,000 69,751
Tibbett & Britten Group P.L.C......................... 100,323 927,103
Tie Rack P.L.C........................................ 125,000 271,676
Tilbury Douglas P.L.C................................. 242,957 910,773
Time Products P.L.C................................... 192,000 706,811
Tinsley Robor P.L.C................................... 60,000 145,062
Tomkinsons P.L.C...................................... 14,800 39,024
Tops Estates P.L.C.................................... 10,050 31,155
*Torday & Carlisle P.L.C.............................. 65,000 41,067
Tottenham Hotspur P.L.C............................... 150,000 200,914
Town Centre Securities P.L.C.......................... 150,000 270,412
*Toye & Co. P.L.C..................................... 2,000 2,527
*Trace Computers P.L.C................................ 33,552 42,397
*Trafficmaster P.L.C.................................. 2,000 12,586
Trafford Park Estates P.L.C........................... 50,000 126,361
Transtec P.L.C........................................ 251,525 417,415
Trinity Holdings P.L.C................................ 54,000 286,586
Triplex Lloyd P.L.C................................... 161,617 566,371
*Try Group P.L.C...................................... 243,407 84,069
Tunstall Group P.L.C.................................. 89,000 152,947
UDO Holdings P.L.C.................................... 71,000 191,394
UK Estates P.L.C...................................... 50,000 19,796
*UK Safety P.L.C...................................... 135,833 21,741
Ugland International Holdings P.L.C................... 219,500 299,551
Ulster Television, Ltd................................ 125,000 508,602
*Union P.L.C.......................................... 47,000 64,537
United Carriers Group P.L.C........................... 70,000 89,632
United Industries P.L.C............................... 122,292 110,231
Usborne P.L.C......................................... 111,066 40,232
VCI P.L.C............................................. 90,000 293,410
Vardon P.L.C.......................................... 188,000 380,093
Verity Group P.L.C.................................... 250,000 273,782
*Vert (Jacques) P.L.C................................. 45,000 16,301
Vibroplant P.L.C...................................... 113,500 118,560
Victoria Carpet Holdings P.L.C........................ 12,000 15,871
*Videologic Group P.L.C............................... 311,666 299,306
*Viglen Technology P.L.C.............................. 19,702 16,597
Vitec Group P.L.C..................................... 4,500 47,499
Volex Group P.L.C..................................... 85,206 739,313
Vosper Thornycroft Holdings P.L.C..................... 20,000 287,092
Vymura P.L.C.......................................... 50,000 97,298
WF Electrical P.L.C................................... 38,500 418,380
WSP Group P.L.C....................................... 50,000 70,762
Wace Group P.L.C...................................... 195,000 91,991
Waddington (John) P.L.C............................... 229,285 1,023,699
Wagon Industrial Holdings P.L.C....................... 30,000 130,152
Wainhomes P.L.C....................................... 6,000 12,131
Walker Greenbank P.L.C................................ 313,000 234,669
Ward Holdings P.L.C................................... 130,000 114,988
Wardle Storeys P.L.C.................................. 58,000 395,762
Warner Estate Holdings P.L.C.......................... 70,000 263,589
Warner Howard P.L.C................................... 63,817 248,370
Waste Recycling Group P.L.C........................... 3,000 14,127
*Water Hall Group P.L.C............................... 2,484 1,862
Waterman Partnership Holdings P.L.C................... 45,000 43,594
*Wates City of London Properties P.L.C................ 230,000 432,070
Watson & Philip P.L.C................................. 107,400 843,220
Watts, Blake, Bearne & Co. P.L.C...................... 50,500 379,470
*Waverly Mining Finance P.L.C......................... 42,500 10,741
</TABLE>
188
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Wellman P.L.C......................................... 204,833 $ 126,826
Wembley P.L.C......................................... 6,053 28,555
Wescol Group P.L.C.................................... 125,000 136,891
West Trust P.L.C...................................... 145,194 113,750
Westbury P.L.C........................................ 220,444 891,375
*Western Selection P.L.C.............................. 35,525 7,781
Westminster Health Care Holdings P.L.C................ 12,000 69,650
Wetherspoon (J.D.) P.L.C.............................. 22,755 118,081
Whatman P.L.C......................................... 56,500 754,395
Whitecroft P.L.C...................................... 105,000 229,092
Widney P.L.C.......................................... 39,528 28,970
*Wiggins Group P.L.C.................................. 1,076,500 194,973
Willoughby's Consolidated P.L.C....................... 9,000 18,196
Wilshaw P.L.C......................................... 223,409 135,505
Windsor P.L.C......................................... 83,441 16,518
Wintrust P.L.C........................................ 22,500 135,522
Wolstenholme Rink P.L.C............................... 15,500 180,190
Worthington Group P.L.C............................... 79,364 84,239
Wyko Group P.L.C...................................... 178,666 445,507
Wyndeham Press Group P.L.C............................ 63,066 247,041
York Waterworks P.L.C................................. 17,000 97,382
Yorklyde P.L.C........................................ 25,555 60,277
Yorkshire Group P.L.C................................. 110,400 402,697
Young & Co's Brewery P.L.C............................ 10,000 96,877
Young & Co's Brewery P.L.C. Class A................... 8,034 89,674
Young (H.) Holdings P.L.C............................. 59,226 148,180
Zetters Group P.L.C................................... 14,500 28,461
------------
TOTAL COMMON STOCKS
(Cost $136,469,081).................................. 166,539,269
------------
INVESTMENT IN CURRENCY -- (0.2%)
*British Pound Sterling (Cost $283,480)............... 270,640
------------
FACE
AMOUNT@
------------
(000)
BONDS -- (0.0%)
*Viglen Technology P.L.C. 6.375%, 09/01/00 (Cost
$19,859)............................................ 32 88,193
------------
SHARES VALUE+
------------ ------------
PREFERRED STOCKS -- (0.0%)
East Surrey Holdings P.L.C. 7.8%...................... 9,200 $ 18,097
Rea Holdings P.L.C. 9% Cumulative..................... 2,496 4,205
------------
TOTAL PREFERRED STOCKS
(Cost $37,184)....................................... 22,302
------------
RIGHTS/WARRANTS -- (0.0%)
*Thomas Jourdan P.L.C. Rights (Cost $0)............... 26,666 1,797
------------
TOTAL -- UNITED KINGDOM
(Cost $136,809,604).................................. 166,922,201
------------
AUSTRALIA -- (0.0%)
COMMON STOCKS -- (0.0%)
*Titan Resources NL (Cost $17,325).................... 66,825 6,859
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.2%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
8.50%, 11/15/00, valued at $3,854,763) to be
repurchased at $3,795,723.
(Cost $3,794,000)................................... $ 3,794 3,794,000
------------
TOTAL INVESTMENTS -- (99.3%)
(Cost $140,620,929)++................................ 170,723,060
------------
OTHER ASSETS AND
LIABILITIES -- (0.7%)
Other Assets.......................................... 1,549,978
Payable for Investment Securities Purchased........... (377,776)
Other Liabilities..................................... (44,393)
------------
1,127,809
------------
NET ASSETS -- (100.0%)................................. $171,850,869
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
@Denominated in local currency.
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
189
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
FRANCE -- (24.8%)
COMMON STOCKS -- (24.8%)
Agricole de la Crau.................................. 440 $ 42,558
Agricole de la Pointe-a-Pitre........................ 450 48,785
Airfeu SA............................................ 600 18,091
Apem SA.............................................. 1,000 57,593
*Arbel SA............................................ 2,280 19,311
Assystem SA.......................................... 2,657 92,715
Aurea................................................ 600 7,114
Bail-Investissement (Societe Immobiliere pour le
Commerce & l'Industrie)............................ 2,367 328,778
Bains de Mer et du Cercle des Etrangers a Monaco..... 4,615 415,104
Banque de la Reunion................................. 3,948 234,065
Banque Transatlantique............................... 3,030 94,439
Bazar de l'Hotel de Ville SA......................... 9,950 896,656
Berger Levrault SA................................... 476 76,196
Bertrand Faure SA.................................... 47,200 3,214,099
Bioblock Scientific SA............................... 1,373 88,355
Boiron SA............................................ 3,800 199,543
#Bollore Technologies SA............................. 20,366 2,601,167
Brioche Pasquier SA.................................. 2,600 255,442
Brosse et Dupont..................................... 3,170 230,897
Burelle SA........................................... 4,030 199,333
But SA............................................... 7,650 329,274
*CDE (Comptoir des Entrepeneurs SA).................. 8,713 18,965
CEGID................................................ 4,500 466,504
CFC (Cie Financiere des Cardans)..................... 296 84,185
COM 1 SA............................................. 450 11,434
Caisse Regionale de Credit Agricole Mutuel de la
Brie............................................... 242 13,938
Cambodge............................................. 1,605 570,933
Carbone Lorraine..................................... 6,649 1,793,042
Caves & Producteurs Reunis de Roquefort.............. 192 60,168
Cegedim SA........................................... 1,600 199,204
Centenaire-Blanzy.................................... 2,207 131,557
*Centrest (Societe Developpement Regional du
Centre-Est)........................................ 1,705 144
Change de la Bourse SA............................... 614 23,713
Christian Dalloz SA.................................. 2,022 235,646
Cipe France SA....................................... 7,221 205,493
*Cofigeo (Cie Financiere Geo)........................ 400 52,850
Compagnie Financiere de CIC et de l'Union Europeene
SA Series D........................................ 10,650 781,140
*Compagnie Financiere pour l'Immobilier d'Enterprise
Fidei.............................................. 9,399 52,221
*Concorde Cie d'Assurances Contre les Risques de
Toute Nature SA.................................... 2,992 634,030
Consortium International de Diffusion et de
Representation Sante Cider Sante................... 600 33,540
Continentale d'Assurances SA......................... 810 72,445
Continentale d'Entreprises SA........................ 20,087 714,538
*Costimex SA......................................... 700 14,383
Courtois SA.......................................... 100 8,114
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Credit Foncier et Communal d'Alsace et de Lorraine... 840 $ 106,005
Credit National...................................... 3,700 217,670
*Cristalleries de Baccarat........................... 1,567 143,336
*DMC (Dollfus Mieg et Cie)........................... 25,400 431,545
Damart SA............................................ 2,290 1,415,857
*Darblay SA.......................................... 305 28,157
Dassault Electronique SA............................. 17,400 1,638,759
Deveaux SA........................................... 1,040 123,141
Didot-Bottin......................................... 810 106,061
Dietrich et Cie...................................... 27,775 1,312,652
Distriborg Groupe SA................................. 1,050 76,480
Docks des Petroles d'Ambes........................... 100 10,163
Docks Lyonnais....................................... 1,110 23,870
*#Dynaction SA....................................... 10,660 279,885
ECIA (Equipements et Composants pour l'Industrie
Automobile)........................................ 17,571 2,735,289
EMI France SA........................................ 300 83,061
Electricite de Strasbourg............................ 7,928 671,467
Emin Leydier Emballages SA........................... 1,056 69,941
*Emprunt Conjoint de Banque du Batiment et des
Travaux Publics et de Financiere de Gestion et
d'Investissement SA................................ 29,814 38,382
Europe 1 Communication............................... 4,782 912,093
Exacompta Clairefontaine SA.......................... 1,600 216,821
*Expand SA........................................... 412 40,129
Explosifs et de Produits Chimiques................... 524 96,927
Faienceries Sarreguemines Digoin et Vitry-le-Francois
SA................................................. 330 28,229
*Fichet-Bauche....................................... 3,515 22,626
Fimalac SA........................................... 19,020 1,501,370
*Financiere et Immobiliere de l'Etang de Berre et de
la Mediterranee SA................................. 400 5,014
Fininfo SA........................................... 976 115,728
*Fives-Lille......................................... 8,400 516,508
Fonciere (Cie)....................................... 2,823 279,742
#Fonciere Lyonnaise SA............................... 4,515 525,419
Fonderies Franco Belge............................... 492 41,670
Fraikin SA........................................... 3,284 179,123
*Francaise des Ferrailles............................ 5,288 391,439
Francaise des Magasins Uniprix....................... 2,886 146,659
France-Africaine de Recherches Petrolieres
Francarep.......................................... 3,864 183,268
Frankoparis SA....................................... 4,387 55,140
*Fromagerie F. Paul Renard........................... 200 45,736
Fructivie SA......................................... 34 3,600
*GCI (Groupe Chatellier Industrie SA)................ 8,721 3,102
GFI Industries SA.................................... 1,369 229,578
Galeries Lafayette SA................................ 5,664 2,460,944
Gantois Series A..................................... 647 99,842
Gascogne SA.......................................... 6,472 515,261
Gaumont.............................................. 14,292 949,009
Gautier France SA.................................... 1,680 71,400
*Genefim............................................. 6,161 229,596
*Generale de Geophysique SA.......................... 14,976 1,623,555
*Generale de Transport et d'Industrie................ 12,890 381,886
Gevelot.............................................. 1,792 343,011
Gifrer Barbezat SA................................... 550 53,104
</TABLE>
190
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Grand Bazar de Lyon................................. 650 $ 17,396
Grands Moulins de Strasbourg......................... 110 30,186
*Groupe Andre SA..................................... 5,833 568,134
Groupe du Louvre SA.................................. 6,753 351,978
Groupe Guillin SA.................................... 1,200 44,475
Groupe Norbert Dentressangle SA...................... 1,580 161,921
Groupe Zannier SA.................................... 4,100 84,730
Groupement pour le Financement de la Construction
SA................................................. 19,075 1,673,730
Guerbet SA........................................... 1,990 70,789
Guitel-Etienne-Mobilor SA............................ 160 4,025
Guyenne et Gascogne SA............................... 5,200 1,632,187
HIT SA............................................... 600 52,545
Havas Advertising SA................................. 21,196 2,621,006
Hoteliere Lutetia Concorde........................... 2,505 174,822
*Hotels et Casinos de Deauville...................... 2,055 186,233
ICBT Groupe SA....................................... 1,200 36,385
IMS International Metal Service SA................... 12,630 158,317
*Immeubles de France................................. 25,927 1,545,917
Immobanque........................................... 1,098 112,153
Immobiliere Marseillaise............................. 656 800,069
Industrie des Transports............................. 600 41,162
Industrielle et Financiere d'Entreprise SA........... 300 12,704
Industrielle et Financiere d'Ingenierie SA........... 40,100 764,846
*Infogrames Entertainment SA......................... 1,550 239,189
Informatique et Realite SA........................... 2,643 92,674
Intertechnique SA.................................... 4,150 913,163
Jet Multimedia SA.................................... 503 50,611
Labinal SA........................................... 12,000 3,049,044
*Lacroix Indu........................................ 593 28,126
Laurent Bouillet..................................... 480 24,392
*Lectra Systemes SA.................................. 19,192 81,274
Legris Industries SA................................. 32,350 1,117,881
Locindus (Cie Financiere pour la Location d'Immeubles
Industrials et Commerciaux)........................ 1,600 205,438
*Lucia............................................... 254 2,173
*MRM................................................. 1,424 97,933
Manitou BF SA........................................ 2,773 330,684
Marie Brizard & Roger International SA............... 266 22,439
Matussiere et Forest SA.............................. 13,600 125,783
*Maxi-livre/Profrance SA............................. 1,200 7,704
Mediascience SA...................................... 150 9,493
Metal Deploye........................................ 328 18,390
*Metaleurop SA....................................... 58,400 608,386
*Metrologie International............................ 15,050 35,691
Michel Thierry SA.................................... 700 74,702
Montupet SA.......................................... 3,245 362,785
*Mors................................................ 32,445 25,006
*Moulinex SA......................................... 97,800 2,352,439
*Musee Grevin SA..................................... 822 13,778
*NAF NAF SA.......................................... 4,200 47,667
*Nationale de Navigation............................. 8,880 195,545
Nord-Est............................................. 3,240 65,859
*Nordon & Cie........................................ 800 52,240
*Olipar.............................................. 250 2,837
PSB Industries SA.................................... 1,240 107,123
Papiers Peints (Societe Francaise des)............... 200 32,523
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Parisienne de Chauffage Urbain....................... 200 $ 14,059
Paul Predault SA..................................... 2,199 44,513
*Pier Import Europe SA............................... 2,100 13,411
Plastic Omnium....................................... 12,036 1,284,440
*Primisteres Reynoird SA............................. 800 24,555
Publicis SA.......................................... 20,150 1,723,684
Radiall SA........................................... 1,340 142,546
Rallye SA............................................ 21,600 914,713
Robertet SA.......................................... 269 49,439
*Rocamat............................................. 5,579 9,309
Rochefortaise Communication SA....................... 11,420 715,746
*#Rochette........................................... 98,470 416,999
Rougier SA........................................... 2,040 110,579
*Rouleau-Guichard SA................................. 300 11,942
Rue Imperiale de Lyon................................ 450 394,851
*SAGA (Societe Anonyme de Gerance et d'Armement)..... 6,425 165,101
SAMSE SA............................................. 1,100 161,176
SAT SA (SA des Telecommunications)................... 2,832 784,816
*SDR de Bretagne SA.................................. 714 7,245
*SEDIVER (Societe Europeene d'Isolateurs en Verre et
Composite)......................................... 551 12,600
*SFIM (Societe de Fabrication d'Instruments de
Mesure)............................................ 2,940 512,951
SGCA (Societe Generale de Courtage d'Assurances)..... 554 60,904
*SGE (Societe Generale d'Enterprise SA).............. 10,500 255,408
SOCIM (Societe Immobiliere d'Investissement)......... 3,829 136,206
SOGEPAG (Societe Exploitation de Parces et Gauges)... 379 10,914
Sabate SA............................................ 600 72,974
Sabeton.............................................. 1,350 152,071
Saupiquet............................................ 4,500 414,670
Savoisienne.......................................... 3,963 63,773
Sechilienne.......................................... 220 43,229
Securidev SA......................................... 1,500 24,646
*Selectibanque SA.................................... 7,100 80,098
Sidergie SA.......................................... 800 132,803
Signaux et d'Equipements Electroniques SA............ 23,983 723,127
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)........................ 3,064 406,389
Skis Rossignol SA.................................... 46,668 792,096
Smoby SA............................................. 500 45,058
Societe d'Etudes et de Realizations pour les
Industries du Bois Seribo.......................... 450 11,015
Societe Dauphin Office Technique d'Affichage SDCS.... 2,192 155,948
Societe Financiere Immobail SA....................... 4,807 118,883
Societe Financiere Interbail SA...................... 7,000 193,276
*Sodero (Societe de Developpement Regional de
l'Ouest)........................................... 4,181 11,579
#Sogeparc SA......................................... 4,312 279,019
Soie SA.............................................. 390 13,213
Solitaire Produits d'Entretien Francais Prodef....... 300 32,523
Sommer-Allibert SA................................... 12,900 417,363
</TABLE>
191
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sophia SA............................................ 11,700 $ 451,868
Sopra Conseil et Assistance en Informatique SA....... 1,380 142,126
Strafor Facom SA..................................... 33,703 2,054,097
Sucriere de Pithiviers-le-Vieil...................... 1,825 973,788
Sylea SA............................................. 4,159 376,907
Taittinger SA........................................ 2,540 1,295,925
Tanneries de France.................................. 158 7,949
*Teisseire France SA................................. 700 19,007
*Teleflex Lionel-Dupont.............................. 7,625 135,361
Thermal de Bagnoles de l'Orne........................ 245 27,474
Touax SA............................................. 3,604 123,929
*Trouvay et Cauvin SA................................ 1,500 24,138
Unilog SA............................................ 632 81,897
Union Generale du Nord SA............................ 994 39,652
Union Immob.......................................... 3,100 211,095
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies)................................. 31,700 1,922,354
Vermandoise de Sucreries............................. 323 322,809
*Via Banque.......................................... 20,692 585,343
Viel et Cie.......................................... 2,792 70,468
Vilmorin et Cie SA................................... 2,349 189,003
Virax................................................ 954 29,734
Virbac SA............................................ 1,713 120,710
Vulcanic SA.......................................... 400 19,643
------------
TOTAL COMMON STOCKS
(Cost $72,972,767)................................... 80,332,771
------------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs
(Cost $14,116)..................................... 14,002
------------
RIGHTS/WARRANTS -- (0.0%)
*BCR Participations Warrants 05/15/99................ 6,425 1,045
*Derichebourg Finances Warrants 07/15/98............. 5,288 4,344
------------
TOTAL RIGHTS/WARRANTS
(Cost $101,804)...................................... 5,389
------------
TOTAL -- FRANCE
(Cost $73,088,687)................................... 80,352,162
------------
GERMANY -- (19.8%)
COMMON STOCKS -- (19.8%)
*AGIV AG fuer Industrie & Verkehrswesen.............. 8,300 170,345
Aachener Strassenbahn und Energieversorguns AG....... 178 41,376
Aachener und Muenchener Lebensversicherung AG........ 347 167,221
Aachener und Muenchener Versicherungs AG............. 2,107 711,957
Agrippina Rueckversicherung AG, Koeln................ 127 169,206
*Agrob AG............................................ 290 59,518
Aigner (Etienne) AG.................................. 600 213,966
*Alexanderwerk AG.................................... 100 6,803
Allweiler AG......................................... 289 60,132
Alte Leipziger Versicherungs AG Series C............. 1,043 390,276
*Amira Verwaltungs AG................................ 200 144,572
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Andreae-Noris Zahn AG, Anzag......................... 33,200 $ 1,298,765
*Anterra Vermoegensverwaltungs AG.................... 1,350 107,153
Apoca Parking AG..................................... 1,650 135,642
*Augsburger Kammgarn Spinnerei AG.................... 660 11,226
BDAG Balcke-Duerr AG................................. 3,291 466,457
*Barmag AG........................................... 1,300 288,180
Bayerische Handelsbank AG............................ 2,270 639,625
Berliner Elektro Holding AG.......................... 7,800 127,359
Berliner Kindl-Brauerei AG........................... 850 192,762
Binding-Brauerei AG.................................. 2,925 711,421
Biotest AG........................................... 8,060 233,050
Blaue Quellen Mineral und Heilbrunnen AG............. 510 318,058
*Bochum-Gelsenkirchener Strassenbahnen AG............ 224 45,719
Boewe Systec AG...................................... 3,000 102,051
Boss (Hugo) AG....................................... 440 581,235
*Brau und Brunnen AG................................. 4,995 416,290
Breitenburger Portland-Cement-Fabrik AG.............. 20 29,481
Bremer Strassenbahn AG............................... 188 30,910
*Bremer Woll-Kaemmerei AG............................ 1,996 174,271
Brillant AG.......................................... 1,310 260,688
Buckau (Walther) AG.................................. 800 92,072
*Ceag Industrie-Aktien und Anlagen AG................ 2,067 246,681
*Computer 2000 AG.................................... 547 150,098
*Concordia Bau und Boden AG.......................... 32,189 264,618
*Concordia Bau und Boden AG Em 97.................... 11,099 82,432
Custodia Holding AG.................................. 20 25,853
*DLW AG.............................................. 3,940 451,223
DSL Holding AG....................................... 5,850 978,411
Data Modul AG........................................ 2,400 107,493
*Deutsche Babcock AG, Oberhausen..................... 2,900 146,823
Deutsche Bank Luebeck AG............................. 794 675,235
Deutsche Hypotheken Bank AG, Hannover/Berlin......... 2,500 559,861
Deutsche Spezialglas AG.............................. 1,600 246,736
Deutsche Steinzeug Cremer & Breuer AG................ 4,700 295,777
Deutsche Verkehrs-Bank AG............................ 4,750 461,850
Didier-Werke AG...................................... 6,800 488,074
*Dierig Holding AG................................... 1,500 115,657
Doag-Holding AG...................................... 750 72,711
*Dortmunder Actien-Brauerei AG....................... 1,650 79,514
Duerr Beteiligungs AG................................ 31,750 1,074,636
Duerrkopp Adler AG................................... 800 54,427
Dyckerhoff & Widmann AG.............................. 4,919 568,919
Dyckerhoff AG........................................ 1,475 439,030
Eichbaum-Brauereien AG, Mannheim..................... 672 95,247
Erlus Baustoffwerke AG............................... 297 88,401
*Erste Kulmbacher Actien Brauerei AG................. 432 14,083
Escada AG............................................ 2,052 285,027
Fag Kugelfischer Georg Schaeffer AG.................. 37,500 552,774
*Felten & Guilleaume Energietechnik AG............... 3,250 257,961
*Flender (A. Friedrich) AG........................... 900 97,969
Forst Ebnath AG...................................... 4 1,746
</TABLE>
192
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Fraenkisches Ueberlandwerk AG, Nuernberg............. 680 $ 161,535
Fuchs Petrolub AG Oel & Chemie....................... 2,231 250,442
Fuchs Petrolub AG Oel & Chemie (Stimmrechtslos)...... 55 6,080
Gerresheimer Glas AG................................. 23,800 383,886
Gilde Brauerei AG.................................... 1,200 374,186
*Gildemeister AG..................................... 1,400 76,992
Goldschmidt AG....................................... 3,200 1,070,398
Grosskraftwerk Franken AG............................ 789 219,635
Hagen Batterie AG.................................... 956 151,761
Hamborner AG......................................... 2,100 454,806
Hamburger Hochbahn AG Series A....................... 3,400 202,400
Harpener AG.......................................... 7,100 1,187,473
Hasen-Braeu AG....................................... 100 76,538
Heilit & Woerner Bau AG.............................. 425 31,324
Heilit & Woerner Bau AG.............................. 1,701 133,084
Heinrich Industrie & Handels AG...................... 350 125,012
Herlitz AG........................................... 3,462 248,291
Hindrichs-Auffermann AG.............................. 1,930 31,732
Holsten-Brauerei AG, Hamburg......................... 3,077 673,377
*Honsel-Werke AG..................................... 350 25,796
Horten AG............................................ 3,380 459,908
Hucke AG............................................. 8,300 185,874
*Hutschenreuther AG Em 97............................ 4,200 80,960
Hypothekenbank In Hamburg AG......................... 1,293 791,709
ICN (Immobilien Consult Nuernberg AG)................ 707 338,703
IFA Hotel & Touristik AG............................. 7,000 148,824
*Ikon AG Praezisionstechnik.......................... 200 20,410
Iwka AG.............................................. 6,224 1,418,531
Jacobsen (W.) AG, Kiel............................... 37 52,443
KM Europa Metal AG................................... 7,550 755,501
#KM Europa Metal AG Em 95............................ 10,570 994,778
*KSB AG.............................................. 2,387 554,855
KWS Kleinwanzlebener Saatzucht AG.................... 1,650 1,075,784
*Kali und Salz Beteiligungs AG....................... 13,950 1,028,951
Kampa-Haus AG........................................ 12,375 340,275
*Kaufhalle AG........................................ 7,800 849,061
Kaufring AG.......................................... 2,203 106,164
*Kempinski AG, Berlin................................ 686 217,799
Keramag Keramische Werke AG.......................... 1,300 534,349
Kiekert AG........................................... 12,950 552,851
*Kloeckner Humboldt-Deutz AG......................... 16,750 113,957
*Kloeckner-Werke AG.................................. 23,800 1,666,430
*Koeln-Duesseldorfer Deutsche Rheinschiffahrt AG..... 300 13,777
*Kolb und Schuele AG................................. 10,000 40,537
*#Kolbenschmidt AG, Neckarsulm....................... 75,000 977,985
Kraftuebertragungswerke Rheinfelden AG............... 4,684 1,149,868
Kraftwerk Altwuerttemberg AG......................... 200 225,645
Kromschroder (G.) AG................................. 765 138,789
*Kueppersbusch AG.................................... 525 59,530
Kupferberg (Christian Adalbert) & Cie KG A.A......... 151 81,329
*Leffers AG, Bielefeld............................... 1,225 170,155
Lehnkering AG........................................ 1,530 249,820
Leifheit AG.......................................... 13,500 459,228
Leonische Drahtwerke AG.............................. 2,500 843,335
MG Vermoegensverwaltungs AG.......................... 3,737 228,818
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*MLF Holding fuer Umwelttechnologie AG............... 165 $ 1,590
*MLF Holding fuer Umwelttechnologie AG Em 95......... 33 337
*Maihak (H.) AG...................................... 153 20,818
Main Kraftwerke AG................................... 1,182 810,860
Mainzer Aktien-Bierbrauerei AG....................... 563 126,432
Mannheimer Versicherung AG........................... 2,257 1,407,562
*Markt und Kuehlhallen AG............................ 1,400 192,876
Maternus-Kliniken AG, Bad Oyenhausen................. 2,400 26,125
*Mauser Waldeck AG................................... 1,667 170,118
Mittelschwaebische Ueberlandzentrale AG.............. 355 190,197
*Moenus Textilmaschinen AG........................... 5,250 44,052
*Moksel (A.) AG...................................... 15,800 127,200
Muehle Rueningen AG.................................. 60 11,702
*Mueller-Weingarten AG............................... 579 86,990
*Nak Stoffe AG....................................... 1,046 1,779
*Neue Baumwoll-Spinnerei und Weberei Hof AG.......... 1,217 124,196
*Niedermayr Papierwarenfabrik AG..................... 60 12,348
Nordcement AG........................................ 2,000 839,083
Norddeutsche Steingutfabrik AG....................... 5,960 77,548
Nuernberger Hypothekenbank AG........................ 2,626 729,515
*Orenstein & Koppel AG............................... 3,778 88,890
Otavi Minen AG....................................... 600 71,435
Otto Reichelt AG..................................... 11,950 169,376
Parkbrauerei AG...................................... 300 38,269
Patrizier-Braeu AG................................... 124 8,577
*Pfaff (G.M.) AG..................................... 8,000 253,993
*Pfleiderer AG....................................... 8,300 162,346
Phoenix AG, Hamburg.................................. 47,500 813,287
Plettac AG........................................... 5,554 851,758
Progress-Werk Oberkirch AG........................... 500 73,703
Rathgeber AG......................................... 8 3,343
Reckitt und Colman Deutschland AG.................... 300 68,544
Reichelbraeu AG, Kulmbach............................ 550 96,696
*Reichelt (F.) AG.................................... 1,290 87,764
Reiter Ingolstadt Spinnereimaschinen AG.............. 1,200 106,133
*Renk AG............................................. 1,940 113,288
Rheinboden Hypothekenbank AG......................... 2,650 468,753
Rheinmetall Berlin AG................................ 50,000 1,020,507
Rhoen Klinikum AG.................................... 6,600 695,985
*Rosenthal AG........................................ 2,383 223,056
*Rothenberger AG..................................... 300 17,008
*Salamander AG, Kornwesteim.......................... 5,172 803,438
Schlenk (Carl) AG.................................... 49 12,557
Schmalbach-Lubeca AG................................. 1,000 187,376
*Schneider Rundfunkwerke AG.......................... 623 98,898
Schwaebische Zellstoff AG............................ 1,925 223,732
Scor Deutschland Rueckversicherungs AG............... 1,872 244,105
*Sektkellerei Schloss Wachenheim AG.................. 1,512 188,590
Sinalco AG........................................... 110 46,150
*Sinn AG............................................. 1,973 413,878
Sinner AG, Karlsruhe................................. 416 101,416
Sixt AG.............................................. 600 51,365
Sloman Neptun Schiffahrts AG......................... 35 3,929
Stern-Brauerei Carl Funke AG......................... 1,100 67,977
</TABLE>
193
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Stoehr & Co. AG..................................... 1,600 $ 154,210
Stolberger Zink AG................................... 1,300 20,489
Stollwerck AG........................................ 1,058 368,896
*Strabag AG.......................................... 2,000 131,759
*Stumpf (Otto) AG.................................... 2,275 24,506
Stuttgarter Hofbraeu AG.............................. 1,800 516,376
Sued-Chemie AG....................................... 2,186 1,053,446
Sueddeutsche Bodencreditbank AG...................... 3,344 991,542
Tarkett AG........................................... 12,000 268,733
*Terrex Handels AG................................... 1,250 290,561
*Triton-Belco AG, Hamburg............................ 1,186 50,766
*Tucher Braeu AG..................................... 750 59,955
Ueberlandwerk Unterfranken AG........................ 10 1,645
VBH (Vereinigter Baubeschlag-Handel) AG.............. 9,415 129,709
VGT AG............................................... 293 71,430
*VK Muehlen AG....................................... 1,312 122,733
*Varta AG............................................ 5,500 851,273
Vereinigte Deutsche Nickel-Werke AG.................. 1,380 240,976
*Verseidag AG........................................ 2,753 262,216
*Voegele (Joseph) AG................................. 750 116,976
*Vogtlaendische Baumwollspinnerei AG................. 443 28,255
Volksfuersorge Holding AG............................ 300 126,713
Vossloh AG........................................... 7,950 457,485
WCM Beteiligungs und Grundbesitz AG.................. 23,000 410,754
WMF (Wuerttembergische Metallwarenfabrik AG)......... 3,033 515,866
Walter AG............................................ 1,350 465,351
*Wanderer-Werke AG................................... 1,437 154,794
Weinig (Michael) AG.................................. 25,000 850,422
Weru AG.............................................. 150 63,356
Westag & Getalit..................................... 700 152,792
*Wickrather Bauelemente AG........................... 445 50,458
Wuerttembergische & Badische Versicherungs AG Series
A/B................................................ 112 185,415
Wuerttembergische Hypothekenbank AG.................. 1,613 795,604
Wuerttembergische Lebensversicherung AG.............. 443 153,709
Wuerzburger Hofbraeu AG.............................. 133 48,259
*Zanders Feinpapiere AG.............................. 4,450 315,365
Zeag Zementwerk Lauffen-Elektrizitaetswerk Heilbronn
AG................................................. 1,942 462,426
------------
TOTAL COMMON STOCKS
(Cost $58,379,629)................................... 64,031,406
------------
PREFERRED STOCKS -- (0.0%)
Westag & Getalit (Cost $38,373)...................... 260 53,214
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks
(Cost $33,852)..................................... 33,842
------------
RIGHTS/WARRANTS -- (0.0%)
*Concordia Bau und Boden AG Rights 12/23/97.......... 43,288 0
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Fuchs Petrolub AG Oel & Chemie Rights 12/08/97...... 6,288 $ 1,069
*Rheinboden Hypothekenbank AG Rights 12/01/97........ 2,650 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 1,069
------------
TOTAL -- GERMANY
(Cost $58,451,854)................................... 64,119,531
------------
ITALY -- (11.0%)
COMMON STOCKS -- (10.9%)
Acquedotto de Ferrari Galliera SpA................... 54,000 171,870
Aedes SpA (Sta Ligure Lombarda per Imprese &
Costruzioni)....................................... 42,000 265,044
Allianz Subalpina SpA................................ 55,125 446,602
*Ansaldo Trasporti SpA............................... 199,533 270,193
*Auschem SpA (In Liquidation)........................ 82,000 0
*BPM Bipiemme, Milano................................ 68,570 374,585
Banca Agricola Milanese.............................. 1 7
*Banca Nazionale dell'Agricoltura SpA................ 170,000 148,254
Banco di Chiavari e della Riviera Ligure SpA,
Chiavari........................................... 175,000 347,863
Bassetti SpA......................................... 67,500 451,159
*Bastogi SpA......................................... 1,683,000 63,305
*Binda SpA........................................... 1,299,375 20,302
Boero (Bartolomeo) SpA............................... 8,925 44,417
Bonifica dei Terreni Ferraresi e per Imprese Agricole
Roma............................................... 11,600 86,259
*Brioschi Finanziaria SpA, Milano.................... 200,000 20,833
CALP (Cristalleria Artistica la Piana SpA)........... 48,000 169,440
CAMFIN (Cam Finanziaria)............................. 20,500 40,335
CEMENTIR (Cementarie del Tirreno SpA), Roma.......... 661,563 630,151
*CIGA SpA (Compagnia Italiana Grandi Alberghi)....... 76,890 50,547
CMI SpA.............................................. 36,428 76,522
Caffaro SpA Sta per l'Industria Chimica ed
Elettrochimica..................................... 297,550 306,495
*Calcestruzzo ed il Cemento SpA...................... 464,040 437,710
Caltagirone SpA...................................... 343,085 244,004
Cartiere Burgo SpA................................... 42,500 248,401
Cementeria di Augusta SpA............................ 105,000 162,539
Cia Assicuratrice Unipol SpA......................... 199,333 588,292
Comau SpA............................................ 176,500 449,408
Condotta Acque Potabili SpA, Torino.................. 28,000 84,257
Credito Emiliano SpA, Milano......................... 73,500 156,523
Cucirini SpA......................................... 30,000 26,892
*Dalmine SpA......................................... 3,001,700 746,929
#Danieli & C.Officine Meccaniche SpA................. 93,500 660,108
*Dataconsyst C.G.S. SpA, Monza....................... 220 0
*Del Favero SpA...................................... 86,000 29,860
Editoriale l'Espresso SpA............................ 55,000 245,710
Editoriale la Repubblica SpA......................... 152,500 322,112
Ericsson SpA......................................... 61,500 2,395,156
*FIAR (Fabbrica Italiana Apparecchiature
Radioelettriche SpA)............................... 22,990 74,503
*FMC (Fabbrica Milanese Condutorri SpA).............. 25,000 11,501
</TABLE>
194
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*FONSPA (Credito Fondiaro e Industriale Istituto per
i Finanziamenti a Medio e Lungo Termine SpA)....... 269,000 $ 373,600
Falck (Acciaierie & Ferriere Lombarde)............... 305,200 1,359,937
Finarte Casa d'Aste SpA (Milano)..................... 56,266 40,049
Finarte Partecipazioni Pro Arte SpA.................. 202,693 121,518
*Fincasa 44 SpA...................................... 150,036 16,062
*Finrex Finanziaria Immobiliaria SpA (In
Liquidation)....................................... 36,000 2,521
*Firs-Italiana de Assicurazioni Compagnia di
Assicurazioni Eriassicurazioni (In Liquidation).... 90,000 0
*Fochi (Filippo) SpA................................. 216,000 23,999
*Fornara Societa Finanziaria e di Participazioni
SpA................................................ 310,000 12,916
*Gabetti Holding SpA................................. 70,000 73,806
*Gerolimich SpA (In Liquidation)..................... 297,400 0
Gewiss SpA........................................... 103,000 1,907,352
*Gottardo Ruffoni SpA................................ 279,832 16,744
*Grassetto SpA....................................... 279,125 65,450
ITALJOLLY (Cia Italiana dei Jolly Hotels SpA)........ 48,500 252,597
Immobiliare Metanopoli SpA........................... 1,062,500 762,420
*Impregilo SpA....................................... 532,000 377,130
Industria Macchine Automatique SpA................... 23,000 99,624
Industrie Zignago S. Margherita SpA.................. 61,000 487,139
Ipi SpA.............................................. 181,400 228,843
*Linificio & Canapificio Nazionale SpA............... 118,000 58,725
Maffei SpA........................................... 75,000 94,615
Magneti Marelli SpA.................................. 431,666 699,439
*Mandelli SpA........................................ 41,000 0
Manifattura Lane Gaetano Marzotto & Figli SpA........ 144,000 1,572,038
Marangoni SpA, Rovereto.............................. 50,303 148,459
#Merloni Elettrodomestici SpA........................ 210,000 768,641
Milano Assicurazioni SpA............................. 52,000 157,380
*Monrif SpA.......................................... 210,000 69,876
Montefibre SpA, Milano............................... 275,267 214,250
*NAI SpA (Navigazione Alta Italia)................... 139,760 20,300
*Necchi SpA.......................................... 131,400 45,624
*Perlier SpA......................................... 120,700 22,700
Pininfarina SpA...................................... 64,570 1,156,472
*Poligrafici Editoriale SpA.......................... 226,000 292,954
*Premafin Finanziaria SpA............................ 1,025,000 376,653
Previdente Cia Italiana Assicurazione SpA............ 149,590 1,038,789
Ratti SpA............................................ 155,900 340,119
Recordati Industria Chimica E Farmaceutica SpA....... 34,000 270,536
*Rejna SpA, Milano................................... 19,000 165,476
Risanamento di Napoli SpA............................ 26,700 375,458
Riva Finanziaria SpA................................. 47,600 173,674
*Rodriquez SpA....................................... 41,250 22,964
SAES Getters SpA..................................... 14,750 243,266
SISA (Societa Imballaggi Speciali Asti SpA).......... 65,000 43,257
*SMI STA Metallurgica Italiana SpA................... 565,280 226,367
*SOPAF (Societa Partecipazioni Finanziarie SpA)...... 85,000 73,291
*#Saffa SpA, Milano.................................. 100,500 280,322
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Safilo (Sta Azionaria Fabbrica Italiana Lavorazione
Occhiali SpA)...................................... 50,100 $ 1,185,782
#Saiag SpA (Industrie Articoli Gomma)................ 43,000 251,324
*Schiapparelli 1824 SpA, Milano...................... 15,000 1,319
*Simint SpA.......................................... 82,488 620,551
Snia BPD SpA......................................... 131,200 129,678
Sogefi SpA........................................... 260,000 598,073
Sondel Nordelettrica SpA............................. 728,892 1,256,965
Sorin Biomedica SpA.................................. 407,610 1,757,295
*Stayer SpA.......................................... 22,500 19,661
*Stefanel SpA........................................ 190,800 391,968
Tecnost SpA.......................................... 170,000 341,367
Teknecomp SpA........................................ 148,643 88,598
Terme Demaniali di Acqui SpA......................... 39,900 15,008
*Tripcovich (D.) & Co. SpA Navigazione Rimorchi e
Salvataggi Trieste................................. 113,898 24,387
#UNICEM (Unione Cementi Marchini Emiliane e di
Augusta-Casale).................................... 159,600 1,287,938
*Unione Manifatture SpA (In Liquidation)............. 156,000 0
*Unipar (Unione Nazionale di Participazione SpA) (In
Liquidation)....................................... 539,000 0
Vianini Industria SpA................................ 126,000 86,039
Vianini Lavori SpA................................... 316,000 519,337
Vittoria Assicurazioni SpA........................... 59,500 205,903
Zucchi (Vincenzo) SpA................................ 97,000 599,497
------------
TOTAL COMMON STOCKS
(Cost $40,585,339)................................... 35,422,130
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Italian Lira
(Cost $192,168).................................... 186,867
------------
TOTAL -- ITALY
(Cost $40,777,507)................................... 35,608,997
------------
SWITZERLAND -- (10.9%)
COMMON STOCKS -- (10.9%)
*AFG Arbonia Foster Holding AG, Arbon................ 522 263,620
*Accumulatoren-Fabrik Oerlikon, Zuerich.............. 30 19,990
Afipa SA, Vevey...................................... 20 3,156
Afipa SA, Vevey Series A............................. 80 12,345
Aletsch AG, Moerel................................... 50 129,236
*Ascom Holding AG, Bern.............................. 907 1,187,754
*Attisholz Holding AG, Attisholz..................... 1,079 488,153
BHB Beteiligungs und Finanzgesellschaft.............. 150 21,568
BKW FMB Energie AG, Bern............................. 600 673,358
Bank Sarasin & Cie Series B, Basel................... 274 197,953
Banque Cantonale de Geneve........................... 840 199,735
*Banque Cantonale du Jura............................ 450 50,502
Banque Privee Edmond de Rothschild SA, Geneve........ 120 462,934
Basellandschaftliche Kantonalbank.................... 500 141,686
Basler Kantonalbank (Participating).................. 500 151,506
Bobst SA, Prilly..................................... 100 147,297
Bobst SA, Prilly (Namen)............................. 90 66,284
Bossard Holding AG, Zug.............................. 635 296,190
</TABLE>
195
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Bucher Holding AG, Niederweningen.................... 671 $ 597,725
CKW (Centralschweizerische Kraftwerke), Luzern....... 670 610,932
CKW (Centralschweizerische Kraftwerke), Luzern
(Participating).................................... 1,500 129,411
Calida Holding AG, Oberkirch......................... 99 95,827
Canon (Schweiz) AG, Dietlikon........................ 3,706 226,152
Carlo Gavazzi Holding AG, Baar Series B.............. 83 61,419
Chocoladefabriken Lindt & Spruengli AG, Kilchberg.... 16 303,011
Coop Bank, Basel..................................... 941 613,829
Crossair AG fuer Europaeischen Regionalluffverkehr... 619 277,872
Crossair AG fuer Europaeischen Regionalluftverkehr,
Basel (Genusschen)................................. 330 54,626
Daetwyler Holding AG, Atldorf........................ 388 707,587
Danzas Holding AG.................................... 1,952 409,379
*Distefora Holding SA, Jegenstorf.................... 4,840 48,886
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg......................................... 8,400 1,764,619
ESEC Holding SA, Cham................................ 65 177,809
Edipresse SA, Lausanne............................... 432 112,114
Edipresse SA, Lausanne (Nominal)..................... 1,310 67,995
Eichhof Holding AG, Luzern........................... 42 126,675
Eichhof Holding AG, Luzern (Namen)................... 5 15,080
Eisenbahngesellschaft Brig-Visp-Zermatt.............. 370 79,414
Energie Electrique du Simplon SA..................... 350 63,829
*Escor AG, Duedingen................................. 496 5,653
#Feldschloesschen-Huerlimann Holding AG,
Rheinfelden........................................ 1,462 574,262
#Feldschloesschen-Huerlimann Holding AG, Rheinfelden
(Participating).................................... 350 51,063
Financiere Michelin, Granges-Paccot.................. 637 281,485
Financiere Tradition, Lausanne....................... 50 56,990
Forbo Holding AG, Eglisau............................ 1,100 440,559
Fotolabo SA, Ropraz.................................. 1,200 264,293
*Fuchs Petrolub AG Oel & Chemie...................... 2,001 219,653
*Fuchs Petrolub AG Oel & Chemie (Stimmrechtslos)..... 2,001 213,337
*Galenica Holding AG, Bern Series B.................. 405 203,112
Generale d'Affichage, Geneve......................... 290 115,944
Generali (Switzerland) Holdings, Adliswil............ 1,670 356,680
Golay-Buchel Holding SA, Lausanne.................... 40 42,646
Gornergrat Monte Rasa-Bahnen Zermatt................. 70 90,833
Gurit-Heberlein AG, Wattwil SG....................... 310 974,125
HPI Holding SA, Yverdon-les-Bains.................... 200 37,175
Hero, Lenzburg....................................... 660 370,347
Hero, Lenzburg (Namen)............................... 400 51,905
Hilti AG, Schaan (Participating)..................... 600 374,555
Industrieholding Cham AG, Cham....................... 216 157,566
Jelmoli Holding AG, Zuerich.......................... 1,771 1,552,757
Jelmoli Holding AG, Zuerich (Namen).................. 2,835 497,128
Kardex AG, Zuerich................................... 693 196,863
Kardex AG, Zuerich (Participating)................... 610 162,160
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Keramik Holding AG Laufen, Laufen.................... 600 $ 270,606
Kraftwerk Laufenburg, Laufenburg..................... 8,475 1,610,957
Kuehne & Nagel International AG, Schindellegi........ 162 109,652
Kuoni Reisen Holding AG, Zuerich..................... 50 185,875
Lem Holding SA, Plan-les-Ovates...................... 270 58,519
Loeb Holding AG, Bern (Participating)................ 620 97,847
*Logitech International SA, Apples................... 4,805 832,464
*Maag Holding AG, Zuerich............................ 820 135,738
*Mikron Holding AG, Biel............................. 1,224 209,482
Moevenpick-Holding, Zuerich.......................... 1,320 503,672
Moevenpick-Holding, Zuerich (Participating).......... 443 161,578
Motor-Columbus AG, Baden............................. 735 1,330,093
*Netstal-Maschinen AG, Nafaels....................... 2 858
Nokia-Maillefer Holding SA........................... 277 100,643
*Omnium Geneve SA, Geneve............................ 110 6,327
Orell Fuessli Graphische Betriebe AG, Zuerich........ 240 154,872
Oz Holding, Zuerich.................................. 440 257,391
*Parco Industriale e Immobiliare SA, Giornico........ 600 652
Phoenix Mecano AG, Stein am Rhein.................... 2,749 1,351,661
Phonak Holding AG Series B........................... 230 169,069
*Porst Holding AG, Jegenstorf........................ 1,844 223,760
Prodega AG, Moosseedoff (Participating).............. 400 187,979
Publicitas Holding SA, Lausanne...................... 2,199 485,859
Rieter Holding AG, Winterthur........................ 440 192,272
SIG (Schweizerische Industrie Gesellschaft Holding
AG), Neuhausen am Rheinfall........................ 50 129,762
SIG (Schweizerische Industrie Gesellschaft Holding
AG), Neuhausen am Rheinfall (Namen)................ 60 77,436
Sarna Kunststoff Holding AG, Sarnen.................. 176 212,949
*Saurer AG, Arbon.................................... 300 219,473
Schweizerhall Holding AG, Basel...................... 140 110,571
Schweizerische National Versicherungs Gesellschaft,
Basel.............................................. 132 298,129
Siegfried AG, Zofingen............................... 1,066 1,375,783
*Sihl Zuercher Papierfabriek an der Sihl, Zuerich.... 10 6,243
Sika Finanz AG, Baar................................. 800 240,164
Sika Finanz AG, Baar (Namen)......................... 750 37,350
Sopracenerina........................................ 2,409 214,593
*Suedelektra Holding AG, Zug......................... 850 596,203
*Swisslog Holding AG................................. 2,500 190,259
*Tege SA............................................. 1,800 113,629
UMS Schweizerische Metallwerke Holding AG, Bern...... 2,560 182,256
Unigestion Holding, Geneve........................... 2,891 141,945
Usego Hofer Curti AG, Volketswil..................... 2,040 392,063
Vaudoise Assurances Holding, Lausanne................ 45 107,159
Villars Holding SA, Fribourg......................... 150 19,464
*Von Moos Holding AG, Luzern......................... 7,000 68,739
*Von Roll Holding AG, Gerlafingen.................... 32,024 633,431
Vontobel Holding AG, Zuerich......................... 286 216,653
</TABLE>
196
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*WMH Walter Meier Holding AG, Staefa................. 50 $ 35,246
Zehnder Holding AG................................... 193 76,486
Zellweger Luwa AG, Uster............................. 804 572,396
*Zschokke Holding SA, Geneve......................... 230 47,591
*Zueblin Holding AG, Zuerich......................... 700 20,131
Zuercher Ziegeleien Holding, Zuerich................. 1,415 1,171,152
Zuger Kantonalbank................................... 500 617,245
------------
TOTAL COMMON STOCKS
(Cost $26,135,814)................................... 35,110,876
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $115)........................................ 121
------------
TOTAL -- SWITZERLAND
(Cost $26,135,929)................................... 35,110,997
------------
SPAIN -- (10.3%)
COMMON STOCKS -- (10.3%)
AGF Union y Fenix Seguros y Reaseguros SA............ 26,550 335,603
*Ahorro Familiar SA.................................. 6,051 57,619
Amper SA............................................. 34,400 986,153
*Asturiana del Zinc SA............................... 33,100 500,523
Azkoyen SA........................................... 5,250 566,102
*BAMI SA (Inmobiliara de Construcciones y
Terrenos).......................................... 23,634 91,446
Banco de Alicante.................................... 6,100 122,716
Banco de Andalucia................................... 4,303 669,436
Banco de Castilla SA................................. 2,100 1,396,949
Banco de Credito Balear SA........................... 9,850 578,615
Banco de Galicia SA.................................. 7,550 987,259
Banco de Valencia.................................... 51,350 1,010,644
Banco de Vasconia SA................................. 8,900 689,321
*Banco de Vitoria SA................................. 27,700 422,582
Banco Guipuzcoano SA................................. 4,817 199,625
Banco Pastor SA...................................... 18,100 1,286,572
Banco Zaragozano SA.................................. 45,598 1,184,860
Bodegas y Bebidas SA................................. 12,876 505,110
CAF (Construcciones y Auxiliar de Ferrocarriles
SA)................................................ 9,500 343,370
*CAI (Corporacion Alimentaria Iberica SA)............ 11,200 0
*CARTEMAR (Cartera de Valores del Mar SA)............ 4,016 10,772
*CINSA (Compania de Inversiones SA).................. 1,400 4,694
Campofrio Alimentacion SA............................ 33,000 1,526,907
*Citroen Hispania SA................................. 650 39,142
Construcciones Lain SA............................... 185,600 352,220
*Coporacion Financiera Reunida SA.................... 60,085 317,096
ERZ (Electricas Reunidas de Zaragoza)................ 54,937 2,070,383
ESSA (Estacionamientos Subterraneos SA).............. 8,875 176,161
Ebro Agricolas Compania de Alimentacion SA........... 89,900 1,594,538
*El Aguila SA........................................ 39,200 160,349
Elecnor SA........................................... 8,100 200,972
Empresa Nacional de Celulosa SA...................... 8,200 133,070
Energia e Industrias Aragonesas SA................... 12,340 82,749
SHARES VALUE+
------------ ------------
*Ercros SA........................................... 33,200 $ 33,840
*Erpo SA............................................. 3,289 1,522
*Espanola del Zinc SA................................ 9,750 90,880
*Estacionamientos Urbanos SA......................... 4,200 132,372
Europistas Concesionaria Espanola SA................. 119,698 790,629
*#Filo SA............................................ 61,297 174,694
Financiera y Minera Series A/C....................... 5,200 90,662
GESA (Gas y Electricidad SA)......................... 17,000 1,219,782
General Azucarera de Espana SA....................... 15,850 754,635
*Global Steel Wire SA................................ 7,083 14,962
Grupo Anaya SA....................................... 16,500 307,594
*Grupo Hispano-Suiza SA.............................. 71,400 38,782
Hullas del Coto Cortes............................... 8,666 162,714
Iberica de Autopistas SA Concesionaria de Estado
Iberpistas......................................... 45,070 917,267
Inbesos SA........................................... 1,610 19,973
Indo Internacional SA................................ 5,600 230,947
*Inmobiliaria Alcazar SA............................. 5,126 33,858
Inmobiliaria del Sur SA.............................. 1,380 55,524
*Inmobiliaria Urbis SA............................... 37,291 323,835
Inmobiliaria Zabalburu SA............................ 23,200 185,911
Koipe SA............................................. 8,400 563,286
Koxka C.E. SA........................................ 3,000 182,062
*LSB (La Seda de Barcelona SA) Series B.............. 25,200 70,467
Lingotes Especiales SA............................... 4,140 53,442
Marco Iberica Distribucion de Ediciones Midesa....... 5,600 70,974
*Max Center Leisa SA................................. 3,000 3,772
*Nicolas Correa SA................................... 1,575 70,763
*Nueva Montana Quijano SA Series B................... 100,500 86,937
OCP Construcciones SA, Madrid........................ 59,720 1,449,699
Papelera de Navarra SA............................... 6,000 72,825
*Pascual Hermanos SA................................. 7,610 2,501
Pescanova SA......................................... 23,252 272,865
Portland Valderrivas SA.............................. 8,075 657,913
Prim SA.............................................. 3,100 27,856
Prosegur Cia de Seguridad SA......................... 7,000 69,941
*Radiotronica SA..................................... 2,137 28,302
Sarrio SA............................................ 105,100 366,484
*Sindibank (Sindicato de Banqueros de Barcelona)..... 10,540 173,163
*Sotogrande SA....................................... 69,786 149,282
Tableros de Fibras SA Series B....................... 21,876 319,797
Tavex Algodonera SA.................................. 8,800 118,907
Transportes Ferroviarios Especiales Tranfesa......... 24,000 210,025
Uniland Cementera SA................................. 5,750 335,457
Unipapel SA.......................................... 13,484 280,304
Uralita SA........................................... 122,725 1,427,848
Vidrala SA........................................... 20,680 884,750
Viscofan Industria Navarra de Envolturas Celulosicas
SA................................................. 46,425 1,120,738
Zeltia SA............................................ 3,664 100,614
------------
TOTAL COMMON STOCKS
(Cost $25,424,484)................................... 33,354,915
------------
</TABLE>
197
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Tableros de Fibras SA, Madrid Rights 12/11/97
(Cost $0).......................................... 21,876 $ 3,814
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta
(Cost $1,219)...................................... 1,213
------------
TOTAL -- SPAIN
(Cost $25,425,703)................................... 33,359,942
------------
NETHERLANDS -- (9.7%)
COMMON STOCKS -- (9.6%)
A.I.R. Holdings NV................................... 1,356 30,695
ACF Holding NV (Certificate)......................... 15,757 285,345
Aalberts Industries NV............................... 24,593 624,737
Atag Holding NV...................................... 4,397 263,207
Athlon Groep NV...................................... 5,350 457,506
Athlon Groep NV (Certificate)........................ 3,500 299,303
Bam Groep NV......................................... 5,140 328,368
Batenburg Beheer NV.................................. 1,000 120,727
Beers NV............................................. 16,625 568,676
Begemann Groep NV.................................... 13,451 136,679
*Begemann Groep NV Series B.......................... 13,451 73,076
Bijenkorf Beheer KBB NV, Amsterdam................... 1,021 64,456
Boskalis Westminster NV.............................. 46,207 808,875
Cindu International NV............................... 1,750 189,265
Content Beheer....................................... 14,750 463,731
De Boer Unigro NV.................................... 15,700 533,087
Delft Instruments NV................................. 12,808 206,170
Econosto NV.......................................... 16,232 229,442
Eriks Holdings NV.................................... 9,000 610,730
Flexovit International NV............................ 15,159 141,071
Gamma Holding NV..................................... 18,338 950,132
*Gemeenschappeljk Bezit Crown van Gelder NV.......... 12,000 188,335
Geveke NV............................................ 11,398 459,257
Grolsche NV.......................................... 32,100 799,291
Gti Holding.......................................... 22,535 555,454
Hoek's (W.A.) Machine & Zuurstoffafabriek NV......... 14,850 1,180,261
Hollandia Industriele Maatschappij NV................ 500 19,367
Hollandsche Beton Groep NV........................... 50,470 913,967
Internatio-Mueller NV................................ 27,400 842,144
Kas-Associatie NV.................................... 7,830 551,422
Kempen & Co. NV...................................... 22,200 876,632
Koninklijke Ahrend NV................................ 47,344 1,464,653
Koninklijke Frans Maas Groep NV...................... 14,215 478,374
Koninklijke Ten Cate NV.............................. 12,373 563,272
Koninklijke Volker Wessels Stevin NV................. 41,700 1,308,926
Koppelpoort Holding NV............................... 250 32,697
Krasnapolsky Hotels & Restaurants NV................. 3,230 86,764
Landre & Glinderman NV............................... 2,113 86,095
MacIntosh NV......................................... 19,733 411,942
NBM-Amstelland NV.................................... 97,692 2,756,871
NKF Holding NV....................................... 20,117 545,439
Nagron Nationaal Grondbezit NV....................... 16,065 379,816
Nederlandsche Apparatenfabriek....................... 17,000 383,108
Nedlloyd Groep NV, Rotterdam......................... 22,900 526,437
Norit NV............................................. 30,731 499,314
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Otra NV.............................................. 23,000 $ 364,446
Pakhoed NV........................................... 7,050 191,504
Polynorm NV.......................................... 3,431 331,373
Reesink NV........................................... 2,050 118,589
Roto Smeets de Boer NV............................... 1,000 37,023
Rubber Cultuur Maatschappij Amsterdam NV............. 40,800 68,754
Samas-Groep NV, Zaandam.............................. 11,845 551,152
Schuitema NV, Amersfoort............................. 300 573,455
Schuttersveld NV..................................... 23,200 536,834
Smit Internationale NV............................... 21,580 613,330
*Sphinx NV........................................... 22,968 229,917
*Textielgroep Twenthe NV............................. 1,000 18,864
*Tulip Computers NV.................................. 11,467 67,489
Twentsche Kabel Holding NV........................... 18,270 1,010,022
*Ubbink NV........................................... 1,500 39,236
Unique International NV.............................. 10,330 222,402
Van der Mollen Holding NV............................ 16,890 480,035
*Van Dorp Groep NV................................... 3,261 44,946
*Van Heek-Tweka NV................................... 3,880 25,373
Vredestein NV........................................ 20,514 204,320
Wegener Arcade NV ................................... 102,015 1,991,087
------------
TOTAL COMMON STOCKS
(Cost $16,574,580)................................... 31,015,267
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Netherlands Guilder
(Cost $317,880).................................... 316,925
------------
TOTAL -- NETHERLANDS
(Cost $16,892,460)................................... 31,332,192
------------
SWEDEN -- (7.7%)
COMMON STOCKS -- (7.7%)
Active I Malmoe AB Series A.......................... 4,160 77,855
Active I Malmoe AB Series B.......................... 4,160 79,741
#Allgon AB Series B.................................. 65,400 1,033,392
Alma Industri & Handel AB Series B................... 5,200 132,004
Althin Medical AB Series B........................... 4,800 72,737
*Anders Dioes AB..................................... 28,800 171,584
Angpannefoereningen AB Series B...................... 10,800 167,854
*Argonaut AB Series A................................ 81,000 175,198
*#Argonaut AB Series B............................... 171,500 364,280
B & N Bylock & Nordsjoefrakt AB Series B............. 41,800 184,611
BPA AB Series A...................................... 74,000 178,268
BPA AB Series B...................................... 56,700 136,591
*BTL AB Series B..................................... 136,700 706,430
Beijer AB Series B................................... 11,700 180,327
Benima Ferator Engineering AB........................ 13,400 55,190
Berg (C.F.) & Co. AB Series B........................ 6,200 21,681
Bergman & Beving AB Series B......................... 25,700 469,332
*Bilspedition AB Series A............................ 88,300 446,019
Bong Ljungdahl AB.................................... 6,000 49,735
Boras Waefveri AB Series B........................... 8,600 70,172
Caran AB Series B.................................... 5,200 35,022
Carbo AB............................................. 11,100 276,027
Catena AB Series A................................... 66,700 1,062,572
Celsius Industrier AB Series B....................... 60,100 965,214
*#Concordia Maritime AB Series B..................... 37,300 125,606
Eldon AB Series B.................................... 10,800 381,869
*Enator AB........................................... 60,100 1,148,138
Enea Data AB Series B................................ 2,000 73,825
</TABLE>
198
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Esselte AB Series A.................................. 40,100 $ 810,208
#Esselte AB Series B................................. 34,500 717,169
*Evidentia Fastigheter AB Series A................... 16,120 79,337
*Evidentia Fastigheter AB Series B................... 1,000 4,922
FFNS Gruppen AB Series B............................. 23,450 197,417
Fagerlid Industrier AB............................... 8,600 38,762
*Fastighits AB Celtica............................... 5,800 24,414
Finnveden AB Series B................................ 18,100 391,492
*Firefly AB.......................................... 8,400 10,336
Forcenergy AB Series B............................... 32,100 376,254
*Frontec AB Series B................................. 18,200 162,648
Garphyttan Industrier AB............................. 39,000 626,345
Getinge Industrier AB Series B....................... 39,736 656,178
Geveko AB Series B................................... 8,300 105,349
*Gorthon Lines AB Series B........................... 41,800 246,329
Gullspangs Kraft AB Series B......................... 7,500 121,422
Hexagon AB Series B.................................. 3,572 101,086
ICB Shipping AB Series B............................. 61,500 828,392
Intelligent Micro Systems Data AB.................... 3,400 18,055
Iro AB............................................... 11,800 166,585
JP Bank Series A..................................... 14,000 85,222
JP Bank Series B..................................... 8,000 48,180
Jacobson and Widmark AB.............................. 13,400 55,537
Kjessler & Mannerstrale AB........................... 8,500 40,733
*Klippans Finpappersbruk AB.......................... 5,800 20,207
Kloevern Foervaltnings AB Series B................... 89,460 285,031
Lindex AB............................................ 16,100 506,710
Linjebuss AB Series A................................ 30,700 349,904
Marieberg Tidnings AB Series A....................... 51,900 1,337,667
Meda AB Series A..................................... 2,100 30,191
*Monark Stiga AB..................................... 21,700 185,495
NCC AB Series A...................................... 3,000 33,027
NCC AB Series B...................................... 54,400 602,411
NH Nordiska Holding AB............................... 17,000 30,825
Nobelpharma AB....................................... 45,460 529,907
Nolato AB Series B................................... 15,300 489,459
*Nordstroem & Thulin AB Series B..................... 162,800 438,576
OEM International AB Series B........................ 7,100 135,177
OM Gruppen AB........................................ 18,400 693,487
Piren AB............................................. 13,488 89,093
Platzer Bygg AB Series B............................. 36,000 59,215
Prifast AB........................................... 19,000 182,101
Rottneros Bruk AB.................................... 366,600 292,008
Sandblom & Stohne AB Series B........................ 8,400 69,629
Scandiaconsult AB.................................... 14,300 92,605
Scribona AB Series A................................. 40,100 508,977
Scribona AB Series B................................. 31,700 402,358
Segerstroem & Svensson AB Series B................... 3,800 147,650
*Sifab Fastignets AB................................. 21,600 148,271
*Skandigen AB, Series A.............................. 13,300 61,841
*Solitair Kapital AB................................. 90,000 91,504
Spendrups Bryggeri AB Series B....................... 19,900 180,418
*#Stena Line AB Series B............................. 128,000 513,924
Svedala Industri..................................... 60,000 1,115,143
*Tivox AB Series B................................... 7,200 16,785
Wallenstam Byggnads AB Series B...................... 16,700 105,335
Westergyllen AB Series B............................. 4,300 110,828
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Wihlborg & Son AB Series B......................... 83,500 $ 141,672
Zeteco AB Series B................................... 10,400 248,518
------------
TOTAL COMMON STOCKS
(Cost $18,576,417)................................... 24,999,595
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $1,607)...................................... 1,585
------------
TOTAL -- SWEDEN
(Cost $18,578,024)................................... 25,001,180
------------
BELGIUM -- (4.3%)
COMMON STOCKS -- (4.3%)
*Abfin SA............................................ 2,560 8,864
Afrifina............................................. 3,480 435,119
BMT NV............................................... 2,040 378,400
Banque Belgo-Zairoise Belgolaise SA.................. 1,155 368,178
Banque Nationale de Belgique......................... 710 1,092,607
Belge des Betons..................................... 425 181,317
Belgo Katanga NPV.................................... 408 215,268
Belgo Katanga NPV VVPR............................... 136 71,008
Bernheim-Comofi SA................................... 5,295 242,997
CFE (Compagnie Francois d'Entreprises)............... 2,080 594,449
CMB (Cie Martime Belge).............................. 500 38,472
Carrieres Unies Porphyre............................. 20 19,896
Chimique et Metallurgique Campine, Beerse............ 370 48,296
City Hotels SA....................................... 1,290 148,887
Cofinimmo SA......................................... 4,330 443,828
Cokeries & Houilleres d'Anderlues.................... 100 7,420
Commerciale de Brasserie SA COBRHA................... 115 44,401
Credit General SA de Banque, Bruxelles............... 3,459 712,901
Creyf's SA........................................... 1,500 136,026
Creyf's SA V.V.P.R................................... 300 12
Deceuninck Plastics Industries SA.................... 7,370 1,425,797
*Electrorail SA (Reunies d'Electricite & de
Transports)........................................ 11,416 16,313
Engrais Rosier SA.................................... 655 104,757
Fabrique de Fer de Charleroi......................... 77 455,038
Financiere d'Obourg.................................. 36 222,539
Floridienne NV....................................... 2,033 91,901
Ford Motor Co. SA Belgium............................ 1,110 154,039
*Forges de Clabecq SA................................ 3,460 285
*Franki NV (Cie Internationale des Pieux Armes
Frankignoul SA).................................... 5,875 71,036
Glaces de Charleroi.................................. 70 173,509
Ibel................................................. 2,655 134,975
*Immobel (Cie Immobiliere de Belgique SA)............ 10,600 646,661
*Intercomfina SA..................................... 11,000 907
Mecaniver SA, Bruxelles.............................. 128 40,451
Metiers Automatiques Picanol......................... 403 272,432
*PCB SA Bruxelles.................................... 6,504 52,547
*Papeteries de Catala SA............................. 315 37,135
Plantations Nord-Sumatra SA.......................... 650 64,661
*Recticel SA......................................... 8,450 90,561
SABCA (Sa Belge de Constructions Aeronautiques)...... 4,280 370,486
</TABLE>
199
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*SCF SA.............................................. 2,850 $ 17,230
SIPEF (Societe Internationale de Plantations & de
Finance), Anvers................................... 1,175 213,108
SIPEF (Societe Internationale de Plantations & de
Finance), Anvers (Precompte Reduit)................ 370 68,225
Sa d'Ieteren......................................... 9,705 2,128,218
Sait Radioholland.................................... 6,088 134,843
Sait Radioholland (Precompte Reduit)................. 152 3,425
Sapec SA............................................. 3,560 159,461
Sapec SA (Taux Reduit)............................... 75 3,504
Sidro................................................ 4,040 316,405
Spadel NPV........................................... 325 349,203
Surongo SA........................................... 20 2,968
Telinfo SA........................................... 6,948 370,407
Telinfo SA V.V.P.R................................... 1,158 64
Ter Beke NV.......................................... 2,212 194,515
UNIBRA............................................... 1,600 109,920
Uco Textiles NV...................................... 2,124 285,418
------------
TOTAL COMMON STOCKS
(Cost $9,139,770).................................... 13,971,290
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $1,743)........................ 1,722
------------
TOTAL -- BELGIUM
(Cost $9,141,513).................................... 13,973,012
------------
DENMARK -- (0.8%)
COMMON STOCKS -- (0.8%)
Aarhus Oliefabrik A.S. Aeries A...................... 640 30,979
Alm Brand A.S. Series B.............................. 2,000 65,532
Amtssparekassen Fyn A.S.............................. 388 26,004
Bang & Olufsen Holding A.S. Series B................. 2,437 143,367
Broedrene Hartmann A.S. Series B..................... 121 18,922
Coloplast A.S. Series B.............................. 2,187 156,346
*Crisplant Industries A.S............................ 960 40,749
DFDS A.S., Copenhagen................................ 100 83,404
Dampskibsselsk et Torm A.S........................... 360 32,706
Danske Traelastko.................................... 896 78,733
Dv Industri A.S...................................... 440 19,659
*#East Asiatic Co., Ltd.............................. 4,283 44,014
Ejendamsselskabet Norden A.S......................... 958 46,371
*Falck A.S........................................... 2,370 110,482
Fih A.S. Series B.................................... 3,090 77,775
Fluegger A.S. Series B............................... 658 27,930
*#GN Great Nordic, Ltd............................... 15,000 252,445
Hoejgaard Holding A.S. Series B...................... 126 16,889
*Holm (Jacob) & Sonner Series B...................... 2,254 29,206
Incentive A.S........................................ 1,085 58,336
Kansas Ehrvervsbeklaedning Odense A.S. Series B...... 688 32,277
*Kjobenhavns Sommer Tivoli A.S....................... 30 7,909
Korn-Og Foderstof Kompagnet A.S...................... 2,428 66,899
*Lauritzen (J.) Holding Series B..................... 483 41,723
Marius Peder Series B................................ 76 19,582
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Martin Gruppen A.S................................... 318 $ 14,560
*Neg Micon A.S....................................... 460 32,542
Nordiske Kabel og Traadfabrikker Holding A.S......... 1,498 124,939
Per Aarsleff A.S. Series B........................... 85 24,053
Radiometer A.S. Series B............................. 1,803 75,457
Sanistal A.S. Series B............................... 88 15,334
Sas Danmark A.S...................................... 9,400 139,999
Schouw & Co. Series B................................ 340 28,864
Spar Nord Holding.................................... 1,103 64,889
*Superfos A.S........................................ 6,178 161,021
Sydbank A.S.......................................... 1,742 93,400
Thorkild Kristensen.................................. 527 42,776
*Topdanmark A.S...................................... 784 123,771
Vest-Wood A.S........................................ 396 35,092
Wessel & Vett Magasin du Nord A.S. Series C.......... 602 38,464
------------
TOTAL COMMON STOCKS
(Cost $2,538,973).................................... 2,543,400
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Denmark Krone
(Cost $11,212)..................................... 11,376
------------
TOTAL -- DENMARK
(Cost $2,550,185).................................... 2,554,776
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH
INVESTMENTS -- (4.0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
8.50%, 11/15/00, valued at $13,056,800) to be
repurchased at $12,864,840
(Cost $12,859,000)................................. $ 12,859 12,859,000
------------
TOTAL INVESTMENTS -- (103.3%)
(Cost $283,900,862)++................................ 334,271,789
------------
OTHER ASSETS AND
LIABILITIES -- (-3.3%)
Other Assets......................................... 6,848,503
Payable for Investment Securities Purchased.......... (179,023)
Payable for Fund Shares Redeemed..................... (17,217,125)
Other Liabilities.................................... (114,448)
------------
(10,662,093)
------------
NET ASSETS -- (100.0%)................................. $323,609,696
------------
------------
- --------------------
+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.
200
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
JAPAN -- (27.2%)
COMMON STOCKS -- (26.8%)
Achilles Corp........................................ 176,000 $ 257,880
Aica Kogyo Co., Ltd.................................. 37,000 139,448
Aichi Bank, Ltd...................................... 10,500 769,246
Aichi Machine Industry Co., Ltd...................... 71,000 187,479
Aisin Seiki Co., Ltd................................. 137,000 1,620,921
Amada Co., Ltd....................................... 376,000 1,888,470
Amano Corp........................................... 115,000 982,174
Aoki International Co., Ltd.......................... 63,000 389,971
#Aomori Bank, Ltd.................................... 170,000 759,256
Aoyama Trading Co., Ltd.............................. 41,100 1,036,960
Asahi Denka Kogyo KK................................. 42,000 190,872
Asahi Organic Chemicals Industry Co., Ltd............ 82,000 260,215
#Ashikaga Bank, Ltd.................................. 808,000 1,063,616
Awa Bank, Ltd........................................ 189,600 846,793
Bandai Co., Ltd...................................... 60,000 930,852
#Bank of Ikeda, Ltd.................................. 13,000 499,119
Bank of Iwate, Ltd................................... 18,590 959,907
#Bank of Kinki, Ltd.................................. 234,000 524,380
Bank of Kyoto, Ltd................................... 347,400 1,524,341
Bank of Nagoya, Ltd.................................. 185,000 1,020,490
#Bank of Saga, Ltd................................... 215,000 918,119
#Bank of Yokohama, Ltd............................... 978,000 3,034,578
#Best Denki Co., Ltd................................. 153,000 791,224
Brother Industries, Ltd.............................. 349,000 773,884
CMK Corp............................................. 38,000 464,486
Calpis Co., Ltd...................................... 58,000 197,689
#Canon Sales Co., Inc................................ 64,900 889,912
#Casio Computer Co., Ltd............................. 264,000 2,109,931
Central Glass Co., Ltd............................... 179,000 302,950
#Chiba Bank, Ltd..................................... 941,000 3,671,835
*#Chichibu Onoda Cement Corp......................... 746,000 1,870,480
Chiyoda Fire and Marine Insurance Co., Ltd........... 444,150 1,325,925
Chudenko Corp........................................ 82,000 1,799,021
Chugoku Bank, Ltd.................................... 199,000 2,650,735
Chukyo Coca-Cola Bottling Co., Ltd................... 35,000 222,135
Chukyo Sogo Bank, Ltd................................ 107,000 360,509
#Chuo Trust and Banking Co., Ltd..................... 299,000 573,986
Citizen Watch Co., Ltd............................... 317,000 1,999,491
Cosmo Oil Co., Ltd................................... 764,000 1,586,366
Dai Tokyo Fire & Marine Insurance Co., Ltd........... 529,000 2,031,028
Daicel Chemical Industries, Ltd...................... 485,000 942,449
Daido Steel Co., Ltd................................. 562,000 827,863
Daikin Industries, Ltd............................... 182,000 956,881
Dainippon Pharmaceutical Co., Ltd.................... 203,000 839,835
#Daio Paper Corp..................................... 128,750 807,052
#Daisan Bank, Ltd.................................... 138,000 510,370
#Daishi Bank, Ltd.................................... 350,000 1,184,721
Daito Trust Construction Co., Ltd.................... 180,784 1,167,217
#Daiwa Bank, Ltd..................................... 726,000 1,308,364
Daiwa House Industry Co., Ltd........................ 655,000 5,286,190
#Daiwa Kosho Lease Co., Ltd.......................... 193,000 981,446
Daiwa Securities Co., Ltd............................ 1,673,000 5,833,379
#Denki Kagaku Kogyo K.K.............................. 469,000 881,959
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Dowa Fire & Marine Insurance Co., Ltd................ 383,000 $ 1,335,436
Ehime Bank, Ltd...................................... 143,000 436,983
#Eighteenth Bank, Ltd................................ 226,000 1,345,818
Ezaki Glico Co., Ltd................................. 174,600 1,128,658
#Fuji Fire & Marine Insurance Co., Ltd............... 353,000 799,350
Fuji Oil Co., Ltd.................................... 73,000 306,014
Fuji Photo Film Co., Ltd............................. 414,000 14,889,403
Fujisawa Pharmaceutical Co., Ltd..................... 314,000 2,927,796
#Fukui Bank, Ltd..................................... 343,000 900,333
Fukuoka City Bank, Ltd............................... 264,532 704,728
*#Fukutoku Bank, Ltd................................. 27,000 33,426
Fukuyama Transporting Co., Ltd....................... 266,000 1,083,800
Furukawa Co., Ltd.................................... 165,000 316,748
Fuso Pharmaceutical Industries, Ltd.................. 67,000 209,990
#Futaba Corp......................................... 16,000 714,594
#Futaba Industrial Co., Ltd.......................... 82,000 957,336
Gunze, Ltd........................................... 315,000 757,728
Hanshin Electric Railway Co., Ltd.................... 141,000 451,863
Higo Bank, Ltd....................................... 308,000 1,727,937
Hino Motors, Ltd..................................... 398,000 1,185,034
Hiroshima Bank, Ltd.................................. 575,000 1,013,712
Hiroshima-Sogo Bank, Ltd............................. 136,000 588,223
Hitachi Construction Machinery Co., Ltd.............. 64,000 261,265
Hitachi Maxell, Ltd.................................. 96,000 2,151,303
*Hitachi Metals, Ltd................................. 360,000 1,734,770
#Hitachi Transport System, Ltd....................... 138,000 1,178,609
Hitachi, Ltd......................................... 3,691,000 26,173,203
Hokuetsu Bank........................................ 275,500 865,626
#Hokuetsu Paper Mills, Ltd........................... 162,000 864,423
#Hokuriku Bank, Ltd.................................. 891,000 1,375,334
#House Foods Corp.................................... 115,000 1,522,821
Hyakugo Bank, Ltd. (105th Bank)...................... 258,000 1,192,713
Hyakujishi Bank, Ltd................................. 314,000 1,697,630
Inax Corp............................................ 309,000 1,123,416
#Intec, Inc.......................................... 30,000 232,478
Itochu Corp.......................................... 1,198,000 3,107,056
Itoham Foods, Inc.................................... 284,000 1,137,113
#Izumiya Co., Ltd.................................... 151,000 993,849
Japan Airport Terminal Co., Ltd...................... 9,000 69,109
Japan Pulp and Paper Co., Ltd........................ 119,000 400,008
Japan Wool Textile Co., Ltd.......................... 42,000 187,910
Joyo Bank, Ltd....................................... 19,000 76,223
#Juroku Bank, Ltd.................................... 349,000 1,471,201
Kagawa Bank, Ltd..................................... 61,650 333,309
Kagoshima Bank, Ltd.................................. 262,000 1,430,864
Kajima Corp.......................................... 826,000 2,718,276
#Kamagai Gumi Co., Ltd............................... 878,000 591,640
Kamigumi Co., Ltd.................................... 357,000 1,423,804
*Kandenko Co., Ltd................................... 266,000 1,623,616
Kaneka Corp.......................................... 344,000 1,973,030
Kansai Paint Co., Ltd., Osaka........................ 108,000 283,487
#Kasumi Co., Ltd..................................... 36,000 142,731
Katokichi Co., Ltd................................... 72,000 1,043,683
#Keiyo Bank, Ltd..................................... 391,000 873,144
#Keiyo Co., Ltd...................................... 35,000 169,207
Kikkoman Corp........................................ 256,000 1,516,443
</TABLE>
201
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Kinden Corp.......................................... 67,000 $ 761,214
#Kinseki, Ltd........................................ 17,000 115,886
Kirin Brewery Co., Ltd............................... 247,000 1,902,456
Kissei Pharmaceutical Co., Ltd....................... 40,000 535,945
Koa Fire & Marine Insurance Co., Ltd................. 45,000 220,372
*Kobe Steel, Ltd..................................... 2,632,000 2,515,996
Koito Manufacturing Co., Ltd......................... 146,000 735,577
#Kokusai Denshin Denwa Co., Ltd...................... 48,400 2,468,827
Kokusai Securities Co., Ltd.......................... 330,000 2,482,272
Komatsu, Ltd......................................... 1,279,000 7,676,505
Komori Corp.......................................... 74,000 1,159,647
Konica Corp.......................................... 66,000 351,655
Koyo Seiko Co........................................ 198,000 1,121,677
Kureha Chemical Industry Co., Ltd.................... 263,000 642,946
Kurimoto, Ltd........................................ 171,000 844,114
#Lion Corp........................................... 311,000 989,352
#Long Term Credit Bank of Japan, Ltd................. 2,895,000 4,876,983
#Maeda Corp.......................................... 244,000 755,181
Makita Corp.......................................... 209,000 2,472,791
Marubeni Corp........................................ 1,942,000 4,854,049
Maruichi Steel Tube, Ltd............................. 117,000 1,494,300
#Matsushita Electric Industrial Co., Ltd............. 1,933,000 30,140,411
Matsushita Electric Works, Ltd....................... 286,000 2,330,578
#Matsushita Refrigeration Co......................... 222,000 878,433
Matsushita Seiko Co., Ltd............................ 179,000 796,646
*Matsuzakaya Co., Ltd................................ 30,000 122,233
*#Mazda Motor Corp................................... 794,000 2,221,023
Meija Seika Kaisha, Ltd. Tokyo....................... 366,000 1,399,475
Michimen Corp........................................ 359,000 562,586
Michinoku Bank, Ltd.................................. 187,000 1,084,270
Mitsubishi Cable Industries, Ltd..................... 29,000 67,032
Mitsubishi Chemical Corp............................. 2,129,000 4,153,739
#Mitsubishi Electric Corp............................ 1,262,000 3,490,586
Mitsubishi Gas Chemical Co., Inc..................... 548,000 1,489,959
Mitsubishi Materials Corp............................ 975,000 2,200,196
#Mitsubishi Motors Corp.............................. 866,000 2,972,051
Mitsubishi Oil Co., Ltd.............................. 590,000 1,317,532
Mitsubishi Paper Mills, Ltd.......................... 419,000 860,161
#Mitsui Chemicals, Inc............................... 405,000 1,110,676
*#Mitsui Engineering and Shipbuilding Co., Ltd....... 781,000 691,502
Mitsui Toatsu Chemicals, Inc......................... 838,000 1,221,297
Mitsui Trust & Banking Co., Ltd...................... 1,030,000 1,735,162
Mori Seiki Co., Ltd.................................. 121,000 1,317,845
Musashino Bank, Ltd.................................. 26,000 1,038,981
NCR Japan, Ltd....................................... 53,000 229,649
NGK Spark Plug Co., Ltd.............................. 201,000 1,315,064
NHK Spring Co., Ltd.................................. 315,000 987,267
NKK Corp............................................. 537,000 542,786
NOK Corp............................................. 149,000 856,932
NSK, Ltd............................................. 253,000 1,048,674
NTN Corp............................................. 398,000 1,375,263
Nagase & Co., Ltd.................................... 196,000 790,911
Nanto Bank, Ltd...................................... 288,000 1,444,231
Nichicon Corp........................................ 100,000 1,120,470
Nichirei Corp........................................ 366,000 1,092,623
Nifco, Inc........................................... 45,000 303,585
Nihon Cement Co., Ltd................................ 424,000 1,152,815
Nihon Unisys, Ltd.................................... 41,000 283,346
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
#Nikko Securities Co., Ltd........................... 1,910,000 $ 5,836,631
Nippon Chemi-Con Corp................................ 119,000 387,886
#Nippon Credit Bank, Ltd............................. 1,683,000 1,490,139
Nippon Flour Mills Co., Ltd.......................... 21,000 49,363
Nippon Hodo Co., Ltd................................. 151,000 615,240
Nippon Light Metal Co., Ltd.......................... 525,000 991,381
Nippon Meat Packers, Inc., Osaka..................... 232,000 3,035,769
Nippon Oil Co., Ltd.................................. 1,598,000 5,571,871
Nippon Sanso Corp.................................... 367,000 957,579
Nippon Sheet Glass Co., Ltd.......................... 567,000 1,110,676
Nippon Shinpan Co., Ltd.............................. 399,000 484,584
Nippon Shinyaku Co., Ltd............................. 52,000 275,024
Nippon Shokubai Co., Ltd............................. 135,000 679,099
*Nippon Suisan Kaisha, Ltd........................... 49,000 70,261
Nishi-Nippon Bank, Ltd............................... 23,540 72,672
Nishimatsu Construction Co., Ltd..................... 359,000 1,443,032
#Nissan Shatai Co., Ltd.............................. 158,000 506,343
#Nissei Sangyo Co., Ltd.............................. 110,050 991,636
Nisshin Steel Co., Ltd............................... 1,318,000 1,817,575
Nisshinbo Industries, Inc............................ 305,000 1,739,785
Ogaki Kyoritsu Bank, Ltd............................. 50,000 220,960
Oita Bank, Ltd....................................... 145,000 832,791
Okamura Corp......................................... 44,000 141,352
#Oki Electric Industry Co., Ltd...................... 740,000 1,635,103
Okumura Corp......................................... 322,000 1,059,667
Olympus Optical Co., Ltd............................. 343,000 2,510,182
#Penta-Ocean Construction Co., Ltd................... 438,000 758,456
Pioneer Electronic................................... 182,000 3,165,837
Q.P. Corp............................................ 168,000 1,184,721
Rengo Co., Ltd....................................... 252,000 821,406
#Rhythm Watch Co., Ltd............................... 73,000 120,118
Royal Co., Ltd....................................... 41,000 600,744
#Ryosan Co., Ltd..................................... 53,000 847,169
Ryoyo Electro Corp................................... 26,000 275,024
#Sakura Bank, Ltd.................................... 758,000 2,648,917
San In Godo Bank, Ltd................................ 222,000 1,457,677
Sanki Engineering Co., Ltd........................... 109,000 836,983
Sanyo Electric....................................... 2,536,000 7,153,457
Sanyo Shokai, Ltd.................................... 77,000 311,922
#Seino Transportation Co., Ltd....................... 197,000 1,258,022
Seiyo Food Systems, Inc.............................. 61,000 269,093
#Sekisui Chemical Co., Ltd........................... 557,000 4,054,480
Sekisui Jushi Co., Ltd............................... 27,000 151,898
Seksui House......................................... 928,000 6,675,056
Sharp Corp. Osaka.................................... 257,000 1,719,710
#Shiga Bank, Ltd..................................... 268,000 1,280,940
Shimadzu Corp........................................ 100,000 356,513
Shimizu Bank, Ltd.................................... 8,400 419,918
#Shimizu Corp........................................ 997,000 3,202,899
Shinwa Bank, Ltd..................................... 157,000 626,155
Shionogi & Co., Ltd.................................. 455,000 2,591,851
Showa Electric Wire & Cable Co., Ltd., Kawasaki...... 152,000 317,994
Snow Brand Milk Products Co., Ltd.................... 419,000 1,076,842
Stanley Electric Co., Ltd............................ 246,000 724,748
Sumitomo Corp........................................ 918,000 5,790,323
Sumitomo For......................................... 125,000 832,517
Sumitomo Metal Industries, Ltd. Osaka................ 177,000 360,588
Sumitomo Osaka Cement Co., Ltd....................... 594,000 1,130,985
Sumitomo Realty & Development Co., Ltd............... 488,000 3,269,265
</TABLE>
202
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
#Sumitomo Warehouse Co., Ltd......................... 67,000 $ 255,138
#Suruga Bank, Ltd.................................... 256,000 1,390,072
*#TEC Corp........................................... 345,000 1,056,964
TOC Co., Ltd......................................... 65,000 611,166
Tadano, Ltd.......................................... 30,000 133,281
Taikisha, Ltd........................................ 30,000 343,193
#Taisei Corp......................................... 1,325,000 3,062,684
Takara Standard Co., Ltd............................. 175,000 1,186,092
Tanabe Seiyaku Co., Ltd.............................. 140,000 894,025
Teijin, Ltd.......................................... 917,000 2,407,013
Teikoku Oil Co., Ltd................................. 346,000 1,165,759
Toagosei Co., Ltd.................................... 353,000 746,797
Toda Corp............................................ 418,000 1,768,619
Toho Bank, Ltd....................................... 236,000 1,274,076
#Tokai Rika Co., Ltd................................. 56,000 179,902
#Tokushu Paper Manufacturing Co., Ltd................ 31,000 218,852
Tokuyama Corp........................................ 248,000 864,721
#Tokyo Sowa Bank..................................... 199,000 567,569
Tokyo Steel Manufacturing Co., Ltd................... 202,800 1,231,499
Tokyo Style Co., Ltd................................. 133,000 1,354,750
#Tokyo Tatemono Co., Ltd............................. 294,000 967,522
#Tokyo Tomin Bank, Ltd............................... 30,900 968,462
Tokyu Department Store Co., Ltd...................... 329,000 605,798
#Tokyu Store Chain Corp.............................. 53,000 255,397
Tomoku Co., Ltd...................................... 65,000 115,612
Tostem Corp.......................................... 188,000 2,135,945
Towa Bank, Ltd....................................... 102,000 426,782
Toyo Information System Co., Ltd..................... 25,000 342,801
Toyo Ink Manufacturing Co., Ltd...................... 378,000 918,159
Toyo Seikan Kaisha, Ltd.............................. 287,600 4,799,906
#Toyo Suisan Kaisha, Ltd............................. 116,000 999,804
Toyo Trust & Banking Co., Ltd........................ 715,000 4,677,963
Toyobo Co., Ltd...................................... 448,000 684,505
#Toyoda Machine Works, Ltd........................... 122,000 1,194,907
Toyota Auto Body Co., Ltd............................ 86,000 661,046
Toyota Tsusho Corp................................... 314,000 1,065,324
Uniden Corp.......................................... 12,000 122,233
#Unisia Jecs Corp.................................... 130,000 308,639
#Victor Co. of Japan, Ltd............................ 246,000 2,313,026
Wacoal Corp.......................................... 149,000 1,447,679
Yakult Honsha Co., Ltd............................... 228,000 1,643,565
#Yamagata Bank, Ltd.................................. 154,000 687,796
Yamaguchi Bank....................................... 133,000 1,709,070
Yamatake Honeywell Co., Ltd.......................... 87,000 1,015,710
Yamato Kogyo Co., Ltd................................ 123,000 946,413
#Yasuda Trust & Banking Co., Ltd..................... 1,434,000 1,224,729
#Yodogawa Steel Works, Ltd........................... 296,000 1,484,349
Yokogawa Electric Corp............................... 337,000 2,212,780
Yokohama Reito Co., Ltd.............................. 34,000 274,398
#Yokohama Rubber Co., Ltd............................ 404,000 1,098,437
Zexel Corp........................................... 60,000 201,214
---------------
TOTAL COMMON STOCKS
(Cost $638,343,721).................................. 424,473,311
---------------
INVESTMENT IN CURRENCY -- (0.4%)
*Japanese Yen (Cost $5,570,515)...................... 5,535,941
---------------
TOTAL -- JAPAN
(Cost $643,914,236).................................. 430,009,252
---------------
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
UNITED KINGDOM -- (22.6%)
COMMON STOCKS -- (22.5%)
ASDA Group P.L.C..................................... 1,719,300 $ 4,663,677
Abbey National P.L.C................................. 440,000 6,949,841
*Aggreko P.L.C....................................... 32,000 85,454
Allied Domecq P.L.C.................................. 140,000 1,256,026
Anglian Water P.L.C.................................. 174,300 2,391,880
Antofagasta Holdings P.L.C........................... 38,000 232,083
Arjo Wiggins Appleton P.L.C.......................... 659,100 1,887,779
Associated British Foods P.L.C....................... 733,200 6,750,929
Associated British Ports Holdings P.L.C.............. 369,200 1,747,910
BAA P.L.C............................................ 1,005,676 8,463,393
BG P.L.C............................................. 2,574,617 12,015,544
BICC P.L.C........................................... 134,750 346,218
Barclays P.L.C....................................... 664,025 16,009,398
Bardon Group P.L.C................................... 1,015,384 872,472
Barratt Developments P.L.C........................... 222,000 923,849
Bass P.L.C........................................... 672,000 9,595,330
Beazer Group P.L.C................................... 157,257 437,164
Berkeley Group P.L.C................................. 78,622 888,828
Booker P.L.C......................................... 215,000 1,122,926
British Airways P.L.C................................ 62,000 572,953
British Land Co. P.L.C............................... 456,746 5,044,271
British Steel P.L.C.................................. 1,575,000 3,675,202
British Telecommunications P.L.C..................... 3,087,096 23,613,313
British Vita P.L.C................................... 212,300 876,329
Brixton Estate P.L.C................................. 224,700 834,762
Bryant Group P.L.C................................... 224,555 433,191
Burford Holdings P.L.C............................... 337,000 607,526
Burton Group P.L.C................................... 460,700 1,152,645
Capital Shopping Centres P.L.C....................... 381,375 2,663,347
*Centrica P.L.C...................................... 2,862,900 4,172,278
Chelsfield P.L.C..................................... 227,800 1,352,894
Christies International P.L.C........................ 41,000 159,223
Coats Viyella P.L.C.................................. 674,730 1,153,844
Commercial Union P.L.C............................... 658,591 9,126,466
Courtaulds P.L.C..................................... 40,000 184,992
Delta P.L.C.......................................... 143,000 631,231
Energy Group P.L.C................................... 18,200 194,867
English China Clays P.L.C............................ 249,062 1,082,625
First Leisure Corp. P.L.C............................ 127,900 564,576
General Accident P.L.C............................... 464,500 7,661,598
*Grantchester Holdings P.L.C......................... 12,930 35,182
Great Portland Estates P.L.C......................... 197,275 827,604
Great Universal Stores P.L.C......................... 814,600 9,565,950
Greenalls Group P.L.C................................ 283,846 1,817,261
*Greene King P.L.C................................... 59,000 648,113
Guardian Royal Exchange P.L.C........................ 877,661 4,391,715
Guinness P.L.C....................................... 85,000 772,612
Hambros P.L.C........................................ 107,954 459,252
Hanson P.L.C......................................... 624,950 3,164,031
Hardy Oil & Gas P.L.C................................ 74,000 349,716
Harrisons & Crosfield P.L.C.......................... 688,000 1,367,796
Highland Distilleries Co. P.L.C...................... 106,000 558,093
Hillsdown Holdings P.L.C............................. 477,593 1,247,213
House of Fraser P.L.C................................ 140,000 489,437
Hyder P.L.C.......................................... 95,341 1,511,542
Ibstock P.L.C........................................ 150,000 133,942
Imperial Chemical Industries P.L.C................... 637,700 9,293,589
Inchcape P.L.C....................................... 508,000 1,805,914
Kwik Save Group P.L.C................................ 141,551 739,308
</TABLE>
203
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Ladbroke Group P.L.C................................. 954,288 $ 4,369,180
Laird Group P.L.C.................................... 92,400 665,517
Lasmo P.L.C.......................................... 613,035 2,724,135
Lex Service P.L.C.................................... 109,433 802,948
London & Manchester Group P.L.C...................... 98,000 840,417
Lonrho P.L.C......................................... 752,930 1,148,032
Marley P.L.C......................................... 216,232 367,953
Mersey Docks & Harbour Co. P.L.C..................... 37,610 266,136
Meyer International P.L.C............................ 101,097 654,064
Mirror Group P.L.C................................... 403,000 1,290,059
National Westminster Bank P.L.C...................... 1,159,229 17,489,837
Peel Holdings P.L.C.................................. 32,500 338,120
Persimmon P.L.C...................................... 162,000 584,090
Pilkington P.L.C..................................... 995,666 2,155,598
Powell Duffryn P.L.C................................. 47,037 369,694
Powergen P.L.C....................................... 438,132 5,654,376
Premier Consolidated Oilfields P.L.C................. 988,414 907,583
RJB Mining P.L.C..................................... 100,000 269,570
RMC Group P.L.C...................................... 223,000 3,422,742
Racal Electronics P.L.C.............................. 274,000 1,008,679
Rank Group P.L.C..................................... 749,000 4,369,407
Redland P.L.C........................................ 417,095 2,406,836
Rio Tinto P.L.C...................................... 64,300 781,083
Rolls-Royce P.L.C.................................... 311,956 1,244,326
Royal & Sun Alliance Insurance Group, Inc. P.L.C..... 1,470,779 13,443,059
Rugby Group P.L.C.................................... 417,000 874,694
Safeway P.L.C........................................ 716,577 3,896,548
Sainsbury (J.) P.L.C................................. 942,006 7,733,150
Scottish & Newcastle P.L.C........................... 117,600 1,383,964
Scottish Hydro-Electric P.L.C........................ 374,000 2,952,107
Sears P.L.C.......................................... 1,466,100 1,210,349
Severn Trent P.L.C................................... 240,597 3,814,440
Shell Transport & Trading Co., P.L.C................. 2,222,545 15,231,022
Slough Estates P.L.C................................. 376,100 2,195,622
Smith (David S.) Holdings P.L.C...................... 298,000 1,001,636
South West Water P.L.C............................... 83,253 1,258,883
Stakis P.L.C......................................... 733,194 1,222,940
Storehouse P.L.C..................................... 405,000 1,654,694
T & N P.L.C.......................................... 352,635 1,485,307
Tarmac P.L.C......................................... 894,395 1,740,453
Tate & Lyle P.L.C.................................... 70,000 554,302
Taylor Woodrow P.L.C................................. 382,652 1,121,771
*Telewest Communications P.L.C....................... 715,000 831,201
Tesco P.L.C.......................................... 1,412,941 11,367,065
Thames Water P.L.C................................... 260,611 3,978,065
Thistle Hotels P.L.C................................. 306,000 811,994
Unigate P.L.C........................................ 229,400 2,235,876
Unilever P.L.C....................................... 2,118,000 16,744,846
United Assurance Group P.L.C......................... 331,000 2,880,376
United Biscuits Holdings P.L.C....................... 508,963 1,822,200
United Utilities P.L.C............................... 362,528 4,648,118
Vaux Group P.L.C..................................... 87,094 374,179
Wessex Water P.L.C................................... 142,021 1,161,697
Whitbread P.L.C...................................... 469,600 6,681,572
Wilson (Connolly) Holdings P.L.C..................... 128,000 361,223
Wilson Bowden P.L.C.................................. 89,200 785,239
Wimpey (George) P.L.C................................ 236,750 432,783
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Wolverhampton & Dudley Breweries P.L.C............... 42,700 $ 329,851
Yorkshire Water P.L.C................................ 243,045 2,010,570
---------------
TOTAL COMMON STOCKS
(Cost $261,899,028).................................. 355,939,282
---------------
INVESTMENT IN CURRENCY -- (0.1%)
*British Pound Sterling (Cost $1,692,497)............ 1,697,215
---------------
PREFERRED STOCKS -- (0.0%)
Hyder P.L.C.
(Cost $111,389).................................... 76,860 149,890
---------------
RIGHTS/WARRANTS -- (0.0%)
*Meyer International P.L.C. Rights
(Cost $0).......................................... 25,274 6,387
---------------
TOTAL -- UNITED KINGDOM
(Cost $263,702,914).................................. 357,792,774
---------------
GERMANY -- (9.8%)
COMMON STOCKS -- (9.8%)
*AGIV AG fuer Industrie & Verkehrswesen.............. 57,800 1,186,259
*Ava Allgemeine Handelsgesellschaft der Verbraucher
AG, Bielefeld...................................... 3,700 891,526
#BASF AG............................................. 607,450 21,490,098
BHF Bank AG.......................................... 109,700 3,187,453
Bankgesellschaft Berlin AG........................... 222,000 4,726,136
Bayer AG............................................. 68,900 2,549,624
#Bayerische Hypotheken und Wechselbank AG............ 303,300 13,154,584
#Bayerische Vereinsbank AG........................... 278,450 16,536,535
#Berliner Kraft & Licht Bewag AG..................... 88,800 2,177,421
Bilfinger & Berger Bau AG, Mannheim.................. 45,700 1,681,528
#Commerzbank AG...................................... 359,450 12,492,295
Continental AG....................................... 20,000 506,285
DBV-Winterthur Holding AG, Wiesbaden................. 4,400 1,372,014
*Deutsche Babcock AG, Oberhausen..................... 2,500 126,571
Deutsche Bank AG..................................... 277,700 17,806,631
Deutsche Hypothekenbank Frankfurt AG................. 300 168,384
Deutsche Lufthansa AG................................ 254,700 4,837,456
Deutsche Pfandbrief und Hypothekenbank AG, Depfa..... 45,700 2,590,953
Deutsche Telekom AG.................................. 137,600 2,788,931
#Dresdner Bank AG, Frankfurt......................... 387,000 15,007,569
Dyckerhoff AG........................................ 2,275 677,149
*Energie Baden-Wuerttemberg AG....................... 40,520 1,229,041
Hochtief AG.......................................... 77,400 3,203,370
*Holzmann (Philipp) AG............................... 6,200 1,715,358
IVG Holding AG....................................... 2,100 60,720
#Karstadt AG......................................... 8,350 2,901,952
Linde AG............................................. 2,000 1,246,152
#Man AG, Muechen..................................... 14,000 4,167,068
Merck KGAA........................................... 30,300 1,102,861
Preussag AG.......................................... 2,000 572,051
*Ruetgerswerke AG.................................... 467 77,973
Schmalbach-Lubeca AG................................. 1,370 256,706
#Siemens AG.......................................... 58,000 3,405,033
Thuega AG............................................ 267 70,844
</TABLE>
204
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Thyssen Industrie AG Essen........................... 3,000 $ 569,783
Vereins & Westbank AG................................ 5,096 1,196,115
Viag AG.............................................. 4,900 2,489,684
Volkswagen AG........................................ 7,000 3,968,636
---------------
TOTAL COMMON STOCKS
(Cost $118,297,250).................................. 154,188,749
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $132,314)........................ 130,420
---------------
TOTAL -- GERMANY
(Cost $118,429,564).................................. 154,319,169
---------------
SWITZERLAND -- (7.8%)
COMMON STOCKS -- (7.7%)
*Ascom Holding AG, Bern.............................. 600 785,725
*Baloise-Holding, Basel.............................. 7,888 14,053,209
Banca del Gotthard................................... 640 363,613
Banque Cantonale Vaudois............................. 5,795 1,711,238
Bobst SA, Prilly..................................... 2,022 2,978,347
Credit Suisse Holding, Zuerich (Namen)............... 112,000 16,399,077
Danzas Holding AG.................................... 7,260 1,522,589
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg......................................... 3,173 666,564
Financiere Richemont AG Units -A-.................... 1,320 1,467,500
Fischer (Georg) AG, Schaffhausen..................... 2,272 2,921,095
Fischer (Georg) AG, Schaffhausen (Namen)............. 1,327 353,695
Forbo Holding AG, Eglisau............................ 6,081 2,435,488
Jelmoli Holding AG, Zuerich.......................... 500 438,384
Julius Baer Holding AG, Zuerich...................... 2,386 3,891,063
Oerlikon-Buehrle Holding AG, Zuerich................. 44,781 6,384,094
Pargesa Holding SA, Geneve........................... 1,935 2,429,455
Pirelli SA, Basel.................................... 3,600 757,528
Rieter Holding AG, Winterthur........................ 5,000 2,184,907
Roche Holding AG, Basel.............................. 464 7,062,405
SBG (Schweizerische Bankgesellschaft)................ 5,658 7,203,018
*SBV (Schweizerischer Bankverein) (Namen)............ 66,000 18,933,990
SIG (Schweizerische Industrie Gesellschaft Holding
AG), Neuhausen am Rheinfall........................ 840 2,179,997
SIG (Schweizerische Industrie Gesellschaft Holding
AG), Neuhausen am Rheinfall (Namen)................ 1,343 1,733,280
*Saurer AG, Arbon.................................... 6,027 4,409,206
Schindler Holding AG, Hergiswil...................... 1,829 2,078,278
Schweizerische National Versicherungs Gesellschaft,
Basel.............................................. 1,106 2,497,962
Sulzer AG, Winterthur................................ 6,000 3,977,022
*Swissair Schweizerische Luftverkehr AG, Zuerich..... 6,438 8,435,343
UBS (Union Bank of Switzerland)...................... 4,275 1,083,975
*Von Roll Holding AG, Gerlafingen.................... 15,045 297,589
---------------
TOTAL COMMON STOCKS
(Cost $88,319,539)................................... 121,635,636
---------------
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.1%)
*Swiss Francs (Cost $2,108,134)...................... $ 2,081,693
---------------
TOTAL -- SWITZERLAND
(Cost $90,427,673)................................... 123,717,329
---------------
FRANCE -- (7.8%)
COMMON STOCKS -- (7.7%)
#AGF (Assurances Generales de France SA)............. 100,156 5,695,338
AXA-UAP.............................................. 70,000 5,059,549
Accor SA............................................. 5,592 1,060,905
Banque Nationale de Paris............................ 191,044 9,323,261
Bongrain SA.......................................... 1,463 612,114
Bouygues............................................. 13,179 1,348,375
CPR (Cie Parisienne de Reescompte)................... 16,385 1,298,923
*Centrale du Groupe des Assurances Nationales SA..... 106,860 2,507,010
#Christian Dior SA................................... 21,100 2,112,327
Ciments Vicat........................................ 800 67,756
*Club Mediterranee SA................................ 10,000 748,710
Colas SA............................................. 4,250 622,005
Credit Commercial de France.......................... 13,391 793,685
Credit National...................................... 8,144 479,108
ECIA (Equipements et Composants pour l'Industrie
Automobile)........................................ 3,000 467,520
Elf Aquitaine........................................ 140,000 16,126,054
Eridania Beghin-Say SA............................... 18,900 2,938,973
Esso SA.............................................. 8,476 684,858
*Euro Disney SCA..................................... 551,700 733,608
Financiere de Paribas SA Series A.................... 90,572 6,517,329
Fromageries Bel la Vache qui Rit..................... 75 53,358
GTM Entrepose........................................ 21,077 1,392,402
Groupe Danone........................................ 42,500 6,803,179
Imetal............................................... 1,900 226,578
LaFarge Coppee SA.................................... 68,857 4,515,049
Labinal SA........................................... 3,200 813,078
Lyonnais des Eaux SA................................. 57,442 6,207,853
Pechiney International............................... 26,150 507,630
Pechiney SA Series A................................. 10,100 395,378
Pernod-Ricard........................................ 26,000 1,316,408
Peugeot SA........................................... 36,550 4,179,096
Rallye SA............................................ 14,220 602,186
Remy Cointreau SA.................................... 27,400 431,643
#Rhone-Poulenc SA Series A........................... 176,126 7,792,697
#Saint-Gobain........................................ 64,336 8,631,185
#Societe Generale Paris.............................. 68,532 8,950,328
Sommer-Allibert SA................................... 13,500 436,776
Sophia SA............................................ 7,700 297,383
Thomson-CSF.......................................... 87,203 2,522,961
Total SA............................................. 40,000 4,167,027
Union Assurances Federales SA........................ 900 108,698
Usinor............................................... 31,600 492,454
*#Worms et Compagnie SA.............................. 20,800 1,620,736
---------------
TOTAL COMMON STOCKS
(Cost $101,460,699).................................. 121,661,491
---------------
INVESTMENT IN CURRENCY -- (0.1%)
*French Francs (Cost $1,327,081)..................... 1,310,316
---------------
TOTAL -- FRANCE
(Cost $102,787,780).................................. 122,971,807
---------------
</TABLE>
205
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
NETHERLANDS -- (5.6%)
COMMON STOCKS -- (5.6%)
ABN Amro Holding NV.................................. 1,252,433 $ 23,877,467
Bijenkorf Beheer KBB NV, Amsterdam................... 10,508 663,374
DSM NV............................................... 31,453 2,879,572
Fortis Amev NV....................................... 270,197 11,172,411
Gist-Brocades NV..................................... 38,304 982,673
Hollandsche Beton Groep NV........................... 30,360 549,793
Ing Groep NV......................................... 723,113 29,390,845
KLM (Koninklijke Luchtvaart Mij NV).................. 76,540 2,752,891
Koninklijke Hoogovens NV............................. 32,448 1,465,746
Koninklijke KNP BT................................... 97,300 2,085,052
Nationale Investeringsbank NV Series A............... 9,018 992,549
Nedlloyd Groep NV, Rotterdam......................... 21,000 482,759
Pakhoed NV........................................... 37,037 1,006,061
Philips Electronics NV............................... 110,000 7,265,273
Stad Rotterdam....................................... 39,899 2,051,197
Stork NV............................................. 26,848 988,593
---------------
TOTAL COMMON STOCKS
(Cost $59,680,710)................................... 88,606,256
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $33,981).................. 33,485
---------------
TOTAL -- NETHERLANDS
(Cost $59,714,691)................................... 88,639,741
---------------
ITALY -- (4.0%)
COMMON STOCKS -- (3.9%)
#Banca Commerciale Italiana SpA...................... 3,765,000 10,763,055
*#Banca di Roma...................................... 7,168,500 5,915,500
*#CIR SpA (Cie Industriale Riunite), Torino.......... 885,000 682,168
#Cartiere Burgo SpA.................................. 235,000 1,373,513
Cia Assicuratrice Unipol SpA......................... 116,134 342,747
Credito Italiano..................................... 2,030,000 5,532,999
#Fiat SpA............................................ 3,967,399 11,456,450
*Finmeccanica SpA.................................... 2,070,000 966,691
#Ifil Finanziaria Partecipazioni SpA, Torino......... 907,000 3,351,289
*#Ing C.Olivetti & C SpA, Ivrea...................... 4,836,016 2,711,784
#Istituto Bancario San Paolo Torino SpA.............. 1,003,500 8,263,536
#Italcementi Fabbriche Riunite Cemento SpA,
Bergamo............................................ 364,000 2,323,381
Italmobiliare SpA, Milano............................ 14,330 254,582
Magneti Marelli SpA.................................. 700,000 1,134,226
Milano Assicurazioni SpA............................. 49,520 149,874
#Montedison SpA...................................... 5,375,000 4,416,828
Sirti SpA............................................ 25,000 150,025
Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA......................................... 129,500 1,596,221
---------------
TOTAL COMMON STOCKS
(Cost $53,820,158)................................... 61,384,869
---------------
INVESTMENT IN CURRENCY -- (0.1%)
*Italian Lira (Cost $1,695,258)...................... 1,671,485
---------------
TOTAL -- ITALY
(Cost $55,515,416)................................... 63,056,354
---------------
HONG KONG -- (2.9%)
COMMON STOCKS -- (2.7%)
#Amoy Properties, Ltd................................ 3,610,000 3,105,511
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Chinese Estates Holdings, Ltd........................ 2,675,131 $ 1,280,416
*Evergo China Holdings, Ltd.......................... 285,280 14,024
#Great Eagle Holdings, Ltd........................... 569,680 854,856
HKR International, Ltd............................... 1,077,384 871,073
Hang Lung Development Co., Ltd....................... 1,836,000 2,790,710
#Hongkong & Shanghai Hotels, Ltd..................... 1,612,624 1,387,263
#Hopewell Holdings, Ltd.............................. 6,044,000 1,602,812
#Hysan Development Co., Ltd.......................... 1,418,000 2,843,231
Kerry Properties, Ltd................................ 580,000 975,384
Miramar Hotel & Investment Co., Ltd.................. 600,000 1,024,541
New World Development Co. Ltd........................ 1,240,739 4,598,427
#Paliburg Holdings, Ltd.............................. 2,310,625 1,688,815
Realty Development Corp., Ltd. Series A.............. 213,000 596,543
#Regal Hotels International Holdings, Ltd............ 4,988,179 825,955
#Shangri-la Asia, Ltd................................ 2,180,000 1,692,045
Sino Hotels (Holdings), Ltd.......................... 543,653 132,919
#Sino Land Co., Ltd.................................. 4,169,200 2,400,032
Swire Pacific, Ltd. Series A......................... 617,500 3,091,378
Tsim Sha Tsui Properties, Ltd........................ 1,174,000 1,571,856
Wharf Holdings, Ltd.................................. 3,166,000 6,450,534
#Wheelock and Co., Ltd............................... 2,795,000 3,145,613
---------------
TOTAL COMMON STOCKS
(Cost $59,918,462)................................... 42,943,938
---------------
INVESTMENT IN CURRENCY -- (0.2%)
*Hong Kong Dollars (Cost $3,428,344)................. 3,426,913
---------------
RIGHTS/WARRANTS -- (0.0%)
*Century City International Holdings, Ltd. Warrants
12/31/98........................................... 159,165 5,147
*Great Eagle Holdings, Ltd. Warrants 11/30/98........ 113,936 41,269
---------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 46,416
---------------
TOTAL -- HONG KONG
(Cost $63,346,806)................................... 46,417,267
---------------
SPAIN -- (2.9%)
COMMON STOCKS -- (2.9%)
Autopistas Concesionaria Espanola SA................. 57,600 768,644
Autopistas del Mare Nostrum SA....................... 65,000 1,050,461
#Banco Central Hispanoamericano SA, Madrid........... 364,000 6,944,376
Compania Espanola de Petroleos SA, Madrid............ 14,000 424,342
Corporacion Mapfre Compania Internacional de
Reaseguros SA, Majadahonda......................... 7,200 348,593
Cristaleria Espanola SA, Madrid...................... 3,100 229,914
DRACONSA (Dragados y Construcciones SA).............. 133,189 2,804,449
Ebro Agricolas Compania de Alimentacion SA........... 111,600 1,979,427
#FESCA (Fuerzas Electricas de Cataluna SA) Series
A.................................................. 360,334 3,225,790
Hidroelectrica del Cantabrico SA, Oviedo............. 10,000 460,017
Iberdrola SA......................................... 1,070,000 13,704,610
Metrovacesa (Inmobiliaria Metropolitana Vasco
Central)........................................... 42,840 1,847,183
</TABLE>
206
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
Sevillana de Electricidad SA......................... 420,719 $ 4,133,132
#Union Electrica Fenosa SA........................... 460,900 4,605,137
Uralita SA........................................... 24,500 285,046
Vallehermoso SA...................................... 80,000 2,349,707
---------------
TOTAL COMMON STOCKS
(Cost $33,946,673)................................... 45,160,828
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $36,987)....................... 36,774
---------------
TOTAL -- SPAIN
(Cost $33,983,660)................................... 45,197,602
---------------
AUSTRALIA -- (2.8%)
COMMON STOCKS -- (2.7%)
#Amcor, Ltd.......................................... 505,844 2,267,070
Australian National Industries, Ltd.................. 575,169 515,554
#Boral, Ltd.......................................... 929,700 2,353,703
#Burns, Philp & Co., Ltd............................. 424,311 87,099
#CSR, Ltd............................................ 842,897 2,768,362
#Commonwealth Bank of Australia...................... 358,842 4,260,248
#Email, Ltd.......................................... 214,213 473,430
#Fosters Brewing Group, Ltd.......................... 1,570,209 2,911,614
#GIO Australia Holdings, Ltd......................... 479,702 1,161,935
#Goodman Fielder, Ltd................................ 627,341 944,351
MIM Holdings......................................... 1,321,990 958,829
News Corp., Ltd...................................... 1,162,360 6,219,487
North, Ltd........................................... 297,538 764,468
Pacific Dunlop, Ltd.................................. 506,319 1,039,328
Pioneer International, Ltd........................... 385,982 1,016,798
#Publishing and Broadcasting, Ltd.................... 176,912 1,004,714
Qantas Airways, Ltd.................................. 383,458 705,793
Rio Tinto, Ltd....................................... 320,562 3,531,385
Stockland Trust Group Units.......................... 146,873 361,585
Village Roadshow, Ltd................................ 45,752 110,194
WMC, Ltd............................................. 447,934 1,435,922
Weston (George) Foods, Ltd........................... 42,444 266,894
#Westpac Banking Corp................................ 1,299,377 8,170,673
---------------
TOTAL COMMON STOCKS
(Cost $43,956,056)................................... 43,329,436
---------------
INVESTMENT IN CURRENCY -- (0.1%)
*Australian Dollar (Cost $776,839)................... 779,001
---------------
TOTAL -- AUSTRALIA
(Cost $44,732,895)................................... 44,108,437
---------------
SWEDEN -- (2.7%)
COMMON STOCKS -- (2.7%)
Avesta Sheffield AB.................................. 97,900 697,386
*Diligentia AB....................................... 50,770 650,983
Electrolux AB Series B............................... 8,900 699,691
*Graenges AB......................................... 4,450 70,891
Gullspangs Kraft AB Series B......................... 22,800 369,124
Kinnevik Industrifoervaltnings AB Series A........... 3,200 58,024
#Kinnevik Industrifoervaltnings AB Series B.......... 34,600 667,713
Mo Och Domsjoe AB Series A........................... 6,300 181,959
Mo Och Domsjoe AB Series B........................... 64,200 1,808,514
*Modern Times Group AB Series A...................... 3,200 19,894
*Modern Times Group AB Series B...................... 11,500 72,983
NCC AB Series A...................................... 45,400 499,807
NCC AB Series B...................................... 73,600 815,026
Naeckebro AB......................................... 21,630 291,352
SSAB Swedish Steel Series A.......................... 92,700 1,596,831
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
SSAB Swedish Steel Series B.......................... 33,300 $ 569,306
Skandinaviska Enskilda Banken Series A............... 496,200 5,880,380
Skandinaviska Enskilda Banken Series C............... 23,700 259,378
Stora Kopparbergs Bergslags AB Series A.............. 259,100 3,456,465
Stora Kopparbergs Bergslags AB Series B.............. 57,600 764,670
Svenska Cellulosa AB Series A........................ 57,000 1,269,787
Svenska Cellulosa AB Series B........................ 186,800 4,137,143
Svenska Handelsbanken Series A....................... 200,300 7,069,278
Svenska Handelsbanken Series B....................... 20,000 652,767
Svenska Kullagerfabriken AB
Series A........................................... 14,600 326,189
Svenska Kullagerfabriken AB
Series B........................................... 5,500 128,222
Sydkraft AB Series C................................. 8,800 192,618
Trelleborg AB Series B............................... 109,700 1,534,468
Trygg Hansa AB Series B.............................. 42,700 1,324,527
Volvo AB Series A.................................... 85,900 2,280,734
Volvo AB Series B.................................... 187,800 4,986,284
---------------
TOTAL COMMON STOCKS
(Cost $30,931,988)................................... 43,332,394
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $746)........................... 727
---------------
TOTAL -- SWEDEN
(Cost $30,932,734)................................... 43,333,121
---------------
BELGIUM -- (1.3%)
COMMON STOCKS -- (1.3%)
Ackermans & Van Haaren SA............................ 2,500 621,736
Banque Bruxelles Lambert VVPR........................ 128 4
Bekaert SA........................................... 2,500 1,554,341
Electrabel SA........................................ 4,600 1,028,963
#Electrafina SA...................................... 8,000 746,359
Generale de Banque SA................................ 12,030 4,975,306
Generale de Banque SA VVPR........................... 630 173
Generale de Belgique SA.............................. 19,080 1,780,065
Glaverbel SA......................................... 11,312 1,635,095
Glaverbel SA VVPR.................................... 22 1
Groupe Bruxelles Lambert SA, Bruxelles............... 6,300 953,915
Nationale a Portefeuille............................. 4,700 303,517
Sofina SA............................................ 500 336,287
Solvay SA............................................ 62,790 3,770,159
Tractabel (Cie Reunies Electrobel et Tractionel
SA)................................................ 16,915 1,452,579
*Union Miniere SA.................................... 20,400 1,468,754
---------------
TOTAL COMMON STOCKS
(Cost $17,859,485)................................... 20,627,254
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $123,308)...................... 121,437
---------------
TOTAL -- BELGIUM
(Cost $17,982,793)................................... 20,748,691
---------------
DENMARK -- (1.2%)
COMMON STOCKS -- (1.2%)
Bikuben Girobank A.S................................. 32,497 2,105,377
Den Danske Bank A.S.................................. 44,140 5,246,051
Forsikringsselskabet Codan A.S....................... 7,662 1,049,850
Jyske Bank A.S....................................... 9,990 1,060,846
</TABLE>
207
<PAGE>
THE DFA INTERNATIONAL VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
#Tele Danmark A.S. Series B.......................... 70,184 $ 4,202,053
Tryg Baltica Forsikring A.S.......................... 22,422 1,332,430
Unidanmark A.S. Series A............................. 51,864 3,669,078
---------------
TOTAL COMMON STOCKS
(Cost $16,803,513)................................... 18,665,685
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Denmark Krone (Cost $342)........................... 342
---------------
TOTAL -- DENMARK
(Cost $16,803,855)................................... 18,666,027
---------------
MALAYSIA -- (0.9%)
COMMON STOCKS -- (0.8%)
AMMB Holdings Berhad................................. 147,600 126,981
Berjaya Group Berhad................................. 1,302,500 455,180
Berjaya Industrial Berhad............................ 691,000 148,451
Berjaya Leisure Berhad............................... 235,000 189,156
Commerce Asset Holding Berhad........................ 759,000 408,738
Genting Berhad....................................... 750,000 1,729,427
Golden Hope Plantations Berhad....................... 1,087,000 1,245,474
Hap Seng Consolidated Berhad......................... 120,000 167,744
Highlands & Lowlands Berhad.......................... 607,000 664,197
Hong Leong Credit Berhad............................. 309,000 269,077
Hong Leong Industries Berhad......................... 144,000 177,368
IOI Corp. Berhad..................................... 436,000 222,306
Kuala Lumpur Kepong Berhad........................... 677,000 1,483,526
Malaysian Airlines System............................ 987,000 729,427
Malaysian Resources Corp. Berhad..................... 332,000 133,141
Mulpha International Berhad.......................... 1,291,250 247,817
Perlis Plantations Berhad............................ 380,000 761,951
Renong Berhad........................................ 1,008,000 519,731
Sime Darby Berhad (Malaysia)......................... 846,000 848,171
Southern Bank Berhad (Foreign)....................... 195,000 101,102
*Southern Bank Berhad (Foreign) Issue 97............. 97,500 49,992
Telekom Malaysia Berhad.............................. 339,000 757,425
Tenaga Nasional Berhad............................... 774,000 1,441,118
---------------
TOTAL COMMON STOCKS
(Cost $27,260,071)................................... 12,877,500
---------------
INVESTMENT IN CURRENCY -- (0.1%)
*Malaysian Ringetts (Cost $1,689,250)................ 1,609,065
---------------
TOTAL -- MALAYSIA
(Cost $28,949,321)................................... 14,486,565
---------------
SINGAPORE -- (0.8%)
COMMON STOCKS -- (0.7%)
First Capital Corp., Ltd............................. 580,000 655,561
Fraser & Neave, Ltd.................................. 272,000 1,357,839
Industrial & Commercial Bank, Ltd.................... 13,000 31,836
#Keppel Corp., Ltd................................... 178,000 603,568
Sembawang Corp., Ltd................................. 107,000 356,100
#Singapore Airlines, Ltd. (Foreign).................. 40,000 261,220
Singapore Land, Ltd.................................. 1,027,000 3,018,066
Straits Steamship Land, Ltd.......................... 1,891,000 2,992,295
Straits Trading Co., Ltd............................. 552,000 790,290
United Industrial Corp., Ltd......................... 3,443,000 1,621,476
---------------
TOTAL COMMON STOCKS
(Cost $19,835,479)................................... 11,688,251
---------------
<CAPTION>
SHARES VALUE+
------------- ---------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.1%)
*Singapore Dollars (Cost $1,357,204)................. $ 1,347,629
---------------
TOTAL -- SINGAPORE
(Cost $21,192,683)................................... 13,035,880
---------------
NORWAY -- (0.2%)
COMMON STOCKS -- (0.2%)
Den Norske Bank ASA Series A......................... 354,517 1,503,492
Elkem ASA............................................ 12,812 183,493
Kvaerner ASA......................................... 23,336 1,151,911
#Norske Skogindustrier ASA Series A.................. 11,793 357,474
---------------
TOTAL COMMON STOCKS
(Cost $3,350,102).................................... 3,196,370
---------------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone (Cost $63).......................... 62
---------------
TOTAL -- NORWAY
(Cost $3,350,165).................................... 3,196,432
---------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT
-------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/10/97 (Collateralized by U.S. Treasury Notes
8.50%, 11/15/00, valued at $6,485,450) to be
repurchased at $6,390,901 (Cost $6,388,000)........ $ 6,388 6,388,000
---------------
TOTAL INVESTMENTS -- (100.9%) (Cost
$1,602,155,186)++.................................... 1,596,084,448
---------------
OTHER ASSETS AND LIABILITIES -- (-0.9%)
Other Assets......................................... 5,759,595
Payable for Investment Securities Purchased.......... (19,102,780)
Payable for Fund Shares Redeemed..................... (145,432)
Other Liabilities.................................... (509,718)
---------------
(13,998,335)
---------------
NET ASSETS -- (100.0%) Applicable to 145,202,648
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $ 1,582,086,113
---------------
---------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.90
---------------
---------------
- --------------------
+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.
208
<PAGE>
THE EMERGING MARKETS SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
TURKEY -- (13.7%)
COMMON STOCKS -- (13.7%)
Akbank................................................ 44,605,001 $ 2,907,460
Akcansa Cimento Sanayi ve Ticaret SA.................. 1,292,130 224,598
Aksa.................................................. 5,331,354 415,650
Aksigorta A.S......................................... 5,616,000 301,465
Alarko Holding........................................ 1,163,620 237,953
Alarko Sanayii ve Ticaret A.S......................... 1,093,333 93,624
Arcelik A.S........................................... 10,279,104 906,493
Aygaz................................................. 1,946,480 293,557
Bekoteknik Sanayi A.S................................. 3,352,872 197,122
Bossa Ticaret ve Sanayi Isletmeleri A.S............... 4,312,500 79,369
Brisa Bridgestone Sanbanci Lastik San & Tic A.S....... 1,116,000 564,832
CIMSA A.S. (Cimento Sanayi ve Ticaret)................ 985,000 173,730
Cimentas A.S.......................................... 414,813 50,366
Cukurova Elektrik A.S................................. 518,000 993,073
Dogan Sirketler Grubu Holdings A.S.................... 9,472,050 358,340
Doktas................................................ 54,400 15,852
EGE Biracilik ve Malt Sanayii A.S..................... 4,371,408 446,963
*Eczacibasi Ilac...................................... 2,130,940 99,136
Enka Holding.......................................... 649,996 515,065
Erciyas Biracilik..................................... 3,127,160 463,626
Eregli Demir ve Celik Fabrikalari Turk A.S............ 6,353,000 844,447
Es Kisehir Bankasi Esbank............................. 10,018,747 71,707
Good Year Lastikleri A.S.............................. 586,000 248,654
Guney Biracilik....................................... 1,004,640 69,337
Hurriyet Gazette...................................... 1,382,000 236,686
*Ihlas Holding........................................ 3,025,057 487,152
*Izmir Demir Celik.................................... 4,092,600 43,938
Kartonsan............................................. 1,417,500 79,714
Koc Holding A.S....................................... 14,939,998 3,551,595
Kordsa Kord Bezi Sanayi ve Ticaret A.S................ 2,170,000 160,860
Migros Turk A.S....................................... 960,225 908,165
*Netas Northern Electric Telekomunikasyon A.S......... 1,254,000 493,638
Otosan Otomobil A.S................................... 1,389,000 1,082,909
Peg Profilo A.S....................................... 4,561,497 239,029
Raks Elektroniks A.S.................................. 307,000 76,120
Sarkuysan Elektrolitik Bakir Sanayi A.S............... 794,000 75,095
*T. Tuborg Bira ve Malt Sanayi A.S.................... 390,000 7,876
Tat Konserve.......................................... 2,252,495 115,155
Teletas Telekomunikasyon Endustri Ticaret A.S......... 1,400,000 178,932
Tofas Turk Otomobil Fabrikasi A.S..................... 13,341,375 733,211
Trakya Cam Sanayii A.S................................ 8,084,792 557,985
Turcas Petrolculuk A.S................................ 4,884,018 114,856
Turk Demir Dokum...................................... 2,522,491 180,542
Turk Siemens Kablo ve Elektrik Sanayi A.S............. 997,500 82,868
*Turk Sise Cam........................................ 11,047,772 790,720
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Turkiye Garanti Bankasi A.S........................... 39,924,442 $ 2,143,128
Turkiye Is Bankasi A.S. Series C...................... 49,851,000 5,415,678
USAS (Ucak Servisi A.S.).............................. 59,500 138,404
Yapi ve Kredi Bankasi A.S............................. 61,281,968 1,911,096
------------
TOTAL -- TURKEY
(Cost $16,080,991)................................... 30,377,771
------------
PORTUGAL -- (11.7%)
COMMON STOCKS -- (11.7%)
BCP (Banco Comercial Portugues SA).................... 174,539 3,680,417
Banco Espirito Santo e Commercial de Lisboa........... 115,000 3,234,753
Banco Pinto & Sotto Mayor SA.......................... 129,900 1,758,814
Banco Totta & Acores SA............................... 70,500 1,330,115
Cimpor Cimentos de Portugal SA........................ 28,685 726,476
*Companhia de Seguros Mundial Confianca SA............ 64,600 1,080,789
Companhia de Seguros Tranquilidade SA................. 28,400 669,774
Companhia Geral de Credito Predial Portugues SA....... 16,585 163,356
Corticeira Amorim Sociedad Gestora Participacoes
Sociais SA.......................................... 20,700 235,475
*Credito Predial -- New Shares........................ 1,658 15,644
EFACEC (Empresa Fabril de Maquinas Electricas)........ 17,600 122,568
Engil Sociedade Gestora de Participacoes Sociais SA... 21,000 225,953
*Filmes Lusomundo SA.................................. 8,300 67,704
*Inparsa Industrias e Participacoes S.G.P.S. SA....... 23,250 411,561
*Inparsa Industrias e Participacoes S.G.P.S. SA Em
97.................................................. 5,812 102,890
Investimentos Participacoes e Gestao SA Inapa......... 8,000 266,356
Jeronimo Martins (Estabelecimentos Jeronimo Martins &
Filho Administracao e Participacoes Financeiros
SA)................................................. 32,998 1,042,803
Jeronimo Martins S.G.P.S. SA.......................... 49,497 1,552,669
*Lusotur Sociedad Financeira de Turismo SA............ 5,500 55,577
Mague-Gestao e Participacoes SA....................... 5,200 137,062
Modelo Continente SGPS SA............................. 44,400 1,921,757
Portucel Industrial Empresa Produtora de Celulose
SA.................................................. 59,800 384,265
Portugal Telecom SA................................... 66,928 3,082,527
Salvador Caetano Industrias Metalurgicas e Veiculos de
Transporte SA....................................... 11,164 260,035
*Sociedad Construcoes Soares da Costa SA.............. 9,730 75,590
Sociedade de Investimento e Gestao SGPS SA............ 34,300 761,334
*Sonae Industria-Sociedade Gestora de Participacoes
Sociais SA.......................................... 20,300 287,474
</TABLE>
209
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sonae Investimentos Sociedade Gestora de Participacoes
Sociais SA.......................................... 46,500 $ 1,737,847
Uniceruniao Cervejeira SA............................. 28,200 441,285
------------
TOTAL COMMON STOCKS
(Cost $15,961,697)................................... 25,832,870
------------
RIGHTS/WARRANTS -- (0.0%)
*Inparsa Industrias e Participacoes S.G.P.S. SA Rights
12/09/97
(Cost $0)........................................... 23,250 101,665
------------
TOTAL -- PORTUGAL
(Cost $15,961,697)................................... 25,934,535
------------
ISRAEL -- (11.7%)
COMMON STOCKS -- (11.7%)
*Africa-Israel Investments, Ltd....................... 2,840 185,377
*Africa-Israel Investments, Ltd....................... 155 89,831
Agis Industries (1983), Ltd........................... 21,736 171,975
American Israeli Paper Mills, Ltd..................... 3,291 148,790
Bank Hapoalim B.M..................................... 1,338,174 3,267,030
Bank Leumi Le-Israel.................................. 1,536,374 2,452,857
Bezek, Ltd............................................ 786,446 2,053,372
*Blue Square Chain Stores Properties Investment....... 33,294 302,934
CLAL Electronics Industries, Ltd...................... 4,042 632,819
CLAL Industries, Ltd.................................. 152,265 812,323
CLAL Insurance, Ltd................................... 44,145 471,520
CLAL Israel, Ltd...................................... 3,340,000 953,223
Delek Isreal.......................................... 9,782 344,131
Elbit Medical Imaging................................. 17,319 104,239
Elbit Systems, Ltd.................................... 17,319 215,818
Elbit, Ltd............................................ 17,320 68,273
Elite Industries, Ltd................................. 5,700 153,334
Elron Electronic Industries, Ltd...................... 22,603 338,513
*First International Bank of Israel................... 3,472 443,450
First International Bank of Israel.................... 486 344,366
IDB Bankholding Corp., Ltd............................ 41,821 908,411
IDB Development Corp., Ltd.
Series A............................................ 49,587 1,103,011
*Industrial Building Corp., Ltd....................... 333,000 559,871
Israel Chemicals, Ltd................................. 1,322,800 1,738,097
*Israel Corp. Series A................................ 5,500 427,388
Koor Industries, Ltd.................................. 16,466 1,774,208
*Leumi Holdings Insurance............................. 279,107 175,874
*Makhteshim Chemical Works, Ltd....................... 72,165 509,997
*Matav Cable Israel................................... 19,027 149,466
Osem Investment, Ltd.................................. 85,580 388,369
Property and Building Corp., Ltd...................... 4,269 319,668
Super-Sol, Ltd. Series B.............................. 192,400 540,947
Tadiran, Ltd.......................................... 17,306 672,874
Tambour............................................... 26,898 52,368
Teva Pharmaceutical Industries, Ltd................... 60,410 2,996,653
------------
TOTAL -- ISRAEL
(Cost $21,831,569)................................... 25,871,377
------------
MEXICO -- (11.6%)
COMMON STOCKS -- (11.6%)
*Altos Hornos de Mexico S.A........................... 97,000 234,628
Apasco S.A. de C.V.................................... 69,000 408,007
Carso Global Telecom S.A. de C.V. Telecom Series A1... 192,000 689,846
SHARES VALUE+
------------ ------------
*Cementos de Mexico S.A. de C.V. Series B............. 354,000 $ 1,733,238
Cifra S.A. de C.V. Series A........................... 79,377 154,683
Cifra S.A. de C.V. Series C........................... 799,000 1,527,831
Controladora Comercial Mexicana S.A. de C.V. Series
B................................................... 175,000 187,564
Desc S.A. de C.V. Series B............................ 75,000 710,673
Desc S.A. de C.V. Series C............................ 1,381 12,918
El Puerto de Liverpool S.A. Series C1................. 349,500 463,983
Empresas ICA Sociedad Controladora S.A. de C.V........ 198,000 516,069
*Empresas la Moderna S.A. de C.V. Series A............ 120,000 583,154
Fomento Economico Mexicano S.A. de C.V. Series B...... 135,000 1,108,211
*Gruma S.A. de C.V. Series B.......................... 87,466 356,342
Grupo Carso S.A. de C.V. Series A-1................... 203,000 1,335,115
Grupo Celanese SA Series B-1.......................... 140,000 332,500
*Grupo Financiero Banamex Accival S.A. de C.V. Series
B................................................... 406,000 890,077
*Grupo Financiero Banamex Accival S.A. de C.V. Series
L................................................... 13,187 26,083
*Grupo Financiero Bancomer S.A. de C.V. Series B...... 1,246,380 716,508
*Grupo Financiero Bancomer S.A. de C.V. Series L...... 7,792 3,037
*Grupo Financiero GBM Atlantico S.A. de C.V. Series
B................................................... 30,000 21,923
Grupo Financiero Inbursa-C............................ 239,699 884,581
*Grupo Financiero Santander Mexicano S.A. de C.V.
Series B............................................ 24,757 24,424
*Grupo Financiero Serfin S.A. de C.V. Series B........ 715,102 160,256
*Grupo Gigante S.A. Series B.......................... 341,400 123,911
Grupo Industrial Alfa S.A. Series A................... 150,290 1,133,051
Grupo Industrial Bimbo S.A. de C.V. Series A.......... 98,000 799,705
Grupo Industrial Maseca S.A. de C.V. Series B......... 229,000 235,958
Grupo Mexico S.A. de C.V. Series B.................... 172,000 655,695
Grupo Modelo S.A. de C.V. --
Series C............................................ 78,000 661,200
*Grupo Televisa S.A. (Certificate Representing Series
A, Series D, + Series L)............................ 70,000 1,295,897
Hylsamex S.A. de C.V. Series B........................ 60,000 387,307
Industrias Penoles S.A. de C.V........................ 103,000 424,016
Kimberly Clark de Mexico S.A. de C.V. Series A........ 225,000 1,002,980
Organizacion Soriana S.A. de C.V. Series B............ 150,000 555,384
*Seguros Comercial America S.A. de C.V. Series B...... 63,000 242,469
Telefonos de Mexico S.A. Series A..................... 50,000 123,926
Telefonos de Mexico S.A. Series L..................... 1,521,000 3,816,148
*Tolmex S.A. de C.V. Series B-2....................... 16,000 85,938
*Tubos de Acero de Mexico S.A......................... 17,000 376,419
Vitro S.A............................................. 121,600 521,321
------------
TOTAL -- MEXICO
(Cost $18,548,269)................................... 25,522,976
------------
</TABLE>
210
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
ARGENTINA -- (10.3%)
COMMON STOCKS -- (10.3%)
*Acindar Industria Argentina de Aceros SA Series A.... 164,000 $ 351,928
*Alpargatas SA Industrial y Comercial................. 150,000 70,230
Astra Cia Argentina de Petroleos SA................... 336,690 579,350
Bagley y Cia, Ltd. SA Series B........................ 106,228 201,918
Banco de Galicia y Buenos Aires SA Series A........... 210,661 1,228,670
*Banco del Sud Sociedad Anonima Series B.............. 29,000 281,998
Banco Frances del Rio de la Plata SA.................. 105,970 943,529
*Buenos Aires Embotelladora SA Series B............... 100 7,603
CIADEA SA............................................. 76,559 101,868
Capex SA Series A..................................... 18,000 121,911
*Celulosa Argentina SA Series B....................... 75,000 20,109
Central Costanera SA Series B......................... 20,000 51,021
Central Puerto SA Series B............................ 16,000 43,298
Corcemar SA Series B.................................. 19,226 83,668
Garovaglio y Zorraquin SA............................. 28,000 85,156
*Indupa SA Industrial y Comercial..................... 180,366 215,628
Irsa Inversiones y Representaciones SA................ 73,979 236,832
Juan Minetti SA....................................... 94,039 269,065
Ledesma SA............................................ 135,377 131,372
Metrogas SA Series B.................................. 403,115 326,660
Molinos Rio de la Plata SA Series B................... 125,287 273,240
Naviera Perez Companc SA Series B..................... 540,429 3,860,284
Nobleza-Piccardo Sdad Industrial Comercial y
Financiera Pica..................................... 25,542 114,987
*Sevel Argentina SA Series C.......................... 79,033 73,532
Siderar SAIC Series A................................. 21,280 85,582
Siderca SA Series A................................... 714,907 1,973,972
Sociedad Comercial del Plata.......................... 187,740 223,505
Telecom Argentina Stet-France SA Series B............. 317,000 1,934,513
Telefonica de Argentina SA Series B................... 738,000 2,443,806
Transportadora de Gas del Sur SA Series B............. 398,000 856,060
YPF Sociedad Anonima Yacimientos Petroliferos Fiscales
Series D............................................ 165,000 5,562,836
------------
TOTAL -- ARGENTINA
(Cost $18,213,551)................................... 22,754,131
------------
BRAZIL -- (8.6%)
PREFERRED STOCKS -- (4.5%)
Aracruz Celulose SA Series B.......................... 251,999 358,918
Banco Bradesco SA..................................... 80,023,042 584,305
Banco Credito Nacional SA Brasil...................... 9,000,000 55,980
Banco do Brasil SA.................................... 79,270,000 560,942
Banco Itau SA......................................... 2,850,000 1,274,283
Brasiliero de Petroleo Ipiranga....................... 12,300,000 153,011
Brasmotor SA.......................................... 600,000 67,067
COFAP (Cia Fabricadora De Pecas)...................... 5,100 19,309
Centrais Electricas de Santa Catarin Celesc Series
B................................................... 180,000 189,844
Cervejaria Brahma..................................... 2,490,767 1,650,288
Cimento Portland Itau................................. 630,000 114,150
Copene-Petroquimica do Nordeste SA Series A........... 624,000 132,188
SHARES VALUE+
------------ ------------
Coteminas Cia Tecidos Norte de Minas.................. 480,000 $ 173,077
Duratex SA............................................ 2,900,000 105,090
Ericsson Telecomunicacoes SA.......................... 15,480,000 544,220
IKPC Industrias Klabin de Papel e Celulose SA......... 176,875 95,666
Investimentos Itau SA................................. 730,000 473,799
*Lojas Americanas SA.................................. 1,610,000 11,393
Lojas Renner SA....................................... 800,000 23,762
Multibras Eletrodomesticos SA......................... 315,000 130,619
*Paranapanema SA...................................... 2,120,000 13,569
Sadia Concordia SA.................................... 100,000 68,510
Siderurgica Belgo-Mineira............................. 970,000 55,953
Siderurgica de Tubarao Sid Tubaroo Series B........... 11,520,000 169,270
*Siderurgica Paulista Casipa Series B................. 65,000 15,234
Suzano de Papel e Celulose............................ 54,000 91,271
Telecomunicacoes Brasileiras SA....................... 137,922 14,173
USIMINAS (Usinas Siderurgicas de Minas Gerais SA)..... 52,039 330,718
Unibanco Unias de Bancos Brasileiros SA............... 25,926,000 803,958
Vale do Rio Doce...................................... 81,160 1,426,645
Votorantim Celulose e Papel SA........................ 9,467,325 204,823
------------
TOTAL PREFERRED STOCKS
(Cost $9,908,895).................................... 9,912,035
------------
COMMON STOCKS -- (4.1%)
Acos Especiais Itabira-Acesita Aces................... 25,963,524 23,405
Antarctica Paulista I.B.B.C. Anta..................... 3,000 251,476
Banco Bamerindus do Brazil SA......................... 2,400 25,962
Banco Bradesco SA..................................... 146,489,164 1,069,621
*Banco do Estado de Sao Paulo SA...................... 5,100,000 174,700
Embraco SA............................................ 130,000 37,500
*Empresa Nasional de Comercio Redito e Participacoes
SA.................................................. 480,000 0
*Lojas Americanas SA.................................. 10,520,000 60,930
*Mannesmann SA........................................ 149,000 18,133
Petroquimica do Sul Copesul........................... 8,276,000 302,144
Santista Alimentos SA................................. 72,000 123,318
Siderurgica Nacional Sid Nacional..................... 26,651,000 720,732
Souza Cruz Industria e Comercio....................... 71,000 547,222
Telecomunicacoes Brasileiras SA....................... 57,550,000 5,343,450
VSMA (Cia Vidraria Santa Marina)...................... 54,000 105,631
White Martins SA...................................... 208,662 282,146
------------
TOTAL COMMON STOCKS
(Cost $6,491,328).................................... 9,086,370
------------
RIGHTS/WARRANTS -- (0.0%)
*Banco do Brasil SA Warrants Series A 06/30/01........ 5,038,000 8,947
*Banco do Brasil SA Warrants Series B 06/30/06........ 433,820 802
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 9,749
------------
TOTAL -- BRAZIL
(Cost $16,400,223)................................... 19,008,154
------------
MALAYSIA -- (7.3%)
COMMON STOCKS -- (6.5%)
AMMB Holdings Berhad.................................. 103,600 89,028
</TABLE>
211
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
AMMB Holdings Berhad 7.5% Unsecured Loan Stock 1999... 2,000 $ 218
Affin Holdings Berhad................................. 113,000 50,527
Amsteel Corp. Berhad.................................. 264,000 66,926
*Aokam Perdana Berhad................................. 10,000 1,919
Arab Malaysia Corp. Berhad............................ 56,000 25,184
Asiatic Development Berhad............................ 118,000 37,181
Ban Hin Lee Bank Berhad............................... 20,000 28,645
Bandar Raya Developments Berhad....................... 23,000 6,786
Batu Kawan Berhad..................................... 46,000 56,132
Berjaya Group Berhad.................................. 94,000 32,850
Berjaya Leisure Berhad................................ 91,000 73,248
Berjaya Sports Toto Berhad............................ 79,000 173,115
Boustead Holdings Berhad.............................. 32,000 33,182
Cahya Mata Sarawak Berhad............................. 66,000 46,319
Carlsberg Brewery Malaysia Berhad..................... 38,000 130,620
Commerce Asset Holding Berhad......................... 157,200 84,656
Country Heights Holdings Berhad....................... 40,000 41,478
Cycle & Carriage Bintang Berhad....................... 15,000 17,531
DCB Holdings Berhad................................... 416,000 244,282
*DCB Sakura Merchant New Shares....................... 4,100 1,503
Diversified Resources Berhad.......................... 28,000 13,474
Edaran Otomobil Nasional Berhad....................... 56,000 129,933
Ekran Berhad.......................................... 108,000 85,075
Esso Malaysia Berhad.................................. 43,000 57,398
*Faber Group Berhad................................... 169,600 37,894
Fraser & Neave Holdings Berhad........................ 27,000 42,924
Gadek (Malaysia) Berhad............................... 11,000 9,831
Gamuda Berhad......................................... 60,000 71,841
Genting Berhad........................................ 175,000 403,533
Golden Hope Plantations Berhad........................ 246,000 281,864
Guiness Anchor Berhad................................. 48,000 58,298
Hap Seng Consolidated Berhad.......................... 49,000 68,495
Hicom Holdings Berhad................................. 259,000 148,380
Highlands and Lowlands Berhad......................... 151,000 165,229
Hong Leong Bank Berhad................................ 149,125 102,092
Hong Leong Credit Berhad.............................. 80,300 69,925
Hong Leong Industries Berhad.......................... 30,200 37,198
Hong Leong Properties Berhad.......................... 112,000 31,761
Hume Industries (Malaysia) Berhad..................... 52,000 58,687
IJM Corp. Berhad...................................... 56,000 20,853
IOI Corp. Berhad...................................... 211,000 107,584
*Idris Hydraulic (Malaysia) Berhad.................... 89,000 25,494
Innovest Berhad....................................... 53,000 18,370
*Intria Berhad........................................ 80,000 11,458
Jaya Tiasa Holdings Berhad............................ 64,000 112,746
KFC Holdings (Malaysia) Berhad........................ 29,000 43,196
Kamunting Corp. Berhad................................ 40,000 7,906
Kedah Cement Holdings Berhad.......................... 74,000 26,284
Kuala Lumpur Kepong Berhad............................ 177,500 388,960
Land -- General Berhad................................ 35,000 11,028
Leader Universal Holdings Berhad...................... 69,000 23,718
Leisure Management Berhad............................. 23,000 111,342
Lingui Development Berhad............................. 78,000 38,430
Lion Land Berhad...................................... 1,000 238
MBF Holdings Berhad................................... 141,000 24,637
MNI Holdings Berhad................................... 10,000 9,395
Magnum Corp. Berhad................................... 374,500 243,513
Malakoff Berhad....................................... 47,000 74,047
Malayan Banking Berhad................................ 285,000 730,656
Malayan Cement Berhad................................. 65,750 40,116
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Malayan United Industries Berhad...................... 70,000 $ 19,650
Malaysia Industrial Development Finance Berhad........ 133,000 51,813
Malaysia Mining Corp. Berhad.......................... 175,000 69,678
Malaysian Airlines System............................. 192,000 141,895
Malaysian Helicopter Services Berhad.................. 110,000 19,221
Malaysian International Shipping Corp. (Foreign)...... 85,666 99,628
Malaysian Oxygen Berhad............................... 22,000 56,717
Malaysian Pacific Industries.......................... 52,000 142,995
Malaysian Resources Corp. Berhad...................... 240,333 96,380
Metroplex Berhad...................................... 173,000 60,953
Mulpha International Berhad........................... 133,750 25,669
Multi-Purpose Holdings Berhad......................... 86,000 33,749
Nestle (Malaysia) Berhad.............................. 58,000 297,390
New Straits Times Press (Malaysia) Berhad............. 41,000 45,568
Notth Borneo Timbers Berhad........................... 8,000 103,694
Nylex (Malaysia) Berhad............................... 12,000 4,812
OSK Holdings.......................................... 34,000 14,804
Oriental Holdings Berhad.............................. 66,880 101,535
Oyl Industries Berhad................................. 34,000 92,523
Perlis Plantations Berhad............................. 76,500 153,393
Pernas International Holdings Berhad.................. 71,000 21,151
Perusahaan Otomobil Nasional Berhad................... 135,000 181,751
Petronas Gas Berhad................................... 450,000 1,114,997
Phileo Allied Berhad.................................. 54,000 27,843
Phileo Land Berhad.................................... 27,000 22,816
Public Bank Berhad (Foreign).......................... 10,666 6,233
RJ Reynolds Berhad.................................... 41,000 69,879
Rashid Hussain Berhad................................. 97,000 116,699
Renong Berhad......................................... 460,000 237,179
Resorts World Berhad.................................. 272,000 389,569
Road Builders (Malaysia) Holdings Berhad.............. 13,000 7,820
Rothmans of Pall Mall Malaysia Berhad................. 71,000 630,471
Sarawak Enterprise Corp. Berhad....................... 296,000 108,529
Shell Refining Co. Federation of Malaysia Berhad...... 65,000 127,541
Sime Darby Berhad (Malaysia).......................... 580,800 582,291
Sime UEP Properties Berhad............................ 84,000 60,635
Southern Bank Berhad (Foreign)........................ 51,000 26,442
Southern Bank Berhad (Foreign) Issue 97............... 38,250 18,517
*Southern Bank Berhad Issue 97........................ 25,500 12,344
Southern Steel Berhad................................. 45,000 39,959
*Sri Hartamas Corp. Berhad............................ 65,000 10,054
Sungei Way Holdings Berhad............................ 63,000 25,265
Ta Enterprise Berhad.................................. 107,000 32,182
Tan Chong Motor Holdings Berhad....................... 141,000 76,739
Technology Resources (Industries) Berhad.............. 188,000 152,940
Telekom Malaysia Berhad............................... 611,000 1,365,152
Tenaga Nasional Berhad................................ 722,000 1,344,299
Time Engineering Berhad............................... 156,000 50,048
Tractors Malaysia Holdings Berhad..................... 22,000 12,604
UMW Holdings Berhad................................... 54,800 51,801
Uniphoenix Corp. Berhad............................... 61,000 78,630
United Engineering (Malaysia) Berhad.................. 165,198 153,319
</TABLE>
212
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
YTL Corp. Berhad...................................... 161,500 $ 157,288
YTL Corp. Berhad Issue 97............................. 80,750 74,943
------------
TOTAL COMMON STOCKS
(Cost $34,859,963)................................... 14,205,098
------------
INVESTMENT IN CURRENCY -- (0.8%)
*Malaysian Ringetts (Cost $1,828,204)................. 1,828,869
------------
TOTAL -- MALAYSIA
(Cost $36,688,167)................................... 16,033,967
------------
INDONESIA -- (6.8%)
COMMON STOCKS -- (6.4%)
Bank Niaga Tbk........................................ 151,380 17,638
PT Asahimas Flat Glass Co., Ltd. Tbk.................. 75,000 6,683
PT Astra International Tbk............................ 1,003,000 522,467
PT Bakrie & Brothers Tbk.............................. 1,259,000 155,325
PT Bank Danamon (Foreign)............................. 1,121,000 138,300
PT Bank International Indonesia (Foreign)............. 1,855,993 241,699
PT Barito Pacific Timber.............................. 910,000 386,703
PT Bimantara Citra.................................... 589,000 359,294
PT Charoen Pokphand Indonesia (Foreign)............... 95,000 9,767
PT Ciputra Development Tbk............................ 262,000 26,936
PT Citra Marga Nusaphala Persada...................... 705,000 154,626
*PT Citra Marga Nusaphala Persada Tbk................. 255,000 55,929
PT Dankos Laboratories Tbk............................ 21,000 9,500
PT Duta Pertiwi....................................... 200,000 16,450
PT Gajah Tunngal Tbk.................................. 2,058,000 225,689
PT GT Kabelmetal Indonesia Tbk........................ 106,000 19,616
PT GT Petrochem Industries Tbk........................ 70,000 7,676
PT Hanjaya Mandala Sampoerna Tbk...................... 496,500 660,185
PT Hero Supermarket Tbk............................... 78,000 33,146
PT Indah Kiat Pulp & Paper Corp....................... 2,221,601 517,713
PT Indocement Tunggal Prakarsa........................ 1,318,000 569,115
PT Indofood Sukses Makmur............................. 930,280 612,110
PT Indorama Synthetics Tbk............................ 365,580 187,926
PT Indosat Tbk........................................ 600,500 1,362,340
*PT Inti Indorayon Utama Tbk.......................... 257,000 52,844
PT Jakarta International Hotel and Development Tbk.... 362,500 146,590
PT Japfa Comfeed Indonesia Tbk........................ 29,000 4,174
PT Jaya Real Property................................. 305,000 37,628
PT Kalbe Farma Tbk.................................... 150,000 55,517
PT Kawasan Industri Jababeka Tbk...................... 407,333 156,344
PT Lippo Bank (Foreign)............................... 557,000 141,254
PT Lippo Land Development Tbk......................... 174,000 19,082
PT Matahari Putra Prima Tbk........................... 314,000 51,652
PT Mayora Indah Tbk................................... 288,720 55,409
PT Modern Photo Tbk................................... 154,000 103,441
PT Mulia Industrindo.................................. 850,680 104,950
PT Pabrik Kertas Tjiwi Kimia Tbk...................... 765,821 236,202
PT Pakuwon Jati Tbk................................... 312,000 49,184
PT Panasia Indosyntec Tbk............................. 103,600 5,681
PT Pdni Tbk........................................... 1,379,000 151,227
PT Perusahaan Rokok Tjap Gudang Garam................. 961,500 2,042,939
PT Polysindo Eka Perkasa Tbk.......................... 481,000 184,619
PT Putra Surya Perkasa................................ 1,296,000 319,780
PT Semen Cibinong (Foreign)........................... 231,000 25,332
SHARES VALUE+
------------ ------------
PT Semen Gresik Tbk................................... 385,500 $ 272,149
PT Summarecon Agung................................... 87,838 8,730
PT Tambang Timah (Persero) Tbk........................ 327,000 381,014
PT Telekomunikasi Indonesia (Persero) Tbk............. 4,316,500 3,165,628
PT Tempo Scan Pacific................................. 19,500 7,485
PT Tigaraksa Satria Tbk............................... 25,200 20,036
PT Unggul Indah Corp. Tbk............................. 110,000 38,451
PT United Tractors Tbk................................ 15,000 6,991
------------
TOTAL COMMON STOCKS
(Cost $30,011,241)................................... 14,141,166
------------
INVESTMENT IN CURRENCY -- (0.4%)
*Indonesia Rupiah..................................... 941,876
------------
TOTAL INVESTMENT IN CURRENCY
(Cost $943,909)...................................... 941,876
------------
RIGHTS/WARRANTS -- (0.0%)
*Matahari Putra Rights 12/03/97
(Cost $0)........................................... 628,000 7,748
------------
TOTAL -- INDONESIA
(Cost $30,955,150)................................... 15,090,790
------------
PHILIPPINES -- (6.8%)
COMMON STOCKS -- (6.8%)
*Aboitiz Equity Ventures, Inc......................... 2,376,400 69,593
Ayala Land, Inc. Series B............................. 4,096,650 1,617,253
Bacnotan Consolidated Industries, Inc................. 54,567 23,500
*Belle Corp........................................... 4,916,000 237,120
C & P Homes, Inc...................................... 6,328,500 399,733
*Centennial City, Inc................................. 3,285,000 28,295
*DMCI Holdings, Inc................................... 2,164,000 114,320
Far East Bank and Trust Co. (Foreign)................. 850,100 1,171,541
*Fil-Estate Land, Inc................................. 1,252,000 39,541
*Filinvest Land, Inc.................................. 6,021,000 266,217
Guoco Holdings (Philippines), Inc..................... 1,080,000 28,837
*International Container Terminal Services, Inc....... 706,500 115,620
Ionics Circuits, Inc.................................. 193,250 112,355
La Tondena Distillers, Inc............................ 453,200 237,465
*Megaworld Properties & Holdings, Inc................. 1,695,000 43,798
Metro Pacific Corp.................................... 6,173,860 354,514
Metropolitan Bank & Trust Co.......................... 339,871 2,781,028
*Mondragon International Philippines, Inc............. 408,840 11,738
Petron Corp........................................... 14,050,000 1,331,180
Philippine Long Distance Telephone Co................. 95,940 2,313,798
*Philippine National Bank............................. 159,975 397,296
*Philippine Savings Bank.............................. 125,000 51,141
*Pilipino Telephone Corp.............................. 628,500 69,472
RFM Corp.............................................. 974,000 173,379
Republic Glass Holding Corp........................... 331,250 13,315
*Robinson's Land Corp. Series B....................... 1,132,000 46,151
SM Prime Holdings, Inc................................ 15,094,000 2,383,490
*Security Bank Corp................................... 146,820 75,876
*Southeast Asia Cement Holdings, Inc.................. 3,098,780 50,712
</TABLE>
213
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Union Bank of the Philippines........................ 283,200 $ 134,160
Universal Robina Corp................................. 2,097,000 269,425
------------
TOTAL COMMON STOCKS
(Cost $36,193,689)................................... 14,961,863
------------
PREFERRED STOCKS -- (0.0%)
*RFM Corp. (Cost $31,500)............................. 177,090 23,795
------------
RIGHTS/WARRANTS -- (0.0%)
*Union Bank of the Philippines Rights 12/22/97 (Cost
$0)................................................. 70,272 0
------------
TOTAL -- PHILIPPINES
(Cost $36,225,189)................................... 14,985,658
------------
THAILAND -- (5.9%)
COMMON STOCKS -- (5.9%)
*Adkinson Securities Public Co., Ltd. (Foreign)....... 2,100 459
*Advance Agro Public Co., Ltd......................... 243,300 217,610
*Advance Agro Public Co., Ltd. (Foreign).............. 539,330 482,381
Advance Info Service Public Co, Ltd................... 76,000 381,416
Advanced Info Service Public Co., Ltd. (Foreign)...... 332,100 1,732,693
Amarin Plaza Public Co., Ltd. (Foreign)............... 7,400 993
Ayudhya Insurance Public Co., Ltd. (Foreign).......... 1,000 4,671
*Bangkok Bank of Commerce Public Co., Ltd.
(Foreign)........................................... 152,949 20,140
*Bangkok Expressway Public Co., Ltd................... 346,500 232,434
*Bangkok Expressway Public Co., Ltd. (Foreign)........ 1,101,100 738,625
*Bangkok Land Public Co., Ltd. (Foreign).............. 65,200 4,050
Bangkok Metropolitan Bank Public Co., Ltd.
(Foreign)........................................... 732,794 65,542
*Bangkok Rubber Public Co., Ltd. (Foreign)............ 14,600 1,995
*Bangkok Steel Industry Public Co., Ltd. (Foreign).... 20,000 944
Bank of Asia Public Co., Ltd. (Foreign)............... 12,870 4,397
Bank of Ayudhya Public Co., Ltd. (Foreign)............ 714,250 496,869
Banpu Public Co., Ltd. (Foreign)...................... 33,400 179,239
Berli Jucker Public Co., Ltd. (Foreign)............... 10,100 15,809
Capital Nomura Securities Public Co., Ltd.
(Foreign)........................................... 14,000 3,409
Ch Karnchang Public Co., Ltd. (Foreign)............... 149,100 118,539
Charoen Pokphand Feedmill Public Co., Ltd.
(Foreign)........................................... 14,000 16,000
*Christiani and Nielson (Thai) Public Co., Ltd.
(Foreign)........................................... 7,097 194
Compass East Industry (Thailand) Public Co., Ltd.
(Foreign)........................................... 2,400 8,407
Delta Electronics (Thailand) Public Co., Ltd.......... 63,500 627,900
Delta Electronics (Thailand) Public Co., Ltd.
(Foreign)........................................... 49,300 487,487
Dusit Thani Public Co., Ltd. (Foreign)................ 8,933 7,213
SHARES VALUE+
------------ ------------
Ekachart Finance and Securities Co., Ltd. (Foreign)... 10,200 $ 2,509
First Bangkok City Bank Public Co., Ltd. (Foreign).... 1,613,550 721,586
First City Investment Public Co., Ltd. (Foreign)...... 44,200 3,953
*Five Stars Property Public Co., Ltd. (Foreign)....... 3,800 151
*GSS Array Technology Public Co., Ltd. (Foreign)...... 3,200 6,519
General Finance and Securities Public Co., Ltd.
(Foreign)........................................... 46,300 8,742
Grammy Entertainment Public Co., Ltd. (Foreign)....... 71,000 373,962
Hana Microelectronics Co., Ltd. (Foreign)............. 12,000 31,602
Hemaraj Land and Development Public Co., Ltd.
(Foreign)........................................... 27,500 29,037
*ITF Finance and Securities Public Co., Ltd........... 8,025 478
*International Broadcasting Corp. Public Co., Ltd.
(Foreign)........................................... 8,700 2,486
International Cosmetics Public Co., Ltd. (Foreign).... 3,500 4,826
International Engineering Public Co., Ltd.
(Foreign)........................................... 2,000 318
Italian-Thai Development Public Co., Ltd. (Foreign)... 355,000 143,323
Jasmine International Public Co., Ltd. (Foreign)...... 417,000 101,530
*Juldis Develop Public Co., Ltd. (Foreign)............ 1,000 24
Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign)........................................... 12,800 6,128
*Krisda Mahanakorn Public Co., Ltd. (Foreign)......... 23,300 695
Krung Thai Bank Public Co., Ltd. (Foreign)............ 2,115,670 683,321
Land and House Public Co., Ltd. (Foreign)............. 2,065 628
MK Real Estate Development Public Co., Ltd.
(Foreign)........................................... 2,925 567
Mutual Fund Public Co., Ltd. (Foreign)................ 500 1,242
*NTS Steel Group Public Co., Ltd. (Foreign)........... 35,500 882
Nakornthon Bank Public Co., Ltd. (Foreign)............ 64,134 17,129
National Finance and Securities Public Co., Ltd.
(Foreign)........................................... 122,400 35,732
*Natural Park Public Co., Ltd. (Foreign).............. 192,700 2,873
*New Imperial Hotel Public Co., Ltd. (Foreign)........ 30,000 13,416
*Padaeng Industry Public Co., Ltd (Foreign)........... 7,800 1,415
Phatra Thanakit Public Co., Ltd. (Foreign)............ 140,400 83,717
*Phoenix Pulp and Paper Public Co., Ltd. (Foreign).... 52,700 15,712
*Poonipat Finance and Securities Public Co., Ltd.
(Foreign)........................................... 4,987 1,152
</TABLE>
214
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Power-P Public Co., Ltd. (Foreign).................... 1,600 $ 119
Premier Enterprises Public Co., Ltd. (Foreign)........ 6,000 984
*Property Perfect Public Co., Ltd. (Foreign).......... 26,050 971
Quality Houses Public Co., Ltd. (Foreign)............. 18,000 1,431
Regional Container Lines Public Co., Ltd. (Foreign)... 1,500 1,714
Robinson Department Store Public Co., Ltd.
(Foreign)........................................... 24,700 736
Saha-Union Public Co. Ltd. (Foreign).................. 48,700 24,199
Sammakorn Public Co., Ltd. (Foreign).................. 7,500 1,453
Sanyo Universal Electric Public Co., Ltd. (Foreign)... 6,500 3,775
Securities One Public Co., Ltd. (Foreign)............. 76,630 7,806
Serm Suk Public Co., Ltd. (Foreign)................... 1,000 6,658
Shangri-la Hotel Public Co., Ltd. (Foreign)........... 12,000 5,963
Shinawatra Computer and Communications Public Co.,
Ltd. (Foreign)...................................... 172,300 629,269
Siam Cement Public Co., Ltd. (Foreign)................ 27,000 211,975
Siam City Bank Public Co., Ltd. (Foreign)............. 370,000 70,782
Siam City Cement Public Co., Ltd. (Foreign)........... 212,888 338,505
Siam Commercial Bank Public Co., Ltd. (Foreign)....... 251,000 411,577
Siam Makro Public Co., Ltd. (Foreign)................. 343,200 390,096
Siam Pulp & Paper Co., Ltd. (Foreign)................. 46,200 32,426
*Sino-Thai Engineering and Construction Public Co.,
Ltd. (Foreign)...................................... 2,900 1,135
*Somprasong Land Public Co., Ltd. (Foreign)........... 5,400 1,020
Srithai Superware Public Co., Ltd. (Foreign).......... 16,400 3,260
Swedish Motors Corp. Public Co., Ltd. (Foreign)....... 7,000 2,217
TPI Polene Public Co., Ltd. (Foreign)................. 258,476 25,687
*Tanayong Public Co., Ltd. (Foreign).................. 46,000 4,686
*Telecomasia Corp. Public Co., Ltd.................... 812,300 257,312
*Telecomasia Corp. Public Co., Ltd. (Foreign)......... 3,156,600 999,915
Thai Carbon Black Public Co., Ltd. (Foreign).......... 5,000 12,422
Thai Danu Bank Public Co., Ltd. (Foreign)............. 100,900 36,976
*Thai German Ceramic Industry Public Co., Ltd.
(Foreign)........................................... 11,100 3,585
Thai Glass Industries Public Co., Ltd. (Foreign)...... 15,400 22,000
Thai Military Bank Public Co., Ltd. (Foreign)......... 733,500 218,683
Thai Petrochemical Industry Public Co., Ltd.
(Foreign)........................................... 2,768,960 419,643
Thai Plastic and Chemicals Public Co., Ltd.
(Foreign)........................................... 29,300 60,784
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Thai Telephone & Telecommunication Public Co., Ltd.
(Foreign)........................................... 450,000 $ 57,019
Thaimex Finance and Securities Public Co., Ltd.
(Foreign)........................................... 4,100 1,426
Tipco Asphalt Public Co., Ltd. (Foreign).............. 160,000 319,999
*Tuntex (Thailand) Public Co., Ltd. (Foreign)......... 91,828 32,510
United Communication Industry Public Co., Ltd.
(Foreign)........................................... 335,200 166,559
Wattachak Public Co., Ltd. (Foreign).................. 24,300 2,777
------------
TOTAL COMMON STOCKS
(Cost $42,699,103)................................... 12,935,125
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Thailand Baht (Cost $7,455).......................... 5,797
------------
TOTAL -- THAILAND
(Cost $42,706,558)................................... 12,940,922
------------
SOUTH KOREA -- (4.9%)
COMMON STOCKS -- (4.9%)
A-Nam Industrial Co., Ltd............................. 9,640 75,834
*Asia Motors Co., Inc................................. 16,640 31,445
Bank of Pusan......................................... 12,200 32,547
Cheil Jedang Corp..................................... 5,154 105,768
Cho Hung Bank Co., Ltd................................ 111,650 292,133
Chong Kun Dang........................................ 1,317 28,716
Chosun Brewery Co., Ltd............................... 2,870 20,663
Commercial Bank of Korea Co., Ltd..................... 96,890 207,947
Daegu Bank Co., Ltd................................... 30,323 83,748
Daelim Industrial Co., Ltd............................ 16,100 51,900
Daesung Industrial Co., Ltd........................... 1,570 34,233
Daewoo Corp........................................... 69,060 235,613
Daewoo Electronics Co., Ltd........................... 48,330 175,219
Daewoo Heavy Industries, Ltd.......................... 214,400 978,962
*Daewoo Motor Sales Corp.............................. 9,480 34,370
*Daewoo Securities Co., Ltd........................... 28,120 187,547
Daewoo Telecom Co., Ltd............................... 16,090 80,760
Dong-Ah Construction Industrial Co., Ltd.............. 22,290 128,651
Dongkuk Steel Mill Co., Ltd........................... 13,800 122,719
*Dongsuh Securities Co., Ltd.......................... 17,800 62,250
Dongwon Securities Co., Ltd........................... 14,060 66,844
Han Il Cement Manufacturing Co., Ltd.................. 2,560 49,252
Han Kook Tire Manufacturing Co., Ltd.................. 2,206 36,971
Hanil Bank............................................ 94,610 230,559
*Hanjin Heavy Industry Co., Ltd....................... 21,910 102,103
*Hanjin Shipping Co., Ltd............................. 6,160 32,604
Hankook Caprolactam Corp.............................. 590 33,296
Hansol Paper Co., Ltd................................. 8,850 74,917
*Hanwha Chemical Corp................................. 31,691 84,816
Hyosung T & C Co., Ltd................................ 4,000 37,965
*Hyundai Engineering & Construction Co., Ltd.......... 32,700 274,015
*Hyundai Fire & Marine Insurance Co., Ltd............. 5,360 94,871
Hyundai Motor Co., Ltd................................ 9,220 171,865
Hyundai Motor Service Co., Ltd........................ 7,470 63,235
Hyundai Precision Industry Co., Ltd................... 19,210 101,347
*Hyundai Securities Co., Ltd.......................... 15,516 94,197
</TABLE>
215
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Inchon Iron & Steel CO Ltd............................ 11,641 $ 94,561
Keumkang Co., Ltd..................................... 3,060 56,255
*Kia Motors Corp...................................... 43,960 191,702
Kolon Industries, Inc................................. 7,670 74,109
Kookmin Bank.......................................... 5,000 26,849
Koram Bank, Ltd....................................... 25,370 136,015
Korea Chemical Co., Ltd............................... 1,020 32,270
Korea Electric Power Corp............................. 50,260 567,278
Korea Exchange Bank................................... 98,990 290,325
Korea Express Co., Ltd................................ 7,340 58,996
Korea First Bank Inc., Ltd............................ 96,760 167,127
Korea Long Term Credit Bank........................... 8,167 43,785
Korea Zinc Co., Ltd................................... 8,770 101,236
*Korean Air........................................... 3,000 13,236
Kyong Nam Bank........................................ 15,280 41,809
LG Cable & Machinery, Ltd............................. 14,000 97,204
LG Chemical, Ltd...................................... 45,360 383,979
LG Construction, Ltd.................................. 14,120 63,628
LG Electronics, Inc................................... 48,920 547,971
LG Industrial Systems, Ltd............................ 12,210 112,756
*LG Information & Communications, Ltd................. 600 26,678
LG Insurance Co., Ltd................................. 2,210 48,754
*LG Securities Co., Ltd............................... 23,700 135,168
Oriental Chemical Industries Co., Ltd................. 5,720 50,866
Pacific Chemical Co., Ltd............................. 4,330 63,682
Pohang Iron & Steel Co., Ltd.......................... 2,580 100,156
SK Telecom Co., Ltd................................... 130 36,682
Sam Yang Corp......................................... 3,580 23,571
Samchully Co., Ltd.................................... 1,233 31,945
*Samsung Aerospace Industrial Co., Ltd................ 19,490 82,993
Samsung Corp.......................................... 36,890 182,952
Samsung Display Devices, Ltd.......................... 6,230 186,980
Samsung Electro-Mechanics Co., Ltd.................... 15,827 213,823
Samsung Electronics Co., Ltd.......................... 2,815 100,854
Samsung Fine Chemicals................................ 2,290 44,449
Samsung Fire & Marine Insurance....................... 350 76,315
*Samsung Heavy Industries Co., Ltd.................... 42,100 265,667
Seondo Electric Co., Ltd.............................. 880 97,067
*Seoul Bank........................................... 96,760 159,681
Shinhan Bank Co., Ltd................................. 490 2,526
Shinsegae Department Store............................ 6,720 76,997
Ssangyong Cement Industry Co., Ltd.................... 17,110 59,545
*Ssangyong Investment Securities Co., Ltd............. 16,700 38,412
*Ssangyong Motor Co................................... 29,100 107,741
Ssangyong Oil Refining Co., Ltd....................... 32,080 189,271
Sungmi Telecom Electronics Co., Ltd................... 1,052 52,173
Sunkyong, Ltd......................................... 12,310 60,524
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Tae Kwang Industrial Co., Ltd......................... 660 $ 163,660
Tae Young Corp........................................ 3,280 63,384
Tai Han Electric Wire Co.............................. 5,990 33,958
Trigem Computer, Inc.................................. 3,210 18,527
Young Poong Mining & Construction Corp................ 3,296 53,266
Yukong, Ltd........................................... 45,080 431,720
------------
TOTAL COMMON STOCKS
(Cost $23,570,069)................................... 10,900,960
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Korean Won (Cost $32)................................ 27
------------
RIGHTS/WARRANTS -- (0.0%)
*LG Construction, Ltd. Rights 12/05/97................ 3,950 0
*Sam Yang Corp. Rights 12/03/97....................... 286 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- SOUTH KOREA
(Cost $23,570,101)................................... 10,900,987
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH
INVESTMENTS -- (3.6%)
Repurchase Agreement, Chase Manhatten Bank N.A. 5.35%,
12/01/97 (Collateralized by U.S. Treasury Notes
5.875%, 02/15/00, valued at $8,195,963) to be
repurchased at $8,038,582.
(Cost $8,035,000)................................... $ 8,035 8,035,000
------------
TOTAL INVESTMENTS -- (102.9%)
(Cost $285,216,465)++................................ 227,456,268
------------
OTHER ASSETS AND LIABILITIES -- (-2.9%)
Other Assets.......................................... 747,152
Payable for Investment Securities Purchased........... (6,987,055)
Payable for Fund Shares Redeemed...................... (125,703)
Other Liabilities..................................... (150,145)
------------
(6,515,751)
------------
NET ASSETS -- (100.0%)................................. $220,940,517
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
216
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
TURKEY -- (23.2%)
COMMON STOCKS -- (23.2%)
Akal Tekstil A.S...................................... 617,750 $ 24,318
Aksigorta A.S......................................... 3,067,500 164,662
Aksu Iplik Dokuma ve Boya Apre Fab A.S................ 634,500 16,057
Aktas Elektrik Ticaret A.S............................ 524,000 421,922
Alarko Holding........................................ 498,000 101,838
Alarko Sanayii ve Ticaret A.S......................... 623,333 53,377
Altinyildiz Mensucat ve Konfeksiyan Fabrikalari
A.S................................................. 366,000 38,826
*Anadolu Anonim Turk Sigorta Sirketi.................. 1,254,000 43,594
Bagfas................................................ 110,000 66,077
Bekoteknik Sanayi A.S................................. 1,526,000 89,716
Bolu Cimento Sanayi A.S............................... 1,394,750 26,026
Borusan............................................... 385,000 20,667
Bossa Ticaret ve Sanayi Isletmeleri A.S............... 2,255,000 41,502
Bursa Cimento Fabrikasi A.S........................... 275,000 42,880
CIMSA A.S. (Cimento Sanayi ve Ticaret)................ 600,000 105,825
Cimentas A.S.......................................... 458,000 55,609
*Deva Holding A.S..................................... 2,717,333 25,353
Dogan Sirketler Grubu Holdings A.S.................... 7,990,500 302,291
Doktas................................................ 220,000 64,109
*Eczacibasi Ilac...................................... 1,547,000 71,970
*Eczacibasi Yapi Gere................................. 750,000 24,156
Ege Seramik Co., Inc.................................. 726,000 16,888
Egeplast.............................................. 386,000 14,603
Enka Holding.......................................... 321,000 254,365
Es Kisehir Bankasi Esbank............................. 5,928,750 42,434
Finansbank............................................ 8,619,000 136,596
Good Year Lastikleri A.S.............................. 266,000 112,870
Gubre Fabrikalari Ticaret A.S......................... 216,000 12,147
Gunes Sigorta A.S..................................... 1,095,000 40,865
Guney Biracilik....................................... 634,400 43,784
Hektas Ticaret A.S.................................... 926,500 15,157
Hurriyet Gazette...................................... 632,000 108,239
*Izmir Demir Celik.................................... 3,977,000 42,697
*Karsu Tekstil........................................ 568,000 19,165
Kartonsan............................................. 998,750 56,165
Kav Orman Sanayii A.S................................. 1,092,000 25,680
Kent Gida Maddeleri Sanayii ve Ticaret A.S............ 544,000 77,871
Kepez Elektrik Ticaret A.S............................ 61,000 124,741
*Kerevitas Gida Sanayi ve Ticaret A.S................. 422,000 48,002
Konya Cimento......................................... 1,110,000 20,996
Kordsa Kord Bezi Sanayi ve Ticaret A.S................ 1,030,000 76,353
Marshall Boya ve Vernik Sanayii A.S................... 317,000 46,998
*Medya Holdings A.S. Series C......................... 2,935,000 61,519
*Merko Gida Sanayi ve Ticaret A.S. Series A........... 1,058,000 20,013
Milliyet Gazetecilik A.S.............................. 3,564,000 98,390
*Mutlu Aku............................................ 509,000 17,695
Net Holding A.S....................................... 2,410,800 65,322
*Net Turizm........................................... 748,000 74,569
Peg Profilo A.S....................................... 1,647,200 86,316
Pinar Su Sanayi ve Ticaret A.S........................ 771,000 46,314
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Raks Elektroniks A.S.................................. 130,000 $ 32,233
Sarkuysan Elektrolitik Bakir Sanayi A.S............... 745,000 70,461
*T. Tuborg Bira ve Malt Sanayi A.S.................... 1,670,000 33,724
Tat Konserve.......................................... 1,117,500 57,130
Tekstil Bankasi A.S................................... 1,800,000 25,306
Teletas Telekomunikasyon Endustri Ticaret A.S......... 1,354,000 173,053
Turcas Petrolculuk A.S................................ 2,386,647 56,126
Turk Demir Dokum...................................... 1,259,999 90,182
Turk Dis Ticaret Bankasi A.S.......................... 2,693,285 38,553
Turk Siemens Kablo ve Elektrik Sanayi A.S............. 622,500 51,715
USAS (Ucak Servisi A.S.).............................. 30,000 69,783
Vakif Finansal Kiralama A.S........................... 1,477,499 18,695
Vestel Elektronik Sanayi Ticaret A.S.................. 1,654,475 126,874
Yasarbank A.S......................................... 5,266,000 30,287
Yunsa Yunlu Sanayi ve Ticaret A.S..................... 619,000 20,253
------------
TOTAL COMMON STOCKS
(Cost $3,184,245).................................... 4,501,904
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Turkish Lira
(Cost $6,287)....................................... 5,560
------------
TOTAL -- TURKEY
(Cost $3,190,532).................................... 4,507,464
------------
ISRAEL -- (17.9%)
COMMON STOCKS -- (17.9%)
Agis Industries (1983), Ltd........................... 27,000 213,623
Azorim Investment Development & Construction Co.,
Ltd................................................. 10,710 116,514
Baran................................................. 9,500 72,748
Dead Sea Periclase.................................... 13,028 48,962
Delek Automotive Systems, Ltd......................... 75,000 109,355
*Discount Mortgage Bank, Ltd.......................... 1,320 102,946
Elco Industries (1975)................................ 6,000 84,161
Electra Consumer...................................... 20,300 98,662
Electra Israel, Ltd................................... 3,000 121,392
Electric Wire & Cable Co. of Israel, Ltd.............. 12,800 45,320
Feuchtwanger Industies................................ 224 34,876
*Formula Systems...................................... 6,570 212,939
*Israel General Bank, Ltd............................. 3,222 95,596
*Israel Land Development Co., Ltd..................... 26,000 139,737
Israel Petrochemical Enterprises, Ltd................. 32,500 211,221
Israel Salt Industries................................ 38,139 177,065
*J.O.E.L. Jerusalem Oil Exploration, Ltd.............. 61,782 21,909
Maman Cargo Terminals & Handling, Ltd................. 33,600 66,461
*Matav Cable Israel................................... 14,000 109,976
Mehadrin, Ltd......................................... 3,887 104,893
*Middle East Tube Co.................................. 19,000 25,556
Miloumor.............................................. 12,658 63,202
*Mishkan Hapoalim Mortgage Bank, Ltd. Series B........ 1,440 236,410
Mul-t-lock, Ltd....................................... 20,500 49,296
*Naphta Israel Petroleum Corp......................... 10,563 15,073
</TABLE>
217
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Nice Systems, Ltd.................................... 5,785 $ 258,768
*Ormat Industries..................................... 54,000 86,670
*Ormat Industries Issue 97............................ 3,351 5,378
*Rapac Electronics, Ltd............................... 6,000 44,997
Tambour............................................... 64,000 124,602
Tefahot Israel Mortgage Bank, Ltd..................... 330 214,471
*Tempo Beer Industries, Ltd........................... 9,027 39,843
Ytong Industries, Ltd................................. 52,500 126,690
------------
TOTAL -- ISRAEL
(Cost $2,893,080).................................... 3,479,312
------------
MEXICO -- (16.0%)
COMMON STOCKS -- (16.0%)
*Abaco Grupo Financiero S.A. de C.V.
Series B............................................ 108,000 9,208
*Bufete Industrial S.A. (Representing 3 shares Series
L and 1 share
Series B)........................................... 24,000 79,069
*Corporacion Geo S.A. de C.V.
Series B............................................ 37,000 225,320
*Embotelladores del Valle Anahuac S.A. de C.V. Series
B................................................... 39,000 38,475
Farmacias Benavides S.A. de C.V. Series B............. 54,000 124,961
Grupo Casa Autrey S.A. de C.V......................... 104,000 224,200
Grupo Cementos de Chihuahua S.A. de C.V. Series B..... 152,000 171,799
Grupo Continental SA.................................. 65,000 212,167
*Grupo Fernandez Editores S.A. de C.V. Series B....... 103,000 24,462
*Grupo Financiero Banorte S.A. de C.V. Series B....... 187,000 257,365
*Grupo Financiero BBV-Probursa S.A. de C.V. Series
B................................................... 681,621 167,696
*Grupo Financiero GBM Atlantico S.A. de C.V. Series
L................................................... 124,000 83,064
*Grupo Financiero Santander Mexicano S.A. de C.V.
Series B............................................ 34,513 34,048
*Grupo Financiero Serfin S.A. de C.V. Series B........ 236,000 52,888
Grupo Herdez S.A. de C.V. Series B.................... 107,000 78,974
*Grupo Posadas S.A. de C.V. Series L.................. 199,000 128,457
*Grupo Tribasa S.A. de C.V............................ 64,000 190,195
*Industrias S.A. de C.V. Series B..................... 33,000 173,229
*Jugos del Valle S.A. de C.V. Series B................ 20,000 26,308
Nacional de Drogas S.A. de C.V. Series L.............. 210,000 201,035
Sanluis Corporacion S.A. de C.V.(representing 1 share
Series B, 1 share Series C & 1 share
Series D)........................................... 27,000 203,885
Sistema Argos S.A. de C.V. Series B................... 98,000 148,005
Tablex S.A. de C.V. Series 2.......................... 33,000 76,365
*Transportacion Maritima Mexicana S.A. de C.V. Series
L................................................... 24,000 187,077
------------
TOTAL -- MEXICO
(Cost $2,839,925).................................... 3,118,252
------------
BRAZIL -- (15.1%)
PREFERRED STOCKS -- (13.9%)
*Acos Villares SA..................................... 120,000 22,446
SHARES VALUE+
------------ ------------
*Alpargatas-Santista Textil SA........................ 300,000 $ 43,269
BS Continental SA Utilidades Domesticas............... 1,500,000 11,493
Banco America do Sul SA............................... 610,000 41,241
Banco Bandeirantes SA................................. 700,000 30,913
Banco Mercantil do Brasil SA.......................... 130,000 18,516
Banco Noroeste SA..................................... 70,000 53,636
Banco Real SA......................................... 66,000 47,596
*CELG Series B........................................ 357,316 19,326
COFAP (Cia Fabricadora De Pecas)...................... 6,000 22,716
Cambuci SA............................................ 84,000 11,743
*Cent Elet Cachoeira Doura............................ 722,683 107,491
Confab Industrial SA.................................. 27,000 46,244
Consorcio Real Brasileiro de Administracao SA Series
F................................................... 19,000 32,628
Coteminas Cia Tecidos Norte de Minas.................. 263,426 79,550
Distribuidora de Produtos Petreleo Ipirangi SA........ 3,900,000 50,977
*ENERSUL Empresa Energetjica de Mato Grosso do Sul SA
Series B............................................ 13,156,000 59,297
Electrolux do Brasil SA............................... 40,600,000 74,295
*Embraer Empresa Brasileira de Aeronautica Series A... 7,200,000 74,640
Forca Luz Cataguazes Leopoldina Series A.............. 23,400,000 40,078
*Francisco Stedile SA Series A........................ 20,200,000 23,490
Frigobras Cia Brasileira de Frigorificos.............. 75,000 43,945
Gerdau SA............................................. 15,623,172 216,744
Gradiente Eletronica SA............................... 260,000 14,063
Industria de Bebidas Antarctica Minas Gerais
Antarctic........................................... 171,000 43,932
Industria de Bebidas Antarctica Polar SA.............. 23,000 37,320
Industrias Villares SA................................ 58,000 43,396
Inepar SA Industria e Construcoes..................... 28,900,000 34,128
Iven SA............................................... 148,000 86,719
Lojas Renner SA....................................... 900,000 26,732
Manah SA.............................................. 900,000 20,688
Marcopolo SA.......................................... 200,000 25,241
Marisol SA Industria do Vestuario..................... 36,000 26,935
*Metalurgica Barbara.................................. 25,300,000 43,789
Metalurgica Gerdau SA................................. 2,862,847 85,679
Mineracao da Trinidade Samitri........................ 2,508,000 65,564
Oxiteno SA Industria e Comercio....................... 12,159 31,788
*Paranapanema SA...................................... 6,200,000 39,682
Perdigao SA NPV....................................... 55,000,000 89,243
Pirelli Cabos SA...................................... 29,000 128,095
Pirelli Pneus SA...................................... 33,000 77,641
*Randon Participacoes SA.............................. 51,000,000 18,390
Refinaria de Petroleo Ipiranga SA..................... 3,600,000 26,448
Renner Herrmann SA.................................... 28,000 35,084
*Serrana SA........................................... 55,000 32,227
*Sharp SA Equipamentos Eletronicos.................... 30,200,000 22,323
Siderurgica Belgo-Mineira............................. 1,100,000 63,452
*Siderurgica Paulista Casipa Series B................. 107,000 25,078
*Sociedade de Participacoes........................... 55,000 94,201
Tam Transportes Aereos Regionais SA................... 1,150,000 51,833
*Varig SA Viacao Aerea Riograndense................... 16,000 40,385
</TABLE>
218
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Weg SA................................................ 165,000 $ 118,991
Wembley Roupas SA..................................... 10,300,000 76,136
------------
TOTAL PREFERRED STOCKS
(Cost $2,752,360).................................... 2,697,457
------------
COMMON STOCKS -- (1.2%)
Acos Especiais Itabira-Acesita Aces................... 42,900,000 38,672
Avipal SA Avicultura e Agropecua...................... 15,900,000 45,866
Makro Atacadista SA................................... 47,000 38,131
*Mannesmann SA........................................ 215,000 28,489
Metalurgica Gerdau.................................... 161,519 4,081
Monteiro Aranha SA.................................... 2,868,168 54,295
*Rhodia Ster SA....................................... 124,000 16,767
Sao Paulo Alpargatas SA............................... 510,000 20,343
------------
TOTAL COMMON STOCKS
(Cost $317,341)...................................... 246,644
------------
RIGHTS/WARRANTS -- (0.0%)
*BS Continental SA Utilidades Domesticas Rights
12/05/97............................................ 342,988 0
*Industrias Villares Rights 12/05/97.................. 12,455 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- BRAZIL
(Cost $3,069,701).................................... 2,944,101
------------
ARGENTINA -- (7.5%)
COMMON STOCKS -- (7.5%)
*Acindar Industria Argentina de Aceros SA Series A.... 50,000 107,295
*Alpargatas SA Industrial y Comercial................. 140,000 65,547
Atanor Cia Nacional para la Industria Quimica SA
Series D............................................ 36,000 49,701
Bagley y Cia, Ltd. SA Series B........................ 62,000 117,849
*Celulosa Argentina SA Series B....................... 25,500 6,837
Central Puerto SA Series B............................ 43,000 116,364
Cinba SA Cia de Bebidao y Alimentos SA................ 15,000 25,511
Corcemar SA Series B.................................. 19,000 82,685
*Cresud SA Comercial Industrial Financiera y
Agropecuaria........................................ 61,250 118,875
Dycasa Dragados y Construcciones Argentina SA Series
B................................................... 7,000 23,810
*Ferrum SA de Ceramica y Metalurgica Series B......... 15,000 31,363
Fiplasto SA Comercial y Industrial Series B........... 6,000 14,406
Garovaglio y Zorraquin SA............................. 14,160 43,064
Importadora y Exportadora de la Patagonia Series B.... 11,500 167,971
Introductora de Buenos Aires SA Series A.............. 14,736 20,212
Massalin Particulares SA Series B..................... 41,000 207,137
*Morixe Hermanos SA................................... 9,000 13,506
Nobleza-Piccardo Sdad Industrial Comercial y
Financiera Pica..................................... 22,000 99,042
*Pirelli Cables SA.................................... 23,786 39,263
*Polledo SA Industrial y Constructora y Financiera.... 26,000 24,190
Quimica Estrella SA Series B.......................... 24,000 28,812
SHARES VALUE+
------------ ------------
*Sol Petroleo SA...................................... 10,000 $ 19,708
Supervielle Soc....................................... 17,411 25,257
------------
TOTAL COMMON STOCKS
(Cost $1,519,087).................................... 1,448,405
------------
PREFERRED STOCKS -- (0.0%)
Quimica Estrella SA 10% Cumulative Convertible Series
B (Cost $3,261)..................................... 3,260 3,539
------------
TOTAL -- ARGENTINA
(Cost $1,522,348).................................... 1,451,944
------------
INDONESIA -- (6.1%)
COMMON STOCKS -- (6.1%)
Bank Niaga Tbk........................................ 55,926 6,516
Bk Mashill Utama Tbk.................................. 88,400 9,694
*Dharmala Agrifood Tbk................................ 92,500 4,438
Duta Anggada Realty Tbk............................... 132,000 9,952
Modern Bank Tbk....................................... 72,333 6,445
PT Aneka Kimia Raya (Foreign)......................... 49,000 10,747
PT Anwar Siered....................................... 58,000 3,975
PT Apac Centertex Corp. Tbk........................... 122,000 6,689
PT Argha Prima Industry (Foreign)..................... 90,666 31,693
PT Asahimas Flat Glass Co., Ltd. Tbk.................. 65,000 5,792
PT Bakrie Sumatra Plantations (Foreign)............... 49,000 35,600
PT Bank Bira Tbk...................................... 162,800 18,969
PT Bank International Indonesia (Foreign)............. 78,329 10,200
PT Bank PDFCI (Foreign)............................... 44,000 24,729
PT Bank Tiara Asia (Foreign).......................... 43,000 4,716
PT Bayu Buana Travel Service (Foreign)................ 77,715 5,327
PT Berlian Laju Tanker Tbk............................ 36,400 16,716
PT Branta Mulia Tbk................................... 66,000 21,261
PT Bukaka Teknik Utama (Foreign)...................... 36,000 4,195
PT Ciputra Development Tbk............................ 75,000 7,711
*PT Citra Marga Nusaphala Persada Tbk................. 150,000 32,899
PT Darya-Varia Laboratoria (Foreign).................. 33,000 5,202
PT Davomas Abadi (State).............................. 40,000 11,241
PT Dharmal Sakti S Tbk................................ 258,666 56,733
PT Dharmala Intiland Tbk.............................. 73,000 34,023
PT Duta Pertiwi....................................... 132,000 10,857
PT Ever Shine Textile................................. 75,000 8,225
*PT Fajar Surya Wisesa................................ 53,000 6,539
PT Ficorinvest Bank (Foreign)......................... 56,000 17,272
PT Gajah Surya Multi Finance (Foreign)................ 182,000 82,330
PT Gajah Tunngal Tbk.................................. 236,000 25,881
PT Great River International.......................... 93,000 10,836
PT GT Petrochem Industries Tbk........................ 246,000 26,977
PT Hero Supermarket Tbk............................... 33,000 14,023
PT Indal Aluminum Industry............................ 47,000 4,832
*PT Inti Indorayon Utama Tbk.......................... 63,000 12,954
PT Jakarta International Hotel and Development Tbk.... 57,000 23,050
PT Kalbe Farma Tbk.................................... 64,000 23,687
PT Karwell Indonesia.................................. 138,000 29,321
PT Kawasan Industri Jababeka Tbk...................... 47,000 18,040
PT Keramika Indonesia Assosiasi Tbk................... 100,000 10,281
PT Lippo Life Insurance Tbk........................... 448,500 36,888
PT Lippo Securities................................... 659,600 54,251
</TABLE>
219
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
PT Matahari Putra Prima Tbk........................... 66,000 $ 10,857
PT Mayora Indah Tbk................................... 114,000 21,878
PT Medco Energi Corp.................................. 24,000 24,674
PT Miwon Indonesia (Foreign).......................... 20,000 15,353
PT Modern Photo Tbk................................... 40,000 26,868
*PT Multipolar Corp. Tbk.............................. 455,000 24,949
PT Ometraco Corp. Tbk................................. 38,000 21,878
PT Pabrik Kertas Tjiwi Kimia Tbk...................... 90,000 27,759
PT Pakuwon Jati Tbk................................... 63,000 9,931
PT Panasia Indosyntec Tbk............................. 79,000 4,332
PT Perdana Cipta Multi Finance (Foreign).............. 69,333 2,851
PT Plaza Indonesia Realty............................. 20,000 10,144
PT Pudjiadi Prestige (Foreign)........................ 45,500 2,807
PT Putra Sejahtera Pioneerindo........................ 29,000 10,336
PT Sekar Bumi Tbk..................................... 60,000 3,290
PT Sinar Mas Agro Resources and Technology Corp.
(Smart Corp.) (Foreign)............................. 74,400 13,258
PT Sorini Corp........................................ 43,000 6,779
*PT Surabaya Agung Industri Pulp & Paper.............. 64,500 4,421
PT Suryamas Dutamakmur................................ 125,000 17,135
PT Tamara Bank (Foreign).............................. 27,600 12,107
PT Tempo Scan Pacific................................. 22,000 8,444
*PT Texmaco Jaya Tbk.................................. 93,000 58,005
PT Ultra Jaya Milk Industry & Trading Co.............. 52,000 15,326
PT Unggul Indah Corp. Tbk............................. 38,000 15,627
PT United Tractors Tbk................................ 20,000 9,321
PT Wickaksana Overseas (Foreign)...................... 28,560 2,936
Prasidha Aneka........................................ 84,000 7,485
------------
TOTAL COMMON STOCKS
(Cost $3,293,440).................................... 1,190,458
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Indonesia Rupiah (Cost $1,122)....................... 891
------------
RIGHTS/WARRANTS -- (0.0%)
*Matahari Putra Rights (Cost $0)...................... 66,000 814
------------
TOTAL -- INDONESIA
(Cost $3,294,562).................................... 1,192,163
------------
PHILIPPINES -- (5.8%)
COMMON STOCKS -- (5.7%)
*Alaska Milk Corp..................................... 413,000 16,601
*Alsons Consolidated Resources, Inc................... 1,253,000 41,011
*Anglo Philippine Holdings Corp....................... 546,000 4,703
Bacnotan Cement Corp.................................. 86,700 5,003
Bacnotan Consolidated Industries, Inc................. 23,000 9,905
*Bankard, Inc......................................... 145,000 6,828
*Cebu Holdings, Inc................................... 1,075,000 33,951
Cosmos Bottling Corp.................................. 878,000 83,187
*East Asia Power Resources Corp....................... 431,000 13,859
*EEI Corporation PHP.................................. 282,000 6,923
*Global Equities, Inc................................. 717,000 16,263
*Gotesco Land -B...................................... 170,000 28,309
*House of Investments, Inc............................ 258,000 8,000
*International Container Terminal Services, Inc....... 310,725 50,851
Ionics Circuits, Inc.................................. 103,125 59,956
*Kepphil Shipyard, Inc................................ 522,000 11,840
SHARES VALUE+
------------ ------------
*Kuok Philippine Properties, Inc...................... 2,150,500 $ 40,133
*Lepanto Consolidated Mining Co. Series B............. 1,540,000 20,339
*MUI Resources (Philippines), Inc..................... 1,121,000 45,703
*Mabuhay Holdings Corp................................ 516,000 9,926
*Macroasia Corp....................................... 129,000 8,611
*Manila Jockey Club, Inc.............................. 18,800 11,605
*Mondragon International Philippines, Inc............. 218,040 6,260
*Negros Navigation Co., Inc........................... 311,000 7,947
*PDCP Development Bank................................ 27,600 8,320
*Palawan Oil and Gas Exploration, Inc................. 51,600,000 10,370
*Philippine Bank of Communications.................... 11,045 57,397
*Philippine National Construction Corp................ 75,000 11,197
*Philippine Realty & Holdings Corp.................... 2,549,000 24,151
*Philippine Savings Bank.............................. 38,875 15,905
*Picop Resources, Inc................................. 225,000 3,682
*Pryce Properties Corp................................ 581,900 20,048
RFM Corp.............................................. 335,000 59,633
Republic Glass Holding Corp........................... 176,250 7,084
*Robinson's Land Corp. Series B....................... 432,000 17,612
*SM Development Corp.................................. 1,755,000 32,248
*Security Bank Corp................................... 46,800 24,186
Selecta Dairy Products, Inc........................... 308,000 12,734
Sime Darby Pilipinas, Inc. SD Tire.................... 19,900 18,283
Solidbank Corp........................................ 3,040 13,965
*Soriano (A.) Corp.................................... 1,691,211 82,546
*Southeast Asia Cement Holdings, Inc.................. 1,154,000 18,885
*Steniel Manufacturing Corp........................... 250,000 2,189
*Union Bank of the Philippines........................ 88,300 41,830
*Universal Rightfield Property Holdings, Inc.......... 1,062,000 30,491
Urban Bank, Inc....................................... 5,658 20,793
*Utd Paragon.......................................... 645,000 4,444
*Victorias Milling Co., Inc........................... 48,000 1,185
*Vitarich Corp........................................ 176,000 2,830
*William, Gothong & Aboitiz, Inc...................... 763,000 19,716
------------
TOTAL COMMON STOCKS
(Cost $3,253,512).................................... 1,109,438
------------
PREFERRED STOCKS -- (0.1%)
*RFM Corp. (Cost $10,835)............................. 60,909 8,184
------------
RIGHTS/WARRANTS -- (0.0%)
*Philippine Bank of Communications Rights 12/19/97.... 3,681 5,918
*Union Bank of the Philippines Rights 12/22/97........ 21,910 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 5,918
------------
TOTAL -- PHILIPPINES
(Cost $3,264,347).................................... 1,123,540
------------
THAILAND -- (4.4%)
COMMON STOCKS -- (4.4%)
Alphatec Electronics Public Co., Ltd. (Foreign)....... 12,900 7,371
*Aromatics (Thailand) Public Co., Ltd. (Foreign)...... 140,000 14,957
Ayudhya Insurance Public Co., Ltd. (Foreign).......... 4,000 18,683
</TABLE>
220
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Bangkok Agro Industrial Products Public Co., Ltd.
(Foreign)........................................... 2,700 $ 4,427
Big C Supercenter Public Co., Ltd. (Foreign).......... 87,000 13,185
*Castle Peak Holdings Public Co., Ltd. (Foreign)...... 6,800 625
*Central Paper Industry Public Co., Ltd. (Foreign).... 19,800 32,221
Delta Electronics (Thailand) Public Co., Ltd.
(Foreign)........................................... 19,800 195,786
*Dynamic Eastern Finance Thailand (1991) Co., Ltd.
(Foreign)........................................... 46,200 3,329
First City Investment Public Co., Ltd. (Foreign)...... 45,000 4,025
*Golden Land Property Development Public Co., Ltd.
(Foreign)........................................... 68,800 3,931
Hana Microelectronics Co., Ltd. (Foreign)............. 12,000 31,602
Hemaraj Land and Development Public Co., Ltd.
(Foreign)........................................... 19,000 19,472
KCE Electronics Public Co., Ltd. (Foreign)............ 6,000 17,143
Kang Yong Electric Public Co., Ltd. (Foreign)......... 7,200 6,037
Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign)........................................... 12,000 5,739
*Krisda Mahanakorn Public Co., Ltd. (Foreign)......... 23,800 710
LPN Development Public Co., Ltd. (Foreign)............ 15,100 4,127
*Laem Thong Bank Public Co., Ltd. (Foreign)........... 68,575 17,037
Lanna Lignite Public Co., Ltd. (Foreign).............. 11,500 29,143
Loxley Public Co., Ltd. (Foreign)..................... 12,500 4,736
Media of Medias Public Co., Ltd. (Foreign)............ 9,100 904
*Modern Home Development Public Co., Ltd. (Foreign)... 23,700 7,655
Nakornthon Bank Public Co., Ltd. (Foreign)............ 35,900 9,588
Nation Multimedia Group Public Co., Ltd. (Foreign).... 13,000 9,851
National Petrochemical Public Co., Ltd. (Foreign)..... 108,500 58,630
Nithipat Finance Public Co., Ltd. (Foreign)........... 35,600 17,468
PAE (Thailand) Public Co., Ltd. (Foreign)............. 6,600 1,886
*Phoenix Pulp and Paper Public Co., Ltd. (Foreign).... 35,700 10,643
Pizza Public Co., Ltd. (Foreign)...................... 9,000 18,112
Prasit Development Public Co., Ltd. (Foreign)......... 29,700 3,468
Regional Container Lines Public Co., Ltd. (Foreign)... 9,000 10,286
SCF Finance and Securities Co., Ltd. (Foreign)........ 17,000 5,280
Saha Pathana Inter-Holding Public Co., Ltd.
(Foreign)........................................... 16,000 25,242
*Sahaviriya Steel Industries Public Co., Ltd.
(Foreign)........................................... 168,300 6,690
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Siam City Credit Finance and Securities Public Co.,
Ltd. (Foreign)...................................... 18,200 $ 7,913
Siam Pulp & Paper Co., Ltd. (Foreign)................. 31,500 22,109
Siam Sanwa Industrial Credit Public Co., Ltd.
(Foreign)........................................... 17,500 4,565
Siam Tyre Public Co., Ltd. (Foreign).................. 2,500 24,720
Srithai Superware Public Co., Ltd. (Foreign).......... 6,000 1,193
*Sun Tech Group Public Co., Ltd. (Foreign)............ 27,200 4,190
*Supalai Public Co., Ltd. (Foreign)................... 17,300 903
TCJ Motor Public Co., Ltd. (Foreign).................. 7,300 16,142
Thai Danu Bank Public Co., Ltd. (Foreign)............. 41,200 15,098
Thai Modern Plastic Industry Public Co., Ltd.
(Foreign)........................................... 15,700 7,216
Thai Pineapple Public Co., Ltd. (Foreign)............. 12,200 3,562
Thai Plastic and Chemicals Public Co., Ltd.
(Foreign)........................................... 12,200 25,309
Thai Reinsurance Public Co., Ltd. (Foreign)........... 19,300 27,811
Thai Rung Union Carbide Public Co., Ltd. (Foreign).... 13,200 19,021
Thai-Germany Products Public Co., Ltd. (Foreign)...... 37,050 9,021
*Tuntex (Thailand) Public Co., Ltd. (Foreign)......... 34,900 12,356
*Vanachai Group Public Co., Ltd. (Foreign)............ 22,100 6,863
*Vinythai Public Co., Ltd. (Foreign).................. 198,700 11,848
Wall Street Finance and Securities Public Co., Ltd.
(Foreign)........................................... 13,400 4,744
Wattachak Public Co., Ltd. (Foreign).................. 49,500 5,534
------------
TOTAL -- THAILAND
(Cost $2,561,553).................................... 850,107
------------
MALAYSIA -- (4.2%)
COMMON STOCKS -- (4.2%)
Amalgamated Industrial Steel Berhad................... 10,000 4,956
Anson Perdana Berhad.................................. 10,000 7,419
Antah Holding Berhad.................................. 23,000 7,577
*Aokam Perdana Berhad................................. 22,000 4,222
Arab Malaysian Development Berhad..................... 58,000 10,799
Asas Dunia Berhad..................................... 16,000 3,735
Asia Pacific Land Berhad.............................. 70,000 10,126
Austral Enterprises Berhad............................ 14,000 15,640
Ayer Hitam Planting Syndicate Berhad.................. 2,000 7,333
Berjaya Industrial Berhad............................. 55,000 11,816
Berjaya Singer Berhad................................. 28,000 30,959
Bimb Holdings BHD..................................... 19,600 6,569
Bolton Properties Berhad.............................. 18,000 4,898
CCM Bioscience........................................ 833 716
Cement Industries of Malaysia Berhad.................. 13,000 11,395
Chemical Co. of Malaysia Berhad....................... 16,000 18,149
Country Heights Holdings Berhad....................... 20,800 21,568
DMIB Berhad........................................... 30,000 9,281
DNP Holdings Berhad................................... 34,000 7,304
*Damansara Realty Berhad.............................. 65,000 14,616
Datuk Keramik Holdings Berhad......................... 24,000 10,656
Diperdana Corp. Berhad................................ 3,000 2,578
FACB Berhad........................................... 66,000 9,547
</TABLE>
221
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
FCW Holdings Berhad................................... 16,000 $ 3,483
*Faber Group Berhad................................... 32,000 7,150
Federal Flour Mills Berhad............................ 20,000 21,999
Golden Plus Holdings Berhad........................... 16,000 7,012
Gopeng Berhad......................................... 17,000 4,870
*Granite Industries Berhad............................ 22,000 8,066
Guthrie Ropel Berhad.................................. 11,000 7,216
HLG Capital Berhad.................................... 12,000 9,350
IGB Corp. Berhad...................................... 42,000 14,557
*Insas Berhad......................................... 56,000 12,913
Island & Peninsular Berhad............................ 22,000 16,700
Johan Holdings Berhad................................. 30,000 7,562
Keck Seng (Malaysia) Berhad........................... 23,000 11,200
Kelang Container Terminal Berhad...................... 12,000 7,219
*Kemayan Corp. Berhad................................. 31,000 8,036
Kian Joo Can Factory Berhad........................... 6,000 6,015
Kuala Sidim Berhad.................................... 13,000 13,033
Kulim Malaysia Berhad................................. 18,000 18,046
Ladang Perbadanan-Fima Berhad......................... 11,000 9,799
Larut Consolidated Berhad............................. 18,000 5,620
Lion Corp. Berhad..................................... 13,000 6,480
MBF Holdings Berhad................................... 106,000 18,522
MUI Properties Berhad................................. 75,200 13,463
Malayawata Steel Berhad............................... 21,000 6,015
Malaysia Assurance Alliance Berhad.................... 8,800 10,335
Malaysia Building Society Berhad...................... 35,000 12,733
Malaysian Mosaics Berhad.............................. 27,000 13,921
Malaysian Plantations Berhad.......................... 28,000 9,625
Malaysian Tobacco Co. Berhad.......................... 20,000 12,546
Mancon Berhad......................................... 12,000 9,178
Maruichi Malaysia Steel Tube Berhad................... 8,000 6,416
Matsushita Electric Co. (Malaysia) Berhad............. 3,520 8,923
Nam Fatt Berhad....................................... 9,000 4,305
Negara Properties (Malaysia) Berhad................... 5,000 10,599
OSK Holdings.......................................... 28,000 12,191
Pacific Chemicals Berhad.............................. 11,000 8,192
Pan Pacific Asia Berhad............................... 12,000 6,634
Panglobal Berhad...................................... 14,000 4,131
*Parit Perak Holdings Berhad.......................... 13,000 2,979
Peladang Kimia Berhad................................. 14,000 10,427
Pelangi Berhad........................................ 48,000 21,174
Petaling Garden Berhad................................ 11,000 10,083
Phileo Land Berhad.................................... 12,000 10,140
Pilecon Engineering Berhad............................ 21,000 6,076
Prime Utilities Berhad................................ 3,000 2,956
*Promet Berhad........................................ 52,000 10,129
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
SP Settia Berhad...................................... 7,000 $ 4,211
Samanda Holdings Berhad............................... 6,000 9,539
Selangor Properties Berhad............................ 34,000 11,882
Shangri-la Hotels (Malaysia) Berhad................... 39,000 12,736
Sriwani Holdings Berhad............................... 12,000 4,469
Talam Corp. Berhad.................................... 14,000 4,411
Tan & Tan Developments Berhad......................... 28,000 9,063
Tasek Cement Berhad................................... 13,000 9,868
*Tongkah Holdings Berhad.............................. 14,000 5,855
Tradewinds (Malaysia) Berhad.......................... 13,000 6,666
United Malacca Rubber Estates Berhad.................. 6,000 9,023
United Malayan Land Berhad............................ 13,000 16,012
United Plantations Berhad............................. 15,000 16,328
*Westmont Industries Berhad........................... 23,000 4,414
Westmont Land (Asia) Berhad........................... 20,000 6,073
Wing Tiek Holdings Berhad............................. 8,000 2,062
Worldwide Holdings Berhad............................. 16,000 4,950
------------
TOTAL -- MALAYSIA
(Cost $2,839,484).................................... 817,440
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.0%)
Repurchase Agreement, Chase Manhattan Bank N.A. 5.35%,
12/01/97 (Collateralized by U.S. Treasury Notes
5.875%, 02/15/00 valued at $205,588) to be
repurchased at $204,091.
(Cost $204,000)..................................... $ 204 204,000
------------
TOTAL INVESTMENTS -- (101.2%)
(Cost $25,679,532)++................................. 19,688,323
------------
OTHER ASSETS AND LIABILITIES -- (-1.2%)
Other Assets.......................................... 48,329
Liabilities........................................... (287,420)
------------
(239,091)
------------
NET ASSETS -- (100.0%)................................. $ 19,449,232
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes
</TABLE>
See accompanying Notes to Financial Statements.
222
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
BONDS -- (45.3%)
Anheuser-Busch Companies, Inc. Medium Term Notes
7.600%, 03/01/99................................... $ 1,000 $ 1,017,500
Associates Corp. of North America Corporate Bonds
6.250%, 03/15/99................................... 3,100 3,107,750
7.500%, 05/15/99................................... 3,000 3,060,000
6.625%, 07/15/99................................... 17,000 17,127,500
Bank One Texas N.A. Medium Term Notes
5.875%, 08/02/99................................... 4,705 4,693,237
Bayerische Landesbank U.S. Finance, Inc. Medium Term
Notes
6.400%, 05/05/99................................... 22,000 22,110,000
Canada (Government of) Bonds
6.400%, 09/10/98................................... 22,540 22,624,525
Colgate-Palmolive Co. Medium Term Notes
6.550%, 02/16/98................................... 10,000 10,010,299
6.630%, 02/16/98................................... 1,540 1,541,817
6.710%, 02/16/98................................... 10,000 10,013,399
DuPont (E.I.) de Nemours & Co. Corporate Bonds
8.650%, 12/01/97................................... 1,050 1,050,000
FCC National Bank Medium Term Notes
6.144%, 10/30/98................................... 2,000 2,002,180
First USA Bank Medium Term Notes
5.750%, 01/15/99................................... 4,325 4,308,781
Ford Motor Credit Co. Corporate Bonds
7.250%, 05/15/99................................... 5,800 5,894,250
Ford Motor Credit Co. Medium Term Notes
6.250%, 02/26/98................................... 7,000 7,007,070
GTE North, Inc. Corporate Bond Series B
5.500%, 02/15/99................................... 1,000 991,250
General Electric Capital Corp. Medium Term Notes
7.020%, 04/13/98................................... 3,000 3,013,620
6.844%, 04/23/98................................... 10,725 10,770,687
IBM Credit Corp. Medium Term Notes
6.570%, 04/07/99................................... 23,000 23,172,500
Illinois Tool Works, Inc. Corporate Bonds
7.500%, 12/01/98................................... 5,000 5,065,550
KFW International Finance, Inc. Medium Term Notes
9.000%, 02/23/99................................... 6,600 6,822,750
Key Bank N.A. Medium Term Notes
6.125%, 02/03/99................................... 15,000 15,000,000
Morgan (J.P.) & Co., Inc. Corporate Bonds
6.362%, 08/05/98................................... 19,000 19,053,768
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
Morgan Guaranty Trust Corporate Bonds
6.000%, 10/01/98................................... $ 6,000 $ 5,999,399
National Elf Aquitaine, Inc. Corporate Bonds
7.750%, 05/01/99................................... 8,550 8,731,688
National Rural Utilities Cooperative Finance Corp.
Medium Term Notes
6.070%, 07/09/99................................... 12,000 12,000,000
NationsBank N.C. Medium Term Notes
6.100%, 01/19/99................................... 24,000 24,000,000
Nippon Telegraph & Telephone Corp. Corporate Bonds
9.500%, 07/27/98................................... 4,350 4,447,875
Norwest Corp. Corporate Bonds
6.250%, 04/15/99................................... 6,020 6,035,050
Norwest Corp. Medium Term Notes
5.750%, 11/16/98................................... 3,600 3,590,964
Norwest Financial, Inc. Corporate Bonds
6.000%, 08/01/99................................... 5,250 5,243,438
Norwest Financial, Inc. Medium Term Notes
6.250%, 03/15/99................................... 8,000 8,020,000
Ontario Hydro Medium Term Notes
5.800%, 03/31/98................................... 13,575 13,575,000
Paccar Financial Corp. Medium Term Notes
5.280%, 03/20/98................................... 5,000 4,993,550
Pepsico, Inc. Corporate Bonds
7.625%, 11/01/98................................... 5,000 5,061,750
Pepsico, Inc. Medium Term Notes
6.125%, 01/15/98................................... 2,000 2,000,280
5.463%, 07/01/98................................... 4,851 4,834,797
Pitney Bowes Credit Corp. Medium Term Notes
6.305%, 09/23/98................................... 24,230 24,337,339
Sara Lee Corp. Medium Term Notes
5.500%, 12/01/98................................... 1,250 1,242,150
St. Paul Companies, Inc. Medium Term Notes
7.590%, 05/19/99................................... 6,000 6,127,500
UBS Finance, Inc. Medium Term Notes
6.200%, 10/01/98................................... 3,000 3,007,500
Wachovia Bank N.A. Medium Term Notes
5.600%, 03/08/99................................... 11,000 10,931,250
6.000%, 03/15/99................................... 1,000 998,750
------------
TOTAL BONDS
(Cost $353,813,284).................................. 354,636,713
------------
CERTIFICATES OF DEPOSIT -- (31.4%)
ABN-AMRO North American Certificate of Deposit
5.710%, 10/09/98................................... 4,000 3,996,000
</TABLE>
223
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
Bank of Nova Scotia Corp. Certificate of Deposit
6.256%, 07/09/99................................... $ 10,000 $ 10,035,000
Bayerische Landesbank Certificate of Deposit
5.860%, 07/17/98................................... 16,000 16,000,000
Canadian Imperial Bank of Commerce Certificate of
Deposit
5.795%, 10/06/98................................... 23,000 22,997,700
Commerzbank Certificate of Deposit
5.780%, 09/18/98................................... 23,300 23,295,340
Deutsche Bank AG Certificate of Deposit
5.940%, 09/15/98................................... 5,000 5,000,000
5.880%, 10/19/98................................... 14,300 14,308,580
Dresdner Bank AG Certificate of Deposit
5.950%, 10/20/98................................... 20,000 20,004,000
FCC National Bank Certificate of Deposit
5.820%, 09/18/98................................... 21,000 20,997,900
Morgan Trust Certificate of Deposit
5.800%, 07/28/98................................... 3,700 3,698,150
National Australia Bank Certificate of Deposit
5.850%, 10/05/98................................... 23,000 23,006,900
Royal Bank of Canada Certificate of Deposit
5.880%, 09/17/98................................... 23,000 23,000,000
Societe Generale Certificate of Deposit
5.880%, 07/13/98................................... 3,000 2,998,800
5.960%, 09/15/98................................... 18,500 18,500,000
Swiss Bank Certificate of Deposit
5.805%, 10/01/98................................... 23,000 23,000,000
Westdeutsche Landesbank Certificate of Deposit
5.870%, 07/31/98................................... 15,000 14,991,000
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $245,765,714).................................. 245,829,370
------------
AGENCY OBLIGATIONS -- (7.6%)
Federal Agriculture Mortgage Corp.
7.200%, 10/15/98................................... 2,850 2,881,720
Federal Home Loan Bank
6.060%, 10/02/98................................... 25,000 25,045,747
5.100%, 01/26/99................................... 3,200 3,175,456
5.947%, 02/26/99................................... 20,000 20,032,398
Federal National Mortgage Association
5.700%, 12/18/98................................... 8,100 8,082,666
------------
TOTAL AGENCY OBLIGATIONS
(Cost $59,131,599)................................... 59,217,987
------------
FACE
AMOUNT VALUE+
------------ ------------
(000)
COMMERCIAL PAPER -- (7.5%)
Barton Capital Corp. C.P.
5.590%, 12/05/97................................... $ 4,000 $ 3,997,520
5.740%, 01/05/98................................... 8,000 7,955,510
5.650%, 01/06/98................................... 5,000 4,971,500
5.700%, 02/06/98................................... 3,419 3,382,985
Ciesco L.P. C.P.
5.570%, 01/16/98................................... 4,600 4,566,614
Corporate Asset Funding Corp. C.P.
5.700%, 01/09/98................................... 3,000 2,981,475
5.720%, 01/15/98................................... 3,000 2,978,625
Den Norske Stats Olejeselskap A.S. C.P.
5.800%, 12/01/97................................... 5,000 5,000,000
Enterprise Funding Corp. C.P.
5.730%, 01/02/98................................... 1,570 1,562,003
Matterhorn Capital Corp. C.P.
5.600%, 12/15/97................................... 600 598,698
Novartis Finance Corp. C.P.
5.600%, 12/10/97................................... 3,000 2,995,793
Sheffield Receivables Corp. C.P.
5.550%, 12/05/97................................... 2,650 2,648,357
5.750%, 01/12/98................................... 6,000 5,960,100
5.750%, 01/23/98................................... 3,500 3,470,732
Sigma Finance Corp. C.P.
5.720%, 01/30/98................................... 5,000 4,952,750
5.850%, 01/30/98................................... 1,000 990,550
------------
TOTAL COMMERCIAL PAPER
(Cost $59,012,205)................................... 59,013,212
------------
VARIABLE RATE OBLIGATIONS -- (6.6%)
Abbey National Treasury Services P.L.C.
***5.560%, 12/15/97................................ 7,000 6,995,450
American Express Centurion Bank
***5.682%, 12/05/97................................ 14,000 13,997,200
***5.678%, 12/08/97................................ 9,000 8,999,189
Banc One Corp.
***5.699%, 12/15/97................................ 7,000 6,996,430
First USA Bank
***6.299%, 12/01/97................................ 7,000 7,029,259
Key Bank N.A.
***5.649%, 02/20/98................................ 7,650 7,642,656
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $51,658,621)................................... 51,660,184
------------
</TABLE>
224
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
<S> <C> <C>
FACE
AMOUNT VALUE+
------------ ------------
<CAPTION>
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (0.3%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
6.25%, 07/31/98, valued at $1,776,206) to be
repurchased at $1,741,791 (Cost $1,741,000)......... $ 1,741 $ 1,741,000
------------
TOTAL INVESTMENTS -- (98.7%) (Cost $771,122,423)++..... 772,098,466
------------
OTHER ASSETS AND LIABILITIES -- (1.3%)
Other Assets.......................................... 10,306,016
Payable for Fund Shares Redeemed...................... (61,531)
Other Liabilities..................................... (106,872)
------------
10,137,613
------------
NET ASSETS -- (100.0%) Applicable to 78,107,985
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $782,236,079
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.01
------------
------------
- --------------------
+See Note B to Financial Statements.
++Approximates cost for federal income tax purposes.
***Rates shown are the rates as of November 30, 1997, and maturities shown are
the next interest readjustment date.
</TABLE>
See accompanying Notes to Financial Statements.
225
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
CANADA -- (25.5%)
BONDS -- (25.5%)
Alberta (Province of)
6.000%, 03/01/99................................... 8,000 $ 5,710,151
Bayerische Landesbank Girozentrale
8.375%, 11/23/98................................... 1,627 1,181,876
British Columbia (Province of)
10.000%, 10/09/98.................................. 9,000 6,593,369
7.000%, 06/09/99................................... 5,000 3,625,046
Canada (Government of)
6.500%, 08/01/99................................... 15,000 10,803,482
Electricite de France
9.750%, 09/08/99................................... 13,608 10,269,359
Farm Credit Corp. Euro Medium Term Notes
6.250%, 01/08/99................................... 12,300 8,779,357
General Electric Capital Canada, Inc.
7.000%, 07/20/99................................... 11,000 7,967,375
8.875%, 09/30/99................................... 5,000 3,734,290
International Finance Corp.
7.750%, 08/18/98................................... 8,000 5,744,996
Kellogg Co.
6.250%, 10/12/98................................... 12,000 8,548,366
Minnesota Mining & Manufacturing Co.
6.500%, 10/15/98................................... 12,800 9,131,745
Norway (Kingdom of)
7.250%, 10/22/98................................... 13,000 9,325,573
Oesterreichische Kontrollbank AG
10.250%, 07/27/99.................................. 12,971 9,855,164
Toronto (Municipality of)
11.000%, 02/16/99.................................. 7,089 5,328,839
------------
TOTAL -- CANADA
(Cost $111,230,161).................................. 106,598,988
------------
GERMANY -- (20.3%)
BONDS -- (20.3%)
Bank voor Nederlandsche Gemeenten BNG Euro Medium Term
Notes
4.250%, 04/09/99................................... 12,000 6,799,975
Belgium (Kingdom of)
7.250%, 10/18/99................................... 10,140 6,040,895
DSL Finance BV
5.000%, 02/09/99................................... 17,000 9,724,860
Deutsche Ausgliechsbank
8.500%, 07/05/99................................... 5,000 3,010,494
7.000%, 07/01/99................................... 5,000 2,945,295
Germany (Federal Republic of)
3.750%, 03/19/99................................... 8,000 4,524,246
LKB Bader-Wuerttemberg Finance NV
6.000%, 05/10/99................................... 20,000 11,611,096
Landesbank Hessen-Thuringen Girozentral
3.000%, 07/07/99................................... 5,000 2,772,376
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
Morgan (J.P.) and Co., Inc.
7.250%, 11/30/98................................... 15,000 $ 8,744,890
Suedwestdeutsche Landesbank Capital Markets P.L.C.
5.000%, 02/08/99................................... 7,431 4,253,857
7.125%, 02/17/99................................... 8,649 5,063,487
5.500%, 10/12/99................................... 3,000 1,735,712
Treuhandanstalt
6.375%, 07/01/99................................... 10,000 5,853,739
World Bank (International Bank for Reconstruction and
Development)
7.250%, 10/13/99................................... 20,000 11,903,642
------------
TOTAL BONDS
(Cost $87,084,122)................................... 84,984,564
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $348)............................. 339
------------
TOTAL -- GERMANY
(Cost $87,084,470)................................... 84,984,903
------------
UNITED STATES -- (17.1%)
BONDS -- (17.1%)
Associates Corp. of North America Corporate Bonds
6.680%, 05/10/99................................... 500 504,375
Associates Corp. of North America Euro Medium Term
Notes
6.750%, 06/28/99................................... 4,000 4,032,400
BP America, Inc.
9.750%, 03/01/99................................... 9,525 9,930,765
Bayerische Landesbank U.S. Finance, Inc. Medium Term
Notes
6.400%, 05/05/99................................... 8,000 8,040,000
Disney (Walt) Co.
6.250%, 06/21/99................................... 5,000 5,005,000
IBM Credit Corp.
6.625%, 04/19/99................................... 5,000 5,037,500
Interamerican Development Bank
5.600%, 05/28/99................................... 5,000 4,976,000
National Australia Bank
5.375%, 02/09/99................................... 9,400 9,337,960
National Elf Aquitaine, Inc. Corporate Bonds
7.750%, 05/01/99................................... 9,700 9,906,125
Norwest Financial, Inc. Medium Term Notes
6.250%, 03/15/99................................... 1,500 1,503,750
Nova Scotia (Bank of)
6.375%, 04/14/99................................... 4,000 4,020,800
Pepsico, Inc.
0.000%, 05/25/99................................... 10,000 9,180,000
------------
TOTAL -- UNITED STATES
(Cost $71,115,618)................................... 71,474,675
------------
</TABLE>
226
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
FRANCE -- (17.0%)
BONDS -- (15.8%)
Caisse Nationale des Autoroutes
6.750%, 07/08/99................................... 70,000 $ 12,289,002
Credit d'Equipement des Petites et Moyennes Enterprises
9.000%, 08/19/99................................... 30,000 5,468,460
Denmark (Kingdom of)
5.500%, 10/26/99................................... 60,000 10,363,700
Eurofima Societe Europeene pour le Financement de
Material Ferroviaire
8.625%, 09/01/99................................... 65,000 11,791,076
European Investment Bank
6.250%, 07/28/99................................... 55,000 9,609,994
France Telecom SA
6.500%, 07/19/99................................... 70,000 12,228,529
Union Nationale Interprofessionale pour Emploi dans
Commerce Industrie SA
5.250%, 10/25/99................................... 25,000 4,300,422
------------
TOTAL BONDS
(Cost $64,362,499)................................... 66,051,183
------------
INVESTMENT IN CURRENCY -- (1.2%)
*French Francs (Cost $5,284,628)...................... 5,207,205
------------
TOTAL -- FRANCE
(Cost $69,647,127)................................... 71,258,388
------------
AUSTRALIA -- (7.9%)
BONDS -- (7.9%)
ABN-AMRO Australia, Ltd.
8.000%, 06/16/99................................... 3,000 2,124,559
9.500%, 09/08/99................................... 4,000 2,913,485
Barclays Australia International Finance, Ltd.
8.000%, 04/12/99................................... 4,400 3,114,815
Credit Locale de France SA Euro Medium Term Notes
10.500%, 01/06/99.................................. 2,900 2,085,687
Deutsche Australia, Ltd.
9.000%, 10/05/99................................... 5,000 3,617,908
International Finance Corp.
8.250%, 08/12/99................................... 2,894 2,066,719
Natwest Markets Australia, Ltd.
8.250%, 06/11/99................................... 4,100 2,921,237
Rural & Industries Bank Western Australia
10.000%, 08/23/99.................................. 1,700 1,246,374
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
State Bank of New South Wales
14.250%, 09/28/99.................................. 3,196 $ 2,512,661
Toronto Dominion Australia, Ltd.
8.750%, 07/20/99................................... 3,000 2,159,249
Toyota Finance Australia, Ltd.
8.250%, 07/26/99................................... 11,626 8,289,058
------------
TOTAL BONDS
(Cost $35,496,146)................................... 33,051,752
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $3).......................... 3
------------
TOTAL -- AUSTRALIA
(Cost $35,496,149)................................... 33,051,755
------------
NETHERLANDS -- (6.5%)
BONDS -- (6.5%)
ABN-Amro Bank NV
6.500%, 11/15/98................................... 3,500 1,799,341
7.250%, 05/01/99................................... 6,000 3,134,385
Austria (Republic of)
6.500%, 05/07/99................................... 6,500 3,359,617
Bank Nederlandse Gemeenten
5.500%, 07/05/99................................... 4,000 2,047,335
Bank voor Nederlandsche Gemeenten BNG
7.000%, 02/04/99................................... 5,000 2,593,123
European Investment Bank
5.000%, 02/16/99................................... 4,000 2,026,208
Netherlands (Kingdom of)
7.000%, 08/15/99................................... 23,000 12,061,420
------------
TOTAL -- NETHERLANDS
(Cost $26,910,241)................................... 27,021,429
------------
JAPAN -- (2.4%)
BONDS -- (2.4%)
Council of Europe Resettlement Fund for National
Refugees and Over-Population in Europe
5.000%, 04/28/99................................... 1,200,000 9,979,863
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $387)............................. 374
------------
TOTAL -- JAPAN
(Cost $10,960,296)................................... 9,980,237
------------
UNITED KINGDOM -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling (Cost $1)..................... 1
------------
</TABLE>
227
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (1.1%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
8.50%, 11/15/00, valued at $4,686,919) to be
repurchased at $4,617,096.
(Cost $4,615,000)................................... $ 4,615 $ 4,614,301
------------
(Cost $417,059,063)++ TOTAL INVESTMENTS -- (97.8%)
..................................................... 408,984,677
------------
OTHER ASSETS AND LIABILITIES -- (2.2%)
Other Assets.......................................... 11,620,349
Unrealized Gain on Forward Currency Contracts......... 3,664,573
Payable for Investment Securities Purchased........... (5,284,626)
Other Liabilities..................................... (78,413)
------------
9,921,883
NET ASSETS -- (100.0%) Applicable to 40,996,217
Outstanding $.01 Par Value Shares (Unlimited Number
of Shares Authorized)................................ $418,906,560
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.22
------------
------------
- --------------------
+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.
228
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE ENHANCED THE U.S. THE U.S.
6-10 SMALL LARGE U.S. LARGE 6-10 LARGE CAP
COMPANY COMPANY COMPANY VALUE VALUE
SERIES SERIES SERIES SERIES SERIES
----------- ----------- --------------- ----------- -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends.............................................. $ 3,000 $ 11,452 $ 3 $ 17,468 $ 25,961
Interest............................................... 369 141 1,609 2,070 746
Income from Securities Lending......................... 251 41 -- 612 132
----------- ----------- ------- ----------- -----------
Total Investment Income............................ 3,620 11,634 1,612 20,150 26,839
----------- ----------- ------- ----------- -----------
EXPENSES
Investment Advisory Services........................... 102 160 17 3,534 1,255
Accounting & Transfer Agent Fees....................... 164 96 34 855 610
Custodian's Fees....................................... 58 109 11 310 224
Legal Fees............................................. 7 7 8 35 26
Audit Fees............................................. 9 18 1 49 36
Shareholders' Reports.................................. 7 14 1 38 28
Trustees' Fees and Expenses............................ 1 1 1 8 5
Other.................................................. 13 50 10 46 33
----------- ----------- ------- ----------- -----------
Total Expenses..................................... 361 455 83 4,875 2,217
----------- ----------- ------- ----------- -----------
NET INVESTMENT INCOME.................................. 3,259 11,179 1,529 15,275 24,622
----------- ----------- ------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY
Net Realized Gain on Investment Securities............. 31,886 975 120 201,107 82,623
Net Realized Gain on Foreign Currency Transactions..... -- -- 536 -- --
Net Realized Gain on Futures........................... -- -- 7,354 -- --
Net Realized Gain on Swap Contracts.................... -- -- 967 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........... 42,885 147,979 (388) 300,802 172,274
Translation of Foreign Currency Denominated
Amounts............................................ -- -- 24 -- --
Futures.............................................. -- -- (2,550) -- --
Swap Contracts....................................... -- -- (322) -- --
----------- ----------- ------- ----------- -----------
NET GAIN ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY............................................. 74,771 148,954 5,741 501,909 254,897
----------- ----------- ------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....... $ 78,030 $ 160,133 $ 7,270 $ 517,184 $ 279,519
----------- ----------- ------- ----------- -----------
----------- ----------- ------- ----------- -----------
</TABLE>
See accompanying Notes to Financial Statements.
229
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE THE PACIFIC THE UNITED THE
JAPANESE RIM KINGDOM CONTINENTAL THE DFA
SMALL SMALL SMALL SMALL INTERNATIONAL
COMPANY COMPANY COMPANY COMPANY VALUE
SERIES SERIES SERIES SERIES SERIES
----------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, (Net of Foreign Taxes Withheld of $394,
$206, $908, $724 and $3,568, respectively).......... $ 2,229 $ 6,043 $ 5,435 $ 6,966 $ 33,238
Interest.............................................. 265 335 178 371 1,577
Income from Securities Lending........................ 648 178 -- 116 1,236
----------- ----------- ----------- ----------- ------------
Total Investment Income........................... 3,142 6,556 5,613 7,453 36,051
----------- ----------- ----------- ----------- ------------
EXPENSES
Investment Advisory Services.......................... 258 230 180 351 2,997
Accounting & Transfer Agent Fees...................... 317 284 222 400 789
Custodian's Fees...................................... 126 354 25 187 751
Legal Fees............................................ 11 9 8 13 32
Audit Fees............................................ 6 6 4 9 39
Shareholders' Reports................................. 5 5 3 7 30
Trustees' Fees and Expenses........................... 2 2 2 4 6
Other................................................. 25 21 16 30 102
----------- ----------- ----------- ----------- ------------
Total Expenses.................................... 750 911 460 1,001 4,746
----------- ----------- ----------- ----------- ------------
NET INVESTMENT INCOME................................. 2,392 5,645 5,153 6,452 31,305
----------- ----------- ----------- ----------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities..... (1,552) 3,120 13,056 17,533 6,023
Net Realized Gain (Loss) on Foreign Currency
Transactions........................................ 15 (468) 136 (454) (1,666)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........ (180,902) (101,332) (3,301) 20,901 (107,773)
Translation of Foreign Currency Denominated
Amounts......................................... (28) (10) -- (203) (44)
----------- ----------- ----------- ----------- ------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY............................................ (182,467) (98,690) 9,891 37,777 (103,460)
----------- ----------- ----------- ----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS.............................................. $(180,075) $ (93,045) $ 15,044 $ 44,229 $ (72,155)
----------- ----------- ----------- ----------- ------------
----------- ----------- ----------- ----------- ------------
</TABLE>
See accompanying Notes to Financial Statements.
230
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
THE THE DFA THE DFA THE DFA TWO-YEAR
EMERGING THE EMERGING ONE-YEAR TWO-YEAR TWO-YEAR GLOBAL
MARKETS MARKETS SMALL FIXED INCOME CORPORATE FIXED GOVERNMENT FIXED INCOME
SERIES CAP SERIES(1) SERIES INCOME SERIES SERIES SERIES
----------- --------------- ------------- --------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, (Net of Foreign Taxes
Withheld of $366, $47, $0, $0, $0
and $0, respectively)............. $ 4,421 $ 608 -- -- -- --
Interest............................ 490 56 $ 46,692 $ 8,483 $ 6,901 $ 17,830
----------- ------- ------------- ------- ------------- -------------
Total Investment Income......... 4,911 664 46,692 8,483 6,901 17,830
----------- ------- ------------- ------- ------------- -------------
EXPENSES
Investment Advisory Services........ 226 47 392 210 175 185
Accounting & Transfer Agent Fees.... 278 29 202 64 57 351
Custodian's Fees.................... 672 112 97 17 14 78
Legal Fees.......................... 12 14 11 4 4 12
Audit Fees.......................... 7 1 19 3 2 10
Shareholders' Reports............... 5 4 15 3 2 7
Trustees' Fees and Expenses......... 2 -- 2 -- -- 3
Other............................... 28 5 29 13 15 7
----------- ------- ------------- ------- ------------- -------------
Total Expenses.................. 1,230 212 767 314 269 653
----------- ------- ------------- ------- ------------- -------------
NET INVESTMENT INCOME............... 3,681 452 45,925 8,169 6,632 17,177
----------- ------- ------------- ------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment
Securities........................ 153 89 1,165 487 134 861
Net Realized Gain (Loss) on Foreign
Currency Transactions............. 693 (39) -- -- -- 13,543
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency.............. (61,201) (5,991) (2,454) (669) (183) (11,785)
Translation of Foreign Currency
Denominated Amounts........... (19) (1) -- -- -- 1,402
----------- ------- ------------- ------- ------------- -------------
NET GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY... (60,374) (5,942) (1,289) (182) (49) 4,021
----------- ------- ------------- ------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............. $ (56,693) $ (5,490) $ 44,636 $ 7,987 $ 6,583 $ 21,198
----------- ------- ------------- ------- ------------- -------------
----------- ------- ------------- ------- ------------- -------------
</TABLE>
- ------------------
(1) For the period December 2, 1996 (commencement of operations) to November
30, 1997.
See accompanying Notes to Financial Statements.
231
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE ENHANCED
THE U.S. 6-10 SMALL THE U.S. LARGE U.S. LARGE
COMPANY SERIES COMPANY SERIES COMPANY SERIES
-------------------- -------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED JULY 3, TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1997 1996 1997 1996
--------- --------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income..................................... $ 3,259 $ 2,838 $ 11,179 $ 5,282 $ 1,529 $ 401
Net Realized Gain (Loss) on Investment Securities......... 31,886 30,043 975 (18) 120 142
Net Realized Gain (Loss) on Foreign Currency
Transactions............................................ -- -- -- -- 536 (28)
Net Realized Gain on Futures.............................. -- -- -- -- 7,354 --
Net Realized Gain on Swap Contracts....................... -- -- -- -- 967 --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. 42,885 10,563 147,979 63,985 (388) 67
Translation of Foreign Currency Denominated Amounts..... -- -- -- -- 24 172
Futures................................................. -- -- -- -- (2,550) 3,290
Swap Contracts.......................................... -- -- -- -- (322) 380
--------- --------- --------- --------- --------- -----------
Net Increase in Net Assets Resulting from
Operations.......................................... 78,030 43,444 160,133 69,249 7,270 4,424
--------- --------- --------- --------- --------- -----------
Distributions From:
Net Investment Income..................................... (2,966) (2,841) -- (1,215) (1,590) (332)
Net Realized Gains........................................ (30,080) (12,248) -- (686) (3,438) --
--------- --------- --------- --------- --------- -----------
Total Distributions................................... (33,046) (15,089) -- (1,901) (5,028) (332)
--------- --------- --------- --------- --------- -----------
Capital Share Transactions (1):
Shares Issued............................................. 154,761 73,274 -- 32,324 27,476 25,091
Shares Issued in Lieu of Cash Distributions............... 31,055 14,860 -- 1,744 3,358 332
Shares Redeemed........................................... (66,368) (70,072) -- (10,535) (14,673) (302)
--------- --------- --------- --------- --------- -----------
Net Increase from Capital Share Transactions.......... 119,448 18,062 -- 23,533 16,161 25,121
--------- --------- --------- --------- --------- -----------
Transactions in Interest (1):
Contributions............................................. -- -- 269,144 309,297 -- --
Withdrawals............................................... -- -- (73,225) (30,855) -- --
--------- --------- --------- --------- --------- -----------
Net Increase from Transactions in Interest............ -- -- 195,919 278,442 -- --
--------- --------- --------- --------- --------- -----------
Total Increase........................................ 164,432 46,417 356,052 369,323 18,403 29,213
NET ASSETS
Beginning of Period....................................... 268,401 221,984 466,441 97,118 29,213 --
--------- --------- --------- --------- --------- -----------
End of Period............................................. $ 432,833 $ 268,401 $ 822,493 $ 466,441 $ 47,616 $ 29,213
--------- --------- --------- --------- --------- -----------
--------- --------- --------- --------- --------- -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................ 12,630 6,163 N/A 2,257 2,322 2,484
Shares Issued in Lieu of Cash Distributions.............. 2,751 1,340 121 314 28
Shares Redeemed.......................................... (5,446) (5,840) (754) (1,330) (27)
--------- --------- --------- --------- -----------
9,935 1,663 1,624 1,306 2,485
--------- --------- --------- --------- -----------
--------- --------- --------- --------- -----------
</TABLE>
- ------------------
(1) For The U.S. Large Company Series, Capital Share Transactions and Shares
Issued and Redeemed are reported through May 31, 1996, Transactions in
Interest are reported for the period June 1, through November 30, 1996.
Effective June 1, 1996, the Series was reorganized as a partnership.
See accompanying Notes to Financial Statements.
232
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. LARGE CAP
THE U.S. 6-10 VALUE SERIES
VALUE SERIES ----------------------
------------------------ YEAR
YEAR ENDED YEAR ENDED YEAR ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1997 1996
----------- ----------- ----------- ---------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income........................ $ 15,275 $ 10,727 $ 24,622 $ 16,593
Net Realized Gain on Investment Securities... 201,107 57,358 82,623 52,525
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities...................... 300,802 131,332 172,274 82,209
----------- ----------- ----------- ---------
Net Increase in Net Assets Resulting from
Operations............................. 517,184 199,417 279,519 151,327
----------- ----------- ----------- ---------
Distributions From:
Net Investment Income........................ (12,192) (10,581) (23,401) (16,460)
Net Realized Gains........................... (57,267) (15,728) (52,566) (11,101)
----------- ----------- ----------- ---------
Total Distributions...................... (69,459) (26,309) (75,967) (27,561)
----------- ----------- ----------- ---------
Capital Share Transactions (1):
Shares Issued................................ 578,927 470,306 320,473 470,093
Shares Issued in Lieu of Cash
Distributions.............................. 63,693 25,751 64,945 25,800
Shares Redeemed.............................. (114,290) (45,295) (86,916) (54,744)
----------- ----------- ----------- ---------
Net Increase from Capital Share
Transactions........................... 528,330 450,762 298,502 441,149
----------- ----------- ----------- ---------
Total Increase........................... 976,055 623,870 502,054 564,915
NET ASSETS
Beginning of Period.......................... 1,248,213 624,343 987,942 423,027
----------- ----------- ----------- ---------
End of Period................................ $ 2,224,268 $ 1,248,213 $ 1,489,996 $ 987,942
----------- ----------- ----------- ---------
----------- ----------- ----------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................... 32,037 32,133 19,550 33,894
Shares Issued in Lieu of Cash
Distributions............................. 3,798 1,749 4,236 1,923
Shares Redeemed............................. (5,731) (3,121) (5,069) (3,976)
----------- ----------- ----------- ---------
30,104 30,761 18,717 31,841
----------- ----------- ----------- ---------
----------- ----------- ----------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
233
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE JAPANESE THE PACIFIC
SMALL RIM SMALL
COMPANY COMPANY
SERIES SERIES
--------------------- ---------------------
AUG. 9 AUG. 9
YEAR ENDED TO YEAR ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1997 1996
---------- --------- ---------- ---------
INCREASE (DECREASE) IN NET ASSETS
<S> <C> <C> <C> <C>
Operations:
Net Investment Income............................ $ 2,392 $ 816 $ 5,645 $ 1,634
Net Realized Gain (Loss) on Investment
Securities..................................... (1,552) (540) 3,120 1,507
Net Realized Gain (Loss) on Foreign Currency
Transactions................................... 15 (33) (468) (3)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency..... (180,902) (31,608) (101,332) 11,126
Translation of Foreign Currency Denominated
Amounts...................................... (28) (6) (10) 11
---------- --------- ---------- ---------
Net Increase (Decrease) in Net Assets Resulting
from Operations.............................. (180,075) (31,371) (93,045) 14,275
---------- --------- ---------- ---------
Transactions in Interest:
Contributions.................................... 104,691 393,877 48,364 232,462
Withdrawals...................................... (78,956) (32,824) (39,005) (15,256)
---------- --------- ---------- ---------
Net Increase from Transactions in Interest..... 25,735 361,053 9,359 217,206
---------- --------- ---------- ---------
Total Increase (Decrease)...................... (154,340) 329,682 (83,686) 231,481
NET ASSETS
Beginning of Period.............................. 329,682 -- 231,481 --
---------- --------- ---------- ---------
End of Period.................................... $ 175,342 $ 329,682 $ 147,795 $ 231,481
---------- --------- ---------- ---------
---------- --------- ---------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
234
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE UNITED KINGDOM
SMALL COMPANY SERIES THE CONTINENTAL
-------------------- SMALL COMPANY SERIES
YEAR ---------------------
ENDED AUG. 9 TO YEAR ENDED AUG. 9 TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1997 1996
--------- --------- ---------- ---------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income..................... $ 5,153 $ 1,550 $ 6,452 $ 273
Net Realized Gain (Loss) on Investment
Securities.............................. 13,056 (65) 17,533 4,083
Net Realized Gain (Loss) on Foreign
Currency Transactions................... 136 65 (454) 4
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.............................. (3,301) 16,738 20,901 3,231
Translation of Foreign Currency
Denominated Amounts................... -- 8 (203) (71)
--------- --------- ---------- ---------
Net Increase in Net Assets Resulting
from Operations..................... 15,044 18,296 44,229 7,520
--------- --------- ---------- ---------
Transactions in Interest:
Contributions............................. 30,978 178,848 52,536 360,586
Withdrawals............................... (56,796) (14,519) (109,037) (32,224)
--------- --------- ---------- ---------
Net Increase (Decrease) from
Transactions in Interest............ (25,818) 164,329 (56,501) 328,362
--------- --------- ---------- ---------
Total Increase (Decrease)............. (10,774) 182,625 (12,272) 335,882
NET ASSETS
Beginning of Period....................... 182,625 -- 335,882 --
--------- --------- ---------- ---------
End of Period............................. $ 171,851 $ 182,625 $ 323,610 $ 335,882
--------- --------- ---------- ---------
--------- --------- ---------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
235
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE EMERGING
THE DFA INTERNATIONAL MARKETS SERIES THE EMERGING
VALUE SERIES -------------------- MARKETS SMALL
------------------------ YEAR YEAR CAP SERIES
YEAR ENDED YEAR ENDED ENDED ENDED ---------------
NOV. 30, NOV. 30, NOV. 30, NOV. 30, DEC. 2, 1996 TO
1997 1996 1997 1996 NOV. 30, 1997
----------- ----------- --------- --------- ---------------
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income...................................... $ 31,305 $ 23,725 $ 3,681 $ 1,803 $ 452
Net Realized Gain on Investment Securities................. 6,023 27,321 153 43 89
Net Realized Loss of Foreign Currency Transactions......... (1,666) (82) 693 (78) (39)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............... (107,773) 80,434 (61,201) 5,536 (5,991)
Translation of Foreign Currency Denominated Amounts...... (44) 9 (19) 7 (1)
----------- ----------- --------- --------- ---------------
Net Increase (Decrease) in Net Assets Resulting from
Operations........................................... (72,155) 131,407 (56,693) 7,311 (5,490)
----------- ----------- --------- --------- ---------------
Distributions From:
Net Investment Income...................................... (29,074) (23,445) -- -- --
Net Realized Gains......................................... (27,255) (4,744) -- -- --
----------- ----------- --------- --------- ---------------
Total Distributions.................................... (56,329) (28,189) -- -- --
----------- ----------- --------- --------- ---------------
Capital Share Transactions (1):
Shares Issued.............................................. 409,256 1,084,901 -- -- --
Shares Issued in Lieu of Cash Distributions................ 56,329 28,189 -- -- --
Shares Redeemed............................................ (111,867) (468,842) -- -- --
----------- ----------- --------- --------- ---------------
Net Increase From Capital Share Transactions........... 353,718 644,248 -- -- --
----------- ----------- --------- --------- ---------------
Transactions in Interest:
Contributions.............................................. -- -- 130,588 108,247 24,940
Withdrawals................................................ -- -- (15,029) (2,834) (1)
----------- ----------- --------- --------- ---------------
Net Increase from Transactions in Interest............. -- -- 115,559 105,413 24,939
----------- ----------- --------- --------- ---------------
Total Increase......................................... 225,234 747,466 58,866 112,724 19,449
NET ASSETS
Beginning of Period........................................ 1,356,852 609,386 162,075 49,351 --
----------- ----------- --------- --------- ---------------
End of Period.............................................. $ 1,582,086 $ 1,356,852 $ 220,941 $ 162,075 $ 19,449
----------- ----------- --------- --------- ---------------
----------- ----------- --------- --------- ---------------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................. 34,790 95,652 N/A N/A N/A
Shares Issued in Lieu of Cash Distributions............... 4,875 2,494
Shares Redeemed........................................... (9,587) (40,798)
----------- -----------
30,078 57,348
----------- -----------
----------- -----------
</TABLE>
See accompanying Notes to Financial Statements.
236
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA ONE-YEAR THE DFA
FIXED INCOME TWO-YEAR CORPORATE
SERIES FIXED INCOME SERIES
---------------------- ---------------------
YEAR ENDED YEAR ENDED YEAR ENDED JUNE 7 TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1997 1996
---------- ---------- ---------- ---------
INCREASE (DECREASE) IN NET ASSETS
<S> <C> <C> <C> <C>
Operations:
Net Investment Income........................... $ 45,925 $ 43,492 $ 8,169 $ 3,222
Net Realized Gain (Loss) on Investment
Securities.................................... 1,165 (301) 487 164
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities......................... (2,454) 3,135 (669) 823
---------- ---------- ---------- ---------
Net Increase in Net Assets Resulting from
Operations................................ 44,636 46,326 7,987 4,209
---------- ---------- ---------- ---------
Distributions From:
Net Investment Income........................... (46,321) (42,530) (8,338) (3,053)
Net Realized Gains.............................. -- -- (651) --
---------- ---------- ---------- ---------
Total Distributions......................... (46,321) (42,530) (8,989) (3,053)
---------- ---------- ---------- ---------
Capital Share Transactions (1):
Shares Issued................................... 282,650 520,113 41,285 126,154
Shares Issued in Lieu of Cash Distributions..... 37,665 32,939 3,111 1,641
Shares Redeemed................................. (395,687) (403,109) (9,740) (6,165)
---------- ---------- ---------- ---------
Net Increase (Decrease) From Capital Share
Transactions.............................. (75,372) 149,943 34,656 121,630
---------- ---------- ---------- ---------
Liquidating Distribution.......................... -- -- (156,440) --
---------- ---------- ---------- ---------
Total Increase (Decrease)................... (77,057) 153,739 (122,786) 122,786
NET ASSETS
Beginning of Period............................. 859,293 705,554 122,786 --
---------- ---------- ---------- ---------
End of Period................................... $ 782,236 $ 859,293 $ 0 $ 122,786
---------- ---------- ---------- ---------
---------- ---------- ---------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................. 28,307 52,148 3,810 12,591
Shares Issued in Lieu of Cash Distributions.... 3,778 3,311 309 163
Shares Redeemed................................ (39,644) (40,380) (962) (607)
Liquidating Distribution....................... -- -- (15,304) --
---------- ---------- ---------- ---------
(7,559) 15,079 (12,147) 12,147
---------- ---------- ---------- ---------
---------- ---------- ---------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
237
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
THE DFA TWO-YEAR TWO-YEAR GLOBAL
GOVERNMENT FIXED INCOME SERIES
SERIES --------------------
--------------------- YEAR
YEAR ENDED JUNE 7 TO ENDED FEB. 9 TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1997 1996
---------- --------- --------- ---------
INCREASE (DECREASE) IN NET ASSETS
<S> <C> <C> <C> <C>
Operations:
Net Investment Income..................................... $ 6,632 $ 2,648 $ 17,177 $ 9,662
Net Realized Gain on Investment Securities................ 134 504 861 241
Net Realized Gain of Foreign Currency Transactions........ -- -- 13,543 527
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. (183) 357 (11,785) 3,711
Translation of Foreign Currency Denominated Amounts..... -- -- 1,402 2,297
---------- --------- --------- ---------
Net Increase in Net Assets Resulting from
Operations.......................................... 6,583 3,509 21,198 16,438
---------- --------- --------- ---------
Distributions From:
Net Investment Income..................................... -- -- (25,358) (6,900)
Net Realized Gains........................................ -- -- (251) --
---------- --------- --------- ---------
Total Distributions................................... -- -- (25,609) (6,900)
---------- --------- --------- ---------
Capital Share Transactions (1):
Shares Issued............................................. -- -- 122,794 323,241
Shares Issued in Lieu of Cash Distributions............... -- -- 23,253 6,900
Shares Redeemed........................................... -- -- (42,001) (20,407)
---------- --------- --------- ---------
Net Increase From Capital Share Transactions.......... -- -- 104,046 309,734
---------- --------- --------- ---------
Transactions in Interest:
Contributions............................................. 39,504 109,613 -- --
Withdrawals............................................... (150,734) (8,475) -- --
---------- --------- --------- ---------
Net Increase (Decrease) from Transactions in
Interest............................................ (111,230) 101,138 -- --
---------- --------- --------- ---------
Total Increase (Decrease)............................. (104,647) 104,647 99,635 319,272
NET ASSETS
Beginning of Period....................................... 104,647 -- 319,272 --
---------- --------- --------- ---------
End of Period............................................. $ 0 $ 104,647 $ 418,907 $ 319,272
---------- --------- --------- ---------
---------- --------- --------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................ N/A N/A 11,943 32,201
Shares Issued in Lieu of Cash Distributions.............. 2,278 683
Shares Redeemed.......................................... (4,088) (2,021)
--------- ---------
10,133 30,863
--------- ---------
--------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
238
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 6-10 SMALL COMPANY SERIES
----------------------------------------------------
YEAR YEAR YEAR YEAR FEB. 3
ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period
(2).................... $ 12.56 $ 11.26 $ 9.54 $ 10.39 $ 10.00
----------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS (2)
Net Investment
Income............... 0.11 0.13 0.12 0.12 0.10
Net Gain (Losses) on
Securities (Realized
and Unrealized)...... 2.81 1.92 2.50 (0.07) 0.54
----------- -------- -------- -------- --------
Total From Investment
Operations......... 2.92 2.05 2.62 0.05 0.64
- -------------------------------------------------------------------------------
LESS DISTRIBUTIONS (2)
Net Investment
Income............... (0.10) (0.13) (0.12) (0.11) (0.10)
Net Realized Gains..... (1.56) (0.62) (0.78) (0.79) (0.15)
----------- -------- -------- -------- --------
Total
Distributions...... (1.66) (0.75) (0.90) (0.90) (0.25)
- -------------------------------------------------------------------------------
Net Asset Value, End of
Period (2)............. $ 13.82 $ 12.56 $ 11.26 $ 9.54 $ 10.39
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
Total Return (2)......... 26.47% 19.17% 29.19% 0.59% 6.35%#
- -------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)............ $ 432,833 $268,401 $221,984 $143,630 $161,925
Ratio of Expenses to
Average Net Assets..... 0.11% 0.13% 0.15% 0.17% 0.17%*
Ratio of Net Investment
Income to Average Net
Assets................. 0.96% 1.05% 1.18% 1.11% 1.18%*
Portfolio Turnover
Rate................... 30.04% 32.38% 21.16% 27.65% 32.88%*
Average Commission Rate
(1).................... $ 0.0583 $ 0.0586 N/A N/A N/A
- -------------------------------------------------------------------------------
<CAPTION>
THE ENHANCED
U.S. LARGE
THE U.S. LARGE COMPANY SERIES COMPANY SERIES
---------------------------------------------------------------------- ---------------------------
YEAR YEAR YEAR YEAR FEB. 8 YEAR JULY 3
ENDED ENDED ENDED ENDED TO ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993 1997 1996
- ------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period
(2).................... N/A $ 13.48 $ 10.11 $ 10.27 $ 10.00 $ 11.76 $ 10.00
----------- ----------- ---------- ---------- ---------- ------------ ----------
INCOME FROM INVESTMENT
OPERATIONS (2)
Net Investment
Income............... -- 0.15 0.30 0.28 0.24 0.51 0.16
Net Gain (Losses) on
Securities (Realized
and Unrealized)...... -- 1.41 3.36 (0.14) 0.26 2.25 1.74
----------- ----------- ---------- ---------- ---------- ------------ ----------
Total From Investment
Operations......... -- 1.56 3.66 0.14 0.50 2.76 1.90
- ------------------------- ------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS (2)
Net Investment
Income............... -- (0.16) (0.29) (0.29) (0.23) (0.54) (0.14)
Net Realized Gains..... -- (0.08) -- (0.01) -- (1.42) --
----------- ----------- ---------- ---------- ---------- ------------ ----------
Total
Distributions...... -- (0.24) (0.29) (0.30) (0.23) (1.96) (0.14)
- ------------------------- ------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period (2)............. N/A $ 14.80 $ 13.48 $ 10.11 $ 10.27 $ 12.56 $ 11.76
- ------------------------- ------------------------------------------------------------------------------------------------------
- ------------------------- ------------------------------------------------------------------------------------------------------
Total Return (2)......... N/A 11.60%# 36.77% 1.30% 5.05%# 27.63% 18.95%#
- ------------------------- ------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)............ $ 822,493 $ 466,441 $97,118 $48,657 $37,853 $47,616 $29,213
Ratio of Expenses to
Average Net Assets..... 0.07% 0.12% 0.02%(a) 0.02%(a) 0.02%*(a) 0.25% 0.29%*
Ratio of Net Investment
Income to Average Net
Assets................. 1.75% 2.12% 2.61%(a) 2.83%(a) 2.87%*(a) 4.59% 4.60%*
Portfolio Turnover
Rate................... 4.28% 14.09% 2.38% 8.52% 34.36%* 193.78% 211.07%*
Average Commission Rate
(1).................... $ 0.0202 $ 0.0212 N/A N/A N/A $0.0246 $0.0200
- ------------------------- ------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(a) Had certain reimbursements not been in effect the ratios of expenses to average net assets for the periods ended November
30, 1995, 1994 and 1993 would have been 0.18%, 0.33% and 0.48%, respectively, and the ratios of net investment income to
average net assets for the period November 30, 1995, 1994 and 1993, would have been 2.45%, 2.52% and 2.41%, respectively.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC fiscal years beginning
after September 1, 1995.
(2) For the U.S. Large Company Series, items are calculated for the period December 1, 1995 through May 31, 1996. Effective
June 1, 1996, this Series was reorganized as a partnership, and these items are no longer applicable.
</TABLE>
See accompanying Notes to Financial Statements.
239
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 6-10 VALUE SERIES
-----------------------------------------------------------
YEAR YEAR YEAR YEAR MARCH 2
ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period...... $ 16.58 $ 14.02 $ 11.15 $ 11.04 $ 10.00
----------- ---------- --------- --------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................... 0.15 0.15 0.14 0.12 0.08
Net Gain (Losses) on Securities
(Realized and Unrealized)............. 5.23 2.88 3.06 0.16 1.09
----------- ---------- --------- --------- --------
Total From Investment Operations...... 5.38 3.03 3.20 0.28 1.17
- -------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................... (0.12) (0.15) (0.14) (0.12) (0.07)
Net Realized Gains...................... (0.74) (0.32) (0.19) (0.05) (0.06)
----------- ---------- --------- --------- --------
Total Distributions................... (0.86) (0.47) (0.33) (0.17) (0.13)
- -------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............ $ 21.10 $ 16.58 $ 14.02 $ 11.15 $ 11.04
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
Total Return.............................. 33.93% 22.14% 28.81% 2.52% 11.69%#
- -------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)..... $2,224,268 $1,248,213 $ 624,343 $ 350,277 $95,681
Ratio of Expenses to Average Net Assets... 0.28% 0.29% 0.32% 0.32% 0.33%*
Ratio of Net Investment Income to Average
Net Assets.............................. 0.86% 1.11% 1.22% 1.50% 1.35%*
Portfolio Turnover Rate................... 25.47% 14.91% 20.62% 8.22% 1.07%*
Average Commission Rate (1)............... $ 0.0645 $ 0.0658 N/A N/A N/A
- -------------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. LARGE CAP VALUE SERIES
----------------------------------------------------------
YEAR YEAR YEAR YEAR FEB. 19
ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994 1993
- ------------------------------------------ ----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period...... $ 15.52 $ 13.29 $ 9.92 $ 10.59 $ 10.00
----------- -------- -------- -------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................... 0.32 0.31 0.32 0.33 0.20
Net Gain (Losses) on Securities
(Realized and Unrealized)............. 3.38 2.57 3.53 (0.65) 0.58
----------- -------- -------- -------- -----------
Total From Investment Operations...... 3.70 2.88 3.85 (0.32) 0.78
- ------------------------------------------ ----------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................... (0.31) (0.31) (0.31) (0.35) (0.18)
Net Realized Gains...................... (0.82) (0.34) (0.17) -- (0.01)
----------- -------- -------- -------- -----------
Total Distributions................... (1.13) (0.65) (0.48) (0.35) (0.19)
- ------------------------------------------ ----------------------------------------------------------
Net Asset Value, End of Period............ $ 18.09 $ 15.52 $ 13.29 $ 9.92 $ 10.59
- ------------------------------------------ ----------------------------------------------------------
- ------------------------------------------ ----------------------------------------------------------
Total Return.............................. 25.31% 22.48% 39.26% (3.13)% 7.79%#
- ------------------------------------------ ----------------------------------------------------------
Net Assets, End of Period (thousands)..... $ 1,489,996 $987,942 $423,027 $198,848 $90,271
Ratio of Expenses to Average Net Assets... 0.18% 0.19% 0.21% 0.22% 0.23%*
Ratio of Net Investment Income to Average
Net Assets.............................. 1.96% 2.37% 2.84% 3.72% 3.75%*
Portfolio Turnover Rate................... 17.71% 20.12% 29.41% 39.33% 0.75%*
Average Commission Rate (1)............... $ 0.0494 $ 0.0499 N/A N/A N/A
- ------------------------------------------ ----------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC fiscal years beginning
after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
240
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE JAPANESE THE PACIFIC RIM
SMALL COMPANY SMALL COMPANY
SERIES SERIES
----------------------------- -----------------------------
YEAR AUG. 9 YEAR AUG. 9
ENDED TO ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1997 1996
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... N/A+ N/A+ N/A+ N/A+
------------- ------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. -- -- -- --
Net Gain (Losses) on Securities
(Realized and Unrealized)........... -- -- -- --
------------- ------------- ------------- -------------
Total From Investment Operations.... -- -- -- --
- -------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. -- -- -- --
Net Realized Gains.................... -- -- -- --
------------- ------------- ------------- -------------
Total Distributions................. -- -- -- --
- -------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... N/A+ N/A+ N/A+ N/A+
- -------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------
Total Return............................ N/A+ N/A+ N/A+ N/A+
- -------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 175,342 $ 329,682 $ 147,795 $ 231,481
Ratio of Expenses to Average Net
Assets................................ 0.29% 0.29%* 0.40% 0.45%*
Ratio of Net Investment Income to
Average Net Assets.................... 0.93% 0.76%* 2.45% 2.50%*
Portfolio Turnover Rate................. 13.17% 1.67%* 24.00% 8.04%*
Average Commission Rate (1)............. $ 0.0282 $ 0.0427 $ 0.0042 $ 0.0102
- -------------------------------------------------------------------------------------------------------
<CAPTION>
THE UNITED KINGDOM THE CONTINENTAL
SMALL COMPANY SMALL COMPANY
SERIES SERIES
----------------------------- -----------------------------
YEAR AUG. 9 YEAR AUG. 9
ENDED TO ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1997 1996
<S> <C> <C> <C> <C>
- ---------------------------------------- -------------------------------------------------------------
Net Asset Value, Beginning of Period.... N/A+ N/A+ N/A+ N/A+
------------- ------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. -- -- -- --
Net Gain (Losses) on Securities
(Realized and Unrealized)........... -- -- -- --
------------- ------------- ------------- -------------
Total From Investment Operations.... -- -- -- --
- ---------------------------------------- -------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. -- -- -- --
Net Realized Gains.................... -- -- -- --
------------- ------------- ------------- -------------
Total Distributions................. -- -- -- --
- ---------------------------------------- -------------------------------------------------------------
Net Asset Value, End of Period.......... N/A+ N/A+ N/A+ N/A+
- ---------------------------------------- -------------------------------------------------------------
- ---------------------------------------- -------------------------------------------------------------
Total Return............................ N/A+ N/A+ N/A+ N/A+
- ---------------------------------------- -------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 171,851 $ 182,625 $ 323,610 $ 335,882
Ratio of Expenses to Average Net
Assets................................ 0.25% 0.29%* 0.29% 0.31%*
Ratio of Net Investment Income to
Average Net Assets.................... 2.86% 2.94%* 1.84% 0.27%*
Portfolio Turnover Rate................. 4.26% 4.55%* 3.46% 6.69%*
Average Commission Rate (1)............. $ 0.0073 $ 0.0050 $ 0.0586 $ 0.0392
- ---------------------------------------- -------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
+ Not applicable as The Japanese Small Company Series, The Pacific Rim Small Company Series, The United Kingdom Small
Company Series and The Continental Small Company Series are organized as Partnerships.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
241
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA INTERNATIONAL
VALUE SERIES
-------------------------------------------------
YEAR YEAR YEAR FEB. 16
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------
Net Asset Value, Beginning of Period.... $ 11.79 $ 10.55 $ 10.06 $ 10.00
----------- ----------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.24 0.23 0.20 0.13
Net Gain (Losses) on Securities
(Realized and Unrealized)........... (0.67) 1.32 0.52 0.07
----------- ----------- --------- ---------
Total From Investment Operations.... (0.43) 1.55 0.72 0.20
- -------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.22) (0.23) (0.21) (0.13)
Net Realized Gains.................... (0.24) (0.08) (0.02) (0.01)
----------- ----------- --------- ---------
Total Distributions..................... (0.46) (0.31) (0.23) (0.14)
- -------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 10.90 $ 11.79 $ 10.55 $ 10.06
- -------------------------------------------------------------------------------------------
Total Return............................ (3.84)% 14.85% 7.20% 1.99%#
- -------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 1,582,086 $ 1,356,852 $ 609,386 $ 348,381
Ratio of Expenses to Average Net
Assets................................ 0.32% 0.36% 0.42% 0.45%*(a)
Ratio of Net Investment Income to
Average Net Assets.................... 2.09% 2.23% 2.14% 1.84%*(a)
Portfolio Turnover Rate................. 22.55% 12.23% 9.75% 1.90%*
Average Commission Rate (1)............. $ 0.0068 $ 0.0112 N/A N/A
- -------------------------------------------------------------------------------------------
<CAPTION>
THE EMERGING
MARKETS SERIES
-----------------------------------------------
YEAR YEAR YEAR APRIL 25
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1995 1994
<S> <C> <C> <C> <C>
- ---------------------------------------- -----------------------------------------------
Net Asset Value, Beginning of Period.... N/A+ N/A+ N/A+ N/A+
----------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. -- -- -- --
Net Gain (Losses) on Securities
(Realized and Unrealized)........... -- -- -- --
----------- --------- --------- ---------
Total From Investment Operations.... -- -- -- --
- ---------------------------------------- -----------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. -- -- -- --
Net Realized Gains.................... -- -- -- --
----------- --------- --------- ---------
Total Distributions..................... -- -- -- --
- ---------------------------------------- -----------------------------------------------
Net Asset Value, End of Period.......... N/A+ N/A+ N/A+ N/A+
- ---------------------------------------- -----------------------------------------------
Total Return............................ N/A+ N/A+ N/A+ N/A+
- ---------------------------------------- -----------------------------------------------
- ---------------------------------------- -----------------------------------------------
Net Assets, End of Period (thousands)... $ 220,941 $ 162,075 $ 49,351 $ 15,724
Ratio of Expenses to Average Net
Assets................................ 0.54% 0.66% 0.87% 1.49%*
Ratio of Net Investment Income to
Average Net Assets.................... 1.63% 1.63% 1.70% 0.56%*
Portfolio Turnover Rate................. 0.54% 0.37% 8.17% 1.28%*
Average Commission Rate (1)............. $ 0.0010 $ 0.0010 N/A N/A
- ---------------------------------------- -----------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
+ Not applicable as The Emerging Markets Series is organized as a partnership.
(a) Had certain waivers not been in effect the ratio of expenses to average net assets for the period ended November 30, 1994
would have been 0.48%, and the ratio of net investment income to average net assets for the period ended November 30,
1994 would have been 1.81%.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
</TABLE>
See accompanying Notes to Financial Statements.
242
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE
EMERGING
MARKETS
SMALL CAP
SERIES
----------- THE DFA ONE-YEAR FIXED INCOME SERIES(2)
DEC. 2, ----------------------------------------------------
1996 YEAR YEAR YEAR YEAR FEB. 8
TO ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1997 1996 1995 1994 1993
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period............................. N/A+ $ 10.03 $ 10.00 $ 9.84 $ 10.06 $ 10.00
----------- ----------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income.............. -- 0.59 0.56 0.60 0.44 0.31
Net Gain (Losses) on Securities
(Realized and Unrealized)........ -- (0.02) 0.03 0.16 (0.18) 0.03
----------- ----------- -------- -------- -------- --------
Total From Investment
Operations...................... -- 0.57 0.59 0.76 0.26 0.34
- -----------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income.............. -- (0.59) (0.56) (0.60) (0.43) (0.28)
Net Realized Gains................. -- -- -- -- (0.05) --
----------- ----------- -------- -------- -------- --------
Total Distributions.................. -- (0.59) (0.56) (0.60) (0.48) (0.28)
- -----------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period....... N/A+ $ 10.01 $ 10.03 $ 10.00 $ 9.84 $ 10.06
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
Total Return......................... N/A+ 5.83% 6.10% 7.91% 2.61% 3.39%#
- -----------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)........................ $ 19,449 $ 782,236 $859,293 $705,554 $592,286 $608,428
Ratio of Expenses to Average Net
Assets............................. 0.90%*(a) 0.10% 0.09% 0.10% 0.10% 0.10%*
Ratio of Net Investment Income to
Average Net Assets................. 1.90%*(a) 5.85% 5.62% 6.04% 4.41% 3.80%*
Portfolio Turnover Rate.............. 2.54%* 82.84% 95.84% 81.31% 140.82% 111.67%*
Average Commission Rate (1).......... $ 0.0020 N/A N/A N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
+ Not applicable as The Emerging Markets Small Cap Series is organized as a partnership.
(a) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily
indicative of future ratios.
(1) Computed by dividing the total amount of brokerage commissions paid by the total shares of investment securities
purchased and sold during the period for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
(2) Restated to reflect a 900% stock dividend as January 2, 1996.
</TABLE>
See accompanying Notes to Financial Statements.
243
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA THE DFA
TWO-YEAR THE DFA TWO-YEAR
CORPORATE FIXED TWO-YEAR GLOBAL FIXED
INCOME GOVERNMENT INCOME
SERIES SERIES SERIES
-------------------------- -------------------------- ---------------------
YEAR JUNE 7 YEAR JUNE 7 YEAR FEB 9
ENDED TO ENDED TO ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1997 1996 1997 1996 1997 1996
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................ $ 10.11 $ 10.00 N/A+ N/A+ $ 10.34 $ 10.00
----------- ------------ ----------- ------------ ---------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income......... 0.57 0.28 -- -- 0.48 0.34
Net Gain (Losses) on
Securities (Realized and
Unrealized)................. (0.04) 0.09 -- -- 0.12 0.25
----------- ------------ ----------- ------------ ---------- --------
Total From Investment
Operations................ 0.53 0.37 -- -- 0.60 0.59
- -----------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income......... (0.59) (0.26) -- -- (0.71) (0.25)
Net Realized Gains............ (0.05) -- -- -- (0.01) --
----------- ------------ ----------- ------------ ---------- --------
Total Distributions......... (0.64) (0.26) -- -- (0.72) (0.25)
- -----------------------------------------------------------------------------------------------------------------
Liquidating Distribution...... (10.00) -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period........................ $ 0.00 $ 10.11 N/A+ N/A+ $ 10.22 $ 10.34
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
Total Return.................... 5.82% 3.76%# N/A+ N/A+ 5.96% 6.01%#
- -----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................... $ 0 $122,786 $ 0 $ 104,647 $ 418,907 $319,272
Ratio of Expenses to Average Net
Assets........................ 0.22% 0.23%* 0.23% 0.23%* 0.18% 0.20%*
Ratio of Net Investment Income
to Average Net Assets......... 5.82% 6.11%* 5.67% 5.95%* 4.64% 4.51%*
Portfolio Turnover Rate......... 147.78% 81.97%* 153.67% 200.59%* 119.27% 87.07%*
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
+ Not applicable as The DFA Two-Year Government Series is organized as a partnership.
</TABLE>
See accompanying Notes to Financial Statements.
244
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At
November 30, 1997, the Trust consisted of fourteen investment portfolios
(collectively, the "Series"):
The U.S. 6-10 Small Company Series
The U.S. Large Company Series
The Enhanced U.S. Large Company Series
The U.S. 6-10 Value Series
The U.S. Large Cap Value Series
(the "Domestic Equity Portfolios")
The DFA One-Year Fixed Income Series
The DFA Two-Year Global Fixed Income Series
(the "Fixed Income Portfolios")
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The DFA International Value Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
(the "International Equity Portfolios")
On August 9, 1996, four portfolios of DFA Investment Dimensions Group, Inc.
(the "Fund"); The Japanese Small Company Portfolio, The Pacific Rim Small
Company Portfolio, The United Kingdom Small Company Portfolio and The
Continental Small Company Portfolio, respectively, transferred their investable
assets for shares with equal values of a corresponding Series of the Trust (the
"Transfer").
On June 1, 1996 the U.S. Large Company Series ("this Series") was
reorganized from an entity taxed as a corporation to an entity taxed as a
partnership for income tax purposes. This reorganization was accomplished by an
amendment to the organization document of the Series which for income tax
purposes was treated as a liquidation of this Series, immediate distribution of
its assets to its sole shareholder at May 31, 1996, which was the U.S. Large
Company Portfolio (the "Portfolio") and subsequent contribution of those assets
from the Portfolio, along with a nominal contribution from the Advisor to this
Series to create the partnership. On June 2, 1996, an unrelated investment
company contributed assets valued at $225,957,696 to this Series in exchange for
a 63.4% interest in this Series. The total net assets of this Series increased
to $356,632,854 immediately following this transaction. These transactions were
treated as tax-free events to all parties involved based on rulings obtained
from the Internal Revenue Service. For financial reporting purposes, this Series
continues to exist and as such, will maintain all of its previous operating
history throughout the financial statements.
On December 20, 1995, the Board of Trustees of The DFA Investment Trust
Company approved a 900% stock dividend under Delaware Trust Law, which is
treated as a 10 for 1 stock split for financial reporting purposes for The DFA
One-Year Fixed Income Series. The record date of the stock dividend was January
1, 1996, and the ex-date and payable dates were January 2, 1996. This was a
tax-free event to the shareholders of this series. All share and per share data
as of and for the period ended November 30, 1995 and all prior periods have been
restated to reflect the stock dividend.
Effective August 1, 1997. The U.S. Small Cap Value Series changed its name
to The U.S. 6-10 Value Series.
As of the close of business on November 30, 1997, The DFA Two-Year Corporate
Fixed Income Series and The DFA Two-Year Government Series were liquidated and
their respective assets and liabilities were distributed to their shareholders
and partners, respectively. Accordingly, these financial statements reflect
these final distributions.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements.
245
<PAGE>
The preparation of financial statements in accordance with generally accepted
accounting principles may require management to make estimates and assumptions
that affect the reported amounts and disclosures in the financial statements.
Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day, or if
there is no such reported sale, at the mean between the most recent bid and
asked prices. Securities held by the International Equity Portfolios which are
listed on a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are readily
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Directors.
Fixed income instruments held by The Enhanced U.S. Large Company Series and
The Fixed Income Portfolios are valued on the basis of prices provided by a
pricing service when such prices are believed to reflect the fair market value
of such securities.
2. FOREIGN CURRENCY TRANSLATION: Securities, other assets and liabilities
of The Enhanced U.S. Large Company Series, the International Equity Portfolios
and The DFA Two-Year Global Fixed Income Series whose values are initially
expressed in foreign currencies are translated to U.S. dollars at the bid price
of such currency against U.S. dollars last quoted by a major bank. Dividend and
interest income and certain expenses are translated to U.S. dollars at the rate
of exchange on their respective accrual dates. Receivables and payables
denominated in foreign currencies are marked to market daily based on daily
exchange rates and exchange gains or losses are realized upon ultimate receipt
or disbursement. The Enhanced U.S. Large Company Series and The DFA Two-Year
Global Fixed Income Series also enter into forward foreign currency contracts
solely for the purpose of hedging against fluctuations in currency exchange
rates. These contracts are also marked to market daily based on daily exchange
rates.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized. However, The
Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series do isolate the effect of fluctuations in foreign currency rates when
determining the realized gain or loss upon the sale or maturity of foreign
currency denominated debt obligations pursuant to U.S. Federal income tax
regulations; such amounts are categorized as foreign exchange gain or loss for
both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of The Enhanced
U.S. Large Company Series, the International Equity Portfolios and The DFA
Two-Year Global Fixed Income Series and the U.S. dollar equivalent amounts
actually received or paid.
3. FEDERAL INCOME TAXES: It the intention of The U.S. 6-10 Small Company
Series, The Enhanced U.S. Large Company Series, The U.S. 6-10 Value Series, The
U.S. Large Cap Value Series, The DFA International Value Series, The DFA
One-Year Fixed Income Series, The DFA Two-Year Corporate Fixed Income Series,
and The DFA Two-Year Global Fixed Income Series to continue qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal taxes is required in the financial
statements.
The U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, The
Continental Small Company Series, The Emerging Markets Series, The Emerging
Markets Small Cap Series and The DFA Two-Year Government Series are treated as
partnerships for federal income tax purposes. Any interest, dividends and gains
or losses of these Series will be deemed to have been "passed through" to their
Feeder Funds.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is
246
<PAGE>
recorded on an accrual basis. Discount and premium on securities purchased are
amortized over the lives of the respective securities. Expenses directly
attributable to a Series are directly charged. Common expenses are allocated
using methods determined by the Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to the Trust. For the year ended November 30, 1997, the
Series' advisory fees were computed daily and paid monthly to the Advisor based
on the following effective annual rates:
<TABLE>
<S> <C>
The U.S. 6-10 Small Company Series....................................... .03 of 1%
The U.S. Large Company Series............................................ .025 of 1%
The Enhanced U.S. Large Company Series................................... .05 of 1%
The U.S. 6-10 Value Series............................................... .20 of 1%
The U.S. Large Cap Value Series.......................................... .10 of 1%
The Japanese Small Company Series........................................ .10 of 1%
The Pacific Rim Small Company Series..................................... .10 of 1%
The United Kingdom Small Company Series.................................. .10 of 1%
The Continental Small Company Series..................................... .10 of 1%
The DFA International Value Series....................................... .20 of 1%
The Emerging Markets Series.............................................. .10 of 1%
The Emerging Markets Small Cap Series.................................... .20 of 1%
The DFA One-Year Fixed Income Series..................................... .05 of 1%
The DFA Two-Year Corporate Fixed Income Series........................... .15 of 1%
The DFA Two-Year Government Series....................................... .15 of 1%
The DFA Two-Year Global Fixed Income Series.............................. .05 of 1%
</TABLE>
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
D. PURCHASE AND SALES OF SECURITIES:
For the year ended November 30, 1997, the Series made the following
purchases and sales of investment securities:
<TABLE>
<CAPTION>
OTHER
U.S. GOVERNMENT INVESTMENT
SECURITIES SECURITIES
-------------------- --------------------
PURCHASES SALES PURCHASES SALES
--------- --------- --------- ---------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
The U.S. 6-10 Small Company Series........................ -- -- $ 185,882 $ 100,394
The U.S. Large Company Series............................. -- -- 233,484 27,162
The Enhanced U.S. Large Company Series.................... -- -- 53,616 39,741
The U.S. 6-10 Value Series................................ -- -- 900,563 441,146
The U.S. Large Cap Value Series........................... -- -- 454,775 218,435
The Japanese Small Company Series......................... -- -- 183,810 35,979
The Pacific Rim Small Company Series...................... -- -- 66,359 52,850
The United Kingdom Small Company Series................... -- -- 7,532 30,372
The Continental Small Company Series...................... -- -- 14,611 58,207
The DFA International Value Series........................ -- -- 659,266 329,786
The Emerging Markets Series............................... -- -- 122,268 1,156
The Emerging Markets Small Cap Series..................... -- -- 25,761 557
The DFA One-Year Fixed Income Series...................... $ 90,123 $ 135,222 371,765 385,938
The DFA Two-Year Corporate Fixed Income Series............ 113,650 148,862 70,254 62,109
The DFA Two-Year Government Series........................ 196,300 173,431 -- --
The DFA Two-Year Global Fixed Income Series............... 7,734 15,720 572,458 433,698
</TABLE>
247
<PAGE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1997, gross unrealized appreciation and depreciation for
federal income tax purposes of futures, swap contracts, investment securities
and foreign currencies for each Series were as follows:
<TABLE>
<CAPTION>
GROSS GROSS
UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION NET
-------------- -------------- ----------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. 6-10 Small Company Series......................... $ 124,313 $ (33,301) $ 91,012
The U.S. Large Company Series.............................. 302,219 (6,991) 295,228
The Enhanced U.S. Large Company Series..................... 842 (365) 477
The U.S. 6-10 Value Series................................. 630,851 (109,407) 521,444
The U.S. Large Cap Value Series............................ 340,851 (21,706) 319,145
The Japanese Small Company Series.......................... 613 (218,244) (217,631)
The Pacific Rim Small Company Series....................... 17,632 (88,118) (70,486)
The United Kingdom Small Company Series.................... 61,662 (31,560) 30,102
The Continental Small Company Series....................... 95,588 (45,217) 50,371
The DFA International Value Series......................... 274,649 (280,720) (6,071)
The Emerging Markets Series................................ 48,328 (106,088) (57,760)
The Emerging Markets Small Cap Series...................... 3,635 (9,627) (5,992)
The DFA One-Year Fixed Income Series....................... 1,088 (112) 976
The DFA Two-Year Global Fixed Income Series................ 2,912 (10,986) (8,074)
</TABLE>
At November 30, 1997, The DFA One-Year Fixed Income Series had a capital
loss carryover for federal income tax purposes of approximately $1,867,000 of
which $1,565,000 and $301,000 expire on November 30, 2002 and 2004,
respectively.
F. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
AT NOVEMBER 30, 1997 NET ASSETS CONSIST OF:
------------------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS)
UNREALIZED
APPRECIATION
(DEPRECIATION)
OF
UNDISTRIBUTED UNDISTRIBUTED FUTURES, SWAP
NET NET REALIZED CONTRACTS, UNREALIZED
INVESTMENT UNDISTRIBUTED FOREIGN INVESTMENT NET FOREIGN
PAID-IN INCOME NET REALIZED EXCHANGE SECURITIES AND EXCHANGE TOTAL NET
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY GAIN ASSETS
---------- ------------- ------------- ------------- ---------------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
The U.S. 6-10 Small
Company Series.......... $ 308,442 $ 409 $31,785 -- $ 92,197 -- $ 432,833
The Enhanced U.S. Large
Company Series.......... 41,282 (20) 5,145 $ 536 477 $ 196 47,616
The U.S. 6-10 Value
Series.................. 1,498,367 3,501 200,956 -- 521,444 -- 2,224,268
The U.S. Large Cap Value
Series.................. 1,086,556 1,749 82,546 -- 319,145 -- 1,489,996
The DFA International
Value Series............ 1,581,336 2,526 5,979 (1,666) (6,071) (18) 1,582,086
The DFA One-Year Fixed
Income Series........... 779,327 3,808 (1,875) -- 976 -- 782,236
The DFA Two-Year Global
Fixed Income Series..... 413,780 (4,892) 851 13,543 (8,074) 3,699 418,907
</TABLE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' Investment Objectives and Policies, the
Series may invest in certain financial instruments which have off-balance sheet
risk and concentrations of credit risk. These instruments and their significant
corresponding risks are described below:
248
<PAGE>
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date and
price. The seller will be required on a daily basis to maintain the value of the
collateral subject to the agreement at not less than the repurchase price
(including accrued interest). The agreements are conditioned upon the collateral
being deposited under the Federal Reserve book-entry system with the Trust's
custodian or a third party sub-custodian. All open repurchase agreements were
entered into on November 28, 1997.
2. FORWARD CURRENCY CONTRACTS: The Enhanced U.S. Large Company Series and
The DFA Two-Year Global Fixed Income Series may enter into forward foreign
currency contracts to hedge against adverse changes in the relationship of the
U.S. dollar to foreign currencies. At November 30, 1997, The Enhanced U.S. Large
Company and The DFA Two-Year Global Fixed Income Series had entered into the
following contracts and the related net unrealized foreign exchange gain is
reflected in the accompanying financial statements:
THE ENHANCED U.S. LARGE COMPANY SERIES
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION VALUE AT EXCHANGE GAIN
DATE CURRENCY SOLD CONTRACT AMOUNT NOVEMBER 30, 1997 (LOSS)
- ---------- ------------------------------------------ ---------------- ------------------- -------------
<C> <C> <S> <C> <C> <C>
12/24/97 24,986,737 French Francs $ 4,309,908 $ 4,230,728 $ 79,181
12/24/97 11,025,952 French Francs 1,888,934 1,867,089 21,845
12/30/97 11,335,911 German Marks 6,501,254 6,425,343 75,911
12/31/97 2,187,089 Australian Dollar 1,498,273 1,495,962 2,311
12/31/97 17,988,011 Canadian Dollars 12,627,774 12,634,108 (6,334)
12/31/97 5,878,763 Netherlands Guilders 2,991,448 2,956,414 35,034
---------------- ------------------- -------------
$ 29,817,590 $ 29,609,643 $ 207,948
---------------- ------------------- -------------
---------------- ------------------- -------------
</TABLE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION VALUE AT NOVEMBER EXCHANGE GAIN
DATE CURRENCY SOLD CONTRACT AMOUNT 30, 1997 (LOSS)
- ---------- ------------------------------------------ ---------------- ------------------- -------------
<C> <C> <S> <C> <C> <C>
12/22/97 55,043,189 Netherlands Guilders $ 28,314,398 $ 27,667,997 $ 646,401
12/22/97 1,311,140,000 Japanese Yen 10,417,448 10,225,130 162,318
12/24/97 367,446,698 French Francs 63,349,056 62,205,647 1,143,409
12/24/97 30,836,933 French Francs 5,301,175 5,221,646 79,529
12/29/97 154,174,744 German Marks 88,937,390 87,358,033 1,579,357
12/31/97 50,162,517 Australian Dollars 34,416,505 34,319,751 96,754
12/31/97 156,460,407 Canadian Dollars 109,850,739 109,893,934 (43,195)
---------------- ------------------- -------------
$ 340,586,711 $ 336,922,138 $ 3,664,573
---------------- ------------------- -------------
---------------- ------------------- -------------
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter-parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. The Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed
Income Series will enter into forward contracts only for hedging purposes.
3. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain consideration and risks not typically associated with investments in the
United States, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
4. FUTURES CONTRACTS: During the year ended November 30, 1997, The
Enhanced U.S. Large Company Series ("Enhanced") entered into futures contracts
in accordance with its investment objectives. Upon entering into a
249
<PAGE>
futures contract, the Enhanced deposits cash or pledges U.S. Government
securities to a broker, equal to the minimum "initial margin" requirements of
the exchange on which the contract is traded. Subsequent payments are received
from or paid to the broker each day, based on the daily fluctuation in the
market value of the contract. These receipts or payments are known as "variation
margin" and are recorded daily by Enhanced as unrealized gains or losses until
the contracts are closed. When the contracts are closed, Enhanced records a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed.
At November 30, 1997, Enhanced had outstanding 184 long futures contracts on
the S & P 500 Index all of which expire December 19, 1997. The value of such
contracts on November 30, 1997 was $43,925,400 which resulted in an unrealized
gain of $739,500.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities and from the possibility of an illiquid secondary market for these
instruments.
5. EQUITY INDEX SWAPS: Enhanced may enter into equity index swaps in
accordance with its investment objectives. A swap agreement obligates two
parties to exchange returns realized on a notional amount agreed upon by both
parties. The obligations of the parties are calculated on a net basis based on
the daily fluctuations in the indices on which the contract is based. The daily
net fluctuation is recorded as unrealized gains or losses by Enhanced. At the
termination of the agreement, Enhanced will receive from or pay to the counter
party, the accumulated net unrealized gain or loss, which will then be recorded
as realized.
At November 30, 1997, Enhanced had an outstanding equity index swap with
Morgan Stanley dated July 15, 1997 (which represents approximately 12% of the
net assets of Enhanced), terminating on January 15, 1998. The notional value of
the swap was $3,569,310 and Enhanced had recorded net unrealized appreciation of
$58,449 consisting of $76,196 owed to Morgan Stanley and $134,645 owed to
Enhanced. Payments made by Enhanced are based on the London Interbank Offered
Rate (LIBOR) plus 0.10% per annum calculated on the original notional amount
plus accumulated interest added on the monthly LIBOR reset date. Payments
received by Enhanced are based on the daily value of the S & P 500 Index plus
accumulated dividends as expressed in Index points calculated on the original
notional amount.
Risks may arise upon entering into equity index swaps in the event of the
default or bankruptcy of a swap agreement counter party.
H. LINE OF CREDIT:
The Trust, together with other DFA-advised portfolios, has entered into a
$50 million unsecured line of credit with its domestic custodian bank. Each
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 year ended November 30, 1997 borrowings
under the line were as follows:
<TABLE>
<CAPTION>
MAXIMUM
AMOUNT
BORROWED
WEIGHTED WEIGHTED NUMBER OF INTEREST DURING
AVERAGE AVERAGE DAYS EXPENSE THE
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED PERIOD
------------- ------------ ----------- ------- -------
<S> <C> <C> <C> <C> <C>
The U.S. 6-10 Small Company Series...... 5.75% $3,292,000 1 $ 526 $3,292,000
The U.S. Large Company Series........... 6.07% 1,572,388 23 8,744 4,850,000
The U.S. Large Cap Value Series......... 6.12% 3,368,500 2 1,144 4,934,000
</TABLE>
There were no outstanding borrowings under the line of credit at November
30, 1997.
I. SECURITIES LENDING:
Domestic security loans are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
International security loans are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the
250
<PAGE>
other party to the agreement, realization and/or retention of the collateral may
be subject to legal proceedings. In the event that the borrower fails to return
loaned securities, and cash collateral being maintained by the borrower is
insufficient to cover the value of loaned securities and provided such
collateral insufficiency is not the result of investment losses, the lending
agent has agreed to pay the amount of the shortfall to the Series or, at the
opinion of the lending agent, replace the loaned securities. The market value of
securities on loan to brokers and the related collateral cash received at
November 30, 1997, is as follows:
<TABLE>
<CAPTION>
VALUE OF VALUE OF
SECURITIES ON LOAN COLLATERAL
------------------- ----------------
<S> <C> <C>
DOMESTIC EQUITY PORTFOLIOS
The U.S. 6-10 Small Company Series................ $ 22,700,916 $ 24,126,084
The U.S. Large Company Series..................... 86,232,944 88,733,158
The U.S. 6-10 Value Series........................ 47,873,302 51,153,681
The U.S. Large Cap Value Series................... 97,735,271 101,655,200
INTERNATIONAL EQUITY PORTFOLIOS
The Japanese Small Company Series................. 33,980,365 36,656,082
The Pacific Rim Small Company Series.............. 7,587,125 9,619,298
The Continental Small Company Series.............. 8,724,347 9,251,251
The DFA International Value Series................ 266,475,711 282,956,083
</TABLE>
J. SUBSEQUENT EVENT:
On December 1, 1997, The U.S. 9-10 Small Company Portfolio transferred its
investable assets for shares with an equal value of The U.S. 9-10 Small Company
Series of The DFA Investment Trust Company, a newly created series. This
portfolio invests solely in this series. The series will also issue its shares
to other investors.
251
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
THE DFA INVESTMENT TRUST COMPANY:
We have audited the accompanying statements of net assets of The DFA Investment
Trust Company (comprising, respectively, The U.S. 6-10 Small Company Series, The
U.S. Large Company Series, The Enhanced U.S. Large Company Series, The U.S. 6-10
Value Series, The U.S. Large Cap Value Series, The Japanese Small Company
Series, The Pacific Rim Small Company Series, The United Kingdom Small Company
Series, The Continental Small Company Series, The DFA International Value
Series, The Emerging Markets Series, The Emerging Markets Small Cap Series, The
DFA One-Year Fixed Income Series, and The DFA Two-Year Global Fixed Income
Series) as of November 30, 1997, and the related statements of operations
(including the DFA Two-Year Corporate Fixed Income Series and the DFA Two-Year
Government Series) for the year (or period) then ended, the statements of
changes in net assets (including the DFA Two-Year Corporate Fixed Income Series
and the DFA Two-Year Government Series) for each of the two years (or periods)
in the period then ended, and the financial highlights (including the DFA Two-
Year Corporate Fixed Income Series and the DFA Two-Year Government Series) for
each of the periods presented. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of
November 30, 1997, by correspondence with the custodians and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the aforementioned portfolios constituting The DFA Investment Trust Company
as of November 30, 1997, and the results of their operations for the year (or
period) then ended, the changes in their net assets for each of the two years
(or periods) in the period then ended, and their financial highlights for each
of the periods presented, in conformity with generally accepted accounting
principles.
COOPERS & LYBRAND L.L.P.
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 16, 1998
252
