<PAGE>
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DFA INVESTMENT DIMENSIONS GROUP INC.
VA SMALL VALUE PORTFOLIO
VA LARGE VALUE PORTFOLIO
VA INTERNATIONAL VALUE PORTFOLIO
VA INTERNATIONAL SMALL PORTFOLIO
VA SHORT-TERM FIXED PORTFOLIO
VA GLOBAL BOND PORTFOLIO
ANNUAL REPORT
YEAR ENDED NOVEMBER 30, 1997
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<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
---------
<S> <C>
Performance Charts................................................................................................... 1-2
Statements of Net Assets
VA Small Value Portfolio......................................................................................... 3-13
VA Large Value Portfolio......................................................................................... 14-15
VA International Value Portfolio................................................................................. 16-20
VA International Small Portfolio................................................................................. 21-27
VA Short-Term Fixed Portfolio.................................................................................... 28-29
Schedule of Investments - VA Global Bond Portfolio................................................................... 30
Statement of Assets and Liabilities - VA Global Bond Portfolio....................................................... 31
Statements of Operations............................................................................................. 32-33
Statements of Changes in Net Assets.................................................................................. 34-36
Financial Highlights................................................................................................. 37-39
Notes to Financial Statements........................................................................................ 40-43
Report of Independent Accountants.................................................................................... 44
</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>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VA SMALL VALUE PORTFOLIO VS.
FAMA-FRENCH SMALL CAP VALUE INDEX
OCTOBER 1995-NOVEMBER 1997
GROWTH OF $10,000
VA SMALL VALUE PORTFOLIO FAMA-FRENCH SMALL CAP VALUE INDEX
<S> <C> <C>
$10,000 $10,000
Oct 95 $9,490 $9,554
$9,696 $9,822
$9,853 $9,977
$9,773 $10,117
$9,994 $10,275
$10,335 $10,621
Apr 96 $10,826 $10,988
$11,306 $11,420
$11,046 $11,238
$10,355 $10,639
$10,766 $11,080
$11,096 $11,362
Oct 96 $11,196 $11,329
$11,777 $11,848
$12,026 $12,016
$12,289 $12,442
$12,310 $12,504
$11,985 $12,175
Dec 14 $11,965 $12,089
$13,152 $13,236
$13,953 $13,935
$14,775 $14,662
$15,261 $15,207
$16,498 $16,313
$15,870 $15,980
Nov 97 $15,667 $15,881
Annualized Total Return (%) One Year From October 1995
33.02 23.02
The portfolio seeks to capture return premiums
associated with high book-to-market ratios by
investing on a market cap-weighted basis in
companies that have market caps of approximately
$600 million or less and book-to-market
ratios in the upper 30% of publicly traded
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>
VA LARGE VALUE PORTFOLIO VS.
FAMA-FRENCH LARGE CAP VALUE INDEX
FEBRUARY 1995-NOVEMBER 1997
GROWTH OF $10,000
VA LARGE VALUE PORTFOLIO FAMA-FRENCH LARGE CAP VALUE INDEX
<S> <C> <C>
$10,000 $10,000
Feb 95 $10,313 $10,465
$10,667 $10,505
$10,990 $10,841
$11,243 $11,422
$11,314 $11,610
$11,870 $11,959
Aug 95 $11,799 $12,178
$12,022 $12,670
$11,607 $12,392
$12,175 $12,847
$12,266 $13,168
$12,568 $13,480
Feb 96 $12,687 $13,477
$13,154 $13,699
$13,349 $13,714
$13,586 $13,921
$13,191 $13,918
$12,626 $13,148
Aug 96 $13,092 $13,577
$13,321 $13,842
$13,746 $14,260
$14,662 $15,062
$14,531 $15,017
$15,030 $15,397
Feb 97 $15,359 $15,659
$14,659 $15,008
$15,113 $15,258
$16,272 $16,222
$16,715 $16,758
$18,405 $17,993
Aug 97 $18,085 $17,736
$19,025 $18,631
$18,154 $18,303
Nov 97 $18,430 $19,034
Annualized Total Return (%) One Year From February 1995
25.70 24.08
The portfolio seeks to capture return premiums
associated with high book-to-market ratios by
investing on a market cap-weighted basis in
companies that have market caps of approximately
$600 million or more and book-to-market
ratios in the upper 30% of publicly
traded companies.
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 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>
VA INTERNATIONAL VALUE PORTFOLIO VS.
EAFE INDEX
OCTOBER 1995-NOVEMBER 1997
GROWTH OF $10,000
VA INTERNATIONAL VALUE PORTFOLIO EAFE INDEX
<S> <C> <C>
$10,000 $10,000
Oct 95 $9,800 $9,730
$10,030 $10,002
$10,555 $10,413
$10,615 $10,454
$10,625 $10,496
$10,825 $10,716
Apr 96 $11,247 $11,027
$11,187 $10,829
$11,197 $10,894
$10,857 $10,578
$10,916 $10,599
$11,096 $10,885
Oct 96 $10,927 $10,776
$11,427 $11,207
$11,306 $11,062
$10,859 $10,674
$10,981 $10,856
$11,041 $10,899
Apr 97 $10,940 $10,965
$11,782 $11,677
$12,350 $12,320
$12,492 $12,517
$11,680 $11,591
$12,178 $12,240
$11,508 $11,297
Nov 97 $11,031 $11,184
Annualized Total Return (%) One Year From October 1995
-3.46 4.64
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 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>
1
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VA INTERNATIONAL SMALL PORTFOLIO VS.
EAFE INDEX
OCTOBER 1995-NOVEMBER 1997
GROWTH OF $10,000
VA INTERNATIONAL SMALL PORTFOLIO EAFE INDEX
<S> <C> <C>
$10,000 $10,000
Oct 95 $9,640 $9,730
$9,710 $10,002
$10,110 $10,413
$10,431 $10,454
$10,561 $10,496
$10,841 $10,716
Apr 96 $11,601 $11,027
$11,431 $10,829
$11,231 $10,894
$10,641 $10,578
$10,641 $10,599
$10,641 $10,885
Oct 96 $10,461 $10,776
$10,481 $11,207
$10,137 $11,062
$9,952 $10,674
$10,065 $10,856
$9,839 $10,899
Apr 97 $9,561 $10,965
$10,199 $11,677
$10,374 $12,320
$9,942 $12,517
$9,469 $11,591
$9,293 $12,240
$8,872 $11,297
Nov 97 $8,223 $11,184
Annualized Total Return (%) One Year From October 1995
-21.54 -8.63
The portfolio 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
portfolio provides access to publicly traded
small companies listed on the major exchanges
of countries outside the U.S.
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>
VA SHORT-TERM FIXED PORTFOLIO VS.
ONE-MONTH CD'S
OCTOBER 1995-NOVEMBER 1997
GROWTH OF $10,000
VA SHORT-TERM FIXED PORTFOLIO ONE-MONTH CD'S
<S> <C> <C>
$10,000 $10,000
$10,039 $10,046
Nov 95 $10,081 $10,089
$10,128 $10,131
$10,173 $10,177
$10,214 $10,217
$10,241 $10,256
$10,269 $10,298
May 96 $10,285 $10,338
$10,342 $10,375
$10,384 $10,421
$10,426 $10,462
$10,492 $10,504
$10,566 $10,547
Nov 96 $10,620 $10,587
$10,654 $10,632
$10,697 $10,677
$10,739 $10,717
$10,750 $10,763
$10,819 $10,811
May 97 $10,877 $10,858
$10,936 $10,907
$11,018 $10,956
$11,045 $11,002
$11,116 $11,053
$11,173 $11,102
Nov 97 $11,201 $11,148
Annualized Total Return (%) One Year From October 1995
5.47 5.37
The portfolio maximizes expected returns by
using a strategy of shifting maturities based on
changes in the yield curve. Using current prices,
the strategy creates a matrix of expected
returns from different buy and sell strategies
and identifies the optimal maturity range for
the highest expected returns. Issues which
meet maturity and quality level are further
evaluated for business risk. Maturities are
shifted if sufficient premiums can be documented.
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>
VA GLOBAL BOND PORTFOLIO VS.
SALOMON WORLD GOVERNMENT BOND INDEX
FEBRUARY 1995-NOVEMBER 1997
GROWTH OF $10,000
VA GLOBAL BOND PORTFOLIO SALOMON WORLD FIXED INCOME INDEX
<S> <C> <C>
$10,000 $10,000
Feb 95 $10,155 $10,156
$10,339 $10,322
$10,484 $10,475
$10,712 $10,841
$10,719 $10,857
$10,816 $10,931
Aug 95 $10,853 $11,023
$10,992 $11,175
$11,080 $11,311
$11,091 $11,526
$11,136 $11,645
$11,225 $11,756
Feb 96 $11,066 $11,589
$11,119 $11,628
$11,172 $11,673
$11,236 $11,732
$11,273 $11,844
$11,359 $11,906
Aug 96 $11,532 $12,010
$11,747 $12,238
$11,954 $12,463
$12,106 $12,687
$12,135 $12,658
$12,229 $12,768
Feb 97 $12,336 $12,824
$12,262 $12,750
$12,357 $12,890
$12,441 $12,969
$12,623 $13,162
$12,756 $13,423
Aug 97 $12,780 $13,393
$12,900 $13,610
$12,949 $13,753
Nov 97 $13,022 $13,840
Annualized Total Return (%) One Year From February 1995
7.57 9.77
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>
2
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
VA SMALL VALUE PORTFOLIO
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
COMMON STOCKS -- (95.1%)
*3-D Systems Corp..................................... 1,000 $ 8,375
AAR Corp.............................................. 1,400 53,987
*ABT Building Products Corp........................... 400 7,200
*ACT Networks, Inc.................................... 500 4,094
*ACX Technologies, Inc................................ 1,900 50,944
*AEP Industries, Inc.................................. 1,100 35,544
*APS Holding Corp. Class A............................ 1,000 3,859
*ATL Ultrasound, Inc.................................. 1,100 47,575
Aames Financial Corp.................................. 1,800 24,300
*Aasche Transportation Services, Inc.................. 500 1,547
*Abraxas Petroleum Corp............................... 1,000 16,375
*Accell International Corp............................ 400 1,512
*Acceptance Insurance Companies, Inc.................. 1,300 31,606
*Acclaim Entertainment, Inc........................... 2,500 10,195
Aceto Corp............................................ 440 8,745
*Acme Metals, Inc..................................... 1,000 12,437
*Adage, Inc........................................... 400 2,487
*Adflex Solutions, Inc................................ 700 13,497
*Advanced Marketing Services, Inc..................... 500 6,469
Advantage Bancorp, Inc................................ 250 15,719
Advest Group, Inc..................................... 700 15,925
*Aerovox, Inc......................................... 400 2,175
*Air Methods Corp..................................... 300 1,097
Airborne Freight Corp................................. 1,500 95,531
*Alarmguard Holdings, Inc............................. 1,000 10,750
*Alaska Air Group, Inc................................ 1,100 41,112
Albank Financial Corp................................. 1,200 55,950
*Aldila, Inc.......................................... 1,300 5,972
Alfa Corp............................................. 1,800 29,475
Alico, Inc............................................ 200 4,900
*All American Semiconductor, Inc...................... 1,300 2,377
Alliance Bancorp...................................... 1,000 26,250
*Alliance Entertainment Corp.......................... 2,300 184
*Alliance Semiconductor Corp.......................... 3,500 22,203
*Allied Healthcare Products, Inc...................... 1,700 13,441
*Allied Holdings, Inc................................. 100 1,969
*Allied Research Corp................................. 300 3,712
*Allou Health & Beauty Care, Inc. Class A............. 500 3,937
*Alpha Beta Technology, Inc........................... 1,100 3,266
*Alpha Technologies Group, Inc........................ 500 1,844
Alpharma, Inc. Class A................................ 1,200 27,450
Amcast Industrial Corp................................ 700 17,325
*America West Holdings Corp. Class B.................. 4,400 70,125
*American Banknote Corp............................... 1,600 8,600
*American Eagle Group, Inc............................ 300 14
*American Ecology Corp................................ 700 1,028
*American Freightways Corp............................ 1,900 27,787
American Heritage Life Investment Corp................ 1,200 44,100
*American Homepatient, Inc............................ 1,000 20,312
*American Mobile Satellite Corp....................... 700 5,512
*American Pacific Corp................................ 700 5,162
*American Physicians Services Group, Inc.............. 500 3,625
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*American Software, Inc. Class A...................... 300 $ 2,794
*American United Global, Inc.......................... 600 1,228
*American Waste Services, Inc. Class A................ 2,100 3,150
*Amerihost Properties, Inc............................ 400 2,637
*Ameristar Casinos, Inc............................... 1,700 8,952
*Ameriwood Industries International Corp.............. 400 2,525
Ameron, Inc........................................... 300 19,350
*Ames Department Stores, Inc.......................... 1,100 18,562
Ampco-Pittsburgh Corp................................. 400 7,600
*Amrep Corp........................................... 600 3,300
*Amtech Corp.......................................... 2,300 10,709
*Amtran, Inc.......................................... 800 6,450
Amvestors Financial Corp.............................. 691 15,159
Analogic Corp......................................... 100 3,781
Andover Bancorp, Inc. DE.............................. 480 17,985
Angelica Corp......................................... 800 17,200
*Ann Taylor Stores Corp............................... 2,000 28,500
*Ansaldo Signal N.V................................... 250 1,133
*Antec Corp........................................... 3,000 46,125
*Apertus Technologies, Inc............................ 900 1,547
*Apogee, Inc.......................................... 1,200 2,925
*Applied Extrusion Technologies, Inc.................. 2,000 15,812
*Applied Magnetics Corp............................... 200 3,375
*Applied Signal Technologies, Inc..................... 800 12,050
*Arcadia Financial, Ltd............................... 2,900 24,287
Arch Coal, Inc........................................ 1,200 31,575
*Arch Communications Group, Inc....................... 3,300 22,584
*Argosy Gaming Corp................................... 1,800 7,312
*Arkansas Best Corp................................... 1,700 18,806
*Artisoft, Inc........................................ 1,700 3,666
*Artistic Greetings, Inc.............................. 500 2,375
Arvin Industries, Inc................................. 1,900 65,550
*Asante Technologies, Inc............................. 400 1,950
*Ascent Entertainment Group, Inc...................... 879 9,504
*Astec Industries, Inc................................ 900 14,512
Astoria Financial Corp................................ 423 23,407
*Asyst Technologies, Inc.............................. 600 18,487
*Atchison Casting Corp................................ 200 3,450
*Atkinson (Guy F.) of California...................... 1,500 5,484
*Atlantic Gulf Communities Corp....................... 1,500 6,281
*Atlantic Tele-Network, Inc........................... 1,000 12,125
*Atlantis Plastics, Inc............................... 200 1,137
Atrion Corp........................................... 200 2,937
*Au Bon Pain, Inc. Class A............................ 600 5,437
*Audiovox Corp. Class A............................... 1,300 11,456
*Autoimmune, Inc...................................... 1,100 3,197
*Autoinfo, Inc........................................ 600 356
*Avatex Corp.......................................... 1,400 2,450
*Aviall, Inc.......................................... 800 11,350
*Avid Technology, Inc................................. 1,900 55,812
*Avigen, Inc.......................................... 500 1,656
*Avondale Industries, Inc............................. 500 14,156
*Aydin Corp........................................... 400 4,600
*Aztar Corp........................................... 3,300 23,100
Aztec Manufacturing Co................................ 500 8,531
</TABLE>
3
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
BEI Electronics, Inc.................................. 1,600 $ 6,400
*BEI Technologies, Inc................................ 1,600 19,200
*BFX Hospitality Group, Inc........................... 300 787
*BHC Communications, Inc. Class A..................... 100 12,581
*BI, Inc.............................................. 1,000 7,062
*BPI Packaging Technologies, Inc...................... 300 323
*BRC Holdings, Inc.................................... 500 20,844
BSB Bancorp, Inc...................................... 900 28,069
*BT Office Products International, Inc................ 2,000 20,500
*BTU International, Inc............................... 1,700 9,669
Badger Meter, Inc..................................... 200 8,300
Bairnco Corp.......................................... 900 8,887
Baker (J.), Inc....................................... 2,200 15,056
*Baker (Michael) Corp................................. 700 6,606
*Baldwin Piano & Organ Co............................. 300 4,950
*Baldwin Technology, Inc. Class A..................... 1,400 7,000
*Bancinsurance Corp................................... 500 2,406
*Bank Plus Corp....................................... 1,000 11,062
*Bank United Financial Corp. Class A.................. 200 2,587
BankAtlantic Bancorp, Inc. Class A.................... 250 3,375
BankAtlantic Bancorp, Inc. Class B.................... 1,000 14,156
*Banner Aerospace, Inc................................ 2,300 21,850
*Banyan System, Inc................................... 1,600 5,350
*Basin Exploration, Inc............................... 900 16,762
Bassett Furniture Industries, Inc..................... 2,200 64,625
Battle Mountain Gold Co............................... 1,600 8,100
Bay View Capital Corp................................. 1,200 40,050
*Bayou Steel Corp. Class A............................ 900 3,262
*Beazer Homes USA, Inc................................ 700 12,491
*Bel Fuse, Inc........................................ 400 7,825
*Bell Industries, Inc................................. 860 14,297
*Bell Microproducts, Inc.............................. 1,500 12,656
*Bell Sports Corp..................................... 1,200 10,087
*Bellwether Exploration Co............................ 500 5,219
*Ben & Jerry's Homemade, Inc. Class A................. 1,500 24,094
*Berlitz International, Inc........................... 900 23,231
*Bertuccis, Inc....................................... 1,200 7,650
*Best Buy Co., Inc.................................... 3,000 87,375
Bindley Western Industries, Inc....................... 600 18,450
Binks Sames Corp...................................... 300 12,900
*Bio Vascular, Inc.................................... 500 1,766
*Bio-Rad Laboratories, Inc. Class A................... 400 10,075
*Bird Corp............................................ 400 1,625
Birmingham Steel Corp................................. 2,500 38,281
Blair Corp............................................ 500 9,531
Blessings Corp........................................ 1,000 14,250
*Bluegreen Corp....................................... 1,500 6,562
Bob Evans Farms, Inc.................................. 2,700 54,337
*Boca Research, Inc................................... 1,000 7,062
*Bombay Co., Inc...................................... 3,000 15,562
*Bon-Ton Stores, Inc.................................. 900 14,175
*Books-a-Million, Inc................................. 1,400 9,494
*Borland International, Inc........................... 1,400 14,087
*Boston Chicken, Inc.................................. 2,000 16,031
Bowne & Co., Inc...................................... 1,800 68,737
*Boyd Gaming Corp..................................... 4,500 32,625
*Brazos Sportswear, Inc............................... 50 450
*Brock International, Inc............................. 300 1,237
*Brookstone, Inc...................................... 1,500 18,187
*Brothers Gourmet Coffees, Inc........................ 800 975
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Brown & Sharpe Manufacturing Co. Class A............. 1,200 $ 12,300
Brown Group, Inc...................................... 5,600 90,650
Brush Wellman, Inc.................................... 900 21,375
*Buffets, Inc......................................... 1,900 16,922
*Builders Transport, Inc.............................. 400 1,200
*Building Materials Holding Corp...................... 1,500 16,969
*Bull Run Corp. GA.................................... 2,200 6,737
Burlington Coat Factory Warehouse Corp................ 1,440 26,910
*Business Resource Group.............................. 500 1,844
Butler Manufacturing Co............................... 1,000 33,875
*Buttrey Food & Drug Stores Co........................ 1,700 18,381
*CML Group, Inc....................................... 4,100 14,350
CNA Surety Corp....................................... 1,300 18,850
*CNS Income........................................... 1,300 10,319
*CPAC, Inc............................................ 1,000 10,750
CPB, Inc.............................................. 400 8,312
CPI Corp.............................................. 1,000 18,625
*CSP, Inc............................................. 200 1,550
CTS Corp.............................................. 1,200 40,800
Cadmus Communications Corp............................ 300 6,412
*Caere Corp........................................... 1,500 13,148
*Cal-Maine Foods, Inc................................. 500 3,125
*Calcomp Technology, Inc.............................. 400 1,800
*California Microwave, Inc............................ 1,000 18,562
Calmat Co............................................. 2,300 60,231
*Canandaigua Wine Co., Inc. Class A................... 1,800 86,231
*Capital Pacific Holdings, Inc........................ 1,000 3,344
Capital Re Corp....................................... 1,200 67,275
Capmac Holdings, Inc.................................. 1,000 33,875
*Capstone Pharmacy Services, Inc...................... 2,200 24,337
*Care Group, Inc...................................... 700 361
Carolina First Corp................................... 159 3,114
*Carson Pirie Scott & Co.............................. 800 41,300
Carter-Wallace, Inc................................... 2,900 48,031
Cash America International, Inc....................... 2,400 30,000
*Casino America, Inc.................................. 3,700 10,637
*Casino Data Systems.................................. 1,500 6,797
*Casino Magic Corp.................................... 2,200 2,681
*Castle & Cooke, Inc.................................. 400 6,650
*Catalina Lighting, Inc............................... 600 3,712
*Catalyst Semiconductor, Inc.......................... 500 805
*Catherines Stores Corp............................... 1,500 9,422
Cato Corp. Class A.................................... 2,000 18,750
Cavalier Homes, Inc................................... 1,000 9,750
*Celadon Group, Inc................................... 1,000 15,125
*Celebrity, Inc....................................... 500 1,000
*Cell Genesys, Inc.................................... 500 4,281
*Cellpro, Inc......................................... 1,300 3,656
Cenfed Financial Corp................................. 484 19,405
Cenit Bancorp, Inc.................................... 100 6,837
*Centennial Cellular Corp. Class A.................... 1,600 30,550
*Centigram Communications Corp........................ 700 11,484
*Central Sprinkler Corp............................... 200 3,600
Centris Group, Inc.................................... 300 6,506
*Ceradyne, Inc........................................ 200 922
*Cerion Technologies, Inc............................. 700 1,597
Chaparral Steel Co.................................... 1,800 27,675
*Charming Shoppes, Inc................................ 12,300 60,155
*Chart House Enterprises, Inc......................... 700 4,900
*Checkpoint System, Inc............................... 2,000 32,250
</TABLE>
4
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Cherry Corp. Class A................................. 600 $ 9,169
*Cherry Corp. Class B................................. 400 5,850
Chesapeake Energy Corp................................ 5,100 39,206
*Chic by His, Inc..................................... 1,000 7,375
*Children's Discovery Centers of America, Inc. Class
A................................................... 1,500 12,187
*Chock Full O' Nuts Corp.............................. 1,000 7,187
*Chrysalis International Corp......................... 400 1,575
*Cidco, Inc........................................... 1,000 20,437
*Circuit Systems, Inc................................. 1,300 5,769
*Citadel Holding Corp................................. 300 1,219
*Citation Corp........................................ 1,000 17,062
Citfed Bancorp, Inc................................... 600 30,375
Citizens Banking Corp................................. 1,200 35,100
*Civic Bancorp........................................ 420 6,799
*Clean Harbors, Inc................................... 800 1,562
Cleveland Cliffs, Inc................................. 1,100 47,437
*Clintrials Research, Inc............................. 2,800 23,975
*Coast Distribution System............................ 300 1,012
*Coastal Physician Group, Inc......................... 1,300 1,462
*Coastcast Corp....................................... 1,000 14,062
*Cobra Electronic Corp................................ 1,000 7,937
*Coeur d'Alene Mines Corp. ID......................... 2,000 17,250
*Coho Energy, Inc..................................... 1,400 14,262
Collagen Corp......................................... 1,100 21,862
*Comdial Corp......................................... 600 6,375
Commercial Intertech Corp............................. 800 14,300
Commercial Metals Co.................................. 1,300 42,819
Commonwealth Bancorp, Inc............................. 100 2,019
Commonwealth Industries, Inc.......................... 1,100 18,425
*Compdent Corp........................................ 200 4,137
Computer Data Systems, Inc............................ 500 20,281
*Computer Network Technology Corp..................... 1,100 4,434
*Computer Outsourcing Services, Inc................... 500 4,406
*Concord Fabrics, Inc. Class A........................ 200 1,794
*Cone Mills Corp. NC.................................. 2,000 15,750
*Conmed Corp.......................................... 1,200 28,350
Continental Homes Holding Corp........................ 600 19,537
Cooker Restaurant Corp................................ 500 4,969
*Copart, Inc.......................................... 900 15,694
*Copley Pharmaceutical, Inc........................... 1,500 10,687
*Cornerstone Imaging, Inc............................. 1,000 4,781
*Corrpro Companies, Inc............................... 300 4,237
*Cortech, Inc......................................... 1,500 937
*Craig Corp........................................... 300 5,737
*Criticare Systems, Inc............................... 600 2,437
Cross (A.T.) Co. Class A.............................. 800 8,650
*Crown Central Petroleum Corp. Class A................ 400 8,050
*Crown Central Petroleum Corp. Class B................ 300 5,700
Crown Crafts, Inc..................................... 700 11,375
*Crown Vantage, Inc................................... 300 3,000
*Crown-Andersen, Inc.................................. 100 675
Cubic Corp............................................ 750 24,094
*Cuisine Solutions, Inc............................... 700 941
*Cybex International, Inc............................. 400 4,350
*Cyrk, Inc............................................ 1,300 15,194
*Cytrx Corp........................................... 700 2,909
D&N Financial Corp.................................... 600 14,587
*DBA Systems, Inc..................................... 400 2,825
*DII Group, Inc....................................... 400 8,975
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*DIY Home Warehouse, Inc.............................. 1,500 $ 6,000
*DVI, Inc............................................. 300 5,475
*Damark International, Inc. Class A................... 800 9,900
Daniel Industries, Inc................................ 300 5,569
*Data Broadcasting Corp............................... 2,600 18,362
*Data I/O Corp........................................ 1,500 11,062
*Data Race, Inc....................................... 400 1,900
*Data Systems & Software, Inc......................... 1,500 8,016
*Data Systems Network Corp............................ 30 349
*Dataflex Corp........................................ 400 1,712
*Datakey, Inc......................................... 200 806
*Datascope Corp....................................... 500 12,687
*Dataware Technologies, Inc........................... 500 1,594
*Datron Systems, Inc.................................. 200 2,037
*Datum, Inc........................................... 300 5,644
*Daw Technologies, Inc................................ 800 1,625
*Dawson Geophysical Co................................ 300 5,719
Daxor Corp............................................ 400 4,800
Deb Shops, Inc........................................ 2,100 12,075
*Deckers Outdoor Corp................................. 1,000 8,344
Defiance, Inc......................................... 600 4,772
*Deflecta-Shield Corp................................. 500 7,859
*Del Global Technologies Corp......................... 500 4,937
Delta Woodside Industries, Inc........................ 2,100 12,337
*Designer Holdings, Ltd............................... 1,000 9,375
*Designs, Inc......................................... 1,300 4,448
*Detection Systems, Inc............................... 300 4,425
*Detroit Diesel Corp.................................. 1,800 41,062
*Devcon International Corp............................ 400 1,975
*Diamond Multimedia Systems, Inc...................... 3,000 29,719
*Dianon Systems, Inc.................................. 500 4,219
*Digi International, Inc.............................. 1,000 19,562
Dime Financial Corp................................... 400 12,475
*Discount Auto Parts, Inc............................. 1,500 28,031
*Dixie Group, Inc..................................... 1,000 11,000
*Dominion Bridge Corp................................. 2,000 3,906
*Dominion Homes, Inc.................................. 800 7,287
*Donnkenny, Inc....................................... 1,400 4,812
Downey Financial Corp................................. 1,575 43,312
*Dress Barn, Inc...................................... 1,900 49,162
*Drug Emporium, Inc................................... 2,100 8,269
*Durakon Industries, Inc.............................. 300 2,728
Dyersburg Corp........................................ 1,100 13,647
*Dynamics Research Corp............................... 550 6,909
*E-Z-Em, Inc. Class A................................. 300 2,212
*E-Z-Em, Inc. Class B................................. 18 124
*EA Engineering Science & Technology, Inc............. 500 1,016
*ECC International Corp............................... 800 3,150
*EFTC Corp............................................ 300 4,481
*EIS International, Inc............................... 500 3,312
*ERLY Industries, Inc................................. 550 3,953
*ESCO Electronics Corp. Trust Receipts................ 900 14,737
Eagle Bancshares, Inc................................. 500 9,531
Eagle Financial Corp.................................. 300 15,450
*Eagle Hardware & Garden, Inc......................... 1,900 32,359
*Eagle Point Software Corp............................ 300 1,041
Eastern Co............................................ 200 3,600
Eaton Vance Corp...................................... 1,600 55,900
Ecology & Environment, Inc. Class A................... 200 2,225
*Edison Brothers Stores, Inc.......................... 1,900 0
</TABLE>
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CONTINUED
<TABLE>
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------------ ------------
<S> <C> <C>
Edo Corp.............................................. 300 $ 2,662
*Education Alternatives, Inc.......................... 1,000 4,625
*Egghead, Inc......................................... 2,800 20,387
*Ekco Group, Inc...................................... 1,600 11,200
*El Paso Electric Co.................................. 1,000 6,750
*Electroglas, Inc..................................... 1,000 18,812
*Electromagnetic Sciences, Inc........................ 600 10,725
*Elek-Tek, Inc........................................ 1,000 100
*Emcon................................................ 1,700 9,403
*Empire of Carolina, Inc.............................. 400 800
Energen Corp.......................................... 900 34,200
Engle Homes, Inc...................................... 1,000 14,656
Enhance Financial Services Group, Inc................. 800 44,700
*Environmental Elements Corp.......................... 600 1,650
*Envirotest Systems Corp. Class A..................... 1,000 5,500
*Equitrac Corp........................................ 300 5,044
*Equity Oil Co........................................ 2,300 7,619
*Evans & Sutherland Computer Corp..................... 700 21,525
Evergreen Bancorp, Inc. DE............................ 800 18,950
*Evergreen Resources, Inc............................. 500 7,781
*Exabyte Corp......................................... 1,800 17,606
*Exar Corp............................................ 1,000 25,062
Excel Industries, Inc................................. 900 17,494
*Executone Information Systems, Inc................... 3,800 8,253
Exide Corp............................................ 2,100 50,137
*Ezcorp, Inc. Class A Non-Voting...................... 1,100 12,478
FFY Financial Corp.................................... 500 14,937
*FM Properties, Inc................................... 1,300 6,459
*FSI International, Inc............................... 1,400 21,394
*FTP Software, Inc.................................... 3,200 7,250
Fab Industries, Inc................................... 500 14,875
*Failure Group, Inc................................... 600 5,662
*Fairchild Corp. Class A.............................. 1,300 29,494
*Fansteel, Inc........................................ 700 6,212
*Farah, Inc........................................... 900 4,669
Farrel Corp........................................... 700 2,472
*Fieldcrest Cannon, Inc............................... 500 16,844
*Filenes Basement Corp................................ 2,900 18,216
*First Alert, Inc..................................... 1,900 5,344
First American Financial Corp......................... 1,000 61,250
*First Cash, Inc...................................... 300 2,447
First Central Financial Corp.......................... 1,000 562
First Defiance Financial Corp......................... 700 10,806
First Essex Bancorp................................... 500 9,844
*First Merchants Acceptance Corp...................... 500 16
First Northern Capital Corp........................... 800 10,600
First Palm Beach Bancorp, Inc......................... 1,300 50,700
*First Republic Bank.................................. 600 16,575
First Savings Bancorp, Inc. North Carolina............ 200 4,800
First Savings Bank.................................... 300 7,556
*First Team Sports, Inc............................... 500 1,906
*FirstFed Financial Corp. DE.......................... 900 32,850
*Fischer Imaging Corp................................. 1,000 5,750
Fleming Companies, Inc................................ 3,100 51,537
Flexsteel Industries, Inc............................. 600 7,050
Florida Rock Industries, Inc.......................... 1,600 41,600
*Florsheim Group, Inc................................. 400 3,612
Fluke Corp............................................ 400 9,500
*Fluor Daniel/GTI, Inc................................ 316 2,943
Flushing Financial Corp............................... 400 8,800
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Foodarama Supermarkets, Inc.......................... 100 $ 2,212
*Forcenergy, Inc...................................... 159 4,949
Forest City Enterprises, Inc. Class A................. 450 25,706
*Foster (L.B.) Co. Class A............................ 800 4,200
*Franklin Electronic Publishers, Inc.................. 500 7,125
Freds, Inc. Class A................................... 1,800 44,100
*Fresh Choice, Inc.................................... 500 2,109
Friedman Industries, Inc.............................. 551 3,857
*Friedmans, Inc. Class A.............................. 1,000 14,562
Frisch's Restaurants, Inc............................. 648 8,586
Frozen Food Express Industries, Inc................... 1,200 11,850
*Fuqua Enterprises, Inc............................... 300 9,112
*G-III Apparel Group, Ltd............................. 600 3,131
*GC Companies, Inc.................................... 300 13,012
*GKN Holding Corp..................................... 300 1,256
*GT Bicycles, Inc..................................... 1,000 6,781
*GTI Corp............................................. 500 2,969
*GZA Geoenvironmental Technologies, Inc............... 300 1,528
Gainsco, Inc.......................................... 1,500 12,562
*Galey & Lord, Inc.................................... 300 5,400
*Galileo Corp......................................... 600 6,712
Gamma Biologicals, Inc................................ 300 1,500
*Gantos, Inc.......................................... 500 594
Garan, Inc............................................ 400 9,900
*Garden Botanika, Inc................................. 500 2,250
*Garden Fresh Restaurant Corp......................... 100 1,419
*Gasonics International, Inc.......................... 300 3,994
*Gehl Co.............................................. 500 11,406
*General Communications, Inc. Class A................. 2,700 18,647
*General Datacomm Industries, Inc..................... 1,300 6,825
*General Host Corp.................................... 2,094 11,124
General Housewares Corp............................... 300 2,812
*General Surgical Innovations, Inc.................... 1,500 6,937
*Geneva Steel Co. Class A............................. 800 2,000
*Genicom Corp......................................... 500 6,875
*Genlyte Group, Inc................................... 1,100 19,044
*Gensym Corp.......................................... 500 2,703
*Genus, Inc........................................... 1,600 6,850
Geon Co............................................... 1,500 35,437
*Geoscience Corp...................................... 200 2,450
Gerber Scientific, Inc................................ 1,400 28,000
*Getty Petroleum Marketing, Inc....................... 900 4,781
*Giant Group, Ltd..................................... 400 3,000
Giant Industries, Inc................................. 1,000 18,375
*Gibraltar Packaging Group, Inc....................... 900 2,419
*Gibson Greetings, Inc................................ 1,400 33,031
*Gish Biomedical, Inc................................. 1,000 4,875
Gleason Corp.......................................... 200 5,187
*Global Industrial Technologies, Inc.................. 1,900 33,962
*Global Motorsport Group, Inc......................... 500 6,906
*Global Village Communication, Inc.................... 900 1,772
*Golden Books Family Entertainment, Inc............... 1,000 9,437
*Good Guys, Inc....................................... 1,200 9,900
*Gottschalks, Inc..................................... 600 5,137
*Government Technology Services, Inc.................. 600 3,187
*Gradco Systems, Inc.................................. 700 5,687
*Graham-Field Health Products, Inc.................... 1,100 16,431
*Grand Casinos, Inc................................... 3,300 43,312
</TABLE>
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<TABLE>
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Grand Premier Financial, Inc.......................... 669 $ 9,471
Granite Construction, Inc............................. 1,300 29,737
Granite State Bankshares, Inc......................... 300 6,694
Green (A.P.) Industries, Inc.......................... 1,100 12,787
Greenbrier Companies, Inc............................. 1,300 22,262
*Greyhound Lines, Inc................................. 1,800 7,087
*Grist Mill & Co...................................... 500 4,656
*Gryphon Holdings, Inc................................ 1,000 16,437
Guaranty National Corp................................ 1,400 50,225
*Guest Supply, Inc.................................... 500 6,875
Guilford Mills, Inc................................... 1,800 45,562
*Gundle/SLT Environmental, Inc........................ 1,600 7,900
*HCIA, Inc............................................ 800 9,625
HF Financial Corp..................................... 200 5,100
*HMN Financial, Inc................................... 500 12,969
*HS Resources, Inc.................................... 900 14,344
Haggar Corp........................................... 600 9,525
*Hampton Industries, Inc.............................. 400 3,450
*Handleman Co......................................... 2,900 19,394
Handy & Harman........................................ 1,000 22,375
*Hanger Orthopedic Group, Inc......................... 700 8,662
*Harding Lawson Associates Group, Inc................. 400 3,825
Harleysville Group, Inc............................... 2,400 56,250
*Harry's Farmers Market, Inc. Class A................. 500 1,047
*Hartmarx Corp........................................ 2,800 22,750
*Harvey Entertainment Co.............................. 400 5,650
Harvey's Casino Resorts............................... 500 9,906
*Hathaway Corp........................................ 400 1,150
*Hauser, Inc.......................................... 1,100 7,356
Haven Bancorp, Inc.................................... 500 21,500
Haverty Furniture Co., Inc............................ 1,700 21,834
*Health Management Systems, Inc....................... 1,200 7,425
*Healthcare Services Group, Inc....................... 1,500 19,078
*Healthcor Holdings................................... 500 2,312
*Heartland Wireless Communications, Inc............... 1,200 2,325
Heilig-Meyers Co...................................... 4,450 57,572
*Hein-Werner Corp..................................... 220 1,554
*Hello Direct, Inc.................................... 300 2,175
*Hi-Lo Automotive, Inc................................ 1,000 2,750
*High Plains Corp..................................... 1,600 5,050
Hoenig Group, Inc..................................... 500 2,844
Holly Corp............................................ 500 13,500
*Hollywood Casino Corp. Class A....................... 800 1,975
*Hollywood Entertainment Corp......................... 1,600 13,775
*Hollywood Park, Inc.................................. 500 9,656
Home Port Bancorp, Inc................................ 200 4,725
*Home State Holdings, Inc............................. 500 78
*Homebase, Inc........................................ 3,400 28,475
Horizon Financial Corp................................ 1,230 20,526
*Hospital Staffing Services, Inc...................... 300 281
*Housecall Medical Resources, Inc..................... 900 2,897
*Hovnanian Enterprises, Inc. Class A.................. 1,300 9,506
Hudson Foods, Inc. Class A............................ 1,500 28,406
Huffy Corp............................................ 800 12,050
Hughes Supply, Inc.................................... 750 24,562
*Hugoton Energy Corp.................................. 1,600 15,300
Hunt (J.B.) Transport Services, Inc................... 3,400 55,462
Huntco, Inc. Class A.................................. 300 3,787
*Hycor Biomedical, Inc................................ 600 1,275
*Hyde Athletic Industries, Inc. Class B............... 300 1,500
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
IBS Financial Corp.................................... 300 $ 5,203
*ICF Kaiser International, Inc........................ 1,800 3,825
ICO, Inc.............................................. 1,800 10,969
*ICU Medical, Inc..................................... 1,500 16,406
*IEC Electronics Corp................................. 1,300 19,987
*IHOP Corp............................................ 800 27,350
*IPC Information Systems, Inc......................... 500 9,156
ISB Financial Corp. LA................................ 100 2,581
*ITEQ, Inc............................................ 744 8,765
*ITI Technologies, Inc................................ 200 4,987
*Ibah, Inc............................................ 3,600 12,262
*Imation Corp......................................... 1,400 24,325
*Immulogic Pharmaceutical Corp........................ 1,500 3,422
Imperial Holly Corp................................... 1,100 11,894
*In Home Health, Inc.................................. 900 998
*Inacom Corp.......................................... 800 22,700
*Indenet, Inc......................................... 1,000 2,203
*Inference Corp. Class A.............................. 1,500 7,687
*Information Resources, Inc........................... 2,200 33,000
*Information Storage Devices, Inc..................... 300 2,119
Ingles Market, Inc. Class A........................... 400 5,350
*Innodata Corp........................................ 200 166
*Insituform Technologies, Inc. Class A................ 2,800 24,850
*Inso Corp............................................ 1,000 10,750
Insteel Industries, Inc............................... 700 5,250
Instron Corp.......................................... 1,000 17,000
*Insurance Auto Auctions, Inc......................... 1,000 10,625
*Integrated Process Equipment Corp.................... 500 10,750
*Integrated Silicon Solution, Inc..................... 1,200 11,850
*Intelligent Electronics, Inc......................... 3,500 18,047
*Intelligent Systems Corp............................. 500 2,625
*Inter-Tel, Inc....................................... 900 18,956
*Interface Systems, Inc............................... 400 1,200
Interface, Inc. Class A............................... 1,300 38,634
*Intergraph Corp...................................... 4,300 45,016
*Interlinq Software Corp.............................. 1,000 4,250
International Aluminum Corp........................... 500 15,500
International Multifoods Corp......................... 1,500 40,312
*International Rectifier Corp......................... 2,100 29,662
*International Remote Imaging Systems, Inc............ 100 400
International Shipholding Corp........................ 400 7,175
*International Technology Corp........................ 850 7,012
*International Thoroughbred Breeders, Inc............. 800 2,800
*Interphase Corp...................................... 900 5,822
Interpool, Inc........................................ 1,950 27,178
Interstate Johnson Lane, Inc.......................... 200 5,175
*Intertan, Inc........................................ 900 5,119
Investors Financial Services Corp..................... 43 1,817
Isco, Inc............................................. 200 1,837
*Isolyser Co., Inc.................................... 3,100 9,300
*Iwerks Entertainment, Inc............................ 1,900 7,006
*J & J Snack Foods Corp............................... 1,800 29,250
J & L Specialty Steel, Inc............................ 3,200 31,200
*J. Alexander's Corp.................................. 300 1,631
*JPE, Inc............................................. 200 1,150
JSB Financial, Inc.................................... 900 41,962
*Jackpot Enterprises, Inc............................. 700 8,487
*Jaclyn, Inc.......................................... 200 875
*Jaco Electronics, Inc................................ 300 2,025
*Jacobson Stores, Inc................................. 500 5,500
</TABLE>
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<TABLE>
<CAPTION>
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*Jan Bell Marketing, Inc.............................. 2,200 $ 6,187
*Jason, Inc........................................... 1,700 13,069
*Jean Philippe Fragrances, Inc........................ 500 3,875
John Alden Financial Corp............................. 2,000 53,875
*Johnson Worldwide Associates, Inc. Class A........... 1,500 25,125
Johnston Industries, Inc.............................. 600 3,112
*Johnstown American Industries, Inc................... 1,300 13,731
*Jos. A. Bank Clothiers, Inc.......................... 1,000 7,000
*Jumbosports, Inc..................................... 1,700 4,994
Justin Industries, Inc................................ 2,300 33,781
K Swiss, Inc. Class A................................. 300 4,969
*KLLM Transport Services, Inc......................... 500 6,344
*Kaiser Aluminum Corp................................. 2,700 28,097
*Kaiser Ventures, Inc................................. 1,600 21,600
Kaman Corp. Class A................................... 1,800 32,962
Katy Industries, Inc.................................. 800 14,000
Kellwood Co........................................... 1,800 61,762
*Key Production Co., Inc.............................. 800 8,550
*Key Tronic Corp...................................... 1,000 5,562
*Keystone Consolidated Industries, Inc................ 598 7,624
Kimball International, Inc. Class B................... 1,000 40,156
*Kimmins Corp......................................... 300 1,425
*Kinark Corp.......................................... 100 325
*Kinnard Investment, Inc.............................. 300 1,772
Klamath First Bancorp, Inc............................ 1,300 28,031
Knape & Vogt Manufacturing Co......................... 500 9,875
*Koss Corp............................................ 1,000 13,750
LNR Property Corp..................................... 500 11,625
*LTX Corp............................................. 2,900 16,131
Lab Holdings, Inc..................................... 300 7,078
*Laboratory Corp. of America Holdings, Inc............ 1,500 3,094
*Laclede Steel Co..................................... 200 937
*Ladd Furniture, Inc.................................. 1,200 18,375
*Laidlaw Environmental Services, Inc.................. 5,200 23,400
*Lamson & Sessions Co................................. 1,500 9,750
*Landair Services, Inc................................ 300 8,287
*Lasermaster Technologies, Inc........................ 900 3,909
*Laserscope........................................... 600 3,188
*LaserSight Corporation............................... 300 1,031
Lawyers Title Corp.................................... 800 25,400
*Lazare Kaplan International, Inc..................... 1,000 14,313
*Learning Co., Inc.................................... 3,400 61,625
*Lechters, Inc........................................ 2,200 12,513
Lennar Corp........................................... 1,000 20,875
*Lexford, Inc......................................... 200 6,138
*Liberty Technologies, Inc............................ 500 1,406
Life Bancorp, Inc..................................... 1,000 31,000
*Life USA Holdings, Inc............................... 1,000 16,781
Lifetime Hoan Corp.................................... 200 2,038
Lillian Vernon Corp................................... 800 11,150
Lindberg Corp......................................... 400 5,800
*Liuski International, Inc............................ 400 375
*Lodgenet Entertainment Corp.......................... 2,000 25,250
*Logic Devices, Inc................................... 700 1,969
*Lone Star Steakhouse Saloon.......................... 200 3,738
*Loronix Information Systems, Inc..................... 200 413
*Louis Dreyfus Natural Gas Corp....................... 450 9,309
Lufkin Industries, Inc................................ 600 21,300
Lukens, Inc. DE....................................... 1,300 21,775
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Luria (L.) & Son, Inc................................ 100 $ 1
*M.H. Meyerson & Co., Inc............................. 200 1,075
MDC Holdings, Inc..................................... 1,400 15,488
*MEMC Electronic Materials, Inc....................... 600 10,838
*MI Schottenstein Homes, Inc.......................... 800 11,850
*MK Gold Corp......................................... 1,700 2,523
MMI Companies, Inc.................................... 1,000 24,125
*MRS Technology, Inc.................................. 200 206
*MS Carriers, Inc..................................... 2,100 50,663
MTS Systems Corp...................................... 800 30,550
*Main Street & Main, Inc.............................. 1,000 2,906
*Manhattan Bagel Co., Inc............................. 300 408
*Mapinfo Corp......................................... 100 1,350
Marcus Corp........................................... 1,000 28,250
*Mariner Health Group, Inc............................ 2,400 34,875
*Marisa Christina, Inc................................ 600 2,850
Maritrans, Inc........................................ 1,000 9,000
*Marker International................................. 2,300 10,781
*Marlton Technologies, Inc............................ 200 1,325
Marsh Supermarkets, Inc. Class A...................... 300 4,613
Marsh Supermarkets, Inc. Class B...................... 400 6,025
*Marshall Industries.................................. 1,100 37,950
Maryland Federal Bancorp.............................. 630 16,439
*Material Sciences Corp............................... 800 11,750
*Matlack Systems, Inc................................. 200 1,738
*Matria Healthcare, Inc............................... 2,400 12,600
*Matrix Pharmaceutical, Inc........................... 1,700 6,003
*Matrix Service Co.................................... 1,800 14,400
*Mattson Technology, Inc.............................. 100 978
*Maverick Tube Corp................................... 1,200 34,313
*Maxco, Inc........................................... 700 8,094
*Maxwell Technologies, Inc............................ 400 10,613
*Maxxam, Inc.......................................... 500 23,281
*Maxxim Medical, Inc.................................. 700 15,313
*Medalliance, Inc. Liquidating Trust Escrow........... 800 0
*Medaphis Corp........................................ 5,800 29,181
*Medcath, Inc......................................... 500 8,438
Medford Savings Bank MA............................... 300 11,138
*Media 100, Inc....................................... 700 3,259
*Medical Assurance, Inc............................... 2,000 56,875
*Medical Graphics Corp................................ 200 838
*Medicore, Inc........................................ 500 1,156
Merchants Bancorp, Inc................................ 400 9,675
Mercury Air Group, Inc................................ 400 2,313
*Meridian Data, Inc................................... 1,000 4,219
Meridian Insurance Group, Inc......................... 600 11,063
*Merisel, Inc......................................... 2,500 11,797
*Merix Corp........................................... 500 7,469
*Mesa Air Group, Inc.................................. 3,800 21,138
*Mesaba Holdings, Inc................................. 700 15,400
*Metatec Corp. Class A................................ 1,100 5,500
*Metra Biosystems, Inc................................ 2,000 7,563
*Metrocall, Inc....................................... 4,000 21,125
*Michael Anthony Jewelers, Inc........................ 500 1,375
Michael Foods, Inc.................................... 1,700 37,453
*Michaels Stores, Inc................................. 3,400 109,544
*Micro Linear Corp.................................... 1,000 7,656
*Micro Warehouse, Inc................................. 3,600 52,875
*Microage, Inc........................................ 1,200 24,225
*Micronics Computers, Inc............................. 1,600 3,400
*Microtest, Inc....................................... 1,700 10,173
</TABLE>
8
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CONTINUED
<TABLE>
<CAPTION>
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------------ ------------
<S> <C> <C>
*Microwave Power Dynamics, Inc........................ 400 $ 3,000
Mid America Banccorp.................................. 873 26,422
*Midisoft Corp........................................ 300 366
*Midwest Grain Products, Inc.......................... 600 8,400
Mikasa, Inc........................................... 1,200 15,975
*Mikohn Gaming Corp................................... 1,800 14,906
*Miltope Group, Inc................................... 500 1,719
Mine Safety Appliances Co............................. 500 34,125
Mississippi Chemical Corp............................. 1,800 35,100
*Molten Metal Technology, Inc......................... 1,600 500
*Monarch Casino and Resort, Inc....................... 500 2,625
Monarch Machine Tool Co............................... 300 2,513
*Monro Muffler Brake, Inc............................. 600 8,663
*Moog, Inc. Class A................................... 500 18,188
*Moore Medical Corp................................... 100 1,113
*Moore Products Co.................................... 100 3,613
*Moovies, Inc......................................... 500 625
*Morgan Products, Ltd................................. 700 4,288
*Morrow Snowboards, Inc............................... 100 269
*Mother's Work, Inc................................... 200 1,800
Movado Group, Inc..................................... 937 16,866
*Movie Gallery, Inc................................... 2,100 6,891
*Musicland Stores Corp................................ 2,900 15,769
*Mutual Savings Bank FSB Bay City, MI................. 500 6,438
NBT Bancorp........................................... 809 20,897
NCH Corp.............................................. 200 13,638
*NCS Healthcare, Inc.................................. 600 15,863
*NPS Pharmaceuticals, Inc............................. 1,000 9,250
*NS Group, Inc........................................ 1,200 22,500
*NSA International, Inc............................... 200 344
NSC Corp.............................................. 1,000 2,344
NYMAGIC, Inc.......................................... 1,000 25,500
Nacco Industries, Inc. Class A........................ 505 54,982
*Napco Security Systems, Inc.......................... 500 3,094
Nash Finch Co......................................... 900 16,875
*Nashua Corp.......................................... 500 6,531
*Nathans Famous, Inc.................................. 400 1,525
*National Auto Credit, Inc............................ 2,630 17,424
*National City Bancorp................................ 726 20,328
*National Home Centers, Inc........................... 500 578
*National Home Health Care Corp....................... 206 1,094
*National Media Corp.................................. 1,600 6,600
*National Patent Development Corp..................... 500 6,750
National Presto Industries, Inc....................... 500 19,594
*National Steel Corp. Class B......................... 2,800 42,000
National Technical Systems, Inc....................... 100 853
*National Techteam, Inc............................... 1,200 13,050
*Natural Wonders, Inc................................. 700 5,294
Nelson (Thomas), Inc.................................. 100 1,131
*Netmanage, Inc....................................... 3,600 10,238
*Netrix Corp.......................................... 1,300 1,747
*Network Computing Devices, Inc....................... 300 2,475
*Network Equipment Technologies, Inc.................. 1,700 24,756
*Network Peripherals, Inc............................. 800 4,200
*New Brunswick Scientific Co., Inc.................... 346 2,682
*New Horizons Worldwide, Inc.......................... 600 9,300
New Jersey Resources Corp............................. 1,500 52,219
Newmil Bancorp, Inc................................... 200 2,800
Newport Corp.......................................... 500 8,438
*Nextel Communications Corp. Class A.................. 134 3,388
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Nexthealth, Inc...................................... 700 $ 777
*Noodle Kidoodle, Inc................................. 1,700 4,888
*Nord Resources Corp.................................. 1,900 3,325
*Norland Medical System, Inc.......................... 100 753
*Nortek, Inc.......................................... 1,100 26,813
*Northwestern Steel & Wire Co......................... 3,900 14,625
*Norton McNaughton, Inc............................... 800 4,850
Norwich Financial Corp................................ 400 11,925
*Novacare, Inc........................................ 5,600 69,300
*Nu Horizons Electronics Corp......................... 400 2,825
*Nu-Kote Holding, Inc. Class A........................ 2,000 1,094
*Nview Corp........................................... 400 488
O'Sullivan Corp....................................... 1,600 15,900
*O'Sullivan Industries Holdings, Inc.................. 1,100 14,025
*O.I. Corp............................................ 400 1,750
*OHM Corp............................................. 1,900 16,150
*OMI Corp............................................. 2,600 26,650
*Oak Technology, Inc.................................. 1,500 12,422
*Offshore Logistics, Inc.............................. 2,800 64,225
Oil-Dri Corp. of America.............................. 100 1,675
*Old America Stores, Inc.............................. 400 113
*Old Dominion Freight Lines, Inc...................... 1,000 15,813
*Olympic Steel, Inc................................... 1,700 23,853
*One Price Clothing Stores, Inc....................... 1,900 3,919
Oneida, Ltd........................................... 900 33,806
*Oneita Industries, Inc............................... 600 206
*Onyx Acceptance Corp................................. 100 775
*Opinion Research Corp................................ 200 1,000
*Opta Food Ingredients, Inc........................... 1,300 6,663
*Opti, Inc............................................ 1,200 7,425
Optical Coating Laboratory, Inc....................... 1,000 15,375
*Option Care, Inc..................................... 800 3,450
Orange Co., Inc....................................... 700 5,600
*Oravax, Inc.......................................... 300 881
*Orbital Sciences Corp................................ 2,400 61,650
*Oregon Metallurgical Corp............................ 1,100 35,475
Oregon Steel Mills, Inc............................... 1,700 33,363
*Oroamerica, Inc...................................... 700 3,894
*Orthologic Corp...................................... 2,000 10,313
Oshkosh Truck Corp. Class B........................... 1,700 29,963
*Oshman's Sporting Goods, Inc......................... 500 2,875
*Ostex International, Inc............................. 2,000 6,313
*Outlook Group Corp................................... 400 2,675
Overseas Shipholding Group, Inc....................... 1,800 43,988
Owosso Corp........................................... 100 778
Oxford Industries, Inc................................ 700 24,588
*PICO Holdings, Inc................................... 2,900 17,672
PLM International, Inc................................ 1,000 5,625
*PPT Vision, Inc...................................... 300 2,400
PS Group Holdings, Inc................................ 500 7,125
PXRE Corp............................................. 1,511 44,669
Pacific Scientific Co................................. 600 9,525
Palfed, Inc........................................... 400 10,675
Pancho's Mexican Buffet, Inc.......................... 400 888
*Par Technology Corp.................................. 1,000 10,688
*Paragon Trade Brands, Inc............................ 500 11,250
Park Electrochemical Corp............................. 300 7,875
*Park-Ohio Industries, Inc............................ 1,700 30,494
*Parlux Fragrances, Inc............................... 2,400 5,475
Patrick Industries, Inc............................... 1,000 14,375
*Paxson Communications Corp........................... 1,000 8,500
*Payless Cashways, Inc................................ 3,400 173
</TABLE>
9
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Paymentech, Inc...................................... 1,100 $ 17,050
*Penn Traffic Co...................................... 200 1,750
*Penn Treaty American Corp............................ 600 19,388
Penn Virginia Corp.................................... 400 10,825
Pennfed Financial Services, Inc....................... 500 16,516
Penwest, Ltd.......................................... 400 14,825
*Peoples Choice TV Corp............................... 1,000 2,281
Peoples Heritage Financial Group, Inc................. 1,778 75,787
*Peoples Telephone Co., Inc........................... 1,400 5,075
*Perfumania, Inc...................................... 1,600 5,325
*Perini Corp.......................................... 400 3,525
*Periphonics Corp..................................... 200 1,944
*Pete's Brewing Co.................................... 600 2,981
*Petrocorp, Inc....................................... 1,700 15,406
*Phar-Mor, Inc........................................ 100 847
*Pharmaceutical Resources, Inc........................ 1,600 2,500
*Pharmchem Laboratories, Inc.......................... 500 1,500
*Philip Services Corp................................. 607 9,598
Phillips-Van Heusen Corp.............................. 2,500 34,375
Phoenix Duff & Phelps Corp............................ 3,800 28,500
*Physician Reliance Network, Inc...................... 4,200 41,475
*Physicians Resource Group, Inc....................... 400 2,275
*Physiometrix, Inc.................................... 200 513
Piccadilly Cafeterias, Inc............................ 900 11,306
*Picturetel Corp...................................... 3,300 28,823
Pilgrim Pride Corp.................................... 1,600 25,600
Pillowtex Corp........................................ 300 7,950
Pinnacle Bancshares, Inc.............................. 200 3,275
Pinnacle Financial Services, Inc...................... 400 16,700
*Pinnacle Systems, Inc................................ 200 4,850
Pioneer Natural Resouces Co........................... 428 13,669
Piper Jaffray Companies, Inc.......................... 800 22,150
Pittston Co. Burlington Group......................... 1,700 46,856
*Planar Systems, Inc.................................. 1,800 21,263
Plasti-Line, Inc...................................... 100 1,369
*Players International, Inc........................... 5,000 16,094
*Pollo Tropical, Inc.................................. 1,000 6,625
*Polymedica Industries, Inc........................... 500 4,625
*Polymer Group, Inc................................... 1,500 14,813
*Pool Energy Services Co.............................. 1,200 30,975
Pope & Talbot, Inc.................................... 1,100 18,150
Portec, Inc........................................... 500 6,938
Poughkeepsie Financial Corp........................... 1,100 10,931
*Powercerv Corp....................................... 1,300 3,819
*Powertel, Inc........................................ 2,500 48,438
*Premenos Technology Corp............................. 1,700 22,419
Presidential Life Corp................................ 2,900 58,272
*Price Communications Corp............................ 500 5,500
Price Enterprises, Inc................................ 1,800 32,288
*Pricesmart, Inc...................................... 450 7,369
*Primark Corp......................................... 500 16,938
Prime Bancorp, Inc.................................... 330 11,158
Primesource Corp...................................... 500 6,063
*Procyte Corp......................................... 1,100 1,203
*Progress Software Corp............................... 500 10,375
Progressive Bank, Inc................................. 300 10,238
*Pronet, Inc.......................................... 1,200 5,325
*Proteon, Inc......................................... 1,700 2,763
*Protocol Systems, Inc................................ 1,400 14,438
*Provident American Corp.............................. 400 1,075
*Proxim, Inc.......................................... 900 10,688
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Proxima Corp......................................... 1,500 $ 11,063
Pulte Corp............................................ 400 16,225
*Pure World, Inc...................................... 200 1,300
*Pyramid Breweries, Inc............................... 300 806
*QMS, Inc............................................. 900 2,869
*Quad Systems Corp.................................... 1,200 7,688
Quaker Chemical Corp.................................. 500 9,406
*Quaker City Bancorp, Inc............................. 500 10,188
*Quaker Fabric Corp................................... 700 13,869
Quaker State Corp..................................... 2,700 41,513
*Quality Dining, Inc.................................. 1,400 5,819
*Quality Semiconductor, Inc........................... 200 1,156
*Quality Systems, Inc................................. 1,000 7,375
Quanex Corp........................................... 600 17,850
*Quest Medical, Inc................................... 200 1,394
Quixote Corp.......................................... 1,000 8,688
*R & B, Inc........................................... 1,100 10,588
RLI Corp.............................................. 600 26,213
RPC, Inc.............................................. 1,200 32,100
*RTW, Inc............................................. 1,000 6,656
*Rag Shops, Inc....................................... 200 622
*Railtex, Inc......................................... 1,000 14,813
*Rally's Hamburgers, Inc.............................. 1,300 4,469
*Ramsay Health Care, Inc.............................. 700 3,041
*Rare Hospitality International, Inc.................. 1,800 19,350
*Reading Entertainment, Inc........................... 400 5,050
*Recoton Corp......................................... 800 10,900
*Redwood Empire Bancorp............................... 200 3,138
Refac Technology Development Corp..................... 300 4,163
*Regeneron Pharmaceuticals, Inc....................... 2,100 20,606
*Rentrak Corp......................................... 100 497
*Republic Automotive Parts, Inc....................... 300 4,500
*Republic Engineered Steels, Inc...................... 100 147
Resource Bancshares Mortgage Group, Inc............... 600 8,325
*Response Oncology, Inc............................... 873 8,512
*Rex Stores Corp...................................... 500 5,688
*Riddell Sports, Inc.................................. 1,700 6,853
*Ride, Inc............................................ 2,000 5,125
Riggs National Corp................................... 2,000 48,813
*Right Management Consultants, Inc.................... 300 3,319
*Rightchoice Managed Care, Inc. Class A............... 300 3,244
*Rio Hotel & Casino, Inc.............................. 700 14,613
Rival Co.............................................. 600 8,888
Roanoke Electric Steel Corp........................... 1,200 26,700
*Roberds, Inc......................................... 500 1,969
*Rock Bottom Restaurants, Inc......................... 1,600 17,200
Rock-Tenn Co. Class A................................. 1,400 28,350
*Rodman & Renshaw Capital Group, Inc.................. 600 225
*Rohr, Inc............................................ 1,700 52,063
Rollins Truck Leasing Corp............................ 3,900 66,056
*Rottlund, Inc........................................ 500 2,000
Rouge Industries, Inc. Class A........................ 900 13,725
*Ruby Tuesday, Inc.................................... 1,000 26,250
*Ryans Family Steak Houses, Inc....................... 4,500 40,219
Rykoff-Sexton, Inc.................................... 900 20,194
Ryland Group, Inc..................................... 800 17,450
*S&K Famous Brands, Inc............................... 400 5,425
*S3, Inc.............................................. 1,500 9,633
*SED International Holdings, Inc...................... 1,000 12,781
</TABLE>
10
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*SLH Corp............................................. 225 $ 12,038
*SSE Telecom, Inc..................................... 500 2,469
*STM Wireless, Inc. Class A........................... 200 2,938
*SYNC Research, Inc................................... 1,100 4,434
*Safety 1st, Inc...................................... 200 1,375
*Salant Corp. DE...................................... 1,600 3,100
*San Filippo (John B.) & Son, Inc..................... 800 6,325
Sanderson Farms, Inc.................................. 300 3,619
*Sands Regent Casino Hotel............................ 400 844
*Santa Cruz Operation, Inc............................ 2,400 14,100
*Scholastic Corp...................................... 1,100 42,075
*Schuler Homes, Inc................................... 1,800 12,713
*Sealright Co., Inc................................... 1,000 12,438
*Secom General Corp................................... 400 900
Selective Insurance Group, Inc........................ 1,000 50,688
*Sequa Corp. Class A.................................. 1,000 57,219
*Sequent Computer Systems, Inc........................ 3,100 72,172
*Service Merchandise Co., Inc......................... 7,800 26,325
*Sharper Image Corp................................... 500 2,063
Shelter Components, Inc............................... 800 13,900
*Sherwood Group, Inc.................................. 1,000 12,375
*Shiloh Industries, Inc............................... 1,100 20,763
*Shoe Carnival, Inc................................... 800 7,350
*Sholodge, Inc........................................ 600 9,713
*Shoney's, Inc........................................ 2,258 9,879
*Shopko Stores, Inc................................... 2,700 56,700
Showboat, Inc......................................... 1,300 24,944
Sifco Industries, Inc................................. 400 8,200
*Sight Resource Corp.................................. 1,700 7,756
*Signal Technology Corp............................... 600 3,150
*Signature Brands USA, Inc............................ 1,300 6,094
*Silicon Valley Group, Inc............................ 2,300 54,841
Simmons First National Corp. Class A.................. 200 7,069
Simpson Industries, Inc............................... 1,900 21,969
*Sizzler International, Inc........................... 2,400 7,050
Skyline Corp.......................................... 900 24,413
Skywest, Inc.......................................... 1,100 26,813
Smith (A.O.) Corp..................................... 800 34,050
Smith (A.O.) Corp. Convertible Class A................ 200 8,500
*Sodak Gaming, Inc.................................... 500 4,406
*Softech, Inc......................................... 300 703
*Software Spectrum, Inc............................... 1,000 13,438
South Jersey Industries, Inc.......................... 500 12,563
*Southern Energy Homes, Inc........................... 100 941
*Southwall Technologies, Inc.......................... 500 3,969
Southwest Bancshares, Inc. DE......................... 300 7,631
Southwest Securities Group, Inc....................... 220 5,198
Southwestern Energy Co................................ 2,200 25,713
Sovereign Bancorp, Inc................................ 2,039 38,677
*Spacelabs Medical, Inc............................... 1,000 21,750
*Spaghetti Warehouse, Inc............................. 500 3,406
Spartan Motors, Inc................................... 1,000 5,719
*Sparton Corp......................................... 500 5,125
*Spec's Music, Inc.................................... 400 425
*Specialty Chemical Resources, Inc.................... 300 319
*Spectran Corp........................................ 500 5,734
*Speizman Industries, Inc............................. 300 1,875
*Spiegel, Inc. Class A Non-Voting..................... 1,500 8,203
*Sport Chalet, Inc.................................... 600 2,888
*Sport Supply Group, Inc.............................. 300 2,363
*Sportmart, Inc....................................... 500 1,500
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Sportmart, Inc. Class A.............................. 250 $ 672
*Sports Club Co., Inc................................. 600 4,875
Springs Industries, Inc. Class A...................... 300 15,131
St. Paul Bancorp, Inc................................. 3,000 73,875
*Stac, Inc............................................ 100 591
*Staff Builders, Inc. Class A......................... 1,700 4,648
*Standard Commercial Corp............................. 856 14,873
*Standard Management Corp............................. 700 4,856
*Standard Microsystems Corp........................... 1,600 17,350
Standard Motor Products, Inc. Class A................. 1,100 21,656
Standard Pacific Corp. DE............................. 2,600 35,100
Standard Products Co.................................. 1,400 35,175
*Starcraft Corp....................................... 200 538
Starret Corp.......................................... 300 3,600
Starrett (L.S.) Co. Class A........................... 200 7,700
*Starter Corp......................................... 2,300 7,763
*Station Casinos, Inc................................. 2,600 17,225
*Steel of West Virginia, Inc.......................... 600 5,850
Steel Technologies, Inc............................... 500 5,688
Stepan Co............................................. 500 13,938
Stephan Co............................................ 200 2,550
Sterling Bancorp...................................... 500 10,969
*Sterling Financial Corp. WA.......................... 600 12,788
Stewart Information Services Corp..................... 500 13,531
Stifel Financial Corp................................. 500 7,188
*Stokely USA, Inc..................................... 1,000 766
Stone & Webster, Inc.................................. 800 37,500
*Stormedia, Inc. Class A.............................. 1,000 3,719
*Strategic Distribution, Inc.......................... 1,500 7,219
Strawbridge and Clothier Liquidating Trust............ 900 8,157
*Strouds, Inc......................................... 1,100 2,166
*Stuart Entertainment, Inc............................ 600 1,481
*Sulcus Computer Corp................................. 800 2,450
Sumitomo Bank of California........................... 1,300 49,238
*Summa Four, Inc...................................... 500 5,844
*Summit Care Corp..................................... 700 11,113
*Summit Technology, Inc............................... 500 3,266
*Summitt Medical Systems, Inc......................... 300 834
*Sun Coast Industries, Inc............................ 200 1,000
*Sun Healthcare Group, Inc............................ 2,000 43,000
*Sun Television and Appliances, Inc................... 2,400 5,438
*Sunrise Medical, Inc................................. 2,000 31,625
*Sunrise Resources, Inc............................... 1,400 4,113
Superior Surgical Manufacturing Co., Inc.............. 800 12,100
*Suprema Specialties, Inc............................. 1,200 3,900
Susquehanna Bancshares, Inc........................... 1,650 53,522
*Swiss Army Brands, Inc............................... 1,700 17,425
*Sylvan, Inc.......................................... 400 5,550
*Syms Corp............................................ 1,500 17,344
*Synbiotics Corp...................................... 600 2,034
*Syncor International Corp. DE........................ 900 14,344
*Syntellect, Inc...................................... 1,300 2,763
*Syquest Technology, Inc.............................. 900 2,939
*TBC Corp............................................. 1,600 16,300
TCBY Enterprises, Inc................................. 2,200 13,888
*TCSI Corp............................................ 100 622
*TII Industries, Inc.................................. 1,200 7,013
TJ International, Inc................................. 1,400 34,606
TR Financial Corp..................................... 1,000 32,750
</TABLE>
11
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*TRC Companies, Inc................................... 300 $ 1,163
*TRM Copy Centers Corp................................ 1,000 9,500
Tab Products Co. DE................................... 400 5,800
*Taco Cabana, Inc..................................... 2,500 12,813
*Tandy Brand Accessories, Inc......................... 500 7,313
*Tandy Crafts, Inc.................................... 1,000 4,500
*Tanknology Environmental, Inc........................ 1,200 2,306
*Tech-Sym Corp........................................ 300 9,094
*Tegal Corp........................................... 200 1,456
Telxon Corp........................................... 500 12,313
*Tesoro Petroleum Corp................................ 2,100 34,913
Texas Industries, Inc................................. 1,800 83,813
*Texas Micro, Inc..................................... 1,000 4,813
*Thermo Power Corp.................................... 1,000 9,125
Thermo Remediation, Inc............................... 900 5,625
*Thermo Sentron, Inc.................................. 500 5,500
*Thermo Terratech, Inc................................ 500 4,359
*Thermo Voltek Corp................................... 1,000 6,313
Thomas Industries, Inc................................ 300 9,525
Thomaston Mills, Inc.................................. 400 3,500
*Thorn Apple Valley, Inc.............................. 1,500 21,094
*Tipperary Corp....................................... 1,000 5,125
*Titan Corp........................................... 1,000 6,438
Titan Holdings, Inc................................... 1,155 24,399
Titan International, Inc.............................. 1,200 24,000
Toastmaster, Inc...................................... 600 3,150
*Todd Shipyards Corp.................................. 800 3,600
*Topps, Inc........................................... 100 259
*Tower Air, Inc....................................... 1,100 5,569
*Trans World Airlines, Inc............................ 3,000 22,688
*Trans World Entertainment Corp....................... 800 28,650
*Transfinancial Holdings, Inc......................... 300 2,813
Transport Leasing International, Inc.................. 500 4,875
Transtechnology Corp.................................. 500 13,500
*Travel Ports of America, Inc......................... 212 815
Treadco, Inc.......................................... 500 5,094
*Tremont Corp. DE..................................... 600 34,163
*Trend-Lines, Inc. Class A............................ 200 1,469
*Trident Microsystems, Inc............................ 800 9,125
*Tridex Corp.......................................... 300 1,538
Trigen Energy Corp.................................... 400 9,175
Trion, Inc............................................ 100 431
*Trism, Inc........................................... 500 2,031
*Truevision, Inc...................................... 1,300 4,347
*Trump Hotels & Casino Resorts, Inc................... 2,000 17,375
*Tseng Laboratories, Inc.............................. 1,600 3,250
*Tuesday Morning Corp................................. 1,050 26,184
*Tultex Corp.......................................... 2,500 11,250
*Turner Corp.......................................... 300 6,938
Twin Disc, Inc........................................ 200 6,475
*Tyler Corp........................................... 1,700 8,713
U.S. Bancorp, Inc..................................... 500 32,375
*U.S. Diagnostic, Inc................................. 1,500 6,516
*URS Corp............................................. 719 11,504
*US Can Corp.......................................... 1,100 18,150
USX-Delhi Group....................................... 800 15,700
*Ultimate Electronics, Inc............................ 300 994
*Ultradata Corp....................................... 100 388
*Ultrafem, Inc........................................ 1,000 3,750
*Ultrak, Inc.......................................... 1,400 15,794
*Ultratech Stepper, Inc............................... 300 7,350
Uni-Marts, Inc........................................ 500 2,250
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Unico American Corp................................... 500 $ 6,156
Unifirst Corp......................................... 100 2,581
*Unimark Group, Inc................................... 1,000 4,531
*Union Acceptance Corp. Class A....................... 500 2,797
*Unique Casual Restaurants, Inc....................... 500 3,438
*Uniroyal Technology Corp............................. 2,100 11,616
*Unit Instruments, Inc................................ 300 3,038
*United American Healthcare Corp.,.................... 700 2,013
United Companies Financial Corp....................... 900 19,519
United Industrial Corp................................ 1,400 15,400
*United Retail Group, Inc............................. 1,100 4,125
*United States Home Corp.............................. 1,000 37,125
United Wisconsin Services, Inc........................ 800 19,500
*Universal Electronics, Inc........................... 300 3,150
*Universal Hospital Services, Inc..................... 300 4,444
*Universal International, Inc......................... 400 1,044
*Universal Standard Medical Labs, Inc................. 500 1,406
*Uno Restaurant Corp.................................. 600 3,825
*Uranuim Resources, Inc............................... 1,900 9,084
*Utilx Corp........................................... 800 5,075
*V Band Systems, Inc.................................. 500 734
*VLSI Technology, Inc................................. 600 13,556
*VTEL Corp............................................ 600 4,341
*Vallen Corp.......................................... 1,000 20,188
*Value City Department Stores, Inc.................... 2,600 19,663
Value Line, Inc....................................... 600 21,600
*Valuevision International, Inc. Class A.............. 2,700 10,884
*Variflex, Inc........................................ 1,200 7,050
Varlen Corp........................................... 1,665 45,579
*Vaughn Communications, Inc........................... 100 613
*Vectra Technologies, Inc............................. 500 30
*Venture Stores, Inc.................................. 1,500 2,344
*Verity, Inc.......................................... 500 2,453
*Vertex Communications Corp........................... 200 4,900
*Veterinary Centers of America, Inc................... 1,500 19,031
*Vicorp Restaurants, Inc.............................. 800 12,550
*Video Display Corp................................... 300 2,756
*Video Lottery Technologies, Inc...................... 900 10,294
*Video Services Corp.................................. 500 1,516
*Video Update, Inc.................................... 1,800 4,781
Virco Manufacturing Corp.............................. 900 21,488
Virginia Beach Federal Financial Corp................. 400 6,675
Virginia First Financial Corp......................... 200 5,000
Vital Signs, Inc...................................... 700 13,956
*Vitalink Pharmacy Services, Inc...................... 1,700 40,375
*WHX Corp............................................. 2,200 25,988
WLR Foods, Inc........................................ 1,314 11,744
Walbro Corp........................................... 1,600 23,100
*Wall Data, Inc....................................... 600 9,788
*Wandel & Goltermann Technologies, Inc................ 100 1,244
Warren Bancorp, Inc................................... 300 6,131
*Washington Homes, Inc................................ 700 2,713
Washington National Corp.............................. 300 9,919
Washington Savings Bank FSB Waldorf, MD............... 400 2,950
Watkins-Johnson Co.................................... 500 15,625
Watts Industries, Inc. Class A........................ 1,600 40,700
Webb (Del) Corp....................................... 1,600 34,600
Webster Financial Corp................................ 739 46,511
*Weirton Steel Corp................................... 3,600 10,575
</TABLE>
12
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Wellman, Inc.......................................... 3,500 $ 74,156
*Wells-Gardner Electronics Corp....................... 200 1,163
Werner Enterprises, Inc............................... 1,800 38,925
Wesbanco, Inc......................................... 300 8,888
*West Coast Entertainment Corp........................ 200 350
West, Inc............................................. 300 9,525
Westco Bancorp, Inc................................... 300 8,138
Westcorp, Inc......................................... 600 10,200
*Western Beef, Inc.................................... 500 3,813
*Weston (Roy F.), Inc. Class A........................ 600 2,484
*Whittaker Corp....................................... 700 6,344
*Wickes Lumber Co..................................... 200 725
*Williams Clayton Energy, Inc......................... 700 11,244
Wilshire Oil Co. of Texas............................. 500 2,844
Windmere Corp......................................... 1,400 33,775
Winnebago Industries, Inc............................. 1,800 13,838
Wiser Oil Co.......................................... 800 12,200
Wolohan Lumber Co..................................... 600 7,875
*Wolverine Tube, Inc.................................. 400 12,700
*Wonderware Corp...................................... 1,000 18,344
*Workgroup Technology Corp............................ 900 3,234
*Worldtex, Inc........................................ 1,200 10,200
*Xetel Corp........................................... 300 1,228
Xtra Corp............................................. 300 15,825
Yankee Energy Systems, Inc............................ 900 21,319
*Yellow Corp.......................................... 2,400 63,600
York Financial Corp................................... 756 19,703
*Zale Corp............................................ 3,000 66,750
*Zaring National Corp................................. 100 944
*Zemex Corp........................................... 742 7,054
Zenith National Insurance Corp........................ 1,500 40,125
*Zilog, Inc........................................... 2,000 38,250
*Zoll Medical Corp.................................... 900 6,230
Zurn Industries, Inc.................................. 600 20,550
------------
TOTAL COMMON STOCKS
(Cost $13,127,440)................................... 16,571,156
------------
RIGHTS/WARRANTS -- (0.0%)
*Amvestors Financial Corp. Warrants Class A
04/02/02............................................ 46 374
*Fusion Systems Corp. Contingent Payment Rights
03/31/99............................................ 400 431
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 805
------------
FACE
AMOUNT VALUE+
------------ ------------
(000)
TEMPORARY CASH INVESTMENTS -- (5.5%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
8.50%, 11/15/00, valued at $987,850) to be
repurchased at $968,440
(Cost $968,000)..................................... $ 968 $ 968,000
------------
TOTAL INVESTMENTS -- (100.6%)
(Cost $14,095,440)++................................. 17,539,961
------------
OTHER ASSETS AND LIABILITIES -- (-0.6%)
Other Assets.......................................... 150,263
Payable for Investment Securities Purchased........... (247,355)
Other Liabilities..................................... (14,488)
------------
(111,580)
------------
NET ASSETS -- (100.0%) Applicable to 1,127,801
Outstanding $.01 Par Value Shares (100,000,000 Shares
Authorized).......................................... $ 17,428,381
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 15.45
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
13
<PAGE>
VA LARGE VALUE PORTFOLIO
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (98.8%)
AK Steel Holding Corp................................. 2,200 $ 43,312
*AMR Corp............................................. 4,000 484,750
*Advanced Micro Devices, Inc.......................... 4,100 89,431
Advanta Corp. Class A................................. 300 8,587
Advanta Corp. Class B Non-Voting...................... 500 13,531
Aetna, Inc............................................ 5,200 391,950
Albemarle Corp........................................ 1,100 27,431
Alexander & Baldwin, Inc.............................. 1,600 43,150
Alleghany Corp........................................ 100 26,950
*Alumax, Inc.......................................... 2,000 62,875
Ambac, Inc............................................ 2,500 100,312
Amerada Hess Corp..................................... 3,200 179,200
American General Corp................................. 8,519 458,961
American Greetings Corp. Class A...................... 2,600 95,387
American National Insurance Co........................ 600 57,412
*Apple Computer, Inc.................................. 3,500 62,016
Archer-Daniels Midland Co............................. 16,120 344,565
Argonaut Group, Inc................................... 300 9,900
Asarco, Inc........................................... 1,700 42,287
Astoria Financial Corp................................ 600 33,150
Avnet, Inc............................................ 800 53,000
Ball Corp............................................. 900 34,650
Bankers Trust New York Corp........................... 1,700 201,556
Bear Stearns Companies, Inc........................... 3,161 131,181
Berkley (W.R.) Corp................................... 900 37,744
*Bethlehem Steel Corp................................. 4,200 43,050
*Beverly Enterprises.................................. 2,800 47,600
Black & Decker Corp................................... 3,400 124,950
Block Drug Co., Inc. Class A.......................... 309 14,291
Boise Cascade Corp.................................... 1,800 60,637
Borg Warner Automotive, Inc........................... 400 18,850
Bowater, Inc.......................................... 1,200 53,850
*Brinker International, Inc........................... 2,100 30,975
*Burlington Industries, Inc........................... 1,600 23,200
Burlington Northern Santa Fe Corp..................... 5,500 503,250
CIGNA Corp............................................ 1,500 250,875
*CNA Financial Corp................................... 2,300 281,750
CSX Corp.............................................. 7,900 413,269
Capital Re Corp....................................... 500 28,031
Carpenter Technology Corp............................. 600 28,275
Centex Corp........................................... 800 50,700
Century Telephone Enterprises, Inc.................... 400 18,425
Champion International Corp........................... 3,300 176,756
Chesapeake Corp....................................... 700 23,975
Chiquita Brands International, Inc.................... 2,100 35,569
*Chris-Craft Industries, Inc.......................... 733 36,742
Chrysler Corp......................................... 24,000 823,500
Cincinnati Financial Corp............................. 2,130 217,127
Citizens Corp......................................... 1,300 38,269
Commerce Bancshares, Inc.............................. 782 48,597
Commerce Group, Inc................................... 1,400 43,925
Comsat Corp. Series 1................................. 1,800 41,175
*Consolidated Freightways Corp........................ 450 7,102
Consolidated Papers, Inc.............................. 1,500 80,812
Coors (Adolph) Co. Class B............................ 1,000 35,875
Countrywide Credit Industries, Inc.................... 3,600 147,375
Cummins Engine Co., Inc............................... 1,100 70,812
*Cypress Semiconductor Corp........................... 1,100 12,031
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Cyprus Amax Minerals Co., Inc......................... 3,200 $ 58,600
Darden Restaurants, Inc............................... 5,500 65,312
*Digital Equipment Corp............................... 5,300 261,025
Dillards, Inc. Class A................................ 4,000 146,250
Dime Bancorp, Inc..................................... 1,800 43,650
Enhance Financial Services Group, Inc................. 500 27,937
Enron Corp............................................ 10,000 387,500
*Enserch Exploration, Inc............................. 5,699 47,729
*Federated Department Stores, Inc..................... 7,400 337,162
Fina, Inc. Class A.................................... 700 45,850
Financial Security Assurance Holdings, Ltd............ 900 39,487
Fingerhut Companies, Inc.............................. 1,800 37,350
Finova Group, Inc..................................... 1,400 65,975
First Hawaiian, Inc................................... 1,200 45,225
Florida East Coast Industries, Inc.................... 300 28,350
*Fluor Corp........................................... 2,400 86,400
Ford Motor Co......................................... 40,300 1,732,900
Fort James Corp....................................... 2,900 113,462
*Foster Wheeler Corp.................................. 2,000 61,625
*Fruit of The Loom, Inc. Class A...................... 400 9,325
GATX Corp............................................. 600 36,450
General Motors Corp................................... 25,600 1,561,600
General Motors Corp. Class H.......................... 3,700 247,900
Georgia-Pacific Corp.................................. 3,300 281,737
*Golden State Bancorp, Inc............................ 2,000 66,625
Golden West Financial Corp............................ 1,400 125,475
Goodrich (B.F.) Co.................................... 2,000 89,000
Great Atlantic & Pacific Tea Co., Inc................. 1,100 33,962
*Great Lakes Chemical Corp............................ 2,000 89,812
Greenpoint Financial Corp............................. 1,500 99,937
Hollinger International, Inc. Class A................. 2,500 32,969
*IVAX Corp............................................ 1,600 11,300
*Ing Groep NV ADR..................................... 173 7,050
Inland Steel Industries, Inc.......................... 1,700 32,512
*Integrated Device Technology, Inc.................... 2,100 21,459
Integrated Health Services, Inc....................... 1,000 30,437
International Paper Co................................ 11,900 564,506
*International Speciality Products, Inc............... 2,500 37,031
*Jacor Communications, Inc............................ 2,000 87,250
*K Mart Corp.......................................... 17,400 218,587
*Komag, Inc........................................... 1,700 34,266
LNR Property Corp..................................... 500 11,625
*LSI Logic Corp....................................... 800 18,675
LTV Corp.............................................. 3,900 43,388
Lafarge Corp.......................................... 5,900 176,262
Lehman Brothers Holdings, Inc......................... 3,700 187,081
Liberty Corp.......................................... 1,000 45,000
Liberty Financial Companies, Inc...................... 800 43,350
Lincoln National Corp................................. 3,700 264,088
Loews Corp............................................ 4,100 435,113
Longs Drug Stores Corp................................ 200 5,850
Longview Fibre Co..................................... 1,900 30,638
Louisiana-Pacific Corp................................ 4,000 80,750
MBIA, Inc............................................. 1,800 113,175
*Mallinckrodt, Inc.................................... 2,000 74,000
Mead Corp............................................. 1,900 122,669
Media General, Inc. Class A........................... 600 25,575
</TABLE>
14
<PAGE>
VA LARGE VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Mercantile Stores Co., Inc............................ 1,500 $ 96,938
*Micron Technology, Inc............................... 6,400 159,200
Mitchell Energy & Development Corp. Class A........... 1,200 31,950
Mitchell Energy & Development Corp. Class B........... 900 23,850
Morgan (J.P.) & Co., Inc.............................. 3,400 388,238
NAC RE Corp........................................... 500 22,313
*Navistar International Corp.......................... 2,200 48,400
*Nextel Communications Corp. Class A.................. 4,100 103,653
Norfolk Southern Corp................................. 12,900 410,381
*Novell, Inc.......................................... 5,700 52,280
Occidental Petroleum Corp............................. 11,800 350,313
*Officemax, Inc....................................... 3,400 47,813
Ogden Corp............................................ 1,900 50,588
Ohio Casualty Corp.................................... 1,000 46,000
Old Republic International Corp....................... 2,900 104,581
Olsten Corp........................................... 2,000 29,750
Overseas Shipholding Group, Inc....................... 1,100 26,881
Pacific Century Financial Corp........................ 600 30,600
*Pacificare Health Systems, Inc. Class B.............. 52 2,798
Paine Webber Group, Inc............................... 1,950 65,569
*Pep Boys - Manny, Moe & Jack......................... 2,000 50,313
Phelps Dodge Corp..................................... 2,200 145,750
Potlatch Corp......................................... 1,200 58,350
Provident Companies, Inc.............................. 1,534 50,334
Pulte Corp............................................ 700 28,394
RJR Nabisco Holdings Corp............................. 11,340 413,201
Rayonier, Inc......................................... 700 34,213
*Read-Rite Corp....................................... 1,000 19,094
Reynolds Metals Co.................................... 2,600 148,038
Russell Corp.......................................... 1,100 33,619
Ryder System, Inc..................................... 3,000 108,938
Safeco Corp........................................... 3,500 171,719
Saint Paul Companies, Inc............................. 2,200 176,000
*Seagate Technology, Inc.............................. 7,200 163,350
Sensormatic Electronics Corp.......................... 2,600 42,250
*Silicon Graphics, Inc................................ 5,600 73,500
*Sprint Corp.......................................... 11,800 691,038
Stone Container Corp.................................. 3,700 46,250
*Stratus Computer, Inc................................ 500 16,281
*Sun Healthcare Group, Inc............................ 2,000 43,063
TIG Holdings, Inc..................................... 1,700 54,719
Tecumseh Products Co. Class A......................... 200 9,850
Telephone & Data Systems, Inc......................... 1,900 83,481
Temple-Inland, Inc.................................... 1,900 108,538
Tenneco, Inc.......................................... 5,400 233,888
Terra Industries, Inc................................. 3,000 36,563
Timken Co............................................. 1,600 56,700
Transamerica Corp..................................... 2,400 260,550
Travelers Group, Inc.................................. 6,610 333,830
Trinity Industries, Inc............................... 2,100 95,288
Tyson Foods, Inc. Class A............................. 200 3,625
UMB Financial Corp.................................... 315 16,538
USF&G Corp............................................ 4,100 82,769
USX-US Steel Group.................................... 2,900 90,806
Union Camp Corp....................................... 2,500 150,156
Union Pacific Corp.................................... 7,500 450,000
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Unionbancal Corp...................................... 1,800 $ 156,263
*United States Cellular Corp.......................... 1,900 62,225
Unitrin, Inc.......................................... 1,000 61,688
Valero Energy Corp.................................... 1,200 37,650
Valhi, Inc............................................ 3,400 32,300
*Viacom, Inc. Class A................................. 2,400 83,400
*Viacom, Inc. Class B................................. 10,300 360,500
*Vishay Intertechnology, Inc.......................... 1,680 35,595
Weis Markets, Inc..................................... 1,700 59,075
Wesco Financial Corp.................................. 100 32,900
Westvaco Corp......................................... 3,400 110,925
Weyerhaeuser Co....................................... 6,100 322,156
Wheelabrator Technologies, Inc........................ 4,600 69,863
Whirlpool Corp........................................ 2,300 126,069
*Willamette Industries, Inc........................... 3,100 108,791
Xtra Corp............................................. 500 26,375
------------
TOTAL COMMON STOCKS
(Cost $19,916,147)................................... 24,251,993
------------
PREFERRED STOCKS -- (0.0%)
*Pacificare Health Systems, Inc. 5% Cumulative,
Convertible, Redeemable Class A
(Cost $1,270)....................................... 16 820
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (5.0%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
6.25%, 07/31/98, valued at $1,259,213) to be
repurchased at $1,237,562
(Cost $1,237,000)................................... $ 1,237 1,237,000
------------
TOTAL INVESTMENTS -- (103.8%)
(Cost $21,154,417)++................................. 25,489,813
------------
OTHER ASSETS AND LIABILITIES -- (-3.8%)
Other Assets.......................................... 750,771
Payable for Investment Securities Purchased........... (1,680,472)
Other Liabilities..................................... (15,157)
------------
(944,858)
------------
NET ASSETS -- (100.0%) Applicable to 1,526,261
Outstanding $.01 Par Value Shares (100,000,000 Shares
Authorized).......................................... $ 24,544,955
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 16.08
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
15
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (25.3%)
COMMON STOCKS -- (25.3%)
Aichi Steel Works, Ltd............................... 4,000 $ 9,403
Aisin Seiki Co., Ltd................................. 2,000 23,663
Amada Co., Ltd....................................... 3,000 15,068
*#Aoki Corp.......................................... 6,000 1,410
Aoyama Trading Co., Ltd.............................. 1,100 27,753
Ashikaga Bank, Ltd................................... 9,000 11,847
Atsugi Nylon Industrial Co., Ltd..................... 5,000 8,501
Calpis Co., Ltd...................................... 2,000 6,817
#Casio Computer Co., Ltd............................. 3,000 23,976
#Chiba Bank, Ltd..................................... 10,000 39,021
*#Chichibu Onoda Cement Corp......................... 8,000 20,059
Chiyoda Fire and Marine Insurance Co., Ltd........... 5,000 14,927
Chudenko Corp........................................ 1,000 21,939
Chugoku Bank, Ltd.................................... 2,000 26,641
#Chuo Trust and Banking Co., Ltd..................... 2,000 3,839
Citizen Watch Co., Ltd............................... 3,000 18,923
Cosmo Oil Co., Ltd................................... 10,000 20,764
Dai Tokyo Fire & Marine Insurance Co., Ltd........... 4,000 15,357
Daicel Chemical Industries, Ltd...................... 4,000 7,773
Daido Steel Co., Ltd................................. 5,000 7,365
#Daikyo, Inc......................................... 3,000 3,432
Daishi Bank, Ltd..................................... 5,000 16,925
Daito Trust Construction Co., Ltd.................... 2,916 18,827
Daiwa Bank, Ltd...................................... 15,000 27,032
Daiwa House Industry Co., Ltd........................ 7,000 56,494
Daiwa Securities Co., Ltd............................ 22,000 76,709
Ezaki Glico Co., Ltd................................. 2,200 14,221
Fuji Photo Film Co., Ltd............................. 5,000 179,824
Fujisawa Pharmaceutical Co., Ltd..................... 2,000 18,648
#Fujita Corp......................................... 9,000 3,385
Fujitsu, Ltd......................................... 7,000 78,433
Fukuoka City Bank, Ltd............................... 4,712 12,553
Fukuyama Transporting Co., Ltd....................... 4,000 16,298
Gunze, Ltd........................................... 4,000 9,622
*Hanwa Co., Ltd...................................... 5,000 8,737
*Haseko Corp......................................... 8,000 5,015
Higo Bank, Ltd....................................... 3,000 16,831
Hino Motors, Ltd..................................... 5,000 14,887
Hiroshima Bank, Ltd.................................. 2,000 3,526
Hitachi Koki Co., Ltd................................ 2,000 8,274
Hitachi Maxell, Ltd.................................. 1,000 22,409
*Hitachi Metals, Ltd................................. 5,000 24,094
#Hitachi Transport System, Ltd....................... 2,000 17,081
Hitachi, Ltd......................................... 54,000 382,919
*#Hokkaido Bank, Ltd................................. 7,000 6,856
Hokuriku Bank, Ltd................................... 7,000 10,805
Hyakugo Bank, Ltd. (105th Bank)...................... 4,000 18,492
Hyakujishi Bank, Ltd................................. 3,000 16,219
Inax Corp............................................ 2,000 7,271
Itochu Corp.......................................... 22,000 57,058
#Kajima Corp......................................... 13,000 42,782
#Kamagai Gumi Co., Ltd............................... 6,000 4,043
Kamigumi Co., Ltd.................................... 4,000 15,953
*Kandenko Co., Ltd................................... 3,000 18,311
Katokichi Co., Ltd................................... 1,000 14,496
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Keiyo Bank, Ltd...................................... 5,000 $ 11,166
Kinden Corp.......................................... 2,000 22,723
Kiyo Bank, Ltd....................................... 5,000 9,598
*Kobe Steel, Ltd..................................... 45,000 43,017
#Kokusai Denshin Denwa Co., Ltd...................... 900 45,908
Kokusai Securities Co., Ltd.......................... 2,000 15,044
Komatsu, Ltd......................................... 14,000 84,027
Kureha Chemical Industry Co., Ltd.................... 4,000 9,779
Kyudenko Corp........................................ 2,000 10,594
Long Term Credit Bank of Japan, Ltd.................. 35,000 58,962
#Maeda Corp.......................................... 2,000 6,190
Makita Corp.......................................... 2,000 23,663
Marubeni Corp........................................ 22,000 54,989
#Maruetsu, Inc....................................... 3,000 8,838
Matsushita Electric Industrial Co., Ltd.............. 33,000 514,554
Matsushita Electric Works, Ltd....................... 4,000 32,595
*#Mazda Motor Corp................................... 11,000 30,770
Michimen Corp........................................ 5,000 7,835
Mitsubishi Chemical Corp............................. 33,000 64,384
#Mitsubishi Electric Corp............................ 24,000 66,382
Mitsubishi Gas Chemical Co., Inc..................... 5,000 13,595
Mitsubishi Materials Corp............................ 10,000 22,566
Mitsubishi Motors Corp............................... 14,000 48,047
Mitsubishi Oil Co., Ltd.............................. 4,000 8,932
#Mitsui Chemicals, Inc............................... 5,000 13,712
Mitsui Trust & Banking Co., Ltd...................... 16,000 26,954
Mizuno Corp.......................................... 2,000 7,271
NKK Corp............................................. 45,000 45,485
NSK, Ltd............................................. 7,000 29,015
NTN Corp............................................. 4,000 13,822
Nagase & Co., Ltd.................................... 2,000 8,071
Nanto Bank, Ltd...................................... 3,000 15,044
Nihon Cement Co., Ltd................................ 3,000 8,157
#Nikko Securities Co., Ltd........................... 24,000 73,340
#Nippon Credit Bank, Ltd............................. 20,000 17,708
Nippon Light Metal Co., Ltd.......................... 8,000 15,107
Nippon Meat Packers, Inc., Osaka..................... 2,000 26,170
Nippon Oil Co., Ltd.................................. 17,000 59,275
Nippon Sheet Glass Co., Ltd.......................... 4,000 7,835
Nippon Shinpan Co., Ltd.............................. 6,000 7,287
Nishimatsu Construction Co., Ltd..................... 4,000 16,078
Nisshin Steel Co., Ltd............................... 12,000 16,548
Nisshinbo Industries, Inc............................ 3,000 17,113
Nittetsu Mining Co., Ltd............................. 2,000 9,387
Nitto Boseki Co., Ltd................................ 7,000 20,733
Noritz Corp.......................................... 1,000 7,169
#Oki Electric Industry Co., Ltd...................... 9,000 19,886
Okumura Corp......................................... 4,000 13,164
Olympus Optical Co., Ltd............................. 3,000 21,955
Pioneer Electronic................................... 2,000 34,789
#Sakura Bank, Ltd.................................... 43,000 150,268
San In Godo Bank, Ltd................................ 3,000 19,698
Sankyo Aluminum Industry Co., Ltd.................... 3,000 3,432
Sanyo Electric....................................... 27,000 76,161
Seino Transportation Co., Ltd........................ 2,000 12,772
Sekisui Chemical Co., Ltd............................ 8,000 58,233
Seksui House......................................... 10,000 71,929
Sharp Corp. Osaka.................................... 14,000 93,681
#Shiga Bank, Ltd..................................... 4,000 19,119
</TABLE>
16
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Shimizu Corp........................................ 12,000 $ 38,550
Shinmaywa Industries, Ltd............................ 2,000 6,550
Shionogi & Co., Ltd.................................. 3,000 17,089
Snow Brand Milk Products Co., Ltd.................... 4,000 10,280
Sumitomo Corp........................................ 15,000 94,613
Sumitomo Realty & Development Co., Ltd............... 7,000 46,895
#Taisei Corp......................................... 14,000 32,360
Teijin, Ltd.......................................... 15,000 39,373
Toda Corp............................................ 4,000 16,925
#Tokyo Sowa Bank..................................... 4,000 11,408
Tokyo Steel Manufacturing Co., Ltd................... 1,500 9,109
Tokyo Style Co., Ltd................................. 1,000 10,186
Tokyo Tatemono Co., Ltd.............................. 4,000 13,164
Tostem Corp.......................................... 2,000 22,723
Toyo Engineering Corp................................ 3,000 3,832
Toyo Seikan Kaisha, Ltd.............................. 3,100 51,738
#Toyo Trust & Banking Co., Ltd....................... 11,000 71,969
Toyota Tsusho Corp................................... 4,000 13,571
Victor Co. of Japan, Ltd............................. 2,000 18,805
Yakult Honsha Co., Ltd............................... 2,000 14,417
Yamaguchi Bank....................................... 2,000 25,700
Yamato Kogyo Co., Ltd................................ 2,000 15,389
#Yasuda Trust & Banking Co., Ltd..................... 13,000 11,103
Yokogawa Electric Corp............................... 3,000 19,698
------------
TOTAL COMMON STOCKS
(Cost $6,706,095).................................... 4,459,481
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $504)........................................ 502
------------
TOTAL -- JAPAN
(Cost $6,706,599).................................... 4,459,983
------------
UNITED KINGDOM -- (22.5%)
COMMON STOCKS -- (22.5%)
ASDA Group P.L.C..................................... 18,900 51,267
Allied Domecq P.L.C.................................. 8,000 71,773
Anglian Water P.L.C.................................. 2,100 28,818
Arjo Wiggins Appleton P.L.C.......................... 5,400 15,467
Associated British Foods P.L.C....................... 10,000 92,075
Associated British Ports Holdings P.L.C.............. 4,600 21,778
BAA P.L.C............................................ 11,185 94,129
BG P.L.C............................................. 34,411 160,597
Barclays P.L.C....................................... 4,500 108,493
Bass P.L.C........................................... 10,600 151,355
British Land Co. P.L.C............................... 5,700 62,950
British Steel P.L.C.................................. 16,300 38,036
British Telecommunications P.L.C..................... 42,000 321,260
Burton Group P.L.C................................... 18,700 46,786
Capital Shopping Centres P.L.C....................... 4,000 27,934
*Centrica P.L.C...................................... 30,000 43,721
Commercial Union P.L.C............................... 8,174 113,272
General Accident P.L.C............................... 4,500 74,224
Great Universal Stores P.L.C......................... 10,100 118,606
Greenalls Group P.L.C................................ 3,000 19,207
Guardian Royal Exchange P.L.C........................ 7,532 37,689
Guinness P.L.C....................................... 15,000 136,343
Hanson P.L.C......................................... 7,000 35,440
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hyder P.L.C.......................................... 1,673 $ 26,524
Imperial Chemical Industries P.L.C................... 8,700 126,790
Inchcape P.L.C....................................... 5,000 17,775
LaPorte P.L.C........................................ 2,000 21,363
Ladbroke Group P.L.C................................. 12,919 59,149
Lasmo P.L.C.......................................... 8,700 38,660
Lonrho P.L.C......................................... 6,237 9,510
National Power P.L.C................................. 6,000 56,862
National Westminster Bank P.L.C...................... 16,945 255,657
Pilkington P.L.C..................................... 8,117 17,573
Powergen P.L.C....................................... 6,158 79,473
RMC Group P.L.C...................................... 2,000 30,697
Rank Group P.L.C..................................... 9,000 52,503
Redland P.L.C........................................ 4,248 24,513
Royal & Sun Alliance Insurance Group, Inc. P.L.C..... 16,681 152,466
Safeway P.L.C........................................ 10,000 54,377
Sainsbury (J.) P.L.C................................. 16,480 135,288
Scottish & Newcastle P.L.C........................... 6,000 70,610
Scottish Hydro-Electric P.L.C........................ 4,000 31,573
Sears P.L.C.......................................... 12,100 9,989
Severn Trent P.L.C................................... 2,995 47,489
Shell Transport & Trading Co., P.L.C................. 22,500 154,192
Slough Estates P.L.C................................. 4,000 23,352
Tarmac P.L.C......................................... 10,000 19,460
Tate & Lyle P.L.C.................................... 4,000 31,674
Tesco P.L.C.......................................... 14,551 117,062
Thames Water P.L.C................................... 2,840 43,351
Unigate P.L.C........................................ 2,600 25,341
Unilever P.L.C....................................... 21,200 167,607
United Assurance Group P.L.C......................... 3,000 26,106
United Biscuits Holdings P.L.C....................... 5,700 20,407
United Utilities P.L.C............................... 4,591 58,863
Whitbread P.L.C...................................... 4,200 59,759
Yorkshire Water P.L.C................................ 3,124 25,843
------------
TOTAL COMMON STOCKS
(Cost $3,028,447).................................... 3,963,078
------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $1,229)...................................... 1,372
------------
TOTAL -- UNITED KINGDOM
(Cost $3,029,676).................................... 3,964,450
------------
GERMANY -- (9.5%)
COMMON STOCKS -- (9.5%)
#BASF AG............................................. 7,000 247,643
BHF Bank AG.......................................... 1,000 29,056
Bankgesellschaft Berlin AG........................... 2,700 57,480
#Bayerische Hypotheken und Wechselbank AG............ 3,300 143,126
#Bayerische Vereinsbank AG........................... 3,520 209,045
#Berliner Kraft & Licht Bewag AG..................... 1,000 24,521
#Commerzbank AG...................................... 4,600 159,868
#Deutsche Bank AG.................................... 6,500 416,792
Deutsche Lufthansa AG................................ 4,100 77,870
Deutsche Pfandbrief und Hypothekenbank AG, Depfa..... 500 28,347
#Dresdner Bank AG, Frankfurt......................... 2,900 112,460
Man AG, Muechen...................................... 100 29,765
</TABLE>
17
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Siemens AG.......................................... 1,700 $ 99,803
Vereins & Westbank AG................................ 112 26,288
------------
TOTAL COMMON STOCKS
(Cost $1,283,967).................................... 1,662,064
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks
(Cost $3,673)...................................... 3,648
------------
TOTAL -- GERMANY
(Cost $1,287,640).................................... 1,665,712
------------
SWITZERLAND -- (7.6%)
COMMON STOCKS -- (7.6%)
*Baloise-Holding, Basel.............................. 120 213,791
Banque Cantonale Vaudois............................. 110 32,483
Bobst SA, Prilly..................................... 20 29,460
Financiere Richemont AG Units -A-.................... 30 33,352
Julius Baer Holding AG, Zuerich...................... 20 32,616
Oerlikon-Buehrle Holding AG, Zuerich................. 500 71,281
Pargesa Holding SA, Geneve........................... 50 62,777
Roche Holding AG, Basel.............................. 9 136,986
SBG (Schweizerische Bankgesellschaft)................ 390 496,497
*SBV (Schweizerischer Bankverein) (Namen)............ 300 86,064
SIG (Schweizerische Industrie Gesellschaft Holding
AG), Neuhausen am Rheinfall........................ 10 25,952
SIG (Schweizerische Industrie Gesellschaft Holding
AG), Neuhausen am Rheinfall (Namen)................ 20 25,812
Schindler Holding AG, Hergiswil...................... 25 28,407
*Swissair Schweizerische Luftverkehr AG, Zuerich..... 50 65,512
------------
TOTAL COMMON STOCKS
(Cost $1,022,484).................................... 1,340,990
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $13)......................................... 13
------------
TOTAL -- SWITZERLAND
(Cost $1,022,497).................................... 1,341,003
------------
FRANCE -- (7.5%)
COMMON STOCKS -- (7.5%)
AGF (Assurances Generales de France SA).............. 2,048 116,459
AXA-UAP.............................................. 1,932 139,644
Banque Nationale de Paris............................ 3,166 154,506
Elf Aquitaine........................................ 1,609 185,334
Eridania Beghin-Say SA............................... 200 31,100
*Euro Disney SCA..................................... 11,400 15,159
Financiere de Paribas SA Series A.................... 1,846 132,833
Groupe Danone........................................ 500 80,037
LaFarge Coppee SA.................................... 708 46,425
Lyonnais des Eaux SA................................. 548 59,223
Peugeot SA........................................... 400 45,736
#Rhone-Poulenc SA Series A........................... 1,144 50,616
#Saint-Gobain........................................ 613 82,239
Societe Generale Paris............................... 728 95,077
Thomson-CSF.......................................... 900 26,039
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Usinor............................................... 1,200 $ 18,701
*Worms et Compagnie SA............................... 400 31,168
------------
TOTAL COMMON STOCKS
(Cost $1,069,405).................................... 1,310,296
------------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs
(Cost $3,464)...................................... 3,609
------------
TOTAL -- FRANCE
(Cost $1,072,869).................................... 1,313,905
------------
NETHERLANDS -- (5.4%)
COMMON STOCKS -- (5.4%)
ABN Amro Holding NV.................................. 6,974 132,958
DSM NV............................................... 515 47,149
Fortis Amev NV....................................... 3,275 135,418
Heineken Holding NV Series A......................... 500 74,952
Ing Groep NV......................................... 4,090 166,238
KLM (Koninklijke Luchtvaart Mij NV).................. 1,851 66,574
Koninklijke Hoogovens NV............................. 724 32,705
Koninklijke KNP BT................................... 2,500 53,573
Nationale Investeringsbank NV Series A............... 200 22,013
Philips Electronics NV............................... 2,800 184,934
Stad Rotterdam....................................... 800 41,128
------------
TOTAL COMMON STOCKS
(Cost $730,684)...................................... 957,642
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder
(Cost $436)........................................ 442
------------
TOTAL -- NETHERLANDS
(Cost $731,120)...................................... 958,084
------------
ITALY -- (3.6%)
COMMON STOCKS -- (3.6%)
#Banca Commerciale Italiana SpA...................... 26,000 74,327
*#Banca di Roma...................................... 60,000 49,513
Credito Italiano..................................... 20,000 54,512
#Fiat SpA............................................ 72,600 209,643
#Ifil Finanziaria Partecipazioni SpA, Torino......... 8,000 29,559
*#Ing C.Olivetti & C SpA, Ivrea...................... 71,000 39,813
#Istituto Bancario San Paolo Torino SpA.............. 14,500 119,403
Italcementi Fabbriche Riunite Cemento SpA, Bergamo... 5,000 31,915
Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA......................................... 2,000 24,652
------------
TOTAL COMMON STOCKS
(Cost $551,648)...................................... 633,337
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira
(Cost $42)......................................... 42
------------
TOTAL -- ITALY
(Cost $551,690)...................................... 633,379
------------
SWEDEN -- (3.0%)
COMMON STOCKS -- (3.0%)
Avesta Sheffield AB.................................. 2,000 14,247
*Diligentia AB....................................... 560 7,180
#Mo Och Domsjoe AB Series B.......................... 800 22,536
</TABLE>
18
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Naeckebro AB......................................... 110 $ 1,482
SSAB Swedish Steel Series A.......................... 1,200 20,671
#Skandinaviska Enskilda Banken Series A.............. 5,600 66,365
#Stora Kopparbergs Bergslags AB Series A............. 2,900 38,687
#Svenska Cellulosa AB Series B....................... 2,200 48,724
Svenska Handelsbanken Series A....................... 2,400 84,704
Swedish Match AB (Frueher Svenska Taendsticks AB).... 900 3,031
Trelleborg AB Series B............................... 1,400 19,583
Trygg Hansa AB Series B.............................. 1,000 31,019
Volvo AB Series A.................................... 2,400 63,723
Volvo AB Series B.................................... 4,000 106,204
------------
TOTAL COMMON STOCKS
(Cost $425,848)...................................... 528,156
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $3).......................................... 3
------------
TOTAL -- SWEDEN
(Cost $425,851)...................................... 528,159
------------
AUSTRALIA -- (2.7%)
COMMON STOCKS -- (2.7%)
#Amcor, Ltd.......................................... 4,441 19,904
Australia & New Zealand Banking Group, Ltd........... 6,184 42,483
#Boral, Ltd.......................................... 8,301 21,015
#CSR, Ltd............................................ 8,813 28,945
#Commonwealth Bank of Australia...................... 6,775 80,434
#Fosters Brewing Group, Ltd.......................... 23,356 43,309
#GIO Australia Holdings, Ltd......................... 7,265 17,597
MIM Holdings......................................... 11,565 8,388
News Corp., Ltd...................................... 11,750 62,871
Rio Tinto, Ltd....................................... 5,203 57,317
#Westpac Banking Corp................................ 14,417 90,656
------------
TOTAL COMMON STOCKS
(Cost $465,729)...................................... 472,919
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $2,404)...................................... 2,252
------------
TOTAL -- AUSTRALIA
(Cost $468,133)...................................... 475,171
------------
SPAIN -- (2.7%)
COMMON STOCKS -- (2.7%)
#Banco Central Hispanoamericano SA, Madrid........... 5,200 99,205
Compania Espanola de Petroleos SA, Madrid............ 1,200 36,372
#FESCA (Fuerzas Electricas de Cataluna SA) Series
A.................................................. 3,920 35,093
#Iberdrola SA........................................ 17,400 222,860
Sevillana de Electricidad SA......................... 3,843 37,754
#Union Electrica Fenosa SA........................... 4,000 39,967
------------
TOTAL COMMON STOCKS
(Cost $353,050)...................................... 471,251
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta
(Cost $490)........................................ $ 472
------------
TOTAL -- SPAIN
(Cost $353,540)...................................... 471,723
------------
HONG KONG -- (2.7%)
COMMON STOCKS -- (2.7%)
#Amoy Properties, Ltd................................ 40,000 34,410
Chinese Estates Holdings, Ltd........................ 25,304 12,111
*Evergo China Holdings, Ltd.......................... 3,838 189
Great Eagle Holdings, Ltd............................ 7,177 10,770
Hang Lung Development Co., Ltd....................... 25,000 38,000
Hongkong & Shanghai Hotels, Ltd...................... 18,416 15,842
#Hopewell Holdings, Ltd.............................. 70,000 18,563
#Hysan Development Co., Ltd.......................... 17,000 34,087
Kerry Properties, Ltd................................ 14,000 23,544
#Paliburg Holdings, Ltd.............................. 45,000 32,890
#Shangri-la Asia, Ltd................................ 30,000 23,285
#Sino Land Co., Ltd.................................. 46,000 26,480
Swire Pacific, Ltd. Series A......................... 13,000 65,081
Tsim Sha Tsui Properties, Ltd........................ 12,000 16,067
Wharf Holdings, Ltd.................................. 38,000 77,423
Wheelock and Co., Ltd................................ 34,000 38,265
------------
TOTAL COMMON STOCKS
(Cost $690,860)...................................... 467,007
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $1,930)...................................... 1,929
------------
RIGHTS/WARRANTS -- (0.0%)
*#Great Eagle Holdings, Ltd. Warrants 11/30/98....... 1,435 520
*Hong Kong & Shanghai Hotels, Ltd. Warrants
12/10/98........................................... 1,416 34
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 554
------------
TOTAL -- HONG KONG
(Cost $692,790)...................................... 469,490
------------
BELGIUM -- (1.1%)
COMMON STOCKS -- (1.1%)
Bekaert SA........................................... 100 62,174
CMB (Cie Martime Belge).............................. 300 23,083
Cofinimmo SA......................................... 200 20,500
#Electrafina SA...................................... 200 18,659
Generale de Belgique SA.............................. 500 46,647
Groupe Bruxelles Lambert SA, Bruxelles............... 200 30,283
------------
TOTAL COMMON STOCKS
(Cost $189,211)...................................... 201,346
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs
(Cost $31)......................................... 32
------------
TOTAL -- BELGIUM
(Cost $189,242)...................................... 201,378
------------
DENMARK -- (1.0%)
COMMON STOCKS -- (1.0%)
Bikuben Girobank A.S................................. 503 32,588
#Tele Danmark A.S. Series B.......................... 1,087 65,081
</TABLE>
19
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Tryg Baltica Forsikring A.S.......................... 347 $ 20,620
Unidanmark A.S. Series A............................. 803 56,808
------------
TOTAL COMMON STOCKS
(Cost $166,963)...................................... 175,097
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Denmark Krone
(Cost $11)......................................... 11
------------
TOTAL -- DENMARK
(Cost $166,974)...................................... 175,108
------------
SINGAPORE -- (0.9%)
COMMON STOCKS -- (0.9%)
Fraser & Neave, Ltd.................................. 5,000 24,960
Keppel Corp., Ltd.................................... 10,000 33,908
Neptune Orient Lines, Ltd............................ 23,000 13,720
Singapore Land, Ltd.................................. 9,000 26,448
Straits Steamship Land, Ltd.......................... 17,000 26,901
United Industrial Corp., Ltd......................... 43,000 20,251
United Overseas Land, Ltd............................ 12,000 11,680
------------
TOTAL COMMON STOCKS
(Cost $254,777)...................................... 157,868
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $43)......................................... 42
------------
TOTAL -- SINGAPORE
(Cost $254,820)...................................... 157,910
------------
MALAYSIA -- (0.8%)
COMMON STOCKS -- (0.8%)
Berjaya Group Berhad................................. 15,000 5,242
Berjaya Leisure Berhad............................... 11,000 8,854
Golden Hope Plantations Berhad....................... 15,000 17,187
Kuala Lumpur Kepong Berhad........................... 10,000 21,913
Malaysian Airlines System............................ 13,000 9,607
Malaysian Industrial Development Finance Berhad...... 11,000 4,285
Renong Berhad........................................ 17,000 8,765
Tan Chong Motor Holdings Berhad...................... 10,000 5,443
Tenaga Nasional Berhad............................... 36,000 67,029
------------
TOTAL COMMON STOCKS
(Cost $383,700)...................................... 148,325
------------
VALUE+
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Malaysian Ringetts
(Cost $511)........................................ $ 505
------------
TOTAL -- MALAYSIA
(Cost $384,211)...................................... 148,830
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.8%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
8.50%, 11/15/00, valued at $499,294) to be
repurchased at $486,221
(Cost $486,000).................................... $ 486 486,000
------------
TOTAL INVESTMENTS -- (99.1%)
(Cost $17,823,652)++................................. 17,450,285
------------
OTHER ASSETS AND LIABILITIES -- (0.9%)
Other Assets......................................... 172,659
Liabilities.......................................... (12,827)
------------
159,832
------------
NET ASSETS -- (100.0%) Applicable to 1,619,804
Outstanding $.01 Par Value Shares
(100,000,000 Shares Authorized)...................... $ 17,610,117
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.87
------------
------------
- --------------------
+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.
20
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (27.1%)
COMMON STOCKS -- (26.7%)
Achilles Corp........................................ 6,000 $ 8,791
Aica Kogyo Co., Ltd.................................. 3,000 11,307
Aichi Tokei Denki Co., Ltd........................... 3,000 5,689
Aida Engineering, Ltd................................ 3,000 12,693
Akai Electric Co., Ltd............................... 9,000 8,039
Amada Metrecs Co., Ltd............................... 3,000 18,100
#Arai-Gumi, Ltd...................................... 1,200 1,758
Asahi Denka Kogyo KK................................. 3,000 13,634
Asahi Kogyosha Co., Ltd.............................. 3,000 8,462
*Asahi Optical Co., Ltd.............................. 5,000 10,735
Asahi Organic Chemicals Industry Co., Ltd............ 3,000 9,520
Ashimori Industry Co., Ltd........................... 3,000 5,642
*Asics Corp.......................................... 7,000 6,582
Azel Corp., Tokyo.................................... 2,000 4,466
Bando Chemical Industries, Ltd....................... 5,000 13,320
*#Bank of Osaka, Ltd................................. 9,000 11,283
CKD Corp............................................. 2,000 8,149
CMK Corp............................................. 2,000 24,447
Central Finance Co., Ltd............................. 4,000 5,892
Central Glass Co., Ltd............................... 7,000 11,847
#Chiba Kogyo Bank, Ltd............................... 800 14,417
*Chiyoda Corp........................................ 12,000 20,310
*#Chori Co., Ltd..................................... 5,000 8,815
Chukyo Coca-Cola Bottling Co., Ltd................... 3,000 19,040
Chukyo Sogo Bank, Ltd................................ 5,000 16,846
*Clarion Co., Ltd.................................... 6,000 17,301
*Cosmo Securities Co., Ltd........................... 22,000 15,514
Daido Hoxan, Inc..................................... 4,000 7,365
*Daiei OMC, Inc...................................... 9,000 13,681
Dainichiseika Colour & Chemicals Manufacturing Co.,
Ltd................................................ 4,000 17,614
Daisan Bank, Ltd..................................... 4,000 14,793
*#Daiwa Danchi Co., Ltd.............................. 5,000 9,128
Daiwabo Co., Ltd..................................... 8,000 10,405
#Denki Kogyo Co., Ltd................................ 3,000 13,634
Ehime Bank, Ltd...................................... 5,000 15,279
France Bed Co., Ltd.................................. 4,000 12,850
*Fuji Kosan Co., Ltd................................. 6,000 6,817
Fuji Kyuko Co., Ltd.................................. 5,000 20,451
Fuji Oil Co., Ltd.................................... 3,000 12,576
#Fuji Spinning Co., Ltd., Tokyo...................... 4,000 6,770
#Fujiko Co., Ltd..................................... 4,000 3,291
*Fujitsu General, Ltd................................ 4,000 15,984
*Furukawa Battery Co., Ltd........................... 3,000 6,229
Fuso Pharmaceutical Industries, Ltd.................. 5,000 15,671
#Gakken Co., Ltd..................................... 3,000 6,159
*Godo Steel, Ltd..................................... 6,000 7,052
Hazama Corp.......................................... 17,000 10,123
Hitachi Electronics, Ltd............................. 3,000 17,865
Hitachi Medical Corp................................. 2,000 18,022
Hitachi Plant Engineering & Construction Co., Ltd.... 6,000 16,878
#Hitachi Seiki Co., Ltd.............................. 4,000 7,083
#Hokkaido Gas Co., Ltd............................... 4,000 9,309
Hokuriku Electric Industry Co., Ltd.................. 4,000 6,707
#Howa Machinery, Ltd................................. 5,000 7,757
Ichikoh Industries, Ltd.............................. 4,000 8,776
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Inageya Co., Ltd..................................... 2,000 $ 15,201
Intec, Inc........................................... 2,000 15,499
*Iseki & Co., Ltd.................................... 14,000 20,623
Itochu Fuel Corp..................................... 4,000 11,158
Iwasaki Electric Co., Ltd............................ 4,000 6,833
*Iwatsu Electric Co., Ltd............................ 3,000 3,738
#JDC Corp............................................ 6,000 2,210
Japan Aviation Electronics Industry, Ltd............. 3,000 16,854
*Japan Coated Paper Manufacturing Co., Ltd........... 3,000 2,821
Japan Paper Industry Co., Ltd........................ 3,000 6,112
Japan Pulp and Paper Co., Ltd........................ 5,000 16,807
Japan Transcity Corp................................. 3,000 7,122
Japan Vilene Co., Ltd................................ 3,000 7,452
Joshin Denki Co., Ltd................................ 2,000 5,908
Kagawa Bank, Ltd..................................... 3,000 16,219
Kagome Co., Ltd...................................... 3,000 15,984
*Kansai Kisen Kaisha................................. 9,000 5,642
Kanto Auto Works, Ltd., Yokosuka..................... 3,000 9,520
Kanto Denka Kogyo Co., Ltd........................... 4,000 12,568
Kawada Industries, Inc............................... 2,000 3,291
Kawai Musical Instruments Manufacturing Co., Ltd..... 5,000 6,033
#Keiyo Co., Ltd...................................... 2,000 9,669
*Kenwood Corp........................................ 5,000 12,615
Kita-Nippon Bank, Ltd................................ 400 18,241
Kokusai Kogyo Co., Ltd............................... 2,000 7,882
Komatsu Forklift Co., Ltd............................ 3,000 7,052
Kosei Securities Co., Ltd............................ 4,000 7,334
Kurabo Industries, Ltd............................... 13,000 18,335
Kuraya Corp.......................................... 5,000 33,692
Kyodo Shiryo Co., Ltd................................ 5,000 5,837
#Kyushu Bank, Ltd.................................... 4,000 12,693
Life Corp............................................ 2,000 8,932
#Makino Milling Machine Co., Ltd..................... 4,000 24,071
*Marudai Food Co., Ltd............................... 5,000 11,205
Maruha Corp.......................................... 18,000 20,027
*Maruyama Manufacturing Co., Inc..................... 3,000 3,549
Maruzen Co., Ltd..................................... 4,000 11,283
Matsuo Bridge Co., Ltd............................... 3,000 4,913
*Mitsubishi Shindoh Co., Ltd......................... 3,000 4,936
*Mitsubishi Steel Manufacturing Co., Ltd............. 5,000 6,778
Mitsui Construction Co., Ltd......................... 6,000 5,500
Mitsui Home Co., Ltd................................. 4,000 21,939
*#Mitsui Mining Co., Ltd............................. 5,000 5,837
Mitsuuroko Co., Ltd.................................. 3,000 10,578
Miura Co., Ltd....................................... 2,000 22,096
Miyazaki Bank, Ltd................................... 6,000 23,271
*Morinaga & Co., Ltd................................. 16,000 22,065
*Nachi-Fujikoshi Corp................................ 13,000 24,752
*#Nagasakiya Co., Ltd. (Tokyo)....................... 5,000 5,524
Nakamuraya Co., Ltd.................................. 3,000 8,909
Nakayama Steel Works, Ltd............................ 5,000 8,658
#Nichias Corp........................................ 4,000 8,525
Nichiha Corp......................................... 4,000 31,342
Nichimo Co., Ltd..................................... 5,000 8,110
Nichireki Co., Ltd................................... 2,000 6,049
Nichiro Corp......................................... 5,000 6,974
</TABLE>
21
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Nifco, Inc........................................... 2,000 $ 13,493
*Niigata Engineering Co., Ltd........................ 14,000 7,569
Nikkiso Co., Ltd..................................... 4,000 17,645
Nippon Beet Sugar Manufacturing Co., Ltd............. 5,000 8,972
*Nippon Carbon Co., Ltd.............................. 5,000 9,285
Nippon Chemi-Con Corp................................ 5,000 16,298
Nippon Chemical Industrial Co., Ltd.................. 2,000 6,582
*Nippon Columbia Co., Ltd............................ 3,000 5,007
#Nippon Concrete Industries Co., Ltd................. 3,000 5,453
#Nippon Densetsu Kogyo Co., Ltd...................... 2,000 7,052
*Nippon Kasei Chemical Co., Ltd...................... 5,000 5,132
Nippon Shinyaku Co., Ltd............................. 3,000 15,867
Nippon Signal Co., Ltd............................... 3,000 12,270
*Nippon Steel Chemical Co., Ltd...................... 6,000 7,569
*Nippon Suisan Kaisha, Ltd........................... 18,000 25,810
Nippon Synthetic Chemical Industry Co., Ltd.......... 3,000 5,406
Nippon Thompson Co., Ltd............................. 3,000 16,948
Nitsuko Corp......................................... 3,000 9,567
Nittetsu Mining Co., Ltd............................. 3,000 14,080
Nitto Boseki Co., Ltd................................ 8,000 23,694
Noritz Corp.......................................... 2,000 14,339
North Pacific Bank, Ltd.............................. 5,000 18,022
OSG Corp............................................. 3,000 16,925
*Odakyu Real Estate Co., Ltd......................... 4,000 6,801
Okamoto Industries, Inc.............................. 9,000 21,438
*Okasan Securities Co., Ltd.......................... 7,000 8,666
*Okura and Co., Ltd.................................. 6,000 11,518
*Pacific Metals Co., Ltd............................. 7,000 8,008
Parco Co., Ltd....................................... 2,000 9,230
*Pasco Corp.......................................... 5,000 18,335
*Prima Meat Packers, Ltd............................. 5,000 5,132
Raito Kogyo Co., Ltd................................. 2,400 13,389
Rasa Industries, Ltd................................. 3,000 10,507
Rheon Automatic Machinery Co., Ltd................... 2,000 6,739
Rohto Pharmaceutical Co., Ltd........................ 2,000 15,279
Ryobi, Ltd........................................... 5,000 13,007
Ryoyo Electro Corp................................... 2,000 21,156
*SS Pharmaceutical Co., Ltd., Tokyo.................. 4,000 12,850
SXL Corp............................................. 3,000 8,180
Sagami Co., Ltd...................................... 3,000 8,251
Sakai Chemical Industry Co., Ltd..................... 3,000 8,627
Sakata Inx Corp...................................... 3,000 12,740
Sankyo Aluminum Industry Co., Ltd.................... 16,000 18,304
*Sanrio Co., Ltd..................................... 3,000 19,275
Sanyo Shokai, Ltd.................................... 5,000 20,255
Sanyo Special Steel Co., Ltd......................... 7,000 8,776
Sasebo Heavy Industries Co., Ltd., Tokyo............. 7,000 9,215
*Seiko Corp., Chuo-ku................................ 3,000 11,565
Seiyo Food Systems, Inc.............................. 3,000 13,234
Shikoku Chemicals Corp............................... 3,000 7,616
Shimizu Bank, Ltd.................................... 400 19,996
Shin-Etsu Polymer Co., Ltd........................... 5,000 19,510
#Shinagawa Fuel Co., Ltd............................. 3,000 11,753
Shindengen Electric Manufacturing Co., Ltd........... 3,000 23,154
*Shinko Electric Co., Ltd............................ 6,000 12,740
Shinmaywa Industries, Ltd............................ 5,000 16,376
*#Showa Line, Ltd.................................... 10,000 5,093
Showa Sangyo Co., Ltd................................ 10,000 17,708
#Sumitomo Construction Co., Ltd...................... 6,000 6,206
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Sumitomo Light Metal Industries, Ltd................ 11,000 $ 9,998
#Sumitomo Precision Products Co., Ltd., Amagasaki
City............................................... 2,000 7,835
Sun Wave Corp........................................ 2,000 9,982
#TOC Co., Ltd........................................ 2,000 18,805
Taisei Rotec Corp.................................... 3,000 5,312
Takaoka Electric Manufacturing Co., Ltd., Tokyo...... 4,000 6,582
#Takasago International Corp......................... 3,000 13,869
#Takashima & Co., Ltd................................ 4,000 9,277
Takiron Co., Ltd..................................... 3,000 7,522
Tamura Corp.......................................... 4,000 15,608
Tasaki Shinju Co., Ltd............................... 2,000 6,582
Teisan K.K........................................... 5,000 11,401
Toa Corp............................................. 12,000 19,275
Toa Doro Kogyo Co., Ltd.............................. 3,000 4,114
*Toa Wool Spinning & Weaving Co., Ltd................ 6,000 7,945
Tochigi Bank, Ltd.................................... 3,000 16,596
Toenec Corp.......................................... 3,000 12,458
#Toho Zinc Co., Ltd.................................. 4,000 12,380
#Tokai Rika Co., Ltd................................. 3,000 9,638
Tokico, Ltd.......................................... 4,000 8,055
Tokin Corp........................................... 2,000 15,671
Tokushu Paper Manufacturing Co., Ltd................. 3,000 21,179
#Tokyo Kikai Seisak.................................. 3,000 14,456
Tokyo Rope Manufacturing Co., Ltd.................... 4,000 6,425
*Tokyo Securities Co., Ltd........................... 4,000 3,354
Tokyo Tanabe Co., Ltd., Tokyo........................ 8,000 33,849
*#Tokyo Tekko Co., Ltd............................... 3,000 2,844
Tokyo Theatres Co., Inc., Tokyo...................... 6,000 7,522
*Tokyu Hotel Chain Co., Ltd.......................... 12,000 27,267
Tokyu Store Chain Corp............................... 4,000 19,275
Tonami Transportation Co., Ltd....................... 3,000 5,877
*#Toshiba Machine Co., Ltd........................... 6,000 14,245
Totoku Electric Co., Ltd., Tokyo..................... 3,000 6,817
Toyama Chemicals Co., Ltd............................ 6,000 14,339
#Toyo Chemical Co., Ltd.............................. 3,000 7,945
*Toyo Electric Co., Ltd.............................. 5,000 5,877
Toyo Engineering Corp................................ 11,000 14,049
Toyo Exterior Co., Ltd............................... 3,000 21,743
Toyo Kohan Co., Ltd.................................. 3,000 18,688
Toyo Tire & Rubber Co., Ltd.......................... 8,000 20,184
#Toyo Umpanki Co., Ltd............................... 5,000 15,083
#Tsumura & Co., Inc.................................. 3,000 17,395
Unisia Jecs Corp..................................... 3,000 7,122
Wakachiku Construction Co., Ltd...................... 4,000 4,106
#Yomiuri Land Co., Ltd............................... 3,000 8,227
Yondenko Corp........................................ 2,100 8,227
Yoshimoto Kogyo Co., Ltd............................. 2,000 17,238
*Yuasa Corp.......................................... 7,000 8,831
Yurtec Corp.......................................... 4,000 23,193
#Zenchiku Co., Ltd................................... 4,000 6,174
------------
TOTAL COMMON STOCKS
(Cost $4,494,554).................................... 2,641,686
------------
INVESTMENT IN CURRENCY -- (0.4%)
*Japanese Yen
(Cost $35,230)..................................... 35,030
------------
TOTAL -- JAPAN
(Cost $4,529,784).................................... 2,676,716
------------
</TABLE>
22
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VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
UNITED KINGDOM -- (15.7%)
COMMON STOCKS -- (15.7%)
Admiral P.L.C........................................ 3,000 $ 30,882
Amec P.L.C........................................... 9,000 19,333
Ash & Lacy P.L.C..................................... 7,000 19,872
BSG International P.L.C.............................. 13,300 27,674
Bellway P.L.C........................................ 4,000 23,419
Bluebird Toys P.L.C.................................. 5,000 7,792
Body Shop International P.L.C........................ 8,000 20,555
Bodycote International P.L.C......................... 3,000 48,143
Bradstock Group P.L.C................................ 21,000 27,066
Brake Brothers P.L.C................................. 2,430 22,006
Brammer (H.) P.L.C................................... 1,880 19,005
British Polythene Industries P.L.C................... 2,000 15,466
Bryant Group P.L.C................................... 10,000 19,291
Bulmer (H.P.) Holdings P.L.C......................... 2,002 14,082
CRT Group P.L.C...................................... 5,750 33,229
Canadian Pizza P.L.C................................. 12,000 17,690
Carpetright P.L.C.................................... 4,000 34,707
Cattles P.L.C........................................ 5,400 35,391
City Centre Restaurants P.L.C........................ 9,500 20,647
Courtaulds Textiles P.L.C............................ 4,600 27,435
Courts P.L.C......................................... 2,320 18,078
Davis Service Group P.L.C............................ 6,666 34,816
Dawson Group P.L.C................................... 4,000 14,152
Dawson International P.L.C........................... 10,277 12,034
Dewhirst Group P.L.C................................. 6,000 23,503
Diploma P.L.C........................................ 3,000 11,499
Etam P.L.C........................................... 7,000 15,744
Euromoney Publications P.L.C......................... 990 27,772
Eurotherm P.L.C...................................... 3,270 19,696
Forth Ports P.L.C.................................... 2,000 20,218
*Greene King P.L.C................................... 2,000 21,970
Hazlewood Foods P.L.C................................ 11,000 28,819
Henderson P.L.C...................................... 1,000 23,587
Heywood Williams Group P.L.C......................... 5,000 19,839
House of Fraser P.L.C................................ 8,000 27,968
How Group P.L.C...................................... 29,000 33,469
Ibstock P.L.C........................................ 19,000 16,966
Jardine Lloyd Thompson Group P.L.C................... 8,790 22,584
Johnston Press P.L.C................................. 7,010 24,861
MacFarlane Group Clansman P.L.C...................... 6,000 18,651
Meggitt P.L.C........................................ 10,290 25,312
Mersey Docks & Harbour Co. P.L.C..................... 3,580 25,333
*Micro Focus Group P.L.C............................. 715 23,942
Molins P.L.C......................................... 1,360 7,962
More Group P.L.C..................................... 1,870 23,362
*Oxford Molecular Group P.L.C........................ 6,530 22,224
Photo-Me International P.L.C......................... 6,000 11,221
Polypipe P.L.C....................................... 8,000 28,440
Quick Group P.L.C.................................... 8,000 16,511
*Quicks Group P.L.C. Issue 97........................ 4,364 8,708
Redrow Group P.L.C................................... 11,000 27,058
Renishaw P.L.C....................................... 2,904 16,880
SIG P.L.C............................................ 4,300 20,792
Senior Engineering Group P.L.C....................... 12,000 31,034
Serco Group P.L.C.................................... 2,400 33,157
Shanks & McEwan Group P.L.C.......................... 8,000 20,150
St. Modwen Properties P.L.C.......................... 23,000 27,707
Stanley Leisure Organisation P.L.C................... 4,000 16,915
Staveley Industries P.L.C............................ 6,000 14,658
Swan Hill Group P.L.C................................ 13,000 19,384
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
T & S Stores P.L.C................................... 7,690 $ 23,710
Tibbett & Britten Group P.L.C........................ 2,300 21,255
Triplex Lloyd P.L.C.................................. 7,609 26,665
Vardon P.L.C......................................... 9,000 18,196
Vaux Group P.L.C..................................... 5,100 21,911
Vitec Group P.L.C.................................... 2,000 21,111
Vosper Thornycroft Holdings P.L.C.................... 1,460 20,958
Waddington (John) P.L.C.............................. 3,980 17,770
Wilson (Connolly) Holdings P.L.C..................... 8,000 22,576
Wolverhampton & Dudley Breweries P.L.C............... 2,400 18,540
------------
TOTAL COMMON STOCKS
(Cost $1,422,498).................................... 1,553,353
------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $2,028)...................................... 2,108
------------
TOTAL -- UNITED KINGDOM
(Cost $1,424,526).................................... 1,555,461
------------
FRANCE -- (9.1%)
COMMON STOCKS -- (9.1%)
Bertrand Faure SA.................................... 723 49,282
#Bollore Technologies SA............................. 200 25,544
Brioche Pasquier SA.................................. 200 19,649
But SA............................................... 400 17,217
Canal Plus SA........................................ 50 8,622
Carbone Lorraine..................................... 80 21,574
Cipe France SA....................................... 600 17,075
*DMC (Dollfus Mieg et Cie)........................... 300 5,097
Damart SA............................................ 30 18,548
Dassault Electronique SA............................. 300 28,254
Dietrich et Cie...................................... 450 21,267
ECIA (Equipements et Composants pour l'Industrie
Automobile)........................................ 200 31,168
Filipacchi Medias SA................................. 100 19,649
Fimalac SA........................................... 330 26,049
Fonciere Lyonnaise SA................................ 204 23,740
Fraikin SA........................................... 400 21,818
GTM Entrepose........................................ 500 33,031
Gaumont.............................................. 403 26,760
*Generale de Geophysique SA.......................... 300 32,523
*Groupe Andre SA..................................... 304 29,610
Groupe du Louvre SA.................................. 700 36,485
Groupement pour le Financement de la Construction
SA................................................. 300 26,323
Guyenne et Gascogne SA............................... 60 18,833
Havas Advertising SA................................. 207 25,597
*Immeubles de France................................. 400 23,850
Legris Industries SA................................. 400 13,822
*Metaleurop SA....................................... 1,500 15,626
*Moulinex SA......................................... 1,440 34,637
Rue Imperiale de Lyon................................ 20 17,549
*SAGA (Societe Anonyme de Gerance et d'Armement)..... 300 7,709
SAT SA (SA des Telecommunications)................... 57 15,748
*SFIM (Societe de Fabrication d'Instruments de
Mesure)............................................ 102 17,796
*SGE (Societe Generale d'Enterprise SA).............. 1,000 24,325
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)........................ 160 21,221
</TABLE>
23
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Skis Rossignol SA.................................... 648 $ 10,999
Sommer-Allibert SA................................... 900 29,118
Strafor Facom SA..................................... 283 17,248
Sylea SA............................................. 200 18,125
Union Immob.......................................... 300 20,429
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies)................................. 400 24,257
------------
TOTAL COMMON STOCKS
(Cost $859,366)...................................... 896,174
------------
RIGHTS/WARRANTS -- (0.0%)
*BCR Participations Warrants 05/15/99
(Cost $497)........................................ 300 45
------------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs
(Cost $13)......................................... 14
------------
TOTAL -- FRANCE
(Cost $859,876)...................................... 896,233
------------
GERMANY -- (6.8%)
COMMON STOCKS -- (6.8%)
*AGIV AG fuer Industrie & Verkehrswesen.............. 1,700 34,890
Aachener und Muenchener Versicherungs AG............. 120 40,548
*Concordia Bau und Boden AG.......................... 496 4,078
*Concordia Bau und Boden AG Em 97.................... 171 1,270
*DLW AG.............................................. 100 11,452
DSL Holding AG....................................... 150 25,087
Didier-Werke AG...................................... 200 14,355
Duerr Beteiligungs AG................................ 500 16,923
Dyckerhoff & Widmann AG.............................. 100 11,566
Fag Kugelfischer Georg Schaeffer AG.................. 1,250 18,426
*Felten & Guilleaume Energietechnik AG............... 100 7,937
Gerresheimer Glas AG................................. 1,000 16,130
Goldschmidt AG....................................... 50 16,725
Harpener AG.......................................... 100 16,725
Holsten-Brauerei AG, Hamburg......................... 100 21,884
Horten AG............................................ 200 27,214
Iwka AG.............................................. 100 22,791
KWS Kleinwanzlebener Saatzucht AG.................... 15 9,780
*Kali und Salz Beteiligungs AG....................... 200 14,752
*Kaufhalle AG........................................ 200 21,771
Kiekert AG........................................... 500 21,346
*Kloeckner-Werke AG.................................. 400 28,007
Kraftuebertragungswerke Rheinfelden AG............... 80 19,639
Phoenix AG, Hamburg.................................. 1,000 17,235
Plettac AG........................................... 70 10,735
Rheinboden Hypothekenbank AG......................... 100 17,689
Rhoen Klinikum AG.................................... 200 21,091
*Salamander AG, Kornwesteim.......................... 100 15,534
Schmalbach-Lubeca AG................................. 140 26,233
*Strabag AG.......................................... 100 6,588
Tarkett AG........................................... 1,200 26,873
*Verseidag AG........................................ 200 19,049
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
WCM Beteiligungs und Grundbesitz AG.................. 3,000 $ 53,577
Walter AG............................................ 100 34,470
------------
TOTAL COMMON STOCKS
(Cost $691,174)...................................... 672,370
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks
(Cost $3,460)...................................... 3,560
------------
RIGHTS/WARRANTS -- (0.0%)
*Concordia Bau und Boden AG Rights 12/23/97.......... 667 0
*Rheinboden Hypothekenbank AG Rights 12/01/97........ 100 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- GERMANY
(Cost $694,634)...................................... 675,930
------------
MALAYSIA -- (5.2%)
COMMON STOCKS -- (4.4%)
Arab Malaysia Corp. Berhad........................... 40,000 17,989
Asiatic Development Berhad........................... 84,000 26,468
Ban Hin Lee Bank Berhad.............................. 6,000 8,593
Bandar Raya Developments Berhad...................... 11,000 3,245
Batu Kawan Berhad.................................... 10,500 12,813
Boustead Holdings Berhad............................. 10,000 10,369
CCM Bioscience Berhad................................ 18 16
Chemical Co. of Malaysia Berhad...................... 7,000 7,940
Country Heights Holdings Berhad...................... 14,400 14,932
Esso Malaysia Berhad................................. 12,000 16,018
Federal Flour Mills Berhad........................... 8,000 8,800
Gadek Capital Berhad................................. 2,000 716
Guinness Anchor Berhad............................... 11,000 13,360
Hap Seng Consolidated Berhad......................... 11,000 15,377
Ho Hup Construction Co. Berhad....................... 5,000 2,979
Hock Hua Bank Berhad (Foreign)....................... 5,000 5,528
Hong Leong Properties Berhad......................... 32,000 9,075
IGB Corp. Berhad..................................... 18,000 6,239
KFC Holdings (Malaysia) Berhad....................... 10,000 14,895
Kamunting Corp. Berhad............................... 29,000 5,732
Kedah Cement Holdings Berhad......................... 24,000 8,525
Kelang Container Terminal Berhad..................... 7,000 4,211
Kemayan Corp. Berhad................................. 11,000 2,852
*Kuala Lumpur Industries Holdings Berhad............. 12,000 3,644
Landmarks Berhad..................................... 15,000 3,803
*Lingkaran Trans Kota Holdings Berhad................ 20,000 17,301
Lingui Development Berhad............................ 22,000 10,839
Lion Land Berhad..................................... 23,000 5,468
*MBF Land Berhad..................................... 30,000 4,640
*MCB Holdings Berhad................................. 25,000 5,120
Malaysia Assurance Alliance Berhad................... 4,000 4,698
Malaysian Industrial Development Finance Berhad...... 43,000 16,751
Malaysian Plantations Berhad......................... 15,000 5,156
Mulpha International Berhad.......................... 48,000 9,212
*Olympia Industries Berhad........................... 19,000 4,463
Pernas International Holdings Berhad................. 24,000 7,150
Phileo Allied Berhad................................. 12,000 6,187
Phileo Land Berhad................................... 9,000 7,605
*Promet Berhad....................................... 23,000 4,480
</TABLE>
24
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RJ Reynolds Berhad................................... 12,000 $ 20,452
Shangri-la Hotels (Malaysia) Berhad.................. 16,000 5,225
Sime UEP Properties Berhad........................... 19,000 13,715
Southern Bank Berhad (Foreign)....................... 22,500 11,666
*Southern Bank Berhad (Foreign) Issue 97............. 11,250 5,446
TA Enterprise Berhad................................. 40,000 12,031
Time Engineering Berhad.............................. 51,000 16,362
Tractors Malaysia Holdings Berhad.................... 12,000 6,875
Westmont Land (Asia) Berhad.......................... 12,600 3,826
------------
TOTAL COMMON STOCKS
(Cost $929,889)...................................... 428,787
------------
INVESTMENT IN CURRENCY -- (0.8%)
*Malaysian Ringetts
(Cost $83,204)..................................... 81,817
------------
TOTAL -- MALAYSIA
(Cost $1,013,093).................................... 510,604
------------
HONG KONG -- (5.0%)
COMMON STOCKS -- (5.0%)
Allied Properties (Hong Kong), Ltd................... 142,000 14,144
Asia Financial Holdings, Ltd......................... 48,000 12,170
#Asia Standard International Group, Ltd.............. 70,000 14,579
Champion Technology Holdings, Ltd.................... 84,000 10,323
China Aerospace International Holdings, Ltd.......... 46,800 13,773
#China Foods Holdings, Ltd........................... 30,000 10,575
China Motor Bus Co., Ltd............................. 1,600 14,902
Continental Mariner Investment Co., Ltd.............. 60,000 24,061
Dong-Jun Holdings, Ltd............................... 92,000 20,827
Dynamic Holdings, Ltd................................ 92,000 21,184
FPB Bank Holding Co., Ltd............................ 50,000 11,578
Four Seas Mercantile Holdings, Ltd................... 60,000 30,853
Goldlion Holdings, Ltd............................... 37,000 12,086
Grande Holdings, Ltd................................. 28,000 10,866
Great Wall Electronic International, Ltd............. 142,640 10,149
Harbour Centre Development, Ltd...................... 9,000 9,023
JCG Holdings, Ltd.................................... 28,000 11,410
Kumagai Gumi Hong Kong, Ltd.......................... 27,000 21,131
Li & Fung, Ltd....................................... 24,000 32,289
#Liu Chong Hing Investment, Ltd...................... 18,000 17,231
Moulin International Holdings, Ltd................... 92,000 12,020
#Oriental Press Group, Ltd........................... 68,000 18,033
QPL International Holdings, Ltd...................... 23,000 14,281
Sea Holdings, Ltd.................................... 38,000 19,786
Semi-Tech (Global) Co., Ltd.......................... 60,556 12,377
Shaw Brothers Hong Kong, Ltd......................... 20,000 14,877
Shell Electric Manufacturing (Holdings) Co., Ltd..... 45,600 9,025
Shougang Concord International Enterprises Co.,
Ltd................................................ 90,000 11,177
#Silver Grant International Industries, Ltd.......... 40,000 8,176
Sime Darby Hong Kong, Ltd............................ 20,000 11,642
Sun Hung Kai & Co., Ltd.............................. 59,000 11,830
Tai Cheung Holdings, Ltd............................. 25,000 10,834
Varitronix International, Ltd........................ 10,000 16,946
------------
TOTAL COMMON STOCKS
(Cost $652,988)...................................... 494,158
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $3,087)...................................... $ 3,089
------------
RIGHTS/WARRANTS -- (0.0%)
*Grande Holdings, Ltd. Warrants 10/15/00............. 5,600 435
*Shell Electric Manufacturing (Holdings) Co., Ltd.
Warrants 05/31/99.................................. 7,600 202
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 637
------------
TOTAL -- HONG KONG
(Cost $656,075)...................................... 497,884
------------
ITALY -- (4.0%)
COMMON STOCKS -- (4.0%)
*Ansaldo Trasporti SpA............................... 7,000 9,479
Banca Toscana........................................ 11,000 25,590
*CIGA SpA (Compagnia Italiana Grandi Alberghi)....... 50,000 32,869
#Cartiere Burgo SpA.................................. 4,000 23,379
Cia Assicuratrice Unipol SpA......................... 6,000 17,708
*Dalmine SpA......................................... 82,000 20,405
Falck (Acciaierie & Ferriere Lombarde)............... 5,000 22,279
Gewiss SpA........................................... 2,000 37,036
*Impregilo SpA....................................... 19,000 13,469
Magneti Marelli SpA.................................. 15,000 24,305
Milano Assicurazioni SpA............................. 5,000 15,133
*Premafin Finanziaria SpA............................ 37,000 13,596
Previdente Cia Italiana Assicurazione SpA............ 3,000 20,833
Safilo (Sta Azionaria Fabbrica Italiana Lavorazione
Occhiali SpA)...................................... 1,000 23,668
Sorin Biomedica SpA.................................. 7,500 32,095
Tecnost SpA.......................................... 8,000 16,064
#UNICEM (Unione Cementi Marchini Emiliane e di
Augusta-Casale).................................... 3,000 24,209
Vianini Lavori SpA................................... 10,000 16,435
------------
TOTAL COMMON STOCKS
(Cost $364,027)...................................... 388,552
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira
(Cost $1,228)...................................... 1,203
------------
TOTAL -- ITALY
(Cost $365,255)...................................... 389,755
------------
SPAIN -- (3.8%)
COMMON STOCKS -- (3.7%)
AGF Union y Fenix Seguros y Reaseguros SA............ 2,100 26,545
Amper SA............................................. 800 22,934
Banco de Andalucia................................... 200 31,115
Banco de Valencia.................................... 1,000 19,681
Banco Zaragozano SA.................................. 1,200 31,182
Cementos Portland SA................................. 500 25,147
Ebro Agricolas Compania de Alimentacion SA........... 1,700 30,152
Europistas Concesionaria Espanola SA................. 2,300 15,192
Fabricacion de Automoviles Renault de Espana SA...... 800 18,347
</TABLE>
25
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
GESA (Gas y Electricidad SA)......................... 400 $ 28,701
*Inmobiliaria Urbis SA............................... 2,300 19,973
Portland Valderrivas SA.............................. 300 24,442
Prosegur Cia de Seguridad SA......................... 2,200 21,981
Uralita SA........................................... 1,900 22,106
Viscofan Industria Navarra de Envolturas Celulosicas
SA................................................. 1,300 31,383
------------
TOTAL COMMON STOCKS
(Cost $314,402)...................................... 368,881
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Spanish Peseta
(Cost $4,034)...................................... 4,009
------------
TOTAL -- SPAIN
(Cost $318,436)...................................... 372,890
------------
SWITZERLAND -- (3.7%)
COMMON STOCKS -- (3.6%)
*Attisholz Holding AG, Attisholz..................... 24 10,858
Danzas Holding AG.................................... 100 20,972
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg......................................... 100 21,007
Fischer (Georg) AG, Schaffhausen..................... 20 25,714
Forbo Holding AG, Eglisau............................ 51 20,426
Helvetia Patria Holding, St. Gallen.................. 50 41,910
Kraftwerk Laufenburg, Laufenburg..................... 100 19,008
Phoenix Mecano AG, Stein am Rhein.................... 50 24,585
*Porst Holding AG, Jegenstorf........................ 94 11,406
Rieter Holding AG, Winterthur........................ 80 34,959
*Saurer AG, Arbon.................................... 56 40,968
Schweizerische National Versicherungs Gesellschaft,
Basel.............................................. 10 22,586
Sika Finanz AG, Baar................................. 90 27,018
*Von Roll Holding AG, Gerlafingen.................... 759 15,013
Zuercher Ziegeleien Holding, Zuerich................. 27 22,347
------------
TOTAL COMMON STOCKS
(Cost $311,246)...................................... 358,777
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Swiss Francs
(Cost $4,752)...................................... 4,873
------------
TOTAL -- SWITZERLAND
(Cost $315,998)...................................... 363,650
------------
AUSTRALIA -- (3.5%)
COMMON STOCKS -- (3.4%)
*Aurora Gold, Ltd.................................... 15,600 15,478
Bank of Queensland, Ltd.............................. 5,883 21,133
Caltex Australia, Ltd................................ 5,760 17,933
Capral Aluminium, Ltd................................ 7,740 14,564
*Centaur Mining & Exploration, Ltd................... 16,005 7,228
*Cultus Petroleum NL................................. 7,573 13,473
Davids Limited....................................... 15,156 7,881
Foodland Associated, Ltd............................. 3,941 29,662
GWA International, Ltd............................... 9,716 17,617
Great Central Mines, Ltd............................. 10,317 10,589
Hudson Conway, Ltd................................... 2,235 8,380
Iama, Ltd............................................ 13,352 20,556
Incitec, Ltd......................................... 4,600 18,444
Jupiters, Ltd........................................ 9,412 16,744
MMI, Ltd............................................. 3,349 7,608
Metal Manufactures, Ltd.............................. 7,600 10,140
OPSM Protector, Ltd.................................. 2,313 5,935
PMP Communications, Ltd.............................. 8,900 17,965
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Pacific BBA, Ltd..................................... 5,369 $ 16,715
*Petsec Energy, Ltd.................................. 4,391 15,623
Resolute, Ltd........................................ 10,029 7,068
Savage Resources, Ltd................................ 20,421 10,480
Simsmetal, Ltd....................................... 3,186 16,677
Sons of Gwalia, Ltd.................................. 4,089 9,569
------------
TOTAL COMMON STOCKS
(Cost $461,728)...................................... 337,462
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Australian Dollar
(Cost $7,721)...................................... 7,719
------------
TOTAL -- AUSTRALIA
(Cost $469,449)...................................... 345,181
------------
NETHERLANDS -- (3.1%)
COMMON STOCKS -- (3.1%)
ACF Holding NV (Certificate)......................... 800 14,487
Cap Gemini NV........................................ 2,100 62,643
Grolsche NV.......................................... 800 19,920
Internatio-Mueller NV................................ 1,230 37,804
Koninklijke Ahrend NV................................ 1,254 38,794
Koninklijke Frans Maas Groep NV...................... 736 24,768
Otra NV.............................................. 1,000 15,846
Schuttersveld NV..................................... 1,260 29,156
Twentsche Kabel Holding NV........................... 606 33,502
Wegener Arcade NV.................................... 1,550 30,252
------------
TOTAL COMMON STOCKS
(Cost $228,475)...................................... 307,172
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder
(Cost $3,379)...................................... 3,292
------------
TOTAL -- NETHERLANDS
(Cost $231,854)...................................... 310,464
------------
SWEDEN -- (3.1%)
COMMON STOCKS -- (3.1%)
#Allgon AB Series B.................................. 1,400 22,122
*BTL AB Series B..................................... 3,700 19,121
Bergman & Beving AB Series B......................... 1,400 25,567
Catena AB Series A................................... 1,700 27,082
Celsius Industrier AB Series B....................... 1,400 22,484
*Enator AB........................................... 1,400 26,836
Garphyttan Industrier AB............................. 1,400 22,484
Lindex AB............................................ 700 22,031
Marieberg Tidnings AB Series A....................... 1,400 36,083
Rottneros Bruk AB.................................... 11,700 9,319
Sparbanken Sverige AB Series A....................... 2,971 74,650
------------
TOTAL COMMON STOCKS
(Cost $224,090)...................................... 307,779
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $8).......................................... 8
------------
TOTAL -- SWEDEN
(Cost $224,098)...................................... 307,787
------------
SINGAPORE -- (2.6%)
COMMON STOCKS -- (2.3%)
Amtek Engineering, Ltd............................... 15,000 11,397
Bukit Sembawang Estates, Ltd......................... 1,000 7,472
GK Goh Holdings...................................... 17,000 10,675
Haw Par Brothers International, Ltd.................. 24,000 33,456
</TABLE>
26
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hitachi Zosen (Singapore), Ltd....................... 22,000 $ 6,769
Hotel Plaza, Ltd..................................... 25,000 7,692
Kim Eng Holdings, Ltd................................ 22,000 9,463
Neptune Orient Lines, Ltd............................ 34,000 20,282
Orchard Parade Holdings, Ltd......................... 11,200 6,330
Overseas Union Enterprise, Ltd....................... 6,000 13,940
Rothmans Industries, Ltd. Issue 95................... 5,000 26,373
*Scotts Holdings, Ltd................................ 25,000 12,402
Shangri-la Hotel, Ltd................................ 7,000 13,450
Sime Singapore, Ltd.................................. 49,000 21,076
Tuan Sing Holdings, Ltd.............................. 44,000 7,322
Van der Horst, Ltd................................... 4,000 2,374
Vickers Ballas Holdings, Ltd......................... 29,000 15,934
------------
TOTAL COMMON STOCKS
(Cost $378,182)...................................... 226,407
------------
INVESTMENT IN CURRENCY -- (0.3%)
*Singapore Dollars
(Cost $32,755)..................................... 32,737
------------
TOTAL -- SINGAPORE
(Cost $410,937)...................................... 259,144
------------
DENMARK -- (2.6%)
COMMON STOCKS -- (2.6%)
Alm Brand A.S. Series B.............................. 623 20,413
Bang & Olufsen Holding A.S. Series B................. 450 26,473
Coloplast A.S. Series B.............................. 404 28,881
DFDS A.S., Copenhagen................................ 24 20,017
*Falck A.S........................................... 568 26,478
Nordiske Kabel og Traadfabrikker Holding A.S......... 277 23,103
Obel (C.W.) A.S. Series B............................ 89 16,569
Radiometer A.S. Series B............................. 432 18,080
Sas Danmark A.S...................................... 1,739 25,900
*Superfos A.S........................................ 1,142 29,765
*Topdanmark A.S...................................... 145 22,891
------------
TOTAL COMMON STOCKS
(Cost $273,280)...................................... 258,570
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Denmark Krone
(Cost $28)......................................... 28
------------
TOTAL -- DENMARK
(Cost $273,308)...................................... 258,598
------------
BELGIUM -- (1.3%)
COMMON STOCKS -- (1.3%)
Ackermans & Van Haaren SA............................ 120 29,843
Afrifina............................................. 140 17,505
CMB (Cie Martime Belge).............................. 300 23,083
Cofinimmo SA......................................... 200 20,500
Deceuninck Plastics Industries SA.................... 130 25,150
*Immobel (Cie Immobiliere de Belgique SA)............ 200 12,201
------------
TOTAL COMMON STOCKS
(Cost $127,388)...................................... 128,282
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs
(Cost $5).......................................... 6
------------
TOTAL -- BELGIUM
(Cost $127,393)...................................... 128,288
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
NEW ZEALAND -- (1.0%)
COMMON STOCKS -- (1.0%)
Enerco New Zealand, Ltd.............................. 4,758 $ 18,048
Fernz Corp., Ltd..................................... 6,407 18,177
New Zealand Refining Co., Ltd........................ 1,008 12,123
Ports of Auckland.................................... 5,962 23,460
Warehouse Group, Ltd................................. 7,154 20,517
------------
TOTAL COMMON STOCKS
(Cost $109,898)...................................... 92,325
------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $1,757)...................................... 1,730
------------
TOTAL -- NEW ZEALAND
(Cost $111,655)...................................... 94,055
------------
SOUTH KOREA -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Korean Won
(Cost $143)........................................ 108
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.3%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
8.50%, 11/15/00, valued at $236,225) to be
repurchased at $229,104
(Cost $229,000).................................... $ 229 229,000
------------
TOTAL INVESTMENTS -- (99.9%)
(Cost $12,255,514)++................................. 9,871,748
------------
OTHER ASSETS AND LIABILITIES -- (0.1%)
Other Assets....................................... 313,046
Payable for Investment Securities Purchased........ (288,588)
Other Liabilities.................................. (12,487)
------------
11,971
------------
NET ASSETS -- (100.0%) Applicable to 1,236,270
Outstanding $.01 Par Value Shares (100,000,000 Shares
Authorized).......................................... $ 9,883,719
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 7.99
------------
------------
- --------------------
+See Note B to Financial Statements.
*Non-Income Producing Securities
#Total or Partial Securities on Loan
++Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
27
<PAGE>
VA SHORT-TERM FIXED PORTFOLIO
STATEMENT OF NET ASSETS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
COMMERCIAL PAPER -- (37.4%)
Barton Capital Corp. C.P.
5.650%, 01/06/98.................................. $ 390 $ 387,777
Caisse Centrale des Jardins C.P.
5.720%, 01/23/98.................................. 400 396,652
Ciesco L.P. C.P.
5.570%, 01/16/98.................................. 400 397,097
Corporate Asset Funding Corp. C.P.
5.700%, 01/09/98.................................. 400 397,530
Den Norske Stats Objeselskap C.P.
5.540%, 12/10/97.................................. 350 349,512
Eksportfinans C.P.
5.750%, 12/01/97.................................. 400 400,000
Enterprise Funding Corp. C.P.
5.660%, 01/05/98.................................. 390 387,820
Equipment Intermediation Partnership C.P.
5.570%, 12/05/97.................................. 300 299,814
Hahn Issuing Corp. C.P.
5.620%, 12/17/97.................................. 400 398,992
Matterhorn Capital Corp. C.P.
5.600%, 12/15/97.................................. 404 403,123
Paccar Financial Corp. C.P.
5.750%, 12/01/97.................................. 400 400,000
Sheffield Receivables Corp. C.P.
5.550%, 12/05/97.................................. 350 349,783
Sigma Finance Corp. C.P.
5.650%, 01/07/98.................................. 350 347,950
Teco Finance, Inc, C.P.
5.620%, 01/09/98.................................. 400 397,517
USAA Capital Corp. C.P.
5.550%, 12/12/97.................................. 350 349,403
------------
TOTAL COMMERCIAL PAPER
(Cost $5,663,139).................................... 5,662,970
------------
BONDS -- (33.3%)
Associates Corp. of North America Corporate Bonds
6.680%, 09/17/99.................................. 300 302,625
Bayerische Landesbank U.S. Finance, Inc. Medium Term
Notes
6.400%, 05/05/99.................................. 300 301,500
Canada (Government of) Bonds
6.400%, 09/10/98.................................. 160 160,600
Colgate-Palmolive Co. Medium Term Notes
6.630%, 02/16/98.................................. 160 160,189
Ford Motor Credit Co. Corporate Bonds
7.250%, 05/15/99.................................. 200 203,250
IBM Credit Corp. Medium Term Notes
6.570%, 04/07/99.................................. 300 302,250
Illinois Tool Works, Inc. Corporate Bonds
7.500%, 12/01/98.................................. 250 253,277
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
KFW International Finance, Inc. Medium Term Notes
9.000%, 02/23/99.................................. $ 200 $ 206,750
Michigan Bell Telephone Medium Term Notes
9.250%, 11/15/98.................................. 240 247,500
Morgan Guaranty Trust Corporate Bonds
6.000%, 10/01/98.................................. 150 149,985
National Elf Aquitaine, Inc. Corporate Bonds
7.750%, 05/01/99.................................. 300 306,375
NationsBank N.C. Medium Term Notes
6.100%, 01/19/99.................................. 250 250,000
Nippon Telegraph & Telephone Corp. Corporate Bonds
9.500%, 07/27/98.................................. 300 306,750
Norwest Financial, Inc. Corporate Bonds
6.000%, 08/01/99.................................. 250 249,688
Pepsico, Inc. Corporate Bonds
7.625%, 11/01/98.................................. 300 303,705
Pitney Bowes Credit Corp. Medium Term Notes
6.305%, 09/23/98.................................. 170 170,753
Sara Lee Corp. Medium Term Notes
5.500%, 12/01/98.................................. 250 248,430
Shell Canada, Ltd. Corporate Bonds
7.375%, 06/01/99.................................. 350 356,125
St. Paul Companies, Inc. Medium Term Notes
7.590%, 05/19/99.................................. 300 306,375
Wachovia Bank N.A. Medium Term Notes
6.000%, 03/15/99.................................. 260 259,675
------------
TOTAL BONDS
(Cost $5,039,510).................................... 5,045,802
------------
CERTIFICATES OF DEPOSIT -- (11.2%)
ABN-AMRO North American Certificate of Deposit
5.710%, 10/09/98.................................. 400 399,600
FCC National Bank Certificate of Deposit
5.820%, 09/18/98.................................. 300 299,970
Morgan Trust Certificate of Deposit
5.800%, 07/28/98.................................. 300 299,850
National Australia Bank Certificate of Deposit
5.850%, 10/05/98.................................. 400 400,120
Swiss Bank Certificate of Deposit
5.805%, 10/01/98.................................. 300 300,000
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $1,699,073).................................... 1,699,540
------------
</TABLE>
28
<PAGE>
VA SHORT-TERM FIXED PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
VARIABLE RATE OBLIGATIONS -- (6.3%)
Abbey National Treasury Services P.L.C.
***5.560%, 12/15/97................................ $ 300 $ 299,805
American Express Centurion Bank
***5.678%, 12/08/97................................ 300 299,973
Key Bank N.A.
***5.649%, 02/20/98................................ 350 349,664
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $949,536)...................................... 949,442
------------
AGENCY OBLIGATIONS -- (6.0%)
Federal Agriculture Mortgage Corp.
7.200%, 10/15/98................................... 150 151,670
Federal Home Loan Bank
5.715%, 03/20/98................................... 150 150,013
5.100%, 01/26/99................................... 300 297,699
Student Loan Marketing Association
7.000%, 03/03/98................................... 150 150,489
6.250%, 06/30/98................................... 150 150,463
------------
TOTAL AGENCY OBLIGATIONS
(Cost $898,149)...................................... 900,334
------------
SUPRANATIONAL OBLIGATIONS -- (1.0%)
Inter-American Development Bank
9.450%, 09/15/98
(Cost $153,878).................................. 150 154,125
------------
TEMPORARY CASH INVESTMENTS -- (3.5%)
Repurchase Agreement, PNC Capital Markets Inc. 5.45%,
12/01/97 (Collateralized by U.S. Treasury Notes
8.50%, 11/15/00, valued at $536,875) to be
repurchased at $521,237
(Cost $521,000)..................................... 521 521,000
------------
TOTAL INVESTMENTS -- (98.7%)
(Cost $14,924,285)++................................. 14,933,213
------------
OTHER ASSETS AND LIABILITIES -- (1.3%)
Other Assets.......................................... 211,789
Liabilities........................................... (9,493)
------------
202,296
------------
NET ASSETS -- (100.0%) Applicable to 1,500,827
Outstanding $.01 Par Value Shares
(100,000,000 Shares Authorized)...................... $ 15,135,509
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.08
------------
------------
- --------------------
+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.
29
<PAGE>
VA GLOBAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1997
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
FRANCE -- (23.2%)
BONDS -- (23.2%)
Belgium (Kingdom of)
6.875%, 05/30/02................................... 1,000 $ 181,266
Caisse d'Amortissement et de Dette Sociale
5.500%, 04/25/02................................... 800 138,007
Credit Locale de France SA Euro Medium Term Notes
5.375%, 10/11/01................................... 500 85,915
European Investment Bank
8.500%, 02/20/02................................... 1,500 287,525
France (Government of) BTAN
4.750%, 03/12/02................................... 1,000 168,510
5.500%, 10/12/01................................... 1,100 190,728
France Telecom SA
9.000%, 07/27/01................................... 1,800 345,304
Suedwestdeutsche Landesbank Giro & Suedwestlb Capital
Markets P.L.C.
6.000%, 03/08/02................................... 500 87,533
------------
TOTAL -- FRANCE
(Cost $1,509,468).................................... 1,484,788
------------
JAPAN -- (22.2%)
BONDS -- (22.2%)
Credit Local de France SA
6.000%, 10/31/01................................... 9,000 83,459
Deutsche Siedlungs Landesrentenbank
2.600%, 07/10/02................................... 32,000 266,280
Inter-American Development Bank
6.000%, 10/30/01................................... 25,000 232,713
2.250%, 02/05/02................................... 10,000 81,998
Japan Development Bank
6.500%, 09/20/01................................... 35,000 329,775
World Bank (International Bank for Reconstruction and
Development)
5.250%, 03/20/02................................... 10,000 92,106
Nordic Investment Bank
2.600%, 06/28/02................................... 40,000 332,850
------------
TOTAL -- JAPAN
(Cost $1,485,607).................................... 1,419,181
------------
GERMANY -- (21.8%)
BONDS -- (21.8%)
European Economic Community
6.500%, 03/10/00................................... 500 295,011
Federal National Mortgage Association
5.000%, 02/16/01................................... 400 227,913
Germany (Republic of)
8.000%, 01/21/02................................... 550 347,432
LB Rheinland-Pfalz Finance BV
5.375%, 02/12/02................................... 300 171,700
Minnesota Mining and Manufacturing Co.
5.000%, 10/15/01................................... 300 170,416
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
World Bank (International Bank for Reconstruction and
Development)
6.125%, 09/27/02................................... 300 $ 177,347
------------
TOTAL BONDS
(Cost $1,500,896).................................... 1,389,819
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks
(Cost $12).......................................... 13
------------
TOTAL -- GERMANY
(Cost $1,500,908).................................... 1,389,832
------------
CANADA -- (21.0%)
BONDS -- (21.0%)
British Columbia (Municipal Finance Authority)
11.200%, 10/24/00.................................. 310 254,263
General Electric Capital Canada, Inc.
6.875%, 12/31/01................................... 250 184,238
KFW International Finance, Inc.
7.750%, 10/17/01................................... 250 189,331
Oesterreichische Postsparkasse PSK
10.750%, 08/08/01.................................. 400 328,924
SNCF (Societe Nationale des Chemins de Fer Francaise)
9.250%, 12/20/01................................... 200 158,701
Toyota Credit Canada, Inc.
8.000%, 12/29/00................................... 200 150,552
7.375%, 12/31/01................................... 100 74,819
------------
TOTAL -- CANADA
(Cost $1,376,849).................................... 1,340,828
------------
AUSTRALIA -- (7.6%)
BONDS -- (7.6%)
ABN-Amro Australia, Ltd.
8.250%, 11/03/00................................... 200 145,195
Airservices Australia
7.375%, 11/15/01................................... 250 179,510
State Bank of New South Wales
11.750%, 08/16/01.................................. 200 162,356
------------
TOTAL -- AUSTRALIA
(Cost $528,465)...................................... 487,061
------------
NETHERLANDS -- (4.2%)
BONDS -- (4.2%)
Bank Nederlandse Gemeenten
7.625%, 12/16/02................................... 250 138,774
Netherlands (Kingdom of)
5.750%, 09/15/02................................... 250 129,530
------------
TOTAL -- NETHERLANDS
(Cost $290,103)...................................... 268,304
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $6,691,400)++.................................. $ 6,389,994
------------
------------
- --------------------
+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.
30
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENT OF ASSETS AND LIABILITIES
VA GLOBAL BOND PORTFOLIO
NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investments at Value....................................................................... $ 6,390
Receivables
Interest................................................................................. 199
Investment Securities Sold............................................................... 246
Fund Shares Sold......................................................................... 13
Unrealized Gain on Forward Currency Contracts.............................................. 135
Prepaid Expenses and Other Assets.......................................................... 97
---------
Total Assets........................................................................... 7,080
---------
LIABILITIES:
Accrued Expenses........................................................................... 7
---------
NET ASSETS................................................................................. $ 7,073
---------
---------
SHARES OUTSTANDING $.01 PAR VALUE
(100,000,000 Shares Authorized).......................................................... 661,928
---------
---------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................... $ 10.69
---------
---------
Investments at Cost........................................................................ $ 6,691
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
31
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA SMALL VA LARGE VA INTERNATIONAL
VALUE VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
-------- -------- ----------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes withheld of
$0, $0 and $37, respectively)............... $ 125 $ 401 $ 343
Interest...................................... 27 30 33
Income from Securities Lending................ -- -- 14
-------- -------- -------
Total Investment Income................... 152 431 390
-------- -------- -------
EXPENSES
Investment Advisory Services.................. 65 49 60
Accounting & Transfer Agent Fees.............. 17 24 22
Custodians' Fees.............................. 2 3 19
Legal Fees.................................... 1 1 1
Audit Fees.................................... 1 1 1
Filing Fees................................... 1 1 1
Shareholders' Reports......................... 4 6 4
Directors' Fees and Expenses.................. -- 1 1
Organization Costs............................ 1 7 4
Other......................................... 1 2 2
-------- -------- -------
Total Expenses............................ 93 95 115
-------- -------- -------
NET INVESTMENT INCOME......................... 59 336 275
-------- -------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment Securities.... 1,173 1,627 230
Net Realized Loss on Foreign Currency
Transactions................................ -- (1) (15)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ 2,525 2,529 (1,092)
Translation of Foreign Currency
Denominated Amounts..................... -- -- (3)
-------- -------- -------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY............................ 3,698 4,155 (880)
-------- -------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................. $3,757 $4,491 $ (605)
-------- -------- -------
-------- -------- -------
</TABLE>
See accompanying Notes to Financial Statements.
32
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1997
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA VA
INTERNATIONAL SHORT-TERM VA GLOBAL
SMALL FIXED BOND
PORTFOLIO PORTFOLIO PORTFOLIO
------------- ---------- ---------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes withheld of
$17, $0 and $0, respectively)............... $ 161 -- --
Interest...................................... 23 $673 $ 277
Income from Securities Lending................ 11 -- --
------------- ----- ---------
Total Investment Income................... 195 673 277
------------- ----- ---------
EXPENSES
Investment Advisory Services.................. 42 29 15
Accounting & Transfer Agent Fees.............. 14 10 11
Custodians' Fees.............................. 20 1 2
Legal Fees.................................... 1 -- --
Audit Fees.................................... 1 1 --
Filing Fees................................... 1 1
Shareholders' Reports......................... 2 3 2
Directors' Fees and Expenses.................. 1 -- --
Organization Costs............................ 1 1 7
Other......................................... 1 4 1
------------- ----- ---------
Total Expenses............................ 84 50 38
------------- ----- ---------
NET INVESTMENT INCOME......................... 111 623 239
------------- ----- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment Securities.... 112 13 25
Net Realized Gain (Loss) on Foreign Currency
Transactions................................ (1) -- 409
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency................................ (2,444) (14) (354)
Translation of Foreign Currency
Denominated Amounts..................... (1) -- 119
------------- ----- ---------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY............................ (2,334) (1) 199
------------- ----- ---------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................. $(2,223) $622 $ 438
------------- ----- ---------
------------- ----- ---------
</TABLE>
See accompanying Notes to Financial Statements.
33
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
VA SMALL VA LARGE
VALUE PORTFOLIO VALUE PORTFOLIO
-------------------- --------------------
YEAR YEAR YEAR YEAR
ENDED ENDED 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.................. $ 59 $ 19 $ 336 $ 137
Net Realized Gain on Investment
Securities........................... 1,173 76 1,627 479
Net Realized Loss on Foreign Currency
Transactions......................... -- -- (1) (1)
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency........................... 2,525 1,079 2,529 1,191
--------- --------- --------- ---------
Net Increase in Net Assets Resulting
from Operations.................... 3,757 1,174 4,491 1,806
--------- --------- --------- ---------
Distributions From:
Net Investment Income.................. (22) (9) (290) (86)
Net Realized Gains..................... (76) -- (481) (2)
--------- --------- --------- ---------
Total Distributions................ (98) (9) (771) (88)
--------- --------- --------- ---------
Capital Share Transactions (1):
Shares Issued.......................... 9,470 2,156 11,914 5,754
Shares Issued in Lieu of Cash
Distributions........................ 98 9 771 88
Shares Redeemed........................ (3,857) (120) (5,430) (552)
--------- --------- --------- ---------
Net Increase From Capital Share
Transactions....................... 5,711 2,045 7,255 5,290
--------- --------- --------- ---------
Total Increase..................... 9,370 3,210 10,975 7,008
NET ASSETS
Beginning of Period.................... 8,058 4,848 13,570 6,562
--------- --------- --------- ---------
End of Period.......................... $ 17,428 $ 8,058 $ 24,545 $ 13,570
--------- --------- --------- ---------
--------- --------- --------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................... 696 195 814 465
Shares Issued in Lieu of Cash
Distributions....................... 8 1 57 7
Shares Redeemed....................... (262) (11) (354) (45)
--------- --------- --------- ---------
442 185 517 427
--------- --------- --------- ---------
--------- --------- --------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
34
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA INTERNATIONAL VA INTERNATIONAL
VALUE PORTFOLIO SMALL PORTFOLIO
-------------------- --------------------
YEAR YEAR YEAR YEAR
ENDED ENDED 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.................. $ 275 $ 90 $ 111 $ 34
Net Realized Gain on Investment
Securities........................... 230 58 112 136
Net Realized Gain (Loss) on Foreign
Currency Transactions................ (15) 2 (1) 1
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency........................... (1,092) 694 (2,444) 204
Translation of Foreign Currency
Denominated Amounts................ (3) 3 (1) 2
--------- --------- --------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations.......... (605) 847 (2,223) 377
--------- --------- --------- ---------
Distributions From:
Net Investment Income.................. (100) -- (37) --
Net Realized Gains..................... (44) (8) (136) --
--------- --------- --------- ---------
Total Distributions................ (144) (8) (173) --
--------- --------- --------- ---------
Capital Share Transactions (1):
Shares Issued.......................... 9,487 5,279 7,137 802
Shares Issued in Lieu of Cash
Distributions........................ 144 8 173 --
Shares Redeemed........................ (1,789) (623) (1,037) (28)
--------- --------- --------- ---------
Net Increase From Capital Share
Transactions....................... 7,842 4,664 6,273 774
--------- --------- --------- ---------
Total Increase..................... 7,093 5,503 3,877 1,151
NET ASSETS
Beginning of Period.................... 10,517 5,014 6,007 4,856
--------- --------- --------- ---------
End of Period.......................... $ 17,610 $ 10,517 $ 9,884 $ 6,007
--------- --------- --------- ---------
--------- --------- --------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................... 841 477 757 75
Shares Issued in Lieu of Cash
Distributions....................... 13 1 18 --
Shares Redeemed....................... (155) (57) (112) (3)
--------- --------- --------- ---------
699 421 663 72
--------- --------- --------- ---------
--------- --------- --------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
35
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA SHORT-TERM VA GLOBAL
FIXED PORTFOLIO BOND PORTFOLIO
-------------------- --------------------
YEAR YEAR YEAR YEAR
ENDED ENDED 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................... $ 623 $ 271 $ 239 $ 119
Net Realized Gain (Loss) on Investment
Securities............................ 13 (1) 25 93
Net Realized Gain on Foreign Currency
Transactions.......................... -- -- 409 206
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency............................ (14) 24 (354) (86)
Translation of Foreign Currency
Denominated Amounts................. -- -- 119 (22)
--------- --------- --------- ---------
Net Increase in Net Assets Resulting
from Operations..................... 622 294 438 310
--------- --------- --------- ---------
Distributions From:
Net Investment Income................... (595) (262) (388) (132)
Net Realized Gains...................... -- -- (93) --
--------- --------- --------- ---------
Total Distributions................. (595) (262) (481) (132)
--------- --------- --------- ---------
Capital Share Transactions (1):
Shares Issued........................... 9,723 3,072 5,358 --
Shares Issued in Lieu of Cash
Distributions......................... 595 262 481 132
Shares Redeemed......................... (2,998) (618) (2,426) --
--------- --------- --------- ---------
Net Increase From Capital Share
Transactions........................ 7,320 2,716 3,413 132
--------- --------- --------- ---------
Total Increase...................... 7,347 2,748 3,370 310
NET ASSETS
Beginning of Period..................... 7,789 5,041 3,703 3.393
--------- --------- --------- ---------
End of Period........................... $ 15,136 $ 7,789 $ 7,073 $ 3,703
--------- --------- --------- ---------
--------- --------- --------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................... 967 306 513 --
Shares Issued in Lieu of Cash
Distributions........................ 59 26 47 12
Shares Redeemed........................ (298) (61) (230) --
--------- --------- --------- ---------
728 271 330 12
--------- --------- --------- ---------
--------- --------- --------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
36
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
VA SMALL VA LARGE
VALUE PORTFOLIO VALUE PORTFOLIO
------------------------------------- --------------------------------------
YEAR YEAR
YEAR ENDED ENDED OCT. 3, YEAR ENDED ENDED JAN. 13,
NOV. 30, NOV. 30, TO NOV. NOV. 30, NOV. 30, TO NOV.
1997 1996 30, 1995 1997 1996 30, 1995
----------- -------- -------- ----------- -------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 11.75 $ 9.69 $ 10.00 $ 13.46 $ 11.29 $ 10.00
----------- -------- -------- ----------- -------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.06 0.03 0.01 0.24 0.17 0.19
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 3.78 2.05 (0.31) 3.07 2.12 1.85
----------- -------- -------- ----------- -------- ---------
Total from Investment Operations.... 3.84 2.08 (0.30) 3.31 2.29 2.04
----------- -------- -------- ----------- -------- ---------
LESS DISTRIBUTIONS
Net Investment Income................. (0.03) (0.02) (0.01) (0.23) (0.12) (0.16)
Net Realized Gains.................... (0.11) -- -- (0.46) -- (0.59)
----------- -------- -------- ----------- -------- ---------
Total Distributions................. (0.14) (0.02) (0.01) (0.69) (0.12) (0.75)
----------- -------- -------- ----------- -------- ---------
Net Asset Value, End of Period.......... $ 15.45 $ 11.75 $ 9.69 $ 16.08 $ 13.46 $ 11.29
----------- -------- -------- ----------- -------- ---------
----------- -------- -------- ----------- -------- ---------
Total Return............................ 33.02% 21.47% (3.04)%# 25.72% 20.45% 20.41%#
Net Assets, End of Period (thousands)... $ 17,428 $ 8,058 $ 4,848 $ 24,545 $ 13,570 $ 6,562
Ratio of Expenses to Average Net
Assets................................ 0.71% 1.05% 0.99%* 0.48% 1.03% 1.20%*
Ratio of Net Investment Income to
Average Net Assets.................... 0.45% 0.34% 0.91%* 1.71% 1.59% 2.03%*
Portfolio Turnover Rate................. 21.18% 5.19% 0.00%* 20.49% 18.54% 65.38%*
Average Commission Rate (1)............. $ 0.0549 $ 0.0678 N/A $ 0.0479 $ 0.0484 N/A
</TABLE>
- --------------
* Annualized
# Non-Annualized
(1) Computed by dividing the total amount of brokerage commissions paid by the
total shares of investment securities purchased and sold during the period
for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
See accompanying Notes to Financial Statements.
37
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA INTERNATIONAL VA INTERNATIONAL
VALUE PORTFOLIO SMALL PORTFOLIO
-------------------------------------- --------------------------------------
YEAR YEAR
YEAR ENDED ENDED OCT. 3, YEAR ENDED ENDED OCT. 3,
NOV. 30, NOV. 30, TO NOV. NOV. 30, NOV. 30, TO NOV.
1997 1996 30, 1995 1997 1996 30, 1995
----------- -------- --------- ----------- -------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 11.41 $ 10.03 $ 10.00 $ 10.48 $ 9.71 $ 10.00
----------- -------- --------- ----------- -------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss).......... 0.17 0.11 -- 0.09 0.06 (0.01)
Net Gains (Losses) on Securities
(Realized and Unrealized)........... (0.56) 1.29 0.03 (2.30) 0.71 (0.28)
----------- -------- --------- ----------- -------- ---------
Total from Investment Operations.... (0.39) 1.40 0.03 (2.21) 0.77 (0.29)
----------- -------- --------- ----------- -------- ---------
LESS DISTRIBUTIONS
Investment Income..................... (0.10) -- -- (0.06) -- --
Net Realized Gains.................... (0.05) (0.02) -- (0.22) -- --
----------- -------- --------- ----------- -------- ---------
Total Distributions................. (0.15) (0.02) -- (0.28) -- --
----------- -------- --------- ----------- -------- ---------
Net Asset Value, End of Period.......... $ 10.87 $ 11.41 $ 10.03 $ 7.99 $ 10.48 $ 9.71
----------- -------- --------- ----------- -------- ---------
----------- -------- --------- ----------- -------- ---------
Total Return............................ (3.45)% 13.92% 0.30%# (21.54)% 7.93% (2.90)%#
Net Assets, End of Period (thousands)... $ 17,610 $ 10,517 $ 5,014 $ 9,884 $ 6,007 $ 4,856
Ratio of Expenses to Average Net
Assets................................ 0.76% 1.17% 1.32%* 0.99% 1.27% 2.52%*
Ratio of Net Investment Income to
Average Net Assets.................... 1.83% 1.29% (0.20)%* 1.32% 0.63% (0.39)%*
Portfolio Turnover Rate................. 7.95% 4.14% 0.00%* 8.57% 6.40% 0.00%*
Average Commission Rate (1)............. $ 0.0079 $ 0.0080 N/A $ 0.0118 $ 0.0200 N/A
</TABLE>
- --------------
* Annualized
# Non-Annualized
(1) Computed by dividing the total amount of brokerage commissions paid by the
total shares of investment securities purchased and sold during the period
for which commissions were charged, as required by the SEC for fiscal years
beginning after September 1, 1995.
See accompanying Notes to Financial Statements.
38
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA SHORT-TERM VA GLOBAL
FIXED PORTFOLIO BOND PORTFOLIO
------------------------------------- -------------------------------------
YEAR YEAR
YEAR ENDED ENDED OCT. 3, YEAR ENDED ENDED JAN. 13,
NOV. 30, NOV. 30, TO NOV. NOV. 30, NOV. 30, TO NOV.
1997 1996 30, 1995 1997 1996 30, 1995
----------- -------- -------- ----------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 10.08 $ 10.04 $ 10.00 $ 11.14 $ 10.61 $ 10.00
----------- -------- -------- ----------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.53 0.48 0.08 0.42 0.37 0.48
Net Gains (Losses) on Securities
(Realized and Unrealized)........... -- 0.04 -- 0.34 0.57 0.81
----------- -------- -------- ----------- -------- --------
Total from Investment Operations.... 0.53 0.52 0.08 0.76 0.94 1.29
----------- -------- -------- ----------- -------- --------
LESS DISTRIBUTIONS
Net Investment Income................. (0.53) (0.48) (0.04) (0.94) (0.41) (0.57)
Net Realized Gains.................... -- -- -- (0.27) -- (0.11)
----------- -------- -------- ----------- -------- --------
Total Distributions................. (0.53) (0.48) (0.04) (1.21) (0.41) (0.68)
----------- -------- -------- ----------- -------- --------
Net Asset Value, End of Period.......... $ 10.08 $ 10.08 $ 10.04 $ 10.69 $ 11.14 $ 10.61
----------- -------- -------- ----------- -------- --------
----------- -------- -------- ----------- -------- --------
Total Return............................ 5.46% 5.34% 0.81%# 7.58% 9.16% 13.09%#
Net Assets, End of Period (thousands)... $ 15,136 $ 7,789 $ 5,041 $ 7,073 $ 3,703 $ 3,393
Ratio of Expenses to Average Net
Assets................................ 0.43% 0.70% 0.63%* 0.65% 1.73% 1.31%*
Ratio of Net Investment Income to
Average Net Assets.................... 5.44% 4.93% 5.11%* 4.09% 3.43% 5.08%*
Portfolio Turnover Rate................. 72.92% 29.27% 0.00%* 58.35% 88.93% 60.09%*
</TABLE>
- --------------
(Restated to reflect a 900% stock dividend as of January 2, 1996.)
* Annualized
# Non-Annualized
See accompanying Notes to Financial Statements.
39
<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. The Fund offers twenty-eight portfolios, six of which (the
"VA Portfolios") are included in this report. Of the remaining twenty-two
portfolios, twenty-one are presented in a separate report and the remaining
portfolio has not yet commenced operations. The VA Portfolios are only available
through a select group of insurance products.
On December 20, 1995, the Board of Directors of DFA Investment Group Inc.
approved a 900% stock dividend under Maryland Corporate Law which is treated as
a 10 for 1 stock split for financial reporting purposes for VA Short-Term Fixed
Portfolio and VA Global Bond Portfolio. The record date of the stock dividend
was January 1, 1996, and the ex-date and payable dates were January 2, 1996.
This was a tax-free event to the shareholders of these portfolios. All share and
per share data as of and for the period ended November 30, 1995, have been
restated to reflect the stock dividend.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by VA Small Value Portfolio and VA
Large Value Portfolio (the "Domestic Equity Portfolios") which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such reported
sale, at the mean between the most recent bid and asked prices. Securities held
by VA International Value Portfolio and VA International Small Portfolio (the
"International Equity Portfolios") which are listed on a securities exchange are
valued at the last quoted sale price. Price information on listed securities is
taken from the exchange where the security is primarily traded.
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. Securities for
which quotations are not readily available are valued in good faith at fair
value using methods determined by the Board of Directors.
Securities held by VA Short-Term Fixed Portfolio and VA Global Bond
Portfolio are valued on the basis of prices provided by a pricing service when
such prices are believed to reflect the fair market value of such securities.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Directors.
2. FOREIGN CURRENCY: Securities, other assets and liabilities of the
International Equity Portfolios and VA Global Bond Portfolio whose values are
initially expressed in foreign currencies are translated to U.S. dollars at the
bid price of such currency against U.S. dollars last quoted by a major bank.
Dividend and interest income and certain expenses are translated to U.S. dollars
at the rate of exchange on their respective accrual dates. Receivables and
payables denominated in foreign currencies are marked to market daily based on
daily exchange rates and exchange gains or losses are realized upon ultimate
receipt or disbursement. VA Global Bond Portfolio also enters into forward
foreign currency contracts solely for the purpose of hedging against
fluctuations in currency exchange rates. These contracts are also marked to
market daily based on daily exchange rates.
The International Equity Portfolios do not generally isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, VA Global
Bond Portfolio does isolate the effect of fluctuations in foreign currency rates
when determining the gain or loss upon
40
<PAGE>
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 amount of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and VA Global Bond Portfolio and the U.S. dollar
equivalent amounts actually received or paid.
3. FEDERAL INCOME TAXES: It is the VA Portfolios' intention to continue to
qualify as a regulated investment company and distribute all of their taxable
income. Accordingly, no provision for Federal taxes is required in the financial
statements.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on the accrual basis. Discount and
premium on debt securities purchased are amortized over the lives of the
respective securities. Expenses directly attributable to a VA Portfolio are
directly charged. Common expenses are allocated using methods determined by the
Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or "the Advisor") provides investment
advisory services to the VA Portfolios. For the year ended November 30, 1997,
the VA Portfolios' advisory fees were computed daily and paid monthly to the
Advisor based on the following effective annual rates:
<TABLE>
<S> <C>
VA Small Value Portfolio.................................. .50 of 1%
VA Large Value Portfolio.................................. .25 of 1%
VA International Value Portfolio.......................... .40 of 1%
VA International Small Portfolio.......................... .50 of 1%
VA Short-Term Fixed Portfolio............................. .25 of 1%
VA Global Bond Portfolio.................................. .25 of 1%
</TABLE>
Certain officers of the VA Portfolios are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 1997, the VA Portfolios made the following
purchases and sales of investment securities (amounts in thousands):
<TABLE>
<CAPTION>
OTHER
U.S. GOVERNMENT INVESTMENT
SECURITIES SECURITIES
---------------------- ----------------------
PURCHASES SALES PURCHASES SALES
----------- --------- ----------- ---------
<S> <C> <C> <C> <C>
VA Small Value Portfolio..................................................... -- -- $ 7,527 $ 2,670
VA Large Value Portfolio..................................................... -- -- 10,644 3,899
VA International Value Portfolio............................................. -- -- 8,736 1,146
VA International Small Portfolio............................................. -- -- 6,618 681
VA Short-Term Fixed Portfolio................................................ $ 1,747 $ 2,037 7,649 4,564
VA Global Bond Portfolio..................................................... -- 184 6,497 2,919
</TABLE>
41
<PAGE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1997, gross unrealized appreciation and depreciation for
financial reporting and federal income tax purposes of investment securities and
foreign currencies was as follows (amounts in thousands):
<TABLE>
<CAPTION>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
----------------- ----------------- ---------
<S> <C> <C> <C>
VA Small Value Portfolio.................................................... $ 4,351 $ (906) $ 3,445
VA Large Value Portfolio.................................................... 4,563 (227) 4,336
VA International Value Portfolio............................................ 2,675 (3,048) (373)
VA International Small Portfolio............................................ 873 (3,257) (2,384)
VA Short-Term Fixed Portfolio............................................... 12 (3) 9
VA Global Bond Portfolio.................................................... 19 (320) (301)
</TABLE>
F. FINANCIAL INSTRUMENTS:
In accordance with the VA Portfolios' Investment Objectives and Policies,
the VA Portfolios may invest in certain financial instruments which have
off-balance sheet risk and concentrations of credit risk. These instruments and
their significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The VA Portfolios may purchase money market
instruments subject to the seller's agreement to repurchase them at an agreed
upon date and price. The seller will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
or 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: VA Global Bond Portfolio may enter into
forward foreign currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies. At November 30, 1997, VA
Global Bond Portfolio had entered into the following contracts and the related
net unrealized foreign exchange gain is reflected in the accompanying financial
statements:
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION CONTRACT VALUE AT NOVEMBER EXCHANGE
DATE CURRENCY SOLD AMOUNT 30, 1997 GAIN (LOSS)
- ---------- ---------------------------------------- ------------- ------------------- ------------
<C> <C> <S> <C> <C> <C>
12/08/97 183,372,322 Japanese Yen $ 1,506,138 $ 1,431,328 $ 74,810
12/17/97 722,094 Australian Dollars 501,928 493,928 8,000
12/22/97 9,008,624 French Francs 1,557,912 1,524,843 33,069
12/30/97 2,561,059 German Marks 1,468,076 1,451,519 16,557
12/31/97 1,944,640 Canadian Dollars 1,365,330 1,365,867 (537)
12/31/97 537,884 Netherlands Guilders 273,593 270,481 3,112
------------- ------------------- ------------
$ 6,672,977 $ 6,537,966 $ 135,011
------------- ------------------- ------------
------------- ------------------- ------------
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. VA Global Bond Portfolio will enter into forward contracts only for
hedging purposes.
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
42
<PAGE>
G. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. There were no borrowings under the line of credit
by the Portfolio during the year ended November 30, 1997.
H. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
AT NOVEMBER 30, 1997 NET ASSETS CONSIST OF:
(AMOUNTS IN THOUSANDS)
---------------------------------------------------
VA SMALL VA LARGE VA INTERNATIONAL
VALUE VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- --------------- ----------------
<S> <C> <C> <C>
Paid-In Capital.......................................................... $ 12,759 $ 18,486 $ 17,494
Undistributed Net Investment Income...................................... 51 99 267
Undistributed Net Realized Gain.......................................... 1,173 1,625 236
Accumulated Net Realized Foreign Exchange Loss........................... -- (1) (15)
Unrealized Appreciation (Depreciation) of Investment Securities and
Foreign Currency....................................................... 3,445 4,336 (373)
Unrealized Net Foreign Exchange Gain..................................... -- -- 1
-------- --------------- --------
$ 17,428 $ 24,545 $ 17,610
-------- --------------- --------
-------- --------------- --------
<CAPTION>
VA INTERNATIONAL VA SHORT-TERM VA GLOBAL
SMALL FIXED BOND
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- --------------- ----------------
<S> <C> <C> <C>
Paid-In Capital.......................................................... $ 12,046 $ 15,056 $ 6,754
Undistributed Net Investment Income...................................... 109 59 48
Undistributed Net Realized Gain.......................................... 112 12 25
Undistributed Net Realized Foreign Exchange Gain (Loss).................. (1) -- 409
Unrealized Appreciation (Depreciation) of Investment Securities and
Foreign Currency....................................................... (2,384) 9 (301)
Unrealized Net Foreign Exchange Gain..................................... 2 -- 138
-------- --------------- --------
$ 9,884 $ 15,136 $ 7,073
-------- --------------- --------
-------- --------------- --------
</TABLE>
I. SECURITIES LENDING:
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities, and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the VA Portfolios or, at the option
of the lending agent, replace the loaned securities. The market value of
securities on loan to brokers and the related collateral cash received at
November 30, 1997, is as follows:
<TABLE>
<CAPTION>
VALUE OF SECURITIES VALUE OF COLLATERAL
ON LOAN AND INDEMNIFICATION
------------------- --------------------
<S> <C> <C>
VA International Value Portfolio................................................... $ 3,477,130 $ 3,673,776
VA International Small Portfolio................................................... 529,193 598,548
</TABLE>
43
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DFA INVESTMENT DIMENSIONS GROUP INC.:
We have audited the accompanying statements of net assets of The DFA Investment
Dimensions Group Inc. (comprising, respectively, VA Small Value, VA Large Value,
VA International Value, VA International Small, and VA Short-Term Fixed
Portfolios) and the statement of assets and liabilities, including the schedule
of investments, of The DFA Investment Dimensions Group Inc., VA Global Bond
Portfolio as of November 30, 1997, and the related statements of operations for
the year then ended, and the statements of changes in net assets for each of the
two years in the period then ended and financial highlights for each of the
periods presented. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of investments owned as of
November 30, 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 then ended and the changes in their net assets for each of the two years 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
44
