<PAGE>
- --------------------------------------------------------------------------------
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, 1998
- --------------------------------------------------------------------------------
<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......................................................................................... 3-14
VA Large Value Portfolio......................................................................................... 15-16
Schedules of Investments
VA International Value Portfolio................................................................................. 17-21
VA International Small Portfolio................................................................................. 22-30
Statements of Net Assets
VA Short-Term Fixed Portfolio.................................................................................... 31
VA Global Bond Portfolio......................................................................................... 32-33
Statements of Assets and Liabilities
VA International Value Portfolio................................................................................. 34
VA International Small Portfolio................................................................................. 34
Statements of Operations............................................................................................. 35-36
Statements of Changes in Net Assets.................................................................................. 37-39
Financial Highlights................................................................................................. 40-42
Notes to Financial Statements........................................................................................ 43-46
Report of Independent Accountants.................................................................................... 47
</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
- ------------------------------------------------------------
VA Small Value Portfolio vs.
Russell 2000 Value Index
October 1995-November 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VA Small Value Russell 2000 Value
date Portfolio Index Fama-French Small Cap Value Index
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Oct-95 $9,490 $9,601 $9,554
Nov-95 $9,696 $9,982 $9,822
Dec-95 $9,853 $10,292 $9,977
Jan-96 $9,773 $10,360 $10,117
Feb-96 $9,994 $10,522 $10,275
Mar-96 $10,335 $10,743 $10,621
Apr-96 $10,826 $11,036 $10,988
May-96 $11,306 $11,316 $11,420
Jun-96 $11,046 $11,182 $11,238
Jul-96 $10,355 $10,587 $10,639
Aug-96 $10,766 $11,047 $11,080
Sep-96 $11,096 $11,348 $11,362
Oct-96 $11,196 $11,480 $11,329
Nov-96 $11,777 $12,098 $11,848
Dec-96 $12,026 $12,491 $12,016
Jan-97 $12,289 $12,683 $12,442
Feb-97 $12,310 $12,804 $12,504
Mar-97 $11,985 $12,460 $12,175
Apr-97 $11,965 $12,644 $12,089
May-97 $13,152 $13,650 $13,236
Jun-97 $13,953 $14,341 $13,935
Jul-97 $14,775 $14,943 $14,662
Aug-97 $15,261 $15,181 $15,207
Sep-97 $16,498 $16,190 $16,313
Oct-97 $15,870 $15,750 $15,980
Nov-97 $15,667 $15,923 $15,881
Dec-97 $15,688 $16,463 $16,200
Jan-98 $15,568 $16,165 $16,124
Feb-98 $16,749 $17,143 $17,171
Mar-98 $17,372 $17,839 $17,880
Apr-98 $17,767 $17,926 $18,189
May-98 $17,045 $17,292 $17,474
Jun-98 $16,674 $17,193 $17,015
Jul-98 $15,415 $15,847 $15,752
Aug-98 $12,646 $13,365 $12,988
Sep-98 $13,051 $14,120 $13,309
Oct-98 $13,576 $14,540 $14,046
Nov-98 $14,341 $14,934 $14,633
</TABLE>
<TABLE>
<CAPTION>
Annualized One From
Total Return (%) Year October 1995
- ------------------------------------------
<S> <C> <C>
-8.46 12.06
</TABLE>
- - 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 average weighted market capitalizations of approximately $400
million and book-to-market ratios in the upper 30% of publicly traded U.S.
companies.
- - The portfolio's returns in fiscal 1998 reflected the performance of small U.S.
companies with high book-to-market ratios.
- - The Russell 2000 Value Index is a more widely recognized and more broadly
based securities index than the Fama-French Small Cap Value Index, and is
replacing the latter for comparison purposes.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VA Large Value Portfolio vs.
Russell 1000 Value Index
February 1995-November 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VA Large Value Russell 1000 Value
date Portfolio Index Fama-French Large Cap Value Index
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Feb-95 $10,313 $10,395 $10,653
Mar-95 $10,667 $10,623 $10,818
Apr-95 $10,990 $10,958 $11,197
May-95 $11,243 $11,420 $11,727
Jun-95 $11,314 $11,575 $12,029
Jul-95 $11,870 $11,978 $12,586
Aug-95 $11,799 $12,147 $12,878
Sep-95 $12,022 $12,586 $13,264
Oct-95 $11,607 $12,462 $12,708
Nov-95 $12,175 $13,094 $13,368
Dec-95 $12,266 $13,422 $13,516
Jan-96 $12,568 $13,841 $13,846
Feb-96 $12,687 $13,946 $14,050
Mar-96 $13,154 $14,183 $14,464
Apr-96 $13,349 $14,237 $14,775
May-96 $13,586 $14,415 $15,004
Jun-96 $13,191 $14,427 $14,622
Jul-96 $12,626 $13,881 $13,863
Aug-96 $13,092 $14,278 $14,371
Sep-96 $13,322 $14,847 $14,731
Oct-96 $13,746 $15,421 $15,137
Nov-96 $14,662 $16,539 $16,242
Dec-96 $14,531 $16,328 $16,159
Jan-97 $15,030 $17,119 $16,698
Feb-97 $15,359 $17,371 $17,090
Mar-97 $14,659 $16,746 $16,300
Apr-97 $15,113 $17,449 $16,892
May-97 $16,272 $18,424 $18,213
Jun-97 $16,715 $19,215 $18,798
Jul-97 $18,405 $20,660 $20,570
Aug-97 $18,085 $19,924 $20,295
Sep-97 $19,025 $21,128 $21,356
Oct-97 $18,154 $20,538 $20,715
Nov-97 $18,430 $21,446 $21,246
Dec-97 $18,776 $22,072 $21,717
Jan-98 $18,874 $21,761 $21,900
Feb-98 $20,436 $23,226 $23,737
Mar-98 $21,550 $24,647 $25,157
Apr-98 $21,673 $24,812 $25,484
May-98 $21,500 $24,445 $25,547
Jun-98 $21,433 $24,758 $25,563
Jul-98 $20,666 $24,322 $24,681
Aug-98 $17,208 $20,703 $20,604
Sep-98 $18,038 $21,891 $21,865
Oct-98 $19,493 $23,588 $23,830
Nov-98 $20,538 $24,687 $25,034
</TABLE>
<TABLE>
<CAPTION>
Annualized One From
Total Return (%) Year February 1995
- -------------------------------------------
<S> <C> <C>
11.44 20.65
</TABLE>
- - 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 average weighted market capitalizations of approximately $17.9
billion and book-to-market ratios in the upper 30% of publicly traded
companies.
- - The portfolio's returns in fiscal 1998 reflected the performance of large U.S.
companies with high book-to-market ratios.
- - The Russell 1000 Value Index is a more widely recognized and more broadly
based securities index than the Fama-French Large Cap Value Index, and is
replacing the latter for comparison purposes.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VA International Value Portfolio vs.
EAFE Index (net dividends)
October 1995-November 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VA International Value EAFE Index (net EAFE Index (gross
date Portfolio dividends) dividends)
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Oct-95 $9,800 $9,731 $9,730
Nov-95 $10,030 $10,002 $10,002
Dec-95 $10,555 $10,405 $10,413
Jan-96 $10,615 $10,447 $10,454
Feb-96 $10,625 $10,483 $10,496
Mar-96 $10,825 $10,706 $10,716
Apr-96 $11,247 $11,018 $11,027
May-96 $11,187 $10,815 $10,829
Jun-96 $11,197 $10,875 $10,894
Jul-96 $10,857 $10,558 $10,578
Aug-96 $10,916 $10,581 $10,599
Sep-96 $11,096 $10,863 $10,885
Oct-96 $10,927 $10,752 $10,776
Nov-96 $11,427 $11,180 $11,207
Dec-96 $11,306 $11,035 $11,062
Jan-97 $10,859 $10,649 $10,674
Feb-97 $10,981 $10,824 $10,856
Mar-97 $11,041 $10,863 $10,899
Apr-97 $10,940 $10,920 $10,965
May-97 $11,782 $11,631 $11,677
Jun-97 $12,350 $12,272 $12,320
Jul-97 $12,492 $12,471 $12,517
Aug-97 $11,680 $11,539 $11,591
Sep-97 $12,178 $12,186 $12,240
Oct-97 $11,508 $11,250 $11,297
Nov-97 $11,031 $11,135 $11,184
Dec-97 $11,054 $11,232 $11,285
Jan-98 $11,670 $11,745 $11,804
Feb-98 $12,423 $12,499 $12,559
Mar-98 $12,935 $12,884 $12,949
Apr-98 $12,966 $12,986 $13,052
May-98 $13,007 $12,922 $12,987
Jun-98 $12,871 $13,021 $13,091
Jul-98 $12,850 $13,152 $13,222
Aug-98 $11,124 $11,523 $11,582
Sep-98 $10,528 $11,170 $11,235
Oct-98 $11,647 $12,334 $12,415
Nov-98 $12,181 $12,965 $13,048
</TABLE>
<TABLE>
<CAPTION>
Annualized One From
Total Return (%) Year October 1995
- ------------------------------------------
<S> <C> <C>
10.42 6.43
</TABLE>
- - The portfolio 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 1998 reflected the performance of its
strategy.
- - The EAFE Index (net dividends) is a more appropriate measure of the dividend
that foreign investors can attain due to foreign withholding taxes than the
EAFE Index (gross dividends), and is replacing the latter for comparison
purposes.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
1
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- ------------------------------------------------------------
VA International Small Company Portfolio vs.
Salomon Extended Market Index
October 1995-November 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VA International Small Company EAFE Index (gross
date Portfolio Salomon Extended Market Index dividends)
<S> <C> <C> <C>
$9,930 $10,000 $10,000
Oct-95 $9,573 $9,712 $9,730
Nov-95 $9,642 $9,815 $10,002
Dec-95 $10,040 $10,191 $10,413
Jan-96 $10,358 $10,372 $10,454
Feb-96 $10,487 $10,534 $10,496
Mar-96 $10,765 $10,776 $10,716
Apr-96 $11,520 $11,343 $11,027
May-96 $11,351 $11,251 $10,829
Jun-96 $11,152 $11,252 $10,894
Jul-96 $10,567 $10,827 $10,578
Aug-96 $10,567 $10,936 $10,599
Sep-96 $10,567 $10,998 $10,885
Oct-96 $10,388 $10,955 $10,776
Nov-96 $10,408 $11,134 $11,207
Dec-96 $10,066 $10,930 $11,062
Jan-97 $9,882 $10,693 $10,674
Feb-97 $9,995 $10,873 $10,856
Mar-97 $9,770 $10,729 $10,899
Apr-97 $9,494 $10,568 $10,965
May-97 $10,128 $11,245 $11,677
Jun-97 $10,302 $11,499 $12,320
Jul-97 $9,872 $11,325 $12,517
Aug-97 $9,402 $10,842 $11,591
Sep-97 $9,228 $11,035 $12,240
Oct-97 $8,809 $10,599 $11,297
Nov-97 $8,165 $10,125 $11,184
Dec-97 $7,728 $9,901 $11,285
Jan-98 $8,220 $10,314 $11,804
Feb-98 $9,079 $11,084 $12,559
Mar-98 $9,194 $11,605 $12,949
Apr-98 $9,058 $11,693 $13,052
May-98 $9,027 $11,910 $12,987
Jun-98 $8,733 $11,563 $13,091
Jul-98 $8,545 $11,483 $13,222
Aug-98 $7,550 $10,075 $11,582
Sep-98 $7,277 $9,813 $11,235
Oct-98 $7,780 $10,506 $12,415
Nov-98 $8,147 $10,842 $13,048
</TABLE>
<TABLE>
<CAPTION>
Annualized
Total Return One From
(%) Year October 1995
- ----------------------------------------
<S> <C> <C>
-0.93 -6.27
</TABLE>
- - 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 1998 reflected the performance of its
strategy.
- - The Salomon Extended Market Index is a more widely recognized and more broadly
based securities index than the EAFE Index (gross dividends), and is replacing
the latter for comparison purposes.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VA Short-Term Fixed Portfolio vs.
Three-Month U.S. Treasury Bill Index
October 1995-November 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VA Short-Term Fixed Three-Month U.S. Treasury Bill
date Portfolio Index One-Month CD's
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Oct-95 $10,039 $10,047 $10,046
Nov-95 $10,081 $10,092 $10,089
Dec-95 $10,128 $10,148 $10,131
Jan-96 $10,173 $10,194 $10,177
Feb-96 $10,214 $10,235 $10,217
Mar-96 $10,241 $10,273 $10,256
Apr-96 $10,269 $10,317 $10,298
May-96 $10,285 $10,363 $10,338
Jun-96 $10,342 $10,405 $10,375
Jul-96 $10,384 $10,452 $10,421
Aug-96 $10,426 $10,499 $10,462
Sep-96 $10,492 $10,548 $10,504
Oct-96 $10,566 $10,594 $10,547
Nov-96 $10,620 $10,639 $10,587
Dec-96 $10,654 $10,686 $10,632
Jan-97 $10,697 $10,735 $10,677
Feb-97 $10,739 $10,777 $10,717
Mar-97 $10,750 $10,822 $10,763
Apr-97 $10,819 $10,874 $10,811
May-97 $10,877 $10,930 $10,858
Jun-97 $10,936 $10,970 $10,907
Jul-97 $11,018 $11,020 $10,956
Aug-97 $11,045 $11,067 $11,002
Sep-97 $11,116 $11,118 $11,053
Oct-97 $11,173 $11,166 $11,102
Nov-97 $11,201 $11,209 $11,148
Dec-97 $11,261 $11,257 $11,201
Jan-98 $11,318 $11,310 $11,251
Feb-98 $11,368 $11,351 $11,296
Mar-98 $11,419 $11,404 $11,348
Apr-98 $11,470 $11,456 $11,398
May-98 $11,521 $11,504 $11,446
Jun-98 $11,571 $11,552 $11,498
Jul-98 $11,622 $11,603 $11,550
Aug-98 $11,671 $11,656 $11,602
Sep-98 $11,726 $11,716 $11,652
Oct-98 $11,775 $11,761 $11,701
Nov-98 $11,825 $11,800 $11,749
</TABLE>
<TABLE>
<CAPTION>
Annualized
Total Return One From
(%) Year October 1995
- ----------------------------------------
<S> <C> <C>
5.57 5.44
</TABLE>
- - 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 1998 reflected the performance of its
strategy.
- - The Three-Month U.S. Treasury Bill Index is a more widely recognized index
than One-Month CD's, and is replacing the latter for comparison purposes.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VA Global Bond Portfolio vs.
Lehman Intermediate Government/Corporate Index
February 1995-November 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VA Global Bond Lehman Intermediate Government/Corporate
date Portfolio Index Salomon World Government Bond Index
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Feb-95 $10,155 $10,207 $10,156
Mar-95 $10,339 $10,265 $10,322
Apr-95 $10,484 $10,392 $10,475
May-95 $10,712 $10,706 $10,841
Jun-95 $10,719 $10,778 $10,857
Jul-95 $10,816 $10,779 $10,931
Aug-95 $10,853 $10,877 $11,023
Sep-95 $10,992 $10,956 $11,175
Oct-95 $11,080 $11,077 $11,311
Nov-95 $11,268 $11,222 $11,526
Dec-95 $11,314 $11,340 $11,645
Jan-96 $11,405 $11,438 $11,756
Feb-96 $11,243 $11,304 $11,589
Mar-96 $11,297 $11,246 $11,628
Apr-96 $11,351 $11,207 $11,673
May-96 $11,416 $11,198 $11,732
Jun-96 $11,453 $11,317 $11,844
Jul-96 $11,540 $11,350 $11,906
Aug-96 $11,716 $11,360 $12,010
Sep-96 $11,935 $11,517 $12,238
Oct-96 $12,145 $11,721 $12,463
Nov-96 $12,299 $11,876 $12,687
Dec-96 $12,329 $11,800 $12,658
Jan-97 $12,425 $11,846 $12,768
Feb-97 $12,533 $11,869 $12,824
Mar-97 $12,458 $11,787 $12,750
Apr-97 $12,555 $11,926 $12,890
May-97 $12,640 $12,025 $12,969
Jun-97 $12,825 $12,134 $13,162
Jul-97 $12,960 $12,380 $13,423
Aug-97 $12,984 $12,319 $13,393
Sep-97 $13,106 $12,461 $13,610
Oct-97 $13,156 $12,600 $13,753
Nov-97 $13,230 $12,628 $13,840
Dec-97 $13,288 $12,729 $14,000
Jan-98 $13,423 $12,895 $14,188
Feb-98 $13,519 $12,885 $14,254
Mar-98 $13,594 $12,926 $14,354
Apr-98 $13,649 $12,991 $14,426
May-98 $13,758 $13,086 $14,608
Jun-98 $13,817 $13,169 $14,703
Jul-98 $13,900 $13,215 $14,798
Aug-98 $14,024 $13,423 $15,121
Sep-98 $14,206 $13,760 $15,494
Oct-98 $14,276 $13,746 $15,473
Nov-98 $14,346 $13,745 $15,575
</TABLE>
<TABLE>
<CAPTION>
Annualized
Total Return One From
(%) Year February 1995
- -----------------------------------------
<S> <C> <C>
8.44 9.87
</TABLE>
- - 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, the Netherlands, Sweden and Denmark. 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 1998 reflected the performance of its
strategy.
- - The Lehman Intermediate Government/Corporate Index is more reflective of the
strategy's objectives than the Salomon World Government Bond Index, and is
replacing the latter for comparison purposes.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
2
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP, INC.
VA SMALL VALUE PORTFOLIO
STATEMENT OF NET ASSETS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (97.8%)
*3-D Systems Corp..................................... 1,000 $ 7,062
*3D0 Co............................................... 700 1,991
*ABC Rail Products Corp............................... 400 5,025
*ABT Building Products Corp........................... 400 4,150
*ACT Networks, Inc.................................... 1,000 10,094
*ACX Technologies, Inc................................ 2,800 35,700
*ADE Corp............................................. 1,000 12,937
*AEP Industries, Inc.................................. 1,100 23,409
*ARV Assisted Living, Inc............................. 600 3,600
Aames Financial Corp.................................. 2,800 5,250
*Aasche Transportation Services, Inc.................. 500 2,516
*Abraxas Petroleum Corp............................... 1,000 5,187
*Accell International Corp............................ 400 1,250
*Acceptance Insurance Companies, Inc.................. 1,300 25,594
*Acclaim Entertainment, Inc........................... 2,500 23,906
Aceto Corp............................................ 660 8,456
*Acme Metals, Inc..................................... 1,000 525
*Active Voice Corp.................................... 200 1,412
*Adept Technology, Inc................................ 500 3,687
*Adflex Solutions, Inc................................ 700 4,769
*Advanced Health Corp................................. 1,000 1,594
Advanced Marketing Services, Inc...................... 500 8,797
*Advanced Neuromodulation Systems, Inc................ 200 1,181
Advanta Corp. Class A................................. 1,000 10,406
*Advanta Corp. Class B Non-Voting..................... 2,000 15,594
Advest Group, Inc..................................... 700 16,319
*Aerovox, Inc......................................... 400 1,037
*Agco Corp............................................ 3,000 24,562
*Air Methods Corp..................................... 300 872
Albank Financial Corp................................. 1,200 81,150
*Aldila, Inc.......................................... 1,300 4,225
Alfa Corp............................................. 2,100 45,806
Alico, Inc............................................ 200 3,456
*All American Semiconductor, Inc...................... 1,300 1,361
Alliance Bancorp...................................... 1,359 26,543
*Alliance Semiconductor Corp.......................... 3,500 13,727
*Allied Healthcare Products, Inc...................... 1,700 4,569
*Allied Holdings, Inc................................. 100 1,525
*Allied Research Corp................................. 300 2,250
*Allin Communications Corp............................ 500 2,000
*Allou Health & Beauty Care, Inc. Class A............. 500 5,344
*Allstars Systems, Inc................................ 100 206
*Alpha Beta Technology, Inc........................... 1,100 1,220
*Alpha Technologies Group, Inc........................ 500 891
Alpharma, Inc. Class A................................ 1,200 43,200
*Altron, Inc.......................................... 300 6,712
Amcast Industrial Corp................................ 700 12,294
*American Banknote Corp............................... 1,600 3,100
American Business Products, Inc....................... 600 13,350
*American Ecology Corp................................ 700 962
*American Freightways Corp............................ 2,900 25,919
American Heritage Life Investment Corp................ 2,400 58,950
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*American Homepatient, Inc............................ 1,000 $ 2,156
American Medical Security Group, Inc.................. 1,800 25,762
*American Mobile Satellite Corp....................... 1,700 7,703
*American Oncology Resources, Inc..................... 3,700 41,278
*American Pacific Corp................................ 700 4,856
*American Physicians Services Group, Inc.............. 500 2,375
*American Residential Services, Inc................... 500 1,750
*American Software, Inc. Class A...................... 300 806
*Amerihost Properties, Inc............................ 400 1,625
*Amerin Corp.......................................... 2,600 63,862
*Ameripath, Inc....................................... 700 3,172
*Ameristar Casinos, Inc............................... 1,700 5,047
Ameron, Inc........................................... 300 11,025
Amerus Life Holdings, Inc. Class A.................... 464 10,237
*Ames Department Stores, Inc.......................... 1,100 26,194
Ampco-Pittsburgh Corp................................. 400 4,825
*Amrep Corp........................................... 600 4,425
*Amresco, Inc......................................... 4,200 30,778
*Amtran, Inc.......................................... 800 17,450
*Anadigics, Inc....................................... 1,400 17,544
Analogic Corp......................................... 100 3,562
Andover Bancorp, Inc. DE.............................. 600 19,237
Angelica Corp......................................... 800 14,550
*Ann Taylor Stores Corp............................... 2,000 65,875
*Applied Extrusion Technologies, Inc.................. 2,000 15,750
Applied Industrial Technologies, Inc.................. 1,000 14,000
*Applied Magnetics Corp............................... 1,700 12,644
*Applied Signal Technologies, Inc..................... 800 9,700
*Applix, Inc.......................................... 1,000 4,219
*Apria Healthcare Group, Inc.......................... 500 3,500
*Arcadia Financial, Ltd............................... 2,900 10,331
Arch Coal, Inc........................................ 1,200 23,025
*Arch Communications Group, Inc....................... 3,300 3,919
Arctic Cat, Inc....................................... 1,800 18,787
Argonaut Group, Inc................................... 2,600 64,512
*Argosy Gaming Corp................................... 1,800 4,387
*Arkansas Best Corp................................... 2,700 15,947
Arnold Industries, Inc................................ 2,000 28,625
*Arqule, Inc.......................................... 500 3,016
*Artisoft, Inc........................................ 1,700 5,153
*Asante Technologies, Inc............................. 400 887
*Ascent Entertainment Group, Inc...................... 3,579 29,303
*Ashworth, Inc........................................ 1,500 8,625
*Astec Industries, Inc................................ 900 46,462
*Asyst Technologies, Inc.............................. 600 12,206
*Atchison Casting Corp................................ 200 1,875
*Atlantic Gulf Communities Corp....................... 1,500 1,500
*Atlantis Plastics, Inc............................... 200 1,600
Atrion Corp........................................... 200 1,712
*Au Bon Pain, Inc. Class A............................ 600 3,731
*Audiovox Corp. Class A............................... 1,300 8,369
*Auspex Systems, Inc.................................. 2,500 9,375
*Autoimmune, Inc...................................... 1,100 2,131
*Avalon Holding Corp. Class A......................... 262 2,047
*Avatar Holdings, Inc................................. 1,000 16,125
</TABLE>
3
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VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Avatex Corp.......................................... 1,400 $ 1,050
*Aviall, Inc.......................................... 800 9,700
*Avid Technology, Inc................................. 1,900 45,303
*Avigen, Inc.......................................... 500 1,703
*Avondale Industries, Inc............................. 500 13,750
*Avteam, Inc. Class A................................. 500 2,750
*Aydin Corp........................................... 400 3,875
*Aztar Corp........................................... 3,400 17,212
Aztec Manufacturing Co................................ 500 4,969
*BEI Electronics, Inc................................. 1,600 2,800
BEI Technologies, Inc................................. 1,600 19,600
*BFX Hospitality Group, Inc........................... 300 487
*BI, Inc.............................................. 1,000 7,375
BMC Industries, Inc................................... 1,600 9,900
*BRC Holdings, Inc.................................... 1,000 19,000
BSB Bancorp, Inc...................................... 900 25,987
*BTG, Inc............................................. 300 1,987
*BTU International, Inc............................... 1,700 6,003
Badger Meter, Inc..................................... 200 7,250
Bairnco Corp.......................................... 900 6,412
Baker (J.), Inc....................................... 2,200 10,794
*Baker (Michael) Corp................................. 700 6,475
Baldwin Piano & Organ Co.............................. 300 3,000
*Baldwin Technology, Inc. Class A..................... 1,400 8,050
*Bancinsurance Corp................................... 500 2,719
*BancTec, Inc......................................... 100 1,319
Bandag, Inc........................................... 200 7,075
*Bank Plus Corp....................................... 2,100 8,794
*Bank United Financial Corp. Class A.................. 2,200 18,837
BankAtlantic Bancorp, Inc. Class A.................... 562 3,793
BankAtlantic Bancorp, Inc. Class B.................... 1,000 7,937
*Banner Aerospace, Inc................................ 2,300 20,412
*Banyan System, Inc................................... 1,600 12,500
*Basin Exploration, Inc............................... 900 10,406
Bassett Furniture Industries, Inc..................... 2,200 55,550
Battle Mountain Gold Co............................... 9,100 42,656
Bay View Capital Corp................................. 1,200 25,125
*Baycorp Holdings, Ltd................................ 200 950
*Bayou Steel Corp. Class A............................ 900 4,162
*Beazer Homes USA, Inc................................ 700 16,712
*Bel Fuse, Inc. Class A............................... 200 5,587
*Bel Fuse, Inc. Class B............................... 200 4,737
*Belco Oil & Gas Corp................................. 2,000 11,250
*Bell Industries, Inc................................. 860 8,976
*Bell Microproducts, Inc.............................. 1,500 13,828
*Bellwether Exploration Co............................ 1,500 8,344
*Ben & Jerry's Homemade, Inc. Class A................. 1,500 29,953
*Benton Oil & Gas Co.................................. 2,100 7,875
*Berlitz International, Inc........................... 900 26,662
*Big 4 Ranch, Inc..................................... 300 0
Bindley Western Industries, Inc....................... 800 30,900
Binks Sames Corp...................................... 300 4,500
*Bio Vascular, Inc.................................... 500 2,094
*Bio-Rad Laboratories, Inc. Class A................... 400 8,500
*Biosource International, Inc......................... 1,000 3,016
Birmingham Steel Corp................................. 2,500 12,187
Blair Corp............................................ 500 8,812
Blimpie International................................. 1,000 2,187
*Bluegreen Corp....................................... 1,500 10,312
Bob Evans Farms, Inc.................................. 2,700 65,559
*Boca Research, Inc................................... 1,000 2,125
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Bombay Co., Inc...................................... 3,000 $ 14,812
*Bon-Ton Stores, Inc.................................. 900 6,975
*Books-a-Million, Inc................................. 1,400 41,212
*Boston Communications Group, Inc..................... 600 6,019
Bowne & Co., Inc...................................... 3,600 60,300
*Boyd Gaming Corp..................................... 4,500 16,312
*Brazos Sportswear, Inc............................... 50 31
*Broadway & Seymour, Inc.............................. 1,000 2,937
*Brooks Automation, Inc............................... 1,000 15,812
*Brookstone, Inc...................................... 1,500 22,594
*Brothers Gourmet Coffees, Inc........................ 800 32
*Brown & Sharpe Manufacturing Co. Class A............. 1,200 7,950
*Brown (Tom), Inc..................................... 3,200 32,200
Brown Group, Inc...................................... 5,600 100,450
*Brunswick Technologies, Inc.......................... 300 1,575
Brush Wellman, Inc.................................... 900 14,512
*Budget Group, Inc.................................... 1,500 18,750
*Buffets, Inc......................................... 4,000 46,750
*Builders Transport, Inc.............................. 400 2
*Building Materials Holding Corp...................... 1,500 18,609
*Bull Run Corp. GA.................................... 2,200 7,356
*Burlington Industries, Inc........................... 1,900 19,831
*Business Resource Group.............................. 500 1,437
Butler Manufacturing Co............................... 1,000 23,250
*CATS Software, Inc................................... 1,000 4,344
*C.P. Clare Corp...................................... 1,000 7,250
*CNA Surety Corp...................................... 1,300 19,094
*CNS Income........................................... 2,300 10,925
*CPAC, Inc............................................ 1,000 9,437
CPB, Inc.............................................. 1,400 24,237
CPI Corp.............................................. 1,000 21,375
*CSP, Inc............................................. 242 1,906
*CTB International Corp............................... 500 4,250
CTS Corp.............................................. 1,200 42,300
Cadmus Communications Corp............................ 300 4,912
*Caere Corp........................................... 1,500 20,109
*Calcomp Technology, Inc.............................. 1,500 2,203
Calgon Carbon Corp.................................... 2,800 20,300
*California Amplifier, Inc............................ 1,000 2,781
*California Micro Devices Corp........................ 1,000 2,687
*California Microwave, Inc............................ 1,000 12,250
*Callon Petroleum Co.................................. 500 6,406
Cal-Maine Foods, Inc.................................. 500 2,484
Calmat Co............................................. 2,300 70,725
*Cameron Ashley Building Products, Inc................ 200 2,550
*Canandaigua Wine Co., Inc. Class A................... 1,800 89,212
*Cannondale Corp...................................... 1,000 9,969
*Capital Pacific Holdings, Inc........................ 1,000 2,937
Capital Re Corp....................................... 600 11,850
Capitol Transamerica Corp............................. 700 12,337
*Cardiovascular Dynamics, Inc......................... 1,000 4,125
*Caribiner International, Inc......................... 500 4,656
*Carmike Cinemas, Inc. Class A........................ 1,000 20,000
Carolina First Corp................................... 159 3,950
Carter-Wallace, Inc................................... 2,900 51,475
Cascade Corp.......................................... 1,000 14,000
Cash America International, Inc....................... 2,400 40,500
*Casino Data Systems.................................. 1,500 2,953
*Castle & Cooke, Inc.................................. 1,400 21,875
*Catalina Lighting, Inc............................... 600 1,312
</TABLE>
4
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VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Catherines Stores Corp............................... 1,500 $ 15,656
Cato Corp. Class A.................................... 2,000 27,062
Cavalier Homes, Inc................................... 1,000 10,812
*Celadon Group, Inc................................... 1,000 13,156
*Celebrity, Inc....................................... 500 375
*Cell Genesys, Inc.................................... 500 2,422
*Cell Pathways, Inc................................... 581 6,918
Cenit Bancorp, Inc.................................... 300 5,644
*Centennial Cellular Corp. Class A.................... 1,600 64,150
*Centigram Communications Corp........................ 700 5,206
*Central Garden & Pet Co.............................. 3,100 49,891
*Central Sprinkler Corp............................... 200 1,800
Centris Group, Inc.................................... 600 6,150
Century Aluminum Co................................... 100 852
*Ceradyne, Inc........................................ 1,200 4,875
*Cerion Technologies, Inc............................. 700 208
*Charming Shoppes, Inc................................ 12,300 51,506
*Chart House Enterprises, Inc......................... 700 3,500
Chartwell Re Corp..................................... 1,000 27,625
*Chase Industries, Inc................................ 1,000 11,687
*Checkpoint System, Inc............................... 2,000 26,875
Chemed Corp........................................... 1,000 33,875
*Cherry Corp. Class A................................. 600 8,812
*Cherry Corp. Class B................................. 400 5,975
Chesapeake Energy Corp................................ 7,180 9,872
Chic by His, Inc...................................... 1,000 4,562
*Children's Comprehensive Services, Inc............... 500 6,234
Chiquita Brands International, Inc.................... 66 742
*Chock Full O' Nuts Corp.............................. 1,000 6,625
*Chrysalis International Corp......................... 400 156
*Cidco, Inc........................................... 1,000 2,859
*Ciprico, Inc......................................... 1,000 7,406
*Circuit City Stores, Inc. - Carmax Group............. 100 537
*Circuit Systems, Inc................................. 1,300 4,814
*Cirrus Logic, Inc.................................... 4,400 54,312
*Citadel Holding Corp................................. 300 1,106
*Citation Corp........................................ 2,000 28,000
*Citizens, Inc. Class A............................... 1,300 7,556
*Civic Bancorp........................................ 420 6,037
*Clean Harbors, Inc................................... 800 1,375
Cleveland Cliffs, Inc................................. 1,100 41,869
*Clintrials Research, Inc............................. 2,800 9,712
*Coast Distribution System............................ 300 600
*Coastcast Corp....................................... 1,000 7,875
*Cobra Electronic Corp................................ 1,000 4,375
*Coeur d'Alene Mines Corp. ID......................... 2,000 10,125
*Coherent, Inc........................................ 2,200 27,637
*Cohesion Technologies, Inc........................... 1,100 4,331
*Coho Energy, Inc..................................... 1,400 6,169
*Cohr, Inc............................................ 400 1,187
*Collaborative Clinical Research, Inc................. 200 594
Collagen Corp......................................... 1,100 10,587
*Comdial Corp......................................... 600 5,419
*Command Systems, Inc................................. 200 528
Commercial Intertech Corp............................. 800 12,650
Commercial Metals Co.................................. 1,300 32,906
Commonwealth Bancorp, Inc............................. 1,500 23,109
Commonwealth Industries, Inc.......................... 2,100 20,081
*Compdent Corp........................................ 200 2,081
*Complete Management, Inc............................. 700 262
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Compucom Systems, Inc................................ 600 $ 2,287
*Computer Motion, Inc................................. 200 1,856
*Computer Network Technology Corp..................... 2,100 14,766
*Computer Outsourcing Services, Inc................... 500 4,937
*Comshare, Inc........................................ 1,000 4,312
*Concord Camera Corp.................................. 1,000 5,469
*Concord Fabrics, Inc. Class A........................ 200 1,250
*Cone Mills Corp. NC.................................. 2,000 9,125
*Conmed Corp.......................................... 1,200 32,700
*Consolidated Freightways Corp........................ 2,500 31,406
*Consumer Portfolio Services, Inc..................... 1,000 4,312
*ContiFinancial Corp.................................. 1,000 5,562
Cooker Restaurant Corp................................ 500 2,875
*Copart, Inc.......................................... 900 21,262
*Copley Pharmaceutical, Inc........................... 1,500 12,094
*Coram Healthcare Corp................................ 2,100 3,937
*Corporate Express, Inc............................... 11,000 63,937
*Corrpro Companies, Inc............................... 375 4,547
*Craig Corp........................................... 300 2,606
*Creative Computers, Inc.............................. 1,000 37,781
*Credit Acceptance Corp............................... 3,500 23,734
*Criticare Systems, Inc............................... 600 1,331
Cross (A.T.) Co. Class A.............................. 800 5,700
*Cross-Continent Auto Retailers, Inc.................. 1,100 10,862
*Crown Central Petroleum Corp. Class A................ 400 3,675
*Crown Central Petroleum Corp. Class B................ 300 2,775
Crown Crafts, Inc..................................... 700 4,331
*Crown Vantage, Inc................................... 1,300 3,880
*Crown-Andersen, Inc.................................. 100 462
Cubic Corp............................................ 750 15,375
Culp, Inc............................................. 1,000 8,750
*CustomTracks Corp.................................... 2,300 20,197
*Cybex International, Inc............................. 400 1,925
*Cyrk, Inc............................................ 1,300 11,334
*Cytotherapeutics, Inc................................ 100 142
*Cytrx Corp........................................... 700 503
D&N Financial Corp.................................... 660 15,201
*DII Group, Inc....................................... 400 8,337
DT Industries, Inc.................................... 200 3,737
*DVI, Inc............................................. 300 5,306
*Damark International, Inc. Class A................... 800 5,525
Dames & Moore, Inc.................................... 2,000 25,625
*Dan River, Inc. (GA) Class A......................... 800 6,500
Daniel Industries, Inc................................ 300 3,281
*Danielson Holding Corp............................... 500 1,812
*Data Broadcasting Corp............................... 3,600 38,025
*Data General Corp.................................... 2,900 52,562
*Data I/O Corp........................................ 1,500 2,437
*Data Race, Inc....................................... 400 1,194
*Data Systems & Software, Inc......................... 1,500 4,594
*Data Systems Network Corp............................ 30 37
*Datakey, Inc......................................... 200 625
*Datascope Corp....................................... 500 10,937
*Dataware Technologies, Inc........................... 500 1,891
*Datron Systems, Inc.................................. 200 1,250
*Datum, Inc........................................... 300 2,278
*Daw Technologies, Inc................................ 800 562
*Dawson Geophysical Co................................ 300 2,756
*Daxor Corp........................................... 400 5,275
Deb Shops, Inc........................................ 2,100 22,575
</TABLE>
5
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VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Deckers Outdoor Corp................................. 1,000 $ 2,062
Defiance, Inc......................................... 600 4,012
*Del Global Technologies Corp......................... 500 4,969
*Delta Financial Corp................................. 1,000 5,500
Delta Woodside Industries, Inc........................ 2,100 10,500
*Designs, Inc......................................... 1,300 853
*Detection Systems, Inc............................... 300 2,850
*Detroit Diesel Corp.................................. 1,800 37,237
*Devcon International Corp............................ 400 844
*Diamond Home Services, Inc........................... 500 1,609
*Diamond Multimedia Systems, Inc...................... 3,000 19,594
*Dianon Systems, Inc.................................. 500 3,984
*Digi International, Inc.............................. 1,000 12,844
*Digital Link Corp.................................... 1,000 5,391
Dime Community Bancorp, Inc........................... 500 13,437
Dimon, Inc............................................ 1,900 15,556
*Discount Auto Parts, Inc............................. 1,500 37,406
Dixie Group, Inc...................................... 1,000 7,016
*Dollar Thrifty Automotive Group, Inc................. 200 2,500
*Dominion Homes, Inc.................................. 800 7,200
*Donnkenny, Inc....................................... 1,400 1,531
Downey Financial Corp................................. 1,653 42,978
*Dress Barn, Inc...................................... 1,900 28,084
*Drug Emporium, Inc................................... 2,100 9,384
*Durakon Industries, Inc.............................. 300 3,187
Dyersburg Corp........................................ 1,100 3,644
*Dynamics Research Corp............................... 660 4,331
*E-Z-Em, Inc. Class A................................. 300 2,025
*E-Z-Em, Inc. Class B................................. 27 152
*EA Engineering Science & Technology, Inc............. 500 617
*ECC International Corp............................... 800 2,300
*EFTC Corp............................................ 1,300 4,895
*EIS International, Inc............................... 1,500 2,672
*ESCO Electronics Corp. Trust Receipts................ 900 8,887
Eagle Bancshares, Inc................................. 500 9,125
*Eagle Food Centers, Inc.............................. 1,000 3,187
*Eagle Geophysical, Inc............................... 1,000 5,625
*Eagle Hardware & Garden, Inc......................... 2,900 81,925
*Eagle Point Software Corp............................ 300 2,887
Eastern Co............................................ 200 5,175
Eaton Vance Corp...................................... 3,200 77,800
Ecology & Environment, Inc. Class A................... 200 2,025
Edo Corp.............................................. 300 2,587
*Egghead, Inc......................................... 2,800 71,750
*Einstein/Noah Bagel Corp............................. 1,600 3,400
*Ekco Group, Inc...................................... 1,600 5,900
*El Paso Electric Co.................................. 1,000 9,250
*Elantec Semiconductor, Inc........................... 1,000 3,687
*Electric Lightwave, Inc.............................. 500 3,055
*Electro Scientific Industries, Inc................... 1,000 30,000
*Electroglas, Inc..................................... 2,000 28,625
*Electromagnetic Sciences, Inc........................ 600 8,137
*Emcon................................................ 1,700 5,206
Energen Corp.......................................... 1,800 32,400
Engle Homes, Inc...................................... 1,000 13,562
*Enterprise Software, Inc............................. 250 1,711
*Environmental Elements Corp.......................... 600 2,437
*Equitrac Corp........................................ 300 5,044
*Equity Oil Co........................................ 2,300 2,731
Ethyl Corp............................................ 6,200 36,037
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Evans & Sutherland Computer Corp..................... 700 $ 13,519
Evergreen Bancorp, Inc. DE............................ 800 23,550
*Evergreen Resources, Inc............................. 500 9,437
*Exabyte Corp......................................... 1,800 13,331
*Exar Corp............................................ 1,000 17,500
Excel Industries, Inc................................. 900 15,975
*Executone Information Systems, Inc................... 3,800 7,066
Exide Corp............................................ 2,100 36,619
*Exponent, Inc........................................ 600 3,656
Ezcorp, Inc. Class A Non-Voting....................... 1,100 8,353
FFY Financial Corp.................................... 500 16,281
*FSI International, Inc............................... 2,400 18,450
Fab Industries, Inc................................... 500 9,906
*Fairchild Corp. Class A.............................. 1,300 20,881
*Fansteel, Inc........................................ 700 4,244
Farrel Corp........................................... 700 1,553
*Fibermark, Inc....................................... 1,000 12,937
*Filenes Basement Corp................................ 2,900 5,891
*Finish Line, Inc. Class A............................ 2,500 22,500
*Finishmaster, Inc.................................... 500 3,125
First Bell Bancorp, Inc............................... 500 7,781
*First Cash, Inc...................................... 300 3,366
First Coastal Bankshares, Inc......................... 400 8,737
First Defiance Financial Corp......................... 700 10,391
First Essex Bancorp................................... 500 9,156
First Northern Capital Corp........................... 800 10,500
*First Republic Bank.................................. 600 15,487
First Savings Bancorp, Inc. North Carolina............ 200 4,487
*First Team Sports, Inc............................... 500 742
First Washington Bancorp, Inc......................... 1,430 29,583
*FirstFed Financial Corp. DE.......................... 1,800 31,950
*Firstwave Technologies, Inc.......................... 300 1,144
*Fischer Imaging Corp................................. 1,000 2,469
*Flander Corp......................................... 100 403
Fleming Companies, Inc................................ 3,100 31,194
Flexsteel Industries, Inc............................. 600 7,612
*Florida Panthers Holdings, Inc. Class A.............. 2,200 24,612
Florida Rock Industries, Inc.......................... 1,600 46,900
*Florsheim Group, Inc................................. 400 2,150
*Fluor Daniel/GTI, Inc................................ 316 2,587
Flushing Financial Corp............................... 600 9,487
*Foodarama Supermarkets, Inc.......................... 100 3,225
*Forcenergy, Inc...................................... 200 812
*Forest Oil Corp...................................... 1,600 13,600
*Forward Air Corp., Inc............................... 300 4,856
*Foster (L.B.) Co. Class A............................ 800 3,850
*Foster Wheeler Corp.................................. 2,700 46,237
*Four Media Co........................................ 1,000 6,656
*Franklin Covey Co.................................... 1,400 26,250
*Franklin Electronic Publishers, Inc.................. 500 4,969
Freds, Inc. Class A................................... 2,250 31,641
Frequency Electronics, Inc............................ 1,000 11,000
*Fresh Choice, Inc.................................... 500 797
Friedman Industries, Inc.............................. 578 2,818
*Friedmans, Inc. Class A.............................. 1,000 9,844
Frisch's Restaurants, Inc............................. 648 7,290
*Fritz Companies, Inc................................. 2,100 20,212
Frontier Insurance Group, Inc......................... 400 5,675
Frozen Food Express Industries, Inc................... 1,200 9,300
*G-III Apparel Group, Ltd............................. 600 1,106
</TABLE>
6
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*GC Companies, Inc.................................... 300 $ 12,075
*GP Strategies Corp................................... 500 7,187
*GZA Geoenvironmental Technologies, Inc............... 300 1,312
*Gadzooks, Inc........................................ 800 5,950
Gainsco, Inc.......................................... 1,500 9,937
*Galey & Lord, Inc.................................... 300 3,244
*Galileo Corp......................................... 600 2,044
*Gantos, Inc.......................................... 500 453
Garan, Inc............................................ 400 10,862
*Garden Fresh Restaurant Corp......................... 100 1,562
*Gart Sports Co....................................... 123 1,176
*Gasonics International, Inc.......................... 1,300 10,116
*Gehl Co.............................................. 500 6,969
*General Cigar Holdings, Inc. Class A................. 200 1,962
*General Communications, Inc. Class A................. 5,000 20,625
*General Datacomm Industries, Inc..................... 1,300 4,712
General Housewares Corp............................... 300 3,319
*General Semiconductor, Inc........................... 2,600 26,325
*General Surgical Innovations, Inc.................... 1,500 4,594
*Genesis Health Ventures, Inc......................... 2,100 20,081
*Geneva Steel Co. Class A............................. 800 600
*Genicom Corp......................................... 500 1,453
*Genlyte Group, Inc................................... 1,100 21,003
*Gensym Corp.......................................... 500 1,508
*Genzyme Corp. Tissue Repair.......................... 1,000 3,094
Geon Co............................................... 1,500 33,375
*Geoscience Corp...................................... 200 2,125
*Getty Petroleum Marketing, Inc....................... 900 3,150
*Giant Group, Ltd..................................... 400 2,825
Giant Industries, Inc................................. 1,000 11,937
*Gibraltar Packaging Group, Inc....................... 900 647
*Gibraltar Steel Corp................................. 500 9,875
*Gibson Greetings, Inc................................ 1,400 15,444
*Gish Biomedical, Inc................................. 1,000 3,125
Glatfelter (P.H.) Co.................................. 3,000 38,625
Gleason Corp.......................................... 200 3,825
*Glenayre Technologies, Inc........................... 6,800 42,287
*Global Industrial Technologies, Inc.................. 1,900 15,912
*Global Motorsport Group, Inc......................... 500 9,609
*Golden Books Family Entertainment, Inc............... 1,000 641
*Good Guys, Inc....................................... 1,200 7,050
*Gottschalks, Inc..................................... 600 4,500
*Government Technology Services, Inc.................. 1,600 7,650
*Gradco Systems, Inc.................................. 700 2,122
*Graham-Field Health Products, Inc.................... 1,730 5,406
*Grand Casinos, Inc................................... 3,300 31,350
Grand Premier Financial, Inc.......................... 735 9,406
Granite Construction, Inc............................. 1,950 63,009
Granite State Bankshares, Inc......................... 300 6,112
Greenbrier Companies, Inc............................. 1,300 18,200
*Greyhound Lines, Inc................................. 1,800 10,800
*Griffon Corp......................................... 1,800 17,325
*Gryphon Holdings, Inc................................ 1,000 18,500
Guarantee Life Companies, Inc......................... 1,100 20,556
*Guest Supply, Inc.................................... 500 5,219
Guilford Mills, Inc................................... 1,800 25,987
*Gundle/SLT Environmental, Inc........................ 1,600 6,000
*HCIA, Inc............................................ 1,800 8,691
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
HF Financial Corp..................................... 300 $ 4,369
HMN Financial, Inc.................................... 750 10,219
*HS Resources, Inc.................................... 1,000 8,687
*Hadco Corp........................................... 1,300 45,581
Haggar Corp........................................... 600 7,612
*Hampton Industries, Inc.............................. 440 2,915
*Handleman Co......................................... 2,900 34,800
*Harding Lawson Associates Group, Inc................. 400 2,750
Hardinge Brothers, Inc................................ 1,000 19,031
Harleysville Group, Inc............................... 3,400 72,037
*Harry's Farmers Market, Inc. Class A................. 500 859
*Hartmarx Corp........................................ 2,800 16,450
*Harvey Entertainment Co.............................. 400 3,225
Harvey's Casino Resorts............................... 500 13,375
*Hathaway Corp........................................ 400 431
*Hauser, Inc.......................................... 1,100 4,984
Haven Bancorp, Inc.................................... 1,000 16,656
Haverty Furniture Co., Inc............................ 1,700 33,150
*Health Management Systems, Inc....................... 1,200 8,250
*Healthcare Services Group, Inc....................... 2,250 20,672
*Healthcor Holdings................................... 500 133
Healthplan Services Corp.............................. 600 6,000
Heilig-Meyers Co...................................... 4,450 31,150
*Hello Direct, Inc.................................... 300 2,456
*High Plains Corp..................................... 1,600 2,950
*Highlands Insurance Group, Inc....................... 500 6,375
*Hoenig Group, Inc.................................... 500 3,875
Holly Corp............................................ 500 8,125
*Hollywood Casino Corp. Class A....................... 800 1,087
*Hollywood Entertainment Corp......................... 3,200 76,700
*Hollywood Park, Inc.................................. 2,000 19,125
*Hologic, Inc......................................... 2,000 25,687
Home Port Bancorp, Inc................................ 200 4,525
*Homebase, Inc........................................ 3,400 19,550
*Homestead Village, Inc............................... 2,500 16,406
Horizon Financial Corp................................ 1,230 16,682
*Houston Exploration Co............................... 1,400 24,500
*Hovnanian Enterprises, Inc. Class A.................. 1,300 10,562
Huffy Corp............................................ 800 11,600
Hughes Supply, Inc.................................... 750 20,812
Hunt (J.B.) Transport Services, Inc................... 4,400 83,187
Huntco, Inc. Class A.................................. 300 1,537
*Hurco Companies, Inc................................. 1,000 6,187
*Hutchinson Technology, Inc........................... 1,600 49,550
*Hvide Marine, Inc. Class A........................... 500 3,000
*Hycor Biomedical, Inc................................ 600 750
*Hypercom Corp........................................ 500 5,875
*Hyseq, Inc........................................... 1,400 6,694
*ICF Kaiser International, Inc........................ 1,800 3,037
*ICU Medical, Inc..................................... 1,500 27,797
*IEC Electronics Corp................................. 1,300 7,800
IFR Systems, Inc...................................... 1,000 5,750
*IHOP Corp............................................ 800 31,675
*IMC Mortgage Co...................................... 2,800 1,750
IMCO Recycling, Inc................................... 900 13,444
ISB Financial Corp. LA................................ 100 2,547
*ITEQ, Inc............................................ 3,044 7,325
*ITI Technologies, Inc................................ 200 5,306
*ITLA Capital Corp.................................... 1,000 17,625
Ico, Inc.............................................. 1,800 4,584
*Ikos Systems, Inc.................................... 1,000 3,281
</TABLE>
7
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Imation Corp......................................... 3,100 $ 50,375
*Immulogic Pharmaceutical Corp........................ 1,500 2,297
*Imperial Credit Industries, Inc...................... 2,300 23,431
Imperial Holly Corp................................... 2,100 18,112
*In Focus Systems, Inc................................ 1,400 11,725
*Inacom Corp.......................................... 800 16,600
*Industrial Distribution Group, Inc................... 500 3,469
*Inference Corp. Class A.............................. 1,500 11,719
*Infonautics Corp. Class A............................ 500 2,875
*Information Resources, Inc........................... 3,200 26,800
*Information Storage Devices, Inc..................... 1,300 9,466
Ingles Market, Inc. Class A........................... 400 4,825
*Innodata Corp........................................ 66 400
*Inprise Corp......................................... 1,100 6,084
*Input Software, Inc.................................. 1,000 6,875
*Input/Output, Inc.................................... 2,600 21,287
*Inso Corp............................................ 1,000 26,906
Insteel Industries, Inc............................... 700 3,937
Instron Corp.......................................... 1,000 13,125
*Insurance Auto Auctions, Inc......................... 1,000 11,375
*Integra, Inc......................................... 1,200 2,400
*Integrated Device Technology, Inc.................... 9,000 53,156
*Integrated Process Equipment Corp.................... 1,500 15,703
*Integrated Silicon Solution, Inc..................... 2,100 6,891
*Intelligent Systems Corp............................. 500 969
*Interface Systems, Inc............................... 400 1,712
Interface, Inc. Class A............................... 2,600 32,419
*Intergraph Corp...................................... 5,300 34,284
*Interlinq Software Corp.............................. 1,000 7,375
*Intermagnetics General Corp.......................... 1,020 6,566
International Aluminum Corp........................... 500 14,875
International Multifoods Corp......................... 1,500 38,156
*International Rectifier Corp......................... 4,000 37,500
*International Remote Imaging Systems, Inc............ 100 94
International Shipholding Corp........................ 400 6,250
*International Technology Corp........................ 2,903 29,574
*International Thoroughbred Breeders, Inc............. 800 160
*International Total Services, Inc.................... 400 1,875
*Interphase Corp...................................... 900 7,284
Interpool, Inc........................................ 1,950 28,275
Interstate Johnson Lane, Inc.......................... 200 6,187
*Intertan, Inc........................................ 900 6,019
Isco, Inc............................................. 200 1,025
*Isle of Capri Casinos, Inc........................... 3,700 11,967
*Isolyser Co., Inc.................................... 4,100 5,830
*Iwerks Entertainment, Inc............................ 1,900 2,167
*J & J Snack Foods Corp............................... 1,800 36,787
J & L Specialty Steel, Inc............................ 3,200 20,000
*J. Alexander's Corp.................................. 300 1,069
JSB Financial, Inc.................................... 900 47,475
*Jackpot Enterprises, Inc............................. 700 6,781
*Jaclyn, Inc.......................................... 200 756
*Jaco Electronics, Inc................................ 300 1,378
*Jacobson Stores, Inc................................. 500 4,172
*Jan Bell Marketing, Inc.............................. 2,200 10,175
*Jason, Inc........................................... 1,700 13,812
*Jean Philippe Fragrances, Inc........................ 500 3,031
*Johnson Worldwide Associates, Inc. Class A........... 1,500 14,203
*Johnston Industries, Inc............................. 600 2,362
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Johnstown American Industries, Inc................... 1,300 $ 19,866
*Jos. A. Bank Clothiers, Inc.......................... 1,000 7,281
*Jps Packaging Company................................ 500 1,969
*Jumbosports, Inc..................................... 1,700 584
Justin Industries, Inc................................ 3,300 42,075
K Swiss, Inc. Class A................................. 300 8,475
K2, Inc............................................... 1,200 13,650
KCS Energy, Inc....................................... 2,100 8,400
*KLLM Transport Services, Inc......................... 500 4,250
*KVH Industries, Inc.................................. 500 766
*Kaiser Aluminum Corp................................. 5,300 34,781
*Kaiser Ventures, Inc................................. 1,600 15,400
Kaman Corp. Class A................................... 1,800 28,856
Katy Industries, Inc.................................. 800 15,700
Kellwood Co........................................... 1,800 48,600
*Kemet Corp........................................... 1,000 14,062
*Kent Electronics Corp................................ 1,600 22,700
*Key Production Co., Inc.............................. 800 6,200
*Key Tronic Corp...................................... 1,000 4,500
*Keystone Automotive Industries, Inc.................. 240 4,612
*Keystone Consolidated Industries, Inc................ 598 4,149
Kimball International, Inc. Class B................... 2,000 38,000
*Kimmins Corp......................................... 300 787
*Kinark Corp.......................................... 100 256
*Kinnard Investment, Inc.............................. 300 1,387
*Kinross Gold Corp.................................... 6,483 16,207
Klamath First Bancorp, Inc............................ 1,300 23,156
Knape & Vogt Manufacturing Co......................... 500 9,437
*Komag, Inc........................................... 5,700 41,147
*Koss Corp............................................ 1,000 11,375
*Kulicke & Soffa Industries, Inc...................... 3,100 52,700
*LCA-Vision, Inc...................................... 143 194
LCS Industries, Inc................................... 300 3,956
*LTV Corp............................................. 1,500 8,250
*LTX Corp............................................. 3,900 12,797
*La Jolla Pharmceutical Co............................ 500 1,625
Lab Holdings, Inc..................................... 300 4,969
*Laboratory Corp. of America Holdings, Inc............ 1,500 1,969
*Laclede Steel Co..................................... 200 62
*Ladd Furniture, Inc.................................. 1,200 21,300
*Lam Research Corp.................................... 500 8,922
*Lamson & Sessions Co................................. 1,500 8,437
*Landair Corp......................................... 300 1,481
Landamerica Financial Group, Inc...................... 800 49,050
*Landrys Seafood Restaurants, Inc..................... 3,300 27,019
*Larscom, Inc......................................... 200 431
*LaserSight Corporation............................... 1,300 7,089
*Layne Christensen Co................................. 1,000 10,500
*Lazare Kaplan International, Inc..................... 1,000 7,750
*Leap Group, Inc...................................... 1,000 4,344
*Learning Co., Inc.................................... 3,400 98,812
*Leasing Solutions, Inc............................... 200 787
*Lechters, Inc........................................ 2,200 6,634
Lesco, Inc............................................ 500 7,562
Lexford Residential Trust............................. 400 7,800
Life USA Holdings, Inc................................ 2,700 34,762
Lifetime Hoan Corp.................................... 800 8,775
Lillian Vernon Corp................................... 800 12,250
*Lincoln Electric Holdings............................ 1,300 30,428
Lindberg Corp......................................... 400 5,312
*Lion Brewery, Inc.................................... 100 447
</TABLE>
8
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CONTINUED
<TABLE>
<CAPTION>
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*Lodgenet Entertainment Corp.......................... 2,000 $ 13,937
*Loehmanns, Inc....................................... 200 544
*Logic Devices, Inc................................... 700 1,094
*Lone Star Steakhouse Saloon.......................... 4,300 32,922
*Lone Star Technologies, Inc.......................... 500 4,875
Longview Fibre Co..................................... 1,700 19,231
*Loronix Information Systems, Inc..................... 200 422
*Louis Dreyfus Natural Gas Corp....................... 1,150 14,878
Luby's Cafeterias, Inc................................ 400 6,350
Lufkin Industries, Inc................................ 600 11,812
*Lumisy, Inc.......................................... 1,100 4,641
*Lydall, Inc. DE...................................... 1,000 12,688
*M.H. Meyerson & Co., Inc............................. 200 269
MDC Holdings, Inc..................................... 1,400 25,725
*MEMC Electronic Materials, Inc....................... 2,700 25,481
MI Schottenstein Homes, Inc........................... 800 17,450
*MIM Corp............................................. 200 944
MMI Companies, Inc.................................... 1,000 16,313
*MRV Communications, Inc.............................. 2,900 19,122
*MS Carriers, Inc..................................... 2,100 51,975
MTS Systems Corp...................................... 1,600 20,600
*Main Street & Main, Inc.............................. 1,000 3,578
*Mapinfo Corp......................................... 100 1,381
Marcus Corp........................................... 1,500 22,688
*Marine Transport Corp................................ 360 754
*Mariner Post-Acute Network, Inc...................... 2,400 10,350
*Marisa Christina, Inc................................ 600 769
Maritrans, Inc........................................ 1,000 6,625
*Marlton Technologies, Inc............................ 200 950
Marsh Supermarkets, Inc. Class A...................... 300 4,781
Marsh Supermarkets, Inc. Class B...................... 400 5,650
*Marshall Industries.................................. 1,100 28,600
*Material Sciences Corp............................... 800 7,200
*Matlack Systems, Inc................................. 200 1,550
*Matria Healthcare, Inc............................... 3,400 6,481
*Matrix Pharmaceutical, Inc........................... 1,700 5,578
*Matrix Service Co.................................... 1,800 8,831
*Mattson Technology, Inc.............................. 1,200 8,175
*Maverick Tube Corp................................... 2,200 12,581
*Maxco, Inc........................................... 700 5,250
*Maxicare Health Plans, Inc........................... 500 2,922
*Maxim Group, Inc..................................... 900 17,606
*Maxxam, Inc.......................................... 500 24,406
*Maxxim Medical, Inc.................................. 700 19,075
Medalliance, Inc. Escrow.............................. 800 0
*Medaphis Corp........................................ 8,600 24,859
Medford Bancorp, Inc.................................. 600 11,025
*Media 100, Inc....................................... 700 2,975
*Medical Alliance, Inc................................ 400 888
*Medical Assurance, Inc............................... 2,100 63,263
*Medical Graphics Corp................................ 300 272
*Medical Resources, Inc............................... 600 1,369
*Medicore, Inc........................................ 500 719
Merchants Bancorp, Inc................................ 400 11,750
*Mercury Air Group, Inc............................... 400 2,575
*Meridian Data, Inc................................... 1,000 2,281
Meridian Insurance Group, Inc......................... 600 10,425
*Meridian Resource Corp............................... 1,000 3,875
*Merisel, Inc......................................... 2,500 7,227
*Merix Corp........................................... 500 2,484
*Mesa Air Group, Inc.................................. 3,800 30,281
*Mesaba Holdings, Inc................................. 1,050 19,819
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Metacreations Corp................................... 1,900 $ 15,319
*Metal Management, Inc................................ 4,300 13,303
*Metatec Corp. Class A................................ 1,100 6,394
*Metra Biosystems, Inc................................ 2,000 2,000
*Metrika System Corp.................................. 200 1,725
*Metrocall, Inc....................................... 5,080 22,543
*Metromedia International Group, Inc.................. 3,600 15,975
*Michael Anthony Jewelers, Inc........................ 500 1,500
Michael Foods, Inc.................................... 1,700 42,872
*Michaels Stores, Inc................................. 3,400 61,200
*Micro Linear Corp.................................... 1,000 4,813
*Micro Warehouse, Inc................................. 3,600 98,550
*Microage, Inc........................................ 2,200 38,638
*Microcide Pharmaceuticals, Inc....................... 100 519
*Microsemi Corp....................................... 1,000 12,125
*Microtest, Inc....................................... 1,700 4,622
*Microtouch Systems, Inc.............................. 1,000 13,500
*Microwave Power Dynamics, Inc........................ 400 2,475
Mid America Banccorp.................................. 899 23,154
*Mid Atlantic Medical Services, Inc................... 2,500 22,188
*Midwest Grain Products, Inc.......................... 600 8,175
Mikasa, Inc........................................... 1,200 13,050
*Mikohn Gaming Corp................................... 1,800 7,313
*Miltope Group, Inc................................... 500 594
Mine Safety Appliances Co............................. 500 32,688
Mississippi Chemical Corp............................. 2,800 44,100
*Monarch Casino and Resort, Inc....................... 500 2,719
Monarch Machine Tool Co............................... 300 2,138
*Monro Muffler Brake, Inc............................. 630 5,001
*Moog, Inc. Class A................................... 500 14,500
*Moore Medical Corp................................... 100 1,438
Moore Products Co..................................... 100 2,363
*Morgan Products, Ltd................................. 700 1,663
*Morrison Knudsen Corp................................ 3,900 37,538
*Morrow Snowboards, Inc............................... 100 102
*Mosaix, Inc.......................................... 1,000 7,719
*Mother's Work, Inc................................... 200 2,350
Movado Group, Inc..................................... 937 18,564
*Movie Gallery, Inc................................... 2,100 10,631
*Multiple Zones International, Inc.................... 500 6,688
*Mutual Savings Bank FSB Bay City, MI................. 500 4,156
*Mylex Corp........................................... 1,500 12,469
*N & F Worldwide Corp................................. 1,500 14,250
*NABI, Inc............................................ 3,900 10,603
NBT Bancorp........................................... 1,131 28,227
NCH Corp.............................................. 200 11,200
*NCS Healthcare, Inc.................................. 600 12,356
*NPS Pharmaceuticals, Inc............................. 1,000 7,063
*NS Group, Inc........................................ 1,200 6,525
*NSA International, Inc............................... 200 188
NSC Corp.............................................. 1,269 853
NYMAGIC, Inc.......................................... 1,000 21,000
*Napco Security Systems, Inc.......................... 500 2,094
Nash Finch Co......................................... 900 13,163
*Nashua Corp.......................................... 500 8,344
*Nathans Famous, Inc.................................. 400 1,638
*National City Bancorp................................ 798 21,347
*National Discount Brokers Group, Inc................. 1,000 9,125
*National Home Centers, Inc........................... 500 781
*National Home Health Care Corp....................... 206 966
*National Media Corp.................................. 1,600 14,800
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
National Presto Industries, Inc....................... 500 $ 20,656
*National Processing, Inc............................. 600 3,638
*National Research Corp............................... 300 1,838
National Steel Corp. Class B.......................... 2,800 20,475
National Technical Systems, Inc....................... 100 544
*National Techteam, Inc............................... 1,200 8,175
*Natural Wonders, Inc................................. 700 2,713
Nelson (Thomas), Inc.................................. 300 3,956
*Neopath, Inc......................................... 500 3,469
*Netmanage, Inc....................................... 5,928 17,691
*Netrix Corp.......................................... 1,300 3,331
*Network Computing Devices, Inc....................... 1,300 9,222
*Network Equipment Technologies, Inc.................. 2,200 24,475
*Network Peripherals, Inc............................. 800 3,650
*Neurocrine Biosciences, Inc.......................... 500 3,453
*New Brunswick Scientific Co., Inc.................... 380 2,613
*New Horizons Worldwide, Inc.......................... 600 11,813
New Jersey Resources Corp............................. 1,500 58,406
Newmil Bancorp, Inc................................... 200 2,350
Newport Corp.......................................... 500 8,438
*Nexthealth, Inc...................................... 700 591
*Nine West Group...................................... 2,100 26,250
*Nitinol Medical Technologies, Inc.................... 200 888
*Nobel Education Dynamics, Inc........................ 200 1,288
*Noodle Kidoodle, Inc................................. 1,700 12,750
*Nord Resources Corp.................................. 1,900 3,444
*Nortek, Inc.......................................... 1,100 30,044
*North Face, Inc...................................... 1,200 15,000
*Northwestern Steel & Wire Co......................... 3,900 5,241
*Norton McNaughton, Inc............................... 800 2,350
*Novacare, Inc........................................ 5,600 17,500
*Nu Horizons Electronics Corp......................... 1,100 6,634
*Nuevo Energy Co...................................... 1,400 20,738
*Numerex Corp. Class A................................ 1,000 2,781
O'Sullivan Corp....................................... 1,600 15,600
*O'Sullivan Industries Holdings, Inc.................. 1,100 11,069
*O.I. Corp............................................ 400 2,275
*ODS Networks, Inc.................................... 1,300 4,428
*OMI Corp............................................. 3,600 11,250
*OSI Systems, Inc..................................... 100 794
*Oak Technology, Inc.................................. 4,600 18,184
Ocean Financial Corp.................................. 1,600 25,100
*Offshore Logistics, Inc.............................. 2,800 34,213
Oil-Dri Corp. of America.............................. 100 1,475
*Old Dominion Freight Lines, Inc...................... 1,000 12,688
Olsten Corp........................................... 1,600 12,000
*Olympic Steel, Inc................................... 1,700 10,094
*Omtool, Ltd.......................................... 500 1,422
*One Price Clothing Stores, Inc....................... 1,900 8,728
*Onyx Acceptance Corp................................. 100 656
*Onyx Pharmacueticals, Inc............................ 800 5,300
*Opinion Research Corp................................ 200 1,194
*Opta Food Ingredients, Inc........................... 1,300 5,606
*Opti, Inc............................................ 1,200 4,838
Optical Coating Laboratory, Inc....................... 1,000 18,875
*Optika Imaging Systems, Inc.......................... 400 1,150
*Option Care, Inc..................................... 800 825
*Orange Co., Inc...................................... 700 4,944
Oregon Steel Mills, Inc............................... 2,700 34,256
*Oroamerica, Inc...................................... 700 6,256
*Orthologic Corp...................................... 2,000 7,875
Oshkosh Truck Corp. Class B........................... 1,700 50,363
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Oshman's Sporting Goods, Inc......................... 500 $ 2,250
*Osmonics, Inc........................................ 400 4,200
*Ostex International, Inc............................. 2,000 1,063
*Outlook Group Corp................................... 400 1,650
Overseas Shipholding Group, Inc....................... 1,800 28,463
Owosso Corp........................................... 100 488
Oxford Industries, Inc................................ 700 20,213
*P-Com, Inc........................................... 4,700 17,405
*PC Service Source, Inc............................... 1,000 4,125
*PIA Merchandising Services, Inc...................... 200 600
*PICO Holdings, Inc................................... 3,900 12,675
*PLM International, Inc............................... 1,000 5,875
*PMR Corp............................................. 100 734
*PPT Vision, Inc...................................... 300 1,613
PS Group Holdings, Inc................................ 500 5,563
PXRE Corp............................................. 1,511 33,525
Pancho's Mexican Buffet, Inc.......................... 400 369
*Par Technology Corp.................................. 1,000 6,688
*Paragon Trade Brands, Inc............................ 500 1,406
Park Electrochemical Corp............................. 1,300 24,944
*Parker Drilling Co................................... 4,800 18,000
*Park-Ohio Holdings Corp.............................. 1,700 27,997
*Parlex Corp.......................................... 200 1,900
*Parlux Fragrances, Inc............................... 2,400 3,150
Patina Oil & Gas Corp................................. 1,000 2,875
Patrick Industries, Inc............................... 1,000 15,063
*Patterson Energy, Inc................................ 1,900 8,847
*Paul Harris Stores, Inc.............................. 500 6,844
*Paxson Communications Corp........................... 1,500 10,875
*Payless Cashways, Inc................................ 34 52
*Paymentech, Inc...................................... 3,100 49,213
Penford Corp.......................................... 400 6,013
*Penn Traffic Co...................................... 200 450
*Penn Treaty American Corp............................ 600 16,950
Penn Virginia Corp.................................... 400 8,675
Penn-America Group, Inc............................... 500 5,438
Penncorp Financial Group, Inc......................... 2,100 2,363
Pennfed Financial Services, Inc....................... 1,000 13,813
*Penwest Pharmaceuticals Company...................... 600 5,081
*Peoples Choice TV Corp............................... 1,000 438
*Peoples Telephone Co., Inc........................... 1,400 6,213
*Perceptron, Inc...................................... 200 1,525
*Perini Corp.......................................... 400 2,275
*Periphonics Corp..................................... 1,200 13,275
*Perrigo Co........................................... 4,900 41,344
*Petco Animal Supplies, Inc........................... 2,500 24,922
*Petrocorp, Inc....................................... 1,700 13,175
*Petroleum Development Corp........................... 100 345
*Pharmaceutical Resources, Inc........................ 1,600 5,400
*Pharmchem Laboratories, Inc.......................... 500 1,672
*Pharmerica, Inc...................................... 9,800 39,966
*Phar-Mor, Inc........................................ 1,100 8,594
Phillips-Van Heusen Corp.............................. 2,500 17,500
Phoenix Investment Partners, Ltd...................... 3,800 32,300
*Phoenix Technologies, Ltd............................ 1,800 12,656
*Photon Dynamics, Inc................................. 400 1,813
*Phycor, Inc.......................................... 5,100 31,397
*Phymatrix Corp....................................... 1,100 2,819
*Physician Reliance Network, Inc...................... 4,200 38,981
Piccadilly Cafeterias, Inc............................ 900 9,619
*Picturetel Corp...................................... 3,800 26,838
Pilgrim Pride Corp.................................... 1,600 38,800
</TABLE>
10
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Pinkertons, Inc...................................... 300 $ 6,000
Pinnacle Bancshares, Inc.............................. 200 2,388
*Pinnacle Systems, Inc................................ 200 6,713
Pioneer Standard Electronics, Inc..................... 2,300 24,725
Pittston Co. Burlington Group......................... 1,700 14,769
*Planar Systems, Inc.................................. 1,800 14,850
*Players International, Inc........................... 5,000 29,531
*Pluma, Inc........................................... 200 263
*Polymedica Industries, Inc........................... 500 5,313
*Polymer Group, Inc................................... 2,500 26,563
*Pool Energy Services Co.............................. 1,900 21,316
Pope & Talbot, Inc.................................... 1,100 10,863
*Powercerv Corp....................................... 1,300 3,209
*Powerhouse Technologies, Inc......................... 900 10,519
*Power-One, Inc....................................... 200 1,181
*Powertel, Inc........................................ 2,500 33,828
*Precision Response, Corp............................. 500 4,203
Premier National Bancorp.............................. 546 9,896
Presidential Life Corp................................ 2,900 52,381
*Price Communications Corp............................ 1,952 19,398
Price Enterprises, Inc................................ 371 2,017
*Pricesmart, Inc...................................... 450 7,088
*Pride International, Inc............................. 1,200 9,075
*Primadonna Resorts, Inc.............................. 1,800 13,163
Prime Bancorp, Inc.................................... 660 12,375
*Prime Hospitality Corp............................... 3,500 30,625
Primesource Corp...................................... 500 3,438
*Procyte Corp......................................... 1,100 567
*Progress Software Corp............................... 750 18,914
*ProMedCo Management Company.......................... 2,200 11,550
*Protocol Systems, Inc................................ 1,400 10,631
*Provident American Corp.............................. 400 4,125
*Proxim, Inc.......................................... 900 20,475
*Pure World, Inc...................................... 200 1,863
*Pyramid Breweries, Inc............................... 300 431
*QMS, Inc............................................. 900 3,713
*Quad Systems Corp.................................... 1,200 3,169
Quaker Chemical Corp.................................. 500 8,594
*Quaker City Bancorp, Inc............................. 625 10,586
*Quaker Fabric Corp................................... 1,250 8,906
Quaker State Corp..................................... 2,700 38,644
*Quality Dining, Inc.................................. 1,400 3,456
*Quality Semiconductor, Inc........................... 200 625
*Quality Systems, Inc................................. 1,000 4,688
Quanex Corp........................................... 1,600 28,700
*Quest Diagnostics, Inc............................... 1,700 30,388
*Quintel Entertainment, Inc........................... 1,000 1,609
Quixote Corp.......................................... 1,000 13,188
*R & B, Inc........................................... 1,100 9,694
*RDO Equipment Co. Class A............................ 200 1,850
RLI Corp.............................................. 750 27,141
*RMH Teleservices, Inc................................ 200 313
RPC, Inc.............................................. 2,400 18,600
*RTW, Inc............................................. 1,000 4,625
*Rag Shops, Inc....................................... 200 550
*Railamerica, Inc..................................... 500 3,609
*Railtex, Inc......................................... 1,000 12,063
*Rainforest Cafe, Inc................................. 2,800 19,513
*Rally's Hamburgers, Inc.............................. 1,300 955
*Ramsay Health Care, Inc.............................. 700 1,488
Range Resources Corp.................................. 1,500 6,281
*Rare Hospitality International, Inc.................. 1,800 22,388
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Reading Entertainment, Inc........................... 400 $ 3,575
*Read-Rite Corp....................................... 3,200 43,100
*Recoton Corp......................................... 800 15,000
*Red Roof Inns, Inc................................... 1,600 27,200
*Redhook Ale Brewery, Inc............................. 1,000 4,375
Redwood Empire Bancorp................................ 200 3,500
*Refac Technology Development Corp.................... 300 2,250
*Regeneron Pharmaceuticals, Inc....................... 2,100 17,194
*Relm Wireless Corp................................... 400 575
*Rentrak Corp......................................... 100 277
*Reptron Electronics, Inc............................. 1,000 4,438
Republic Security Financial Corp...................... 5,452 61,165
*Research Partners International, Inc................. 300 750
Resource Bancshares Mortgage Group, Inc............... 1,630 22,616
*Response Oncology, Inc............................... 873 3,983
*Rex Stores Corp...................................... 500 6,000
*Richey Electronics, Inc.............................. 300 3,056
*Riddell Sports, Inc.................................. 1,700 5,950
*Ride, Inc............................................ 2,000 2,125
Riggs National Corp................................... 2,000 41,813
*Right Management Consultants, Inc.................... 300 4,322
*Rightchoice Managed Care, Inc. Class A............... 300 2,738
*Rio Hotel & Casino, Inc.............................. 700 10,894
Rival Co.............................................. 600 6,394
Roanoke Electric Steel Corp........................... 1,800 26,325
*Roberds, Inc......................................... 500 1,078
*Roberts Pharmaceutical Corp.......................... 2,100 51,450
*Rochester Medical Corp............................... 200 2,606
*Rock Bottom Restaurants, Inc......................... 1,600 9,350
*Rockshox, Inc........................................ 1,500 3,938
Rock-Tenn Co. Class A................................. 1,400 22,838
*Rocky Shoes & Boots, Inc............................. 100 706
*Rogue Wave Software, Inc............................. 500 4,297
Rollins Truck Leasing Corp............................ 5,850 70,200
*Rottlund, Inc........................................ 500 2,125
Rouge Industries, Inc. Class A........................ 900 7,425
Russ Berrie & Co., Inc................................ 500 11,313
*Ryans Family Steak Houses, Inc....................... 4,500 50,766
Ryland Group, Inc..................................... 800 21,250
*S&K Famous Brands, Inc............................... 400 3,900
*S3, Inc.............................................. 5,600 29,750
*SCPIE Holdings, Inc.................................. 100 3,063
*SED International Holdings, Inc...................... 1,000 4,688
*SEMX Corp............................................ 1,000 2,625
*SSE Telecom, Inc..................................... 500 1,031
*STB Systems, Inc..................................... 200 1,178
*STM Wireless, Inc. Class A........................... 200 1,094
*SYNC Research, Inc................................... 1,100 1,066
*Safety 1st, Inc...................................... 200 1,050
*Safety-Kleen Corp.................................... 5,200 17,875
*San Filippo (John B.) & Son, Inc..................... 800 3,025
Sanderson Farms, Inc.................................. 1,300 20,719
*Sandisk Corp......................................... 1,500 17,672
*Sands Regent Casino Hotel............................ 400 375
*Santa Cruz Operation, Inc............................ 2,400 10,875
*Saucony, Inc. Class B................................ 300 1,950
*Savoir Technology Group, Inc......................... 500 4,219
Schnitzer Steel Industries, Inc. Class A.............. 1,000 18,438
*Scholastic Corp...................................... 1,100 52,319
</TABLE>
11
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Schuff Steel Company................................. 200 $ 1,288
*Schuler Homes, Inc................................... 1,800 12,544
Schulman (A.), Inc.................................... 2,100 44,953
Scotsman Industries, Inc.............................. 200 4,113
*Seacor Smit, Inc..................................... 1,000 47,750
*Secom General Corp................................... 400 150
*Seibels Bruce Group, Inc............................. 1,000 4,156
*Seitel, Inc.......................................... 2,000 26,750
Selective Insurance Group, Inc........................ 2,100 39,769
*Semitool, Inc........................................ 1,300 8,856
*Sensormatic Electronics Corp......................... 1,800 14,625
*Sequent Computer Systems, Inc........................ 4,700 59,631
*Service Merchandise Co., Inc......................... 8,800 10,450
*Servico, Inc......................................... 1,200 7,800
*Sharper Image Corp................................... 500 10,547
*Shaw Group, Inc...................................... 1,000 8,875
*Sheldahl, Inc........................................ 1,000 6,438
*Sheridan Healthcare, Inc............................. 800 6,450
*Shiloh Industries, Inc............................... 1,100 16,019
*Shiva Corp........................................... 100 584
*Shoe Carnival, Inc................................... 800 7,825
*Sholodge, Inc........................................ 600 4,238
*Shoney's, Inc........................................ 2,258 3,810
*Shopko Stores, Inc................................... 2,700 87,075
Sifco Industries, Inc................................. 400 5,700
*Sight Resource Corp.................................. 1,700 3,480
*Signal Technology Corp............................... 600 1,838
*Silicon Valley Group, Inc............................ 3,800 46,788
*Silverleaf Resorts, Inc.............................. 500 5,688
*Simione Central Holdings, Inc........................ 400 825
Simmons First National Corp. Class A.................. 200 8,125
Simpson Industries, Inc............................... 1,900 19,891
*Sitel Corp........................................... 4,000 10,000
*Sizzler International, Inc........................... 2,400 7,050
Skyline Corp.......................................... 900 29,250
Skywest, Inc.......................................... 2,200 59,606
Smart & Final Food, Inc............................... 2,000 21,250
*Smartflex Systems, Inc............................... 1,000 7,188
Smith (A.O.) Corp..................................... 1,200 29,850
Smith (A.O.) Corp. Convertible Class A................ 300 7,350
*Smithway Motor Express Corp. Class A................. 100 894
*Sodak Gaming, Inc.................................... 1,900 15,497
*Softech, Inc......................................... 300 1,191
*Software Spectrum, Inc............................... 1,000 17,563
*Sola International, Inc.............................. 1,500 23,813
*Sonosight, Inc....................................... 366 3,431
South Jersey Industries, Inc.......................... 500 12,906
*Southern Energy Homes, Inc........................... 1,200 8,250
*Southern Pacific Funding Corp........................ 1,200 66
*Southwall Technologies, Inc.......................... 500 2,359
Southwest Securities Group, Inc....................... 231 4,548
Southwestern Energy Co................................ 2,200 16,500
*Spacelabs Medical, Inc............................... 1,000 17,625
*Spaghetti Warehouse, Inc............................. 500 3,656
Spartan Motors, Inc................................... 1,000 6,281
*Sparton Corp......................................... 500 2,875
*Spectran Corp........................................ 500 2,750
*Spectrum Control, Inc................................ 500 2,109
*Speedfam International, Inc.......................... 2,000 30,188
*Speizman Industries, Inc............................. 300 1,688
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Spiegel, Inc. Class A Non-Voting..................... 1,500 $ 5,930
*Sport Chalet, Inc.................................... 600 4,125
*Sport Supply Group, Inc.............................. 300 2,100
*Sports Authority, Inc................................ 1,300 8,450
*Sports Club Co., Inc................................. 600 2,925
*Sportsman's Guide, Inc............................... 1,000 6,188
St. Paul Bancorp, Inc................................. 3,000 63,469
*Stac, Inc............................................ 100 506
Standard Commercial Corp.............................. 856 6,955
*Standard Management Corp............................. 700 4,638
*Standard Microsystems Corp........................... 1,600 11,800
Standard Motor Products, Inc. Class A................. 1,100 25,094
Standard Pacific Corp. DE............................. 2,600 25,350
Standard Products Co.................................. 1,400 26,075
*Stanley Furniture, Inc............................... 400 6,775
*Starcraft Corp....................................... 200 488
Starrett (L.S.) Co. Class A........................... 200 6,125
*Startec Global Communications Corp................... 300 3,188
*Starter Corp......................................... 2,300 3,738
*Station Casinos, Inc................................. 2,600 21,450
*Steel of West Virginia, Inc.......................... 600 6,338
Steel Technologies, Inc............................... 1,500 12,422
Stepan Co............................................. 500 13,969
Stephan Co............................................ 200 2,375
Sterling Bancorp...................................... 500 10,594
*Sterling Financial Corp. WA.......................... 600 10,800
Stewart & Stevenson Services, Inc..................... 3,000 29,531
Stewart Information Services Corp..................... 500 24,719
Stifel Financial Corp................................. 525 5,709
*Stimsonite Corp...................................... 1,200 9,225
Stone & Webster, Inc.................................. 800 27,200
*Storage Computer Corp................................ 100 463
*Stormedia, Inc. Class A.............................. 1,000 1
*Strategic Distribution, Inc.......................... 2,000 5,688
*Stratus Properties, Inc.............................. 1,300 4,225
Strawbridge and Clothier Liquidating Trust............ 900 548
Stride Rite Corp...................................... 500 4,438
*Strouds, Inc......................................... 1,100 2,166
*Stuart Entertainment, Inc............................ 600 394
*Suburban Lodges of America, Inc...................... 2,200 17,875
*Successories, Inc.................................... 200 425
*Sulcus Computer Corp................................. 1,800 4,050
*Summit Technology, Inc............................... 500 1,922
*Summitt Medical Systems, Inc......................... 1,300 1,503
*Sun Healthcare Group, Inc............................ 1,000 5,250
*Sun Television and Appliances, Inc................... 2,400 42
*Sunrise Medical, Inc................................. 2,000 25,500
*Sunrise Resources, Inc............................... 1,400 5,075
Superior Surgical Manufacturing Co., Inc.............. 800 11,000
*Suprema Specialties, Inc............................. 1,200 5,775
*Supreme International Corp........................... 1,000 10,813
Susquehanna Bancshares, Inc........................... 2,475 54,141
*Swift Energy Corp.................................... 1,200 11,175
*Swiss Army Brands, Inc............................... 1,700 17,106
*Sybase, Inc.......................................... 2,200 15,813
*Sylvan, Inc.......................................... 400 5,213
*Symmetricom, Inc..................................... 2,100 13,059
*Syms Corp............................................ 1,500 14,625
*Synbiotics Corp...................................... 600 1,350
</TABLE>
12
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Syncor International Corp. DE........................ 900 $ 21,656
*Syntellect, Inc...................................... 1,300 3,372
*Synthetic Industries, Inc............................ 200 3,375
*Syntroleum Corp...................................... 450 3,713
*TBA Entertainment Corp............................... 500 2,422
*TBC Corp............................................. 2,600 17,875
TCBY Enterprises, Inc................................. 2,200 17,050
*TCSI Corp............................................ 2,800 6,431
*TII Industries, Inc.................................. 1,200 2,738
TJ International, Inc................................. 1,400 32,856
TR Financial Corp..................................... 1,000 37,313
*TRC Companies, Inc................................... 300 1,425
*TRM Copy Centers Corp................................ 1,000 9,250
Tab Products Co. DE................................... 400 2,850
*Taco Cabana, Inc..................................... 2,500 17,266
Talbots, Inc.......................................... 2,300 58,650
*Tandy Brand Accessories, Inc......................... 500 7,563
*Tandy Crafts, Inc.................................... 1,000 3,875
Technology Research Corp.............................. 300 366
*Tech-Sym Corp........................................ 300 7,519
*Tegal Corp........................................... 1,200 3,694
*Tei, Inc............................................. 1,200 1,950
*Telco Systems, Inc................................... 1,000 12,125
Telxon Corp........................................... 500 13,453
Terra Industries, Inc................................. 5,400 29,363
*Tesoro Petroleum Corp................................ 2,100 27,956
*Tesseract Group, Inc................................. 1,000 3,344
*Tetra Technologies, Inc.............................. 500 6,313
Texas Industries, Inc................................. 1,800 52,088
*Texas Micro, Inc..................................... 1,000 3,531
*Thermo Bioanalysis Corp.............................. 100 1,056
*Thermo Power Corp.................................... 1,000 8,875
*Thermo Sentron, Inc.................................. 500 4,688
*Thermo Terratech, Inc................................ 500 2,250
*Thermo Voltek Corp................................... 1,000 6,750
*ThermoQuest Corp..................................... 500 5,094
Thermoretec Corporation............................... 900 2,419
*Thermospectra Corp................................... 1,000 11,250
Thomas Industries, Inc................................ 450 7,763
Thomaston Mills, Inc.................................. 400 1,275
*Thorn Apple Valley, Inc.............................. 1,500 4,922
*Tipperary Corp....................................... 1,000 1,875
*Titan Corp........................................... 1,546 8,310
Titan International, Inc.............................. 1,200 11,925
*Titanium Metals Corp................................. 1,100 10,931
Toastmaster, Inc...................................... 600 3,788
*Todd Shipyards Corp.................................. 800 4,000
*Tokheim Corp......................................... 800 6,900
*Topps, Inc........................................... 3,800 19,831
Toro Co............................................... 1,000 26,500
*Tower Air, Inc....................................... 1,100 2,733
*Trans World Airlines, Inc............................ 3,000 15,188
*Trans World Entertainment Corp....................... 2,400 55,950
*Transcoastal Marine Services, Inc.................... 1,400 5,425
*Transfinancial Holdings, Inc......................... 300 1,481
*Transition Systems, Inc.............................. 300 2,981
Transtechnology Corp.................................. 500 11,438
*Transworld Healthcare, Inc........................... 2,000 8,688
*Travel Ports of America, Inc......................... 228 691
*Treadco, Inc......................................... 500 3,094
Tremont Corp. DE...................................... 600 21,525
*Trend-Lines, Inc. Class A............................ 200 588
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Trident Microsystems, Inc............................ 900 $ 4,345
*Tridex Corp.......................................... 300 1,097
Trigen Energy Corp.................................... 400 5,700
Trion, Inc............................................ 100 291
*Tripos, Inc.......................................... 100 825
*Trism, Inc........................................... 500 688
*Truevision, Inc...................................... 1,300 1,138
*Trump Hotels & Casino Resorts, Inc................... 2,000 10,125
*Tuboscope Vetco International, Inc................... 1,000 8,313
*Tultex Corp.......................................... 2,500 2,656
*Turner Corp.......................................... 450 7,622
Twin Disc, Inc........................................ 200 4,350
Tyler Corp............................................ 1,700 11,369
U.S. Bancorp, Inc..................................... 1,500 29,859
*U.S. Diagnostic, Inc................................. 2,500 2,500
U.S. Freightways Corp................................. 1,500 40,266
*U.S. Office Products, Co............................. 500 2,727
*URS Corp............................................. 719 14,605
*US Can Corp.......................................... 1,100 19,319
*US Xpress Enterprises, Inc. Class A.................. 1,000 15,438
*UTI Energy Corp...................................... 1,500 12,563
*Ugly Duckling Corp................................... 2,000 11,313
*Ultimate Electronics, Inc............................ 1,300 7,394
*Ultradata Corp....................................... 100 409
*Ultrafem, Inc........................................ 1,000 25
*Ultrak, Inc.......................................... 1,400 12,075
*Ultratech Stepper, Inc............................... 1,700 31,556
Unico American Corp................................... 500 5,281
*UniComp, Inc......................................... 1,000 3,344
Unifirst Corp......................................... 1,100 24,200
*Unimark Group, Inc................................... 1,000 2,938
*Uni-Marts, Inc....................................... 500 1,531
*Union Acceptance Corp. Class A....................... 500 2,688
*Unique Casual Restaurants, Inc....................... 500 3,328
*Uniroyal Technology Corp............................. 2,100 21,131
*Unisource Worldwide, Inc............................. 4,000 31,500
*Unit Corp............................................ 1,600 7,600
*Unit Instruments, Inc................................ 300 2,606
*United American Healthcare Corp.,.................... 700 1,050
United Companies Financial Corp....................... 2,300 9,344
United Industrial Corp................................ 1,400 13,913
*United Retail Group, Inc............................. 1,100 10,794
*United States Home Corp.............................. 1,000 31,875
*United Wisconsin Services, Inc....................... 1,800 13,388
*Unitrode Corp........................................ 500 8,469
*Universal American Financial Corp.................... 700 1,794
*Universal Electronics, Inc........................... 300 3,263
*Universal International, Inc......................... 400 1,038
*Universal Standard Medical Labs, Inc................. 500 844
*Uno Restaurant Corp.................................. 600 3,938
*Urocor, Inc.......................................... 1,100 6,119
*Urologix, Inc........................................ 1,000 4,266
*Utilx Corp........................................... 800 1,500
*VLSI Technology, Inc................................. 5,000 56,719
*VTEL Corp............................................ 2,600 7,963
*VWR Scientific Products Corp......................... 400 12,375
*Vallen Corp.......................................... 1,000 19,500
Valmont Industries, Inc............................... 500 8,031
*Value City Department Stores, Inc.................... 2,600 26,650
Value Line, Inc....................................... 600 24,900
*Valuevision International, Inc. Class A.............. 2,700 14,597
*Vans, Inc............................................ 500 3,703
</TABLE>
13
<PAGE>
VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Vari L Co., Inc...................................... 300 $ 1,988
*Variflex, Inc........................................ 1,200 6,338
Varlen Corp........................................... 2,081 55,212
*Vaughn Communications, Inc........................... 100 756
*Vectra Technologies, Inc............................. 500 3
*Venture Stores, Inc.................................. 1,500 14
*Verity, Inc.......................................... 1,500 25,922
Vermont Financial Services Corp....................... 1,200 27,825
*Vertex Communications Corp........................... 200 3,538
*Veterinary Centers of America, Inc................... 1,500 27,375
*Viagrafix Corp....................................... 100 606
*Vicorp Restaurants, Inc.............................. 800 11,575
*Video Display Corp................................... 300 1,931
*Video Services Corp.................................. 500 1,125
*Video Update, Inc.................................... 2,175 2,957
*Videonics, Inc....................................... 200 197
Vintage Petroleum, Inc................................ 3,100 31,969
Virco Manufacturing Corp.............................. 990 20,666
*Virtualfund.Com, Inc................................. 900 2,306
*Vishay Intertechnology, Inc.......................... 500 7,094
*Vista Medical Technologies, Inc...................... 500 1,234
Vital Signs, Inc...................................... 700 11,856
*WFS Financial, Inc................................... 1,800 11,363
*WHX Corp............................................. 2,200 23,238
*WLR Foods, Inc....................................... 1,314 11,580
*WPI Group, Inc....................................... 1,000 7,063
Walbro Corp........................................... 1,600 11,900
*Wall Data, Inc....................................... 600 10,238
Warren Bancorp, Inc................................... 600 5,550
*Washington Homes, Inc................................ 700 3,413
Washington Savings Bank FSB Waldorf, MD............... 400 1,850
*Waterlink, Inc....................................... 500 1,875
Watkins-Johnson Co.................................... 500 9,125
Watts Industries, Inc. Class A........................ 1,600 30,300
Webb (Del) Corp....................................... 1,600 42,400
Webster Financial Corp................................ 504 14,018
*Weirton Steel Corp................................... 3,600 6,750
Wellman, Inc.......................................... 3,500 42,438
*Wells-Gardner Electronics Corp....................... 200 550
Wesbanco, Inc......................................... 700 19,775
*West Coast Entertainment Corp........................ 200 125
West, Inc............................................. 1,300 39,488
Westco Bancorp, Inc................................... 300 10,313
Westcorp, Inc......................................... 1,800 15,413
Westerfed Financial Corp.............................. 500 9,703
*Western Beef, Inc.................................... 500 3,719
*Weston (Roy F.), Inc. Class A........................ 600 1,744
*Whittaker Corp....................................... 700 9,625
*Wickes Lumber Co..................................... 1,200 5,438
*Williams Clayton Energy, Inc......................... 700 5,906
*Wilshire Financial Services Group, Inc............... 600 572
*Wilshire Oil Co. of Texas............................ 515 2,575
Winnebago Industries, Inc............................. 1,800 21,600
Wiser Oil Co.......................................... 800 2,600
Wolohan Lumber Co..................................... 600 7,781
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Wolverine Tube, Inc.................................. 400 $ 8,975
Wolverine World Wide, Inc............................. 500 6,813
Woodhead Industries, Inc.............................. 500 6,531
*Workgroup Technology Corp............................ 900 1,758
*Worldtex, Inc........................................ 1,200 4,500
*Xetel Corp........................................... 1,300 3,656
*Xicor, Inc........................................... 1,600 3,300
Xtra Corp............................................. 300 14,269
Yankee Energy Systems, Inc............................ 900 26,213
*Yellow Corp.......................................... 3,400 55,038
York Financial Corp................................... 793 13,580
*Zaring National Corp................................. 100 906
*Zemex Corp........................................... 756 5,009
Zenith National Insurance Corp........................ 1,500 36,563
*Zoll Medical Corp.................................... 900 10,069
*Zygo Corp............................................ 1,000 12,250
------------
TOTAL COMMON STOCKS
(Cost $17,079,424)................................... 17,441,494
------------
PREFERRED STOCKS -- (0.1%)
Price Enterprises, Inc. Series A (Cost $20,976)....... 1,800 24,356
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (2.0%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.25%, 08/31/02, valued at $368,288) to be
repurchased at $356,049 (Cost $356,000)............. $ 356 356,000
------------
TOTAL INVESTMENTS -- (99.9%)
(Cost $17,456,400)++................................. 17,821,850
------------
OTHER ASSETS AND
LIABILITIES -- (0.1%)
Other Assets.......................................... 32,808
Payable for Investment Securities Purchased........... (9,016)
Other Liabilities..................................... (13,245)
------------
10,547
------------
NET ASSETS -- (100%) Applicable to 1,359,979
Outstanding $.01 Par Value Shares (50,000,000 Shares
Authorized).......................................... $ 17,832,397
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 13.11
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
14
<PAGE>
VA LARGE VALUE PORTFOLIO
STATEMENT OF NET ASSETS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (98.7%)
AK Steel Holding Corp................................. 2,200 $ 42,212
*AMR Corp............................................. 8,000 527,500
AVX Corp.............................................. 2,100 40,819
*Adaptec, Inc......................................... 2,100 34,256
*Advanced Micro Devices, Inc.......................... 5,100 141,206
Advanta Corp. Class A................................. 166 1,727
*Advanta Corp. Class B Non-Voting..................... 272 2,121
Aetna, Inc............................................ 7,300 564,381
*Alaska Air Group, Inc................................ 1,100 41,181
Albemarle Corp........................................ 1,000 18,625
Alexander & Baldwin, Inc.............................. 1,600 36,600
*Alleghany Corp....................................... 100 19,225
Ambac, Inc............................................ 2,500 152,500
Amerada Hess Corp..................................... 5,200 288,600
*America West Holdings Corp. Class B.................. 2,000 28,250
American Annuity Group, Inc........................... 1,000 23,000
American Financial Group, Inc. (New).................. 2,500 98,281
American General Corp................................. 9,519 670,495
American Greetings Corp. Class A...................... 2,600 110,012
American National Insurance Co........................ 600 50,100
Amerus Life Holdings, Inc. Class A.................... 1,000 22,062
Apache Corp........................................... 5,800 133,400
Arch Coal, Inc........................................ 1,600 30,700
Archer-Daniels Midland Co............................. 21,756 399,766
Argonaut Group, Inc................................... 300 7,444
*Arrow Electronics, Inc............................... 3,700 80,475
Asarco, Inc........................................... 1,700 32,937
Astoria Financial Corp................................ 600 27,019
Atlantic Richfield Co................................. 1,200 79,800
*Atmel Corp........................................... 3,900 47,409
Avnet, Inc............................................ 1,800 104,737
*BJ Services, Co...................................... 3,000 41,437
Baker Hughes, Inc..................................... 3,100 56,769
Ball Corp............................................. 900 38,475
Bancwest Corp......................................... 1,200 51,900
Bankers Trust New York Corp........................... 1,100 95,700
Bear Stearns Companies, Inc........................... 3,161 132,762
Berkley (W.R.) Corp................................... 900 30,178
*Bethlehem Steel Corp................................. 7,200 59,400
*Beverly Enterprises.................................. 4,000 23,000
Black & Decker Corp................................... 2,600 140,887
Block Drug Co., Inc. Class A.......................... 318 12,074
Boise Cascade Corp.................................... 3,800 120,412
Borg Warner Automotive, Inc........................... 400 19,950
Bowater, Inc.......................................... 1,200 47,400
Brunswick Corp........................................ 3,900 85,800
Burlington Northern Santa Fe Corp..................... 18,000 612,000
CIGNA Corp............................................ 7,500 583,594
*CNA Financial Corp................................... 6,900 294,975
CSX Corp.............................................. 7,900 329,331
*Cabletron Systems, Inc............................... 6,600 92,400
Capital Re Corp....................................... 1,000 19,750
Carpenter Technology Corp............................. 600 21,187
*Case Corp............................................ 2,900 70,325
Champion International Corp........................... 3,300 137,156
Chesapeake Corp....................................... 700 24,281
Chicago Title Corp.................................... 200 9,350
Chiquita Brands International, Inc.................... 2,100 23,625
*Chris-Craft Industries, Inc.......................... 754 34,872
Cincinnati Financial Corp............................. 8,390 327,472
*Circus Circus Enterprises, Inc....................... 3,600 41,625
Citizens Corp......................................... 1,300 42,981
Commerce Group, Inc................................... 1,400 47,950
Comsat Corp. Series 1................................. 1,800 64,125
Consolidated Papers, Inc.............................. 3,000 76,687
*ContiFinancial Corp.................................. 1,000 5,562
Cooper Tire & Rubber Co............................... 1,400 27,387
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Coors (Adolph) Co. Class B............................ 1,000 $ 49,781
*Corporate Express, Inc............................... 2,000 11,625
Countrywide Credit Industries, Inc.................... 3,600 178,200
Crown Cork & Seal Co., Inc............................ 3,300 111,375
Cummins Engine Co., Inc............................... 2,100 77,962
*Cypress Semiconductor Corp........................... 3,600 36,675
Cyprus Amax Minerals Co., Inc......................... 5,200 59,150
*Daimlerchrysler...................................... 13,342 1,223,295
Dana Corp............................................. 185 7,215
Darden Restaurants, Inc............................... 5,500 86,969
Devon Energy Corp..................................... 1,000 32,937
Dillards, Inc. Class A................................ 4,000 137,500
*EEX Corp............................................. 5,699 20,303
ENSCO International, Inc.............................. 7,200 68,850
Enhance Financial Services Group, Inc................. 1,000 29,375
Enron Corp............................................ 700 36,794
Enron Oil & Gas Corp.................................. 2,800 42,000
*Everest Reinsurance Holdings, Inc.................... 700 26,294
*Extended Stay America, Inc........................... 4,000 40,000
*Federated Department Stores, Inc..................... 7,400 308,487
Financial Security Assurance Holdings, Ltd............ 900 49,387
Fingerhut Companies, Inc.............................. 1,800 20,025
Florida East Coast Industries, Inc.................... 1,200 41,100
Fluor Corp............................................ 3,400 145,562
Ford Motor Co......................................... 40,300 2,226,575
Fortune Brands, Inc................................... 7,100 241,844
*Fruit of The Loom, Inc. Class A...................... 2,400 35,400
GATX Corp............................................. 1,200 45,375
General Motors Corp................................... 30,600 2,142,000
General Motors Corp. Class H.......................... 3,700 140,600
*Genesis Health Ventures, Inc......................... 1,200 11,475
Georgia-Pacific Corp.................................. 5,300 300,775
Georgia-Pacific Corp. Timber Group.................... 1,000 23,000
*Golden State Bancorp, Inc............................ 2,000 38,500
Golden West Financial Corp............................ 1,400 132,562
Goodrich (B.F.) Co.................................... 1,300 49,319
Great Atlantic & Pacific Tea Co., Inc................. 1,100 30,044
Great Lakes Chemical Corp............................. 2,000 79,875
*Harnischfeger Industries, Inc........................ 2,000 20,000
Harris Corp........................................... 1,400 53,112
Helmerich & Payne, Inc................................ 2,000 34,500
Hilton Hotels Corp.................................... 5,300 115,275
Hollinger International, Inc. Class A................. 2,500 32,344
IBP, Inc.............................................. 3,100 78,663
IMC Global, Inc....................................... 5,800 132,675
*IVAX Corp............................................ 4,300 40,850
Ikon Office Solutions, Inc............................ 5,300 51,675
Inland Steel Industries, Inc.......................... 629 11,519
Integrated Health Services, Inc....................... 2,000 22,375
International Paper Co................................ 11,900 516,906
*International Speciality Products, Inc............... 3,500 45,938
*Jacor Communications, Inc............................ 2,000 116,563
*K Mart Corp.......................................... 18,400 280,600
*Kennametal, Inc...................................... 1,200 25,575
Kerr-McGee Corp....................................... 2,000 79,000
LNR Property Corp..................................... 500 9,750
*LSI Logic Corp....................................... 5,100 79,050
*LTV Corp............................................. 3,900 21,450
Lafarge Corp.......................................... 5,900 218,669
*Lam Research Corp.................................... 1,100 19,628
Lehman Brothers Holdings, Inc......................... 6,700 334,581
Liberty Corp.......................................... 1,000 48,500
Liberty Financial Companies, Inc...................... 2,200 63,938
Lincoln National Corp................................. 3,700 309,644
Loews Corp............................................ 6,100 610,000
Longs Drug Stores Corp................................ 1,200 42,750
</TABLE>
15
<PAGE>
VA LARGE VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Louisiana-Pacific Corp................................ 6,000 $ 102,000
*Lubrizol Corp........................................ 1,000 27,125
*MGM Grand, Inc....................................... 3,015 77,448
Mallinckrodt, Inc..................................... 2,500 80,781
Mark IV Industries, Inc............................... 2,500 42,188
Mead Corp............................................. 3,800 115,188
Media General, Inc. Class A........................... 600 28,463
Metris Companies, Inc................................. 573 19,196
*Micron Technology, Inc............................... 6,000 247,875
*Millennium Chemicals, Inc............................ 3,200 76,400
Mitchell Energy & Development Corp. Class B........... 1,000 13,250
Morgan (J.P.) & Co., Inc.............................. 3,400 363,375
Morton International, Inc............................. 500 14,719
Murphy Oil Corp....................................... 800 31,900
NAC RE Corp........................................... 500 23,875
Nabisco Holdings Corp................................. 1,400 55,825
*National Semiconductor Corp.......................... 7,400 106,375
*Navistar International Corp.......................... 2,200 56,925
*Nextel Communications Corp. Class A.................. 3,000 64,594
Noble Affiliates, Inc................................. 600 15,188
Norfolk Southern Corp................................. 14,000 425,250
*Novell, Inc.......................................... 11,100 183,497
Occidental Petroleum Corp............................. 12,800 259,200
*Officemax, Inc....................................... 4,400 46,750
Ogden Corp............................................ 1,900 50,469
Ohio Casualty Corp.................................... 1,000 40,625
Old Republic International Corp....................... 5,850 124,678
Olsten Corp........................................... 3,000 22,500
Overseas Shipholding Group, Inc....................... 1,100 17,394
*Oxford Health Plans, Inc............................. 1,400 15,531
Pacific Century Financial Corp........................ 3,400 72,675
*Pacificare Health Systems, Inc. Class A.............. 216 15,026
*Pacificare Health Systems, Inc. Class B.............. 1,052 79,393
Pennzoil Co........................................... 3,000 111,375
Pep Boys - Manny, Moe & Jack.......................... 3,000 42,375
Phelps Dodge Corp..................................... 2,200 124,713
Pioneer Natural Resources Co.......................... 6,000 79,500
Potlatch Corp......................................... 1,200 45,375
*Provident Companies, Inc............................. 4,634 178,119
Pulte Corp............................................ 1,400 35,613
*Quantum Corp......................................... 3,200 70,900
Questar Corp.......................................... 1,500 28,781
RJR Nabisco Holdings Corp............................. 16,240 467,915
Rayonier, Inc......................................... 700 29,750
Reynolds Metals Co.................................... 4,600 252,425
*Rowan Companies, Inc................................. 3,500 34,344
Russell Corp.......................................... 1,100 26,194
Ryder System, Inc..................................... 3,000 85,688
Safeco Corp........................................... 5,900 253,516
Saint Paul Companies, Inc............................. 8,712 307,098
*Santa Fe Energy Resources, Inc....................... 1,900 14,606
*Seagate Technology, Inc.............................. 9,300 274,350
*Sensormatic Electronics Corp......................... 2,600 21,125
*Silicon Graphics, Inc................................ 6,600 80,850
*Smurfit-Stone Container Corp......................... 3,663 51,854
Springs Industries, Inc. Class A...................... 1,000 38,938
*Sprint Corp. (PCS Group)............................. 800 12,800
TIG Holdings, Inc..................................... 1,700 23,906
Tecumseh Products Co. Class A......................... 200 9,925
*Tektronix, Inc....................................... 2,100 56,306
*Tele-Communications Liberty Media Group Class A...... 1,102 44,459
Telephone & Data Systems, Inc......................... 1,900 81,225
Temple-Inland, Inc.................................... 1,900 102,006
Tenneco, Inc.......................................... 3,100 110,438
Terra Industries, Inc................................. 3,000 16,313
Tidewater, Inc........................................ 2,300 53,044
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Timken Co............................................. 2,600 $ 50,050
*Toys R Us, Inc....................................... 10,700 211,325
Transamerica Corp..................................... 2,400 255,000
Travelers Property Casualty Corp...................... 1,100 37,881
Tyson Foods, Inc. Class A............................. 3,900 80,681
UMB Financial Corp.................................... 330 14,850
USX-Marathon Group, Inc............................... 5,200 147,550
USX-US Steel Group.................................... 2,900 70,869
Ultramar Diamond Shamrock Corp........................ 1,600 41,200
Union Camp Corp....................................... 2,500 161,719
Union Pacific Corp.................................... 12,400 602,950
Union Pacific Resources Group, Inc.................... 9,900 110,756
Unionbancal Corp...................................... 1,600 159,700
*United States Cellular Corp.......................... 1,900 71,606
Unitrin, Inc.......................................... 1,000 70,875
Valero Energy Corp.................................... 2,200 46,200
Valhi, Inc............................................ 3,900 42,900
*Venator Group, Inc................................... 7,300 57,488
*Viacom, Inc. Class A................................. 4,900 321,869
*Viacom, Inc. Class B................................. 10,300 685,594
*Vishay Intertechnology, Inc.......................... 2,764 39,214
Weis Markets, Inc..................................... 1,700 64,813
Wesco Financial Corp.................................. 100 35,200
*Western Digital Corp................................. 1,600 20,900
Westvaco Corp......................................... 4,400 123,750
Weyerhaeuser Co....................................... 7,100 355,888
Whirlpool Corp........................................ 3,300 184,800
Willamette Industries, Inc............................ 4,100 143,244
Worthington Industries, Inc........................... 2,100 25,791
Xtra Corp............................................. 500 23,781
*Zale Corp............................................ 600 17,175
------------
TOTAL COMMON STOCKS
(Cost $24,732,454)................................... 29,810,477
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (7.4%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.25%, 08/31/02, valued at $2,268,438) to be
repurchased at $2,228,306.
(Cost $2,228,000)................................... $ 2,228 2,228,000
------------
TOTAL INVESTMENTS -- (106.1%)
(Cost $26,960,454)++................................. 32,038,477
------------
OTHER ASSETS AND
LIABILITIES -- (-6.1%)
Other Assets.......................................... 187,506
Payable for Investment Securities Purchased........... (2,022,793)
Other Liabilities..................................... (16,157)
------------
(1,851,444)
------------
NET ASSETS -- Applicable to 1,828,301 Outstanding $.01
Par Value Shares (50,000,000 Shares Authorized)...... $ 30,187,033
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 16.51
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
16
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (22.5%)
COMMON STOCKS -- (22.5%)
Aichi Steel Works, Ltd............................... 4,000 $ 6,704
Aisin Seiki Co., Ltd................................. 2,000 21,477
Amada Co., Ltd....................................... 3,000 15,010
*#Aoki Corp.......................................... 6,000 3,612
Aoyama Trading Co., Ltd.............................. 1,100 30,247
Asahi Bank, Ltd...................................... 9,000 34,413
Ashikaga Bank, Ltd................................... 9,000 15,083
Atsugi Nylon Industrial Co., Ltd..................... 5,000 4,759
Calpis Co., Ltd...................................... 2,000 8,119
Canon Sales Co., Inc................................. 2,000 28,702
Chiba Bank, Ltd...................................... 10,000 37,748
Chiyoda Fire and Marine Insurance Co., Ltd........... 5,000 16,271
Chudenko Corp........................................ 1,000 21,152
Chugoku Bank, Ltd.................................... 2,000 26,554
Chuo Trust and Banking Co., Ltd...................... 2,000 8,786
Citizen Watch Co., Ltd............................... 3,000 19,159
Cosmo Oil Co., Ltd................................... 10,000 15,050
Dai Tokyo Fire & Marine Insurance Co., Ltd........... 4,000 13,212
Daicel Chemical Industries, Ltd...................... 4,000 9,925
Daido Steel Co., Ltd................................. 5,000 7,566
Dai-Ichi Kangyo Bank, Ltd............................ 12,000 80,052
*#Daikyo, Inc........................................ 3,000 3,954
Daishi Bank, Ltd..................................... 5,000 16,881
Daito Trust Construction Co., Ltd.................... 2,916 23,675
#Daiwa Bank, Ltd..................................... 15,000 25,382
Daiwa House Industry Co., Ltd........................ 7,000 74,317
Daiwa Securities Co., Ltd............................ 22,000 78,571
Ezaki Glico Co., Ltd................................. 2,200 11,276
Fuji Photo Film Co., Ltd............................. 5,000 187,113
*Fujita Corp......................................... 9,000 5,491
Fukuoka City Bank, Ltd............................... 4,712 19,090
Fukuyama Transporting Co., Ltd....................... 4,000 18,093
Gunze, Ltd........................................... 4,000 8,623
*Hanwa Co., Ltd...................................... 2,000 1,969
*Haseko Corp......................................... 8,000 4,361
Higo Bank, Ltd....................................... 3,000 12,471
Hino Motors, Ltd..................................... 5,000 13,952
Hiroshima Bank, Ltd.................................. 2,000 6,948
Hitachi Koki Co., Ltd................................ 2,000 6,606
Hitachi Maxell, Ltd.................................. 1,000 16,881
Hitachi Metals, Ltd.................................. 5,000 14,725
Hitachi Transport System, Ltd........................ 2,000 13,423
Hitachi, Ltd......................................... 61,000 367,727
*Hokkaido Bank, Ltd.................................. 7,000 8,770
Hokuriku Bank, Ltd................................... 7,000 12,471
House Foods Corp..................................... 2,000 30,589
Hyakugo Bank, Ltd. (105th Bank)...................... 4,000 17,540
Hyakujishi Bank, Ltd................................. 3,000 16,499
Inax Corp............................................ 2,000 10,999
Industrial Bank of Japan............................. 10,000 54,100
Itochu Corp.......................................... 22,000 42,060
Kajima Corp.......................................... 13,000 34,689
*Kamagai Gumi Co., Ltd............................... 6,000 4,979
Kamigumi Co., Ltd.................................... 4,000 18,126
Kandenko Co., Ltd.................................... 3,000 20,013
Katokichi Co., Ltd................................... 1,000 14,416
Kinden Corp.......................................... 2,000 26,847
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#Kiyo Bank, Ltd...................................... 5,000 $ 9,356
Kobe Steel, Ltd...................................... 45,000 33,680
Kokusai Denshin Denwa Co., Ltd....................... 900 32,436
Kokusai Securities Co., Ltd.......................... 2,000 16,905
Komatsu, Ltd......................................... 14,000 71,868
Kureha Chemical Industry Co., Ltd.................... 4,000 10,511
Kyudenko Corp........................................ 2,000 12,935
Maeda Corp........................................... 2,000 6,102
Makita Corp.......................................... 2,000 22,128
Marubeni Corp........................................ 22,000 40,091
Maruetsu, Inc........................................ 3,000 9,103
Matsushita Electric Industrial Co., Ltd.............. 38,000 612,105
#Matsushita Electric Works, Ltd...................... 4,000 38,399
*Mazda Motor Corp.................................... 11,000 42,507
Meija Seika Kaisha, Ltd. Tokyo....................... 6,000 22,698
#Mitsubishi Chemical Corp............................ 33,000 61,747
Mitsubishi Corp...................................... 6,000 38,562
Mitsubishi Electric Corp............................. 37,000 93,915
Mitsubishi Gas Chemical Co., Inc..................... 5,000 13,342
Mitsubishi Materials Corp............................ 10,000 17,898
Mitsubishi Motors Corp............................... 14,000 40,091
*Mitsubishi Oil Co., Ltd............................. 4,000 6,638
Mitsui Chemicals, Inc................................ 5,000 17,084
Mitsui Trust & Banking Co., Ltd...................... 16,000 21,477
Mizuno Corp.......................................... 2,000 6,183
NKK Corp............................................. 64,000 45,818
NSK, Ltd............................................. 7,000 27,620
NTN Corp............................................. 4,000 12,398
Nagase & Co., Ltd.................................... 2,000 6,850
Nanto Bank, Ltd...................................... 3,000 14,278
Nichimen Corp........................................ 5,000 5,573
Nikko Securities Co., Ltd............................ 24,000 81,224
*Nippon Credit Bank, Ltd............................. 20,000 28,311
Nippon Light Metal Co., Ltd.......................... 8,000 8,721
Nippon Oil Co., Ltd.................................. 17,000 56,012
Nippon Sheet Glass Co., Ltd.......................... 4,000 8,884
Nippon Shinpan Co., Ltd.............................. 6,000 10,983
Nishimatsu Construction Co., Ltd..................... 4,000 21,965
Nissan Motor Co., Ltd................................ 10,000 30,914
Nisshin Steel Co., Ltd............................... 12,000 13,277
Nisshinbo Industries, Inc............................ 3,000 10,885
Nittetsu Mining Co., Ltd............................. 2,000 5,353
Nitto Boseki Co., Ltd................................ 7,000 15,774
Noritz Corp.......................................... 1,000 6,671
#Oki Electric Industry Co., Ltd...................... 9,000 24,675
Okumura Corp......................................... 4,000 17,247
Olympus Optical Co., Ltd............................. 3,000 32,899
Pioneer Electronic................................... 2,000 32,948
Sakura Bank, Ltd..................................... 43,000 109,844
San In Godo Bank, Ltd................................ 3,000 18,915
*Sankyo Aluminum Industry Co., Ltd................... 3,000 2,904
Sanyo Electric....................................... 35,000 99,089
Seino Transportation Co., Ltd........................ 2,000 11,145
Sekisui Chemical Co., Ltd............................ 8,000 48,812
Seksui House......................................... 10,000 97,462
Sharp Corp. Osaka.................................... 19,000 167,865
Shiga Bank, Ltd...................................... 4,000 16,694
#Shimizu Corp........................................ 12,000 39,538
Shinmaywa Industries, Ltd............................ 2,000 3,824
Shionogi & Co., Ltd.................................. 3,000 21,087
</TABLE>
17
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Snow Brand Milk Products Co., Ltd.................... 4,000 $ 15,457
Sumitomo Corp........................................ 15,000 82,127
Sumitomo Metal Mining Co., Ltd....................... 10,000 36,121
Sumitomo Realty & Development Co., Ltd............... 7,000 25,513
#Taiheiyo Cement Corp................................ 11,600 27,302
#Taisei Corp......................................... 14,000 26,765
Tanabe Seiyaku Co., Ltd.............................. 4,000 21,803
*Teijin, Ltd......................................... 15,000 53,815
Toda Corp............................................ 4,000 18,549
*Tokyo Sowa Bank..................................... 4,000 9,404
Tokyo Steel Manufacturing Co., Ltd................... 1,500 6,956
Tokyo Style Co., Ltd................................. 1,000 10,739
*Tokyo Tatemono Co., Ltd............................. 4,000 7,094
Tostem Corp.......................................... 4,000 66,710
Toyo Engineering Corp................................ 3,000 3,734
Toyo Seikan Kaisha, Ltd.............................. 3,100 51,700
Toyo Trust & Banking Co., Ltd........................ 11,000 34,185
Toyota Tsusho Corp................................... 4,000 11,422
Victor Co. of Japan, Ltd............................. 2,000 14,400
Yakult Honsha Co., Ltd............................... 2,000 11,764
Yamaguchi Bank....................................... 2,000 18,874
Yamato Kogyo Co., Ltd................................ 2,000 11,308
*Yasuda Trust & Banking Co., Ltd..................... 13,000 12,374
Yodogawa Steel Works, Ltd............................ 4,000 15,132
Yokogawa Electric Corp............................... 3,000 14,937
------------
TOTAL COMMON STOCKS
(Cost $6,917,403).................................... 4,729,633
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $399)............................ 409
------------
TOTAL -- JAPAN
(Cost $6,917,802).................................... 4,730,042
------------
UNITED KINGDOM -- (21.6%)
COMMON STOCKS -- (21.6%)
ASDA Group P.L.C..................................... 18,900 49,134
Allied Domecq P.L.C.................................. 8,132 69,261
*Anglian Water P.L.C................................. 2,025 28,846
Arcadia Group P.L.C.................................. 2,337 11,360
Arjo Wiggins Appleton P.L.C.......................... 5,400 10,161
Associated British Foods P.L.C....................... 10,000 101,182
Associated British Ports Holdings P.L.C.............. 4,600 23,879
BAA P.L.C............................................ 13,438 148,611
BG P.L.C............................................. 34,412 236,006
BOC Group P.L.C...................................... 6,500 94,468
BPB P.L.C............................................ 6,900 23,689
BTR P.L.C............................................ 23,200 47,484
Barclays P.L.C....................................... 4,571 103,742
Bass P.L.C........................................... 9,464 130,594
Blue Circle Industries P.L.C......................... 10,000 50,508
Britannic P.L.C...................................... 1,300 26,393
British Airways P.L.C................................ 11,189 75,721
British Land Co. P.L.C............................... 5,766 49,681
British Steel P.L.C.................................. 26,700 43,190
Capital Shopping Centres P.L.C....................... 4,000 23,439
*Centrica P.L.C...................................... 30,000 62,269
Commercial Union P.L.C............................... 13,722 217,662
Debenhams P.L.C...................................... 4,675 29,516
Diageo P.L.C......................................... 12,960 145,250
*Fairview Holdings P.L.C............................. 2,450 3,134
Great Universal Stores P.L.C......................... 10,100 105,111
Greenalls Group P.L.C................................ 3,000 17,777
Guardian Royal Exchange P.L.C........................ 10,660 58,065
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hanson P.L.C......................................... 7,000 $ 51,994
*Hillsdown Holdings P.L.C............................ 4,900 6,228
Hyder P.L.C.......................................... 1,759 23,590
Imperial Chemical Industries P.L.C................... 8,700 80,417
Inchcape P.L.C....................................... 5,000 10,316
LaPorte P.L.C........................................ 2,000 17,001
Ladbroke Group P.L.C................................. 13,087 50,655
Lasmo P.L.C.......................................... 8,700 20,068
Lonrho Africa P.L.C.................................. 1,587 1,716
Lonrho P.L.C......................................... 1,632 8,155
Mirror Group P.L.C................................... 6,000 14,459
National Power P.L.C................................. 6,226 53,027
National Westminster Bank P.L.C...................... 16,945 309,342
Norwich Union P.L.C.................................. 13,000 91,196
Pilkington P.L.C..................................... 8,117 8,776
Powergen P.L.C....................................... 6,228 86,095
RMC Group P.L.C...................................... 2,000 26,080
Rank Group P.L.C..................................... 9,535 33,838
Rio Tinto P.L.C...................................... 12,800 150,007
Rolls-Royce P.L.C.................................... 10,616 42,931
Royal & Sun Alliance Insurance Group, Inc. P.L.C..... 21,382 178,583
Safeway P.L.C........................................ 14,794 73,013
Sainsbury (J.) P.L.C................................. 16,944 141,936
Scottish & Newcastle P.L.C........................... 6,000 76,555
Scottish Hydro-Electric P.L.C........................ 4,000 46,415
*Sears P.L.C......................................... 1,210 4,294
Selfridges P.L.C..................................... 1,210 4,394
Severn Trent P.L.C................................... 2,995 51,166
Shell Transport & Trading Co., P.L.C................. 22,500 135,741
Slough Estates P.L.C................................. 4,000 17,959
Stakis P.L.C......................................... 10,000 17,496
Standard Chartered P.L.C............................. 6,000 63,779
Storehouse P.L.C..................................... 5,114 11,860
Tarmac P.L.C......................................... 10,606 19,782
Tate & Lyle P.L.C.................................... 4,000 25,221
*Terranova Foods P.L.C............................... 2,450 4,024
Tesco P.L.C.......................................... 44,947 132,799
*Thames Water PLC.................................... 2,603 49,797
*Thistle Hotels P.L.C................................ 6,140 13,682
Unigate P.L.C........................................ 2,600 20,406
Unilever P.L.C....................................... 10,600 110,315
United Assurance Group P.L.C......................... 3,000 27,606
United Biscuits Holdings P.L.C....................... 5,066 20,152
United Utilities P.L.C............................... 4,670 68,064
Whitbread P.L.C...................................... 6,282 85,026
Wolseley P.L.C....................................... 4,000 25,287
Yorkshire Water P.L.C................................ 3,261 29,416
------------
TOTAL COMMON STOCKS
(Cost $3,750,207).................................... 4,526,792
------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling (Cost $7,459)................ 7,400
------------
TOTAL -- UNITED KINGDOM
(Cost $3,757,666).................................... 4,534,192
------------
GERMANY -- (10.4%)
COMMON STOCKS -- (10.4%)
BASF AG.............................................. 10,650 411,001
BHF Bank AG.......................................... 1,500 59,440
BHW Holding AG, Berlin............................... 3,000 49,681
Bankgesellschaft Berlin AG........................... 2,700 46,310
Berliner Kraft & Licht Bewag AG...................... 1,000 55,004
Bilfinger & Berger Bau AG, Mannheim.................. 600 13,840
</TABLE>
18
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Commerzbank AG....................................... 7,850 $ 262,320
Deutsche Bank AG..................................... 6,500 421,728
Deutsche Lufthansa AG................................ 4,100 91,177
Deutsche Pfandbrief und Hypothekenbank AG, Depfa..... 500 41,401
Deutsche Telekom AG.................................. 9,000 266,149
FPB Holding AG....................................... 200 37,261
Hochtief AG.......................................... 1,200 46,310
Linde AG............................................. 100 57,725
Man AG, Muechen...................................... 100 29,513
Merck KGAA........................................... 700 29,188
Siemens AG........................................... 1,700 120,755
Thyssen AG........................................... 550 101,980
Vereins & Westbank AG................................ 1,120 33,783
------------
TOTAL COMMON STOCKS
(Cost $1,872,457).................................... 2,174,566
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $4,354).......................... 4,636
------------
TOTAL -- GERMANY
(Cost $1,876,811).................................... 2,179,202
------------
FRANCE -- (9.0%)
COMMON STOCKS -- (9.0%)
AGF (Assurances Generales de France SA).............. 835 49,618
*AGF (Assurances Generales de France, Paris SA
CVG)............................................... 137 74
Banque Nationale de Paris............................ 3,207 245,987
*Banque Paribas...................................... 1,846 165,031
Christian Dior SA.................................... 300 32,744
Credit Commercial de France.......................... 700 60,407
Elf Aquitaine........................................ 1,609 201,153
Eridania Beghin-Say SA............................... 300 55,755
*Euro Disney SCA..................................... 11,400 16,081
Filipacchi Medias SA................................. 100 21,072
Generale des Establissements Michelin SA Series B.... 1,500 64,933
Groupe Danone........................................ 500 146,353
LaFarge SA........................................... 1,267 119,747
Lyonnais des Eaux SA................................. 548 108,514
Pechiney SA Series A................................. 600 20,038
Pernod-Ricard........................................ 400 26,104
Peugeot SA........................................... 500 79,348
Rhone-Poulenc SA Series A............................ 1,144 57,188
Saint-Gobain......................................... 1,013 150,042
Societe Generale Paris............................... 1,228 194,013
*Thomson-CSF......................................... 900 33,961
Usinor............................................... 2,700 30,470
------------
TOTAL COMMON STOCKS
(Cost $1,382,645).................................... 1,878,633
------------
RIGHTS/WARRANTS -- (0.0%)
*AGF (Assurances Generales de France SA) Warrants
06/15/00
(Cost $3,702)...................................... 835 6,905
------------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $3,531)......................... ........... 3,644
------------
TOTAL -- FRANCE
(Cost $1,389,878).................................... 1,889,182
------------
SWITZERLAND -- (7.8%)
COMMON STOCKS -- (7.7%)
Baloise-Holding, Basel............................... 360 336,330
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Banque Cantonale Vaudois............................. 110 $ 39,526
Bobst SA, Prilly..................................... 20 27,309
Financiere Richemont AG Units -A-.................... 160 238,478
*Forbo Holding AG, Eglisau........................... 40 17,679
Helvetia Patria Holding, St. Gallen.................. 70 65,397
Holderbank Financiere Glarus AG, Glarus.............. 30 34,840
Intershop Holding AG, Zuerich........................ 40 25,613
Julius Baer Holding AG, Zuerich...................... 10 32,555
Oerlikon-Buehrle Holding AG, Zuerich................. 500 63,960
Pargesa Holding SA, Geneve........................... 50 84,442
Roche Holding AG, Basel.............................. 12 215,812
*Sairgroup, Zuerich.................................. 250 55,426
Schindler Holding AG, Hergiswil...................... 25 41,323
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall............................. 80 51,743
*United Bank of Switzerland.......................... 950 286,743
------------
TOTAL COMMON STOCKS
(Cost $1,155,620).................................... 1,617,176
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Swiss Francs (Cost $8,247).......................... 8,695
------------
TOTAL -- SWITZERLAND
(Cost $1,163,867).................................... 1,625,871
------------
NETHERLANDS -- (5.9%)
COMMON STOCKS -- (5.9%)
ABN Amro Holding NV.................................. 7,162 148,005
ASR Verzekeringsgroep NV............................. 808 65,900
*Buhrmann NV......................................... 2,000 32,624
DSM NV............................................... 539 50,520
Fortis Amev NV....................................... 3,316 244,363
Heineken Holding NV Series A......................... 3,125 130,797
Ing Groep NV......................................... 5,039 289,403
KLM (Koninklijke Luchtvaart Mij NV).................. 1,917 52,586
Koninklijke Hoogovens NV............................. 748 23,461
Nationale Investeringsbank NV........................ 1,015 27,949
Philips Electronics NV............................... 2,800 177,700
------------
TOTAL COMMON STOCKS
(Cost $777,028)...................................... 1,243,308
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $2,980)................... 3,092
------------
TOTAL -- NETHERLANDS
(Cost $780,008)...................................... 1,246,400
------------
ITALY -- (4.6%)
COMMON STOCKS -- (4.6%)
Banca Commerciale Italiana SpA....................... 26,000 178,443
*Banca di Roma....................................... 80,000 138,817
Fiat SpA............................................. 72,600 223,331
Ifil Finanziaria Partecipazioni SpA, Torino.......... 9,000 36,878
Italcementi Fabbriche Riunite Cemento SpA, Bergamo... 5,000 50,503
Montedison SpA....................................... 40,000 47,905
San Paolo-IMI SpA.................................... 14,500 238,614
Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA......................................... 2,800 45,408
------------
TOTAL COMMON STOCKS
(Cost $564,798)...................................... 959,899
------------
</TABLE>
19
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $3,211).......................... $ 3,362
------------
TOTAL -- ITALY
(Cost $568,009)...................................... 963,261
------------
SPAIN -- (3.5%)
COMMON STOCKS -- (3.5%)
Acerinox SA.......................................... 2,500 59,598
Autopistas Concesionaria Espanola SA................. 7,245 110,780
Autopistas del Mare Nostrum SA....................... 4,200 102,168
Banco Pastor SA, la Coruna........................... 400 25,021
Compania Espanola de Petroleos SA, Madrid............ 5,700 206,005
Cristaleria Espanola SA, Madrid...................... 349 24,326
DRACONSA (Dragados y Construcciones SA).............. 2,500 81,057
Hidroelectrica del Cantabrico SA, Oviedo............. 2,400 116,430
------------
TOTAL COMMON STOCKS
(Cost $656,478)...................................... 725,385
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta (Cost $2,488)........................ 2,527
------------
TOTAL -- SPAIN
(Cost $658,966)...................................... 727,912
------------
AUSTRALIA -- (2.5%)
COMMON STOCKS -- (2.5%)
Amcor, Ltd........................................... 4,441 19,380
Australia & New Zealand Banking Group, Ltd........... 6,489 42,884
Boral, Ltd........................................... 8,733 13,069
CSR, Ltd............................................. 8,813 21,224
Fosters Brewing Group, Ltd........................... 23,356 61,242
GIO Australia Holdings, Ltd.......................... 7,852 25,625
MIM Holdings......................................... 11,964 5,868
News Corp., Ltd...................................... 11,788 82,818
Pioneer International, Ltd........................... 8,037 17,081
Publishing and Broadcasting, Ltd..................... 4,563 19,869
Rio Tinto, Ltd....................................... 5,203 67,069
St. George Bank, Ltd................................. 4,206 27,407
WMC, Ltd............................................. 6,730 21,239
Westpac Banking Corp................................. 14,730 98,365
------------
TOTAL COMMON STOCKS
(Cost $504,189)...................................... 523,140
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $3,632)
................................................... 3,888
------------
TOTAL -- AUSTRALIA
(Cost $507,821)...................................... 527,028
------------
SWEDEN -- (2.5%)
COMMON STOCKS -- (2.5%)
Assidomaen AB........................................ 3,700 64,764
*Asticus AB.......................................... 280 2,381
Avesta Sheffield AB.................................. 2,000 6,361
Diligentia AB........................................ 560 3,762
Mo Och Domsjoe AB Series B........................... 2,300 52,733
SSAB Swedish Steel Series A.......................... 1,200 10,798
Stora Kopparbergs Bergslags AB Series A.............. 6,800 83,821
Stora Kopparbergs Bergslags AB Series B.............. 1,500 18,490
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Svenska Cellulosa AB Series B........................ 2,900 $ 63,809
Svenska Kullagerfabriken AB Series B................. 1,900 24,592
Swedish Match AB (Frueher Svenska Taendsticks AB).... 900 3,051
Trelleborg AB Series B............................... 1,400 11,821
Volvo AB Series A.................................... 2,400 54,287
Volvo AB Series B.................................... 5,100 118,817
------------
TOTAL COMMON STOCKS
(Cost $677,267)...................................... 519,487
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $2,250)......................... 2,205
------------
TOTAL -- SWEDEN
(Cost $679,517)...................................... 521,692
------------
BELGIUM -- (2.3%)
COMMON STOCKS -- (2.3%)
Bekaert SA........................................... 100 53,884
CMB (Cie Martime Belge).............................. 300 14,101
Cofinimmo SA......................................... 200 25,279
Electrafina SA....................................... 200 27,458
Glaverbel SA......................................... 200 25,853
Groupe Bruxelles Lambert SA, Bruxelles............... 200 37,661
Solvay SA............................................ 2,300 162,167
Suez Lyonnaise des Eaux SA........................... 500 100,315
*Suez Lyonnaise des Eaux SA VVPR..................... 500 14
*Suez Lyonnaise des Eaux CVG......................... 500 3,583
Union Miniere SA..................................... 600 27,515
------------
TOTAL COMMON STOCKS
(Cost $435,752)...................................... 477,830
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $550).......................... 576
------------
TOTAL -- BELGIUM
(Cost $436,302)...................................... 478,406
------------
HONG KONG -- (2.2%)
COMMON STOCKS -- (2.2%)
Amoy Properties, Ltd................................. 68,000 49,180
Chinese Estates Holdings, Ltd........................ 25,304 3,889
*Evergo China Holdings, Ltd.......................... 3,838 75
Great Eagle Holdings, Ltd............................ 7,482 9,760
Hang Lung Development Co., Ltd....................... 25,000 28,897
Hong Kong & Shanghai Hotels, Ltd..................... 18,416 15,222
Hopewell Holdings, Ltd............................... 70,000 8,860
Hysan Development Co., Ltd........................... 17,000 24,809
Kerry Properties, Ltd................................ 14,000 11,300
New World Development Co. Ltd........................ 9,000 21,852
Paliburg Holdings, Ltd............................... 45,000 4,824
Shangri-la Asia, Ltd................................. 30,000 26,734
Sino Land Co., Ltd................................... 46,000 23,615
Swire Pacific, Ltd. Series A......................... 22,000 99,729
Tan Chong International, Ltd......................... 30,000 2,983
Tsim Sha Tsui Properties, Ltd........................ 12,000 17,822
Wharf Holdings, Ltd.................................. 51,000 80,686
Wheelock and Co., Ltd................................ 34,000 30,957
------------
TOTAL COMMON STOCKS
(Cost $822,034)...................................... 461,194
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $2,341)..................... 2,647
------------
</TABLE>
20
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Chinese Estates Holdings, Ltd. Warrants 11/24/00.... 2,530 $ 142
*Chinese Estates Holdings, Ltd. Warrants 11/24/99.... 2,530 140
*Hong Kong & Shanghai Hotels, Ltd. Warrants
12/10/98........................................... 1,416 2
*Hysan Development Co., Ltd. Warrants 04/30/99....... 1,700 53
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 337
------------
TOTAL -- HONG KONG
(Cost $824,375)...................................... 464,178
------------
DENMARK -- (1.1%)
COMMON STOCKS -- (1.1%)
Kapital Holdings A.S................................. 503 28,170
Tele Danmark A.S. Series B........................... 1,087 121,754
Tryg Baltica Forsikring A.S.......................... 867 21,580
Unidanmark A.S. Series A............................. 803 65,709
------------
TOTAL COMMON STOCKS
(Cost $166,964)...................................... 237,213
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone (Cost $536)............................ 545
------------
TOTAL -- DENMARK
(Cost $167,500)...................................... 237,758
------------
SINGAPORE -- (0.8%)
COMMON STOCKS -- (0.8%)
Fraser & Neave, Ltd.................................. 5,000 17,305
Keppel Corp., Ltd.................................... 24,000 63,243
Keppel Land, Ltd..................................... 29,000 34,336*
Neptune Orient Lines, Ltd............................ 23,000 9,007
Singapore Land, Ltd.................................. 9,000 21,530
United Industrial Corp., Ltd......................... 43,000 18,798
United Overseas Land, Ltd............................ 12,000 8,379
------------
TOTAL COMMON STOCKS
(Cost $314,206)...................................... 172,598
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $2,935)..................... 3,026
------------
TOTAL -- SINGAPORE
(Cost $317,140)...................................... 175,624
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
MALAYSIA -- (0.3%)(##)
COMMON STOCKS -- (0.3%)
Berjaya Group Berhad................................. 15,000 $ 1,795
Berjaya Leisure Berhad............................... 11,000 3,748
Golden Hope Plantations Berhad....................... 15,000 8,619
Kuala Lumpur Kepong Berhad........................... 10,000 9,761
Malaysia Industrial Development Finance Berhad....... 11,000 2,613
Malaysian Airlines System............................ 13,000 5,937
*Renong Berhad....................................... 17,000 3,976
Sime Darby Berhad (Malaysia)......................... 30,000 19,558
Tan Chong Motor Holdings Berhad...................... 10,000 2,062
------------
TOTAL -- MALAYSIA
(Cost $218,828)...................................... 58,069
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.0%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.125%, 12/31/01, valued at $633,675) to be
repurchased at $623,086. (Cost $623,000)........... $ 623 623,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $20,887,490)++................................. $ 20,981,817
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $20,947,701.
## Illiquid securities fair valued by the Board of Directors.
</TABLE>
See accompanying Notes to Financial Statements.
21
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (25.2%)
COMMON STOCKS -- (25.2%)
Achilles Corp........................................ 6,000 $ 8,054
Aica Kogyo Co., Ltd.................................. 3,000 9,958
Aichi Tokei Denki Co., Ltd........................... 3,000 6,224
Aida Engineering, Ltd................................ 3,000 10,739
#Akai Electric Co., Ltd.............................. 9,000 9,884
Amada Metrecs Co., Ltd............................... 3,000 14,107
Amada Sonoike Co., Ltd............................... 7,000 18,964
Arai-Gumi, Ltd....................................... 1,200 2,685
#Asahi Denka Kogyo KK................................ 3,000 13,033
Asahi Diamond Industrial Co., Ltd.................... 5,000 22,494
Asahi Kogyosha Co., Ltd.............................. 3,000 10,202
Asahi Optical Co., Ltd............................... 5,000 18,305
Asahi Organic Chemicals Industry Co., Ltd............ 3,000 8,713
Ashimori Industry Co., Ltd........................... 3,000 5,443
*Asics Corp.......................................... 7,000 6,777
Atsugi Nylon Industrial Co., Ltd..................... 19,000 18,085
Azel Corp., Tokyo.................................... 2,000 3,921
Bando Chemical Industries, Ltd....................... 5,000 12,203
*#Bank of Osaka, Ltd................................. 9,000 14,058
CKD Corp............................................. 2,000 5,451
Central Finance Co., Ltd............................. 4,000 7,159
Central Glass Co., Ltd............................... 7,000 11,959
#Chiba Kogyo Bank, Ltd............................... 800 13,147
*Chiyoda Corp........................................ 12,000 27,725
*Chori Co., Ltd...................................... 5,000 6,386
Chukyo Coca-Cola Bottling Co., Ltd................... 3,000 25,382
Chukyo Sogo Bank, Ltd................................ 5,000 16,840
*Cosmo Securities Co., Ltd........................... 22,000 12,349
Dai-Dan Co., Ltd..................................... 3,000 19,525
Daido Hoxan, Inc..................................... 4,000 8,786
*Daiei OMC, Inc...................................... 9,000 9,738
Daihen Corp.......................................... 11,000 18,972
Dainichiseika Colour & Chemicals Manufacturing Co.,
Ltd................................................ 4,000 13,114
Daisan Bank, Ltd..................................... 4,000 14,579
*Daiwa Danchi Co., Ltd............................... 5,000 10,983
Daiwabo Co., Ltd..................................... 8,000 8,851
Denki Kogyo Co., Ltd................................. 3,000 17,206
Ehime Bank, Ltd...................................... 5,000 18,955
France Bed Co., Ltd.................................. 4,000 12,008
*Fuji Kosan Co., Ltd................................. 6,000 6,248
Fuji Kyuko Co., Ltd.................................. 5,000 16,271
Fuji Oil Co., Ltd.................................... 3,000 15,693
*Fuji Spinning Co., Ltd., Tokyo...................... 4,000 4,784
Fujiko Co., Ltd...................................... 4,000 3,287
*Fujiya Co., Ltd..................................... 10,000 21,071
*Furukawa Battery Co., Ltd........................... 3,000 5,028
Furukawa Co., Ltd.................................... 18,000 27,677
Fuso Pharmaceutical Industries, Ltd.................. 5,000 21,111
*Gakken Co., Ltd..................................... 3,000 3,807
*Godo Steel, Ltd..................................... 6,000 5,369
*#Hazama Corp........................................ 17,000 12,032
Hisamitsu Pharmaceutical Co., Inc.................... 3,000 33,802
Hitachi Electronics, Ltd............................. 3,000 13,911
Hitachi Medical Corp................................. 2,000 20,078
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hitachi Plant Engineering & Construction Co., Ltd.... 6,000 $ 16,108
Hitachi Seiki Co., Ltd............................... 4,000 6,834
Hokkaido Gas Co., Ltd................................ 4,000 7,224
*Hokuriku Electric Industry Co., Ltd................. 4,000 5,207
Horiba, Ltd.......................................... 2,000 20,338
Howa Machinery, Ltd.................................. 5,000 5,735
Ichikoh Industries, Ltd.............................. 4,000 6,638
Iino Kaiun Kaisha, Ltd............................... 9,000 16,181
Inageya Co., Ltd..................................... 2,000 15,945
Intec, Inc........................................... 2,000 17,328
*Iseki & Co., Ltd.................................... 14,000 15,148
Itochu Fuel Corp..................................... 4,000 12,886
Iwasaki Electric Co., Ltd............................ 4,000 7,712
*Iwatsu Electric Co., Ltd............................ 3,000 4,393
#JDC Corp............................................ 6,000 3,173
JGC Corp............................................. 10,000 25,138
Japan Aviation Electronics Industry, Ltd............. 3,000 9,030
*#Japan Coated Paper Manufacturing Co., Ltd.......... 3,000 3,124
Japan Paperboard Industries Co., Ltd., Tokyo......... 3,000 5,857
Japan Pulp and Paper Co., Ltd........................ 5,000 16,677
*Japan Steel Works, Ltd.............................. 21,000 27,335
Japan Transcity Corp................................. 3,000 6,907
Japan Vilene Co., Ltd................................ 3,000 6,102
Japan Wool Textile Co., Ltd.......................... 6,000 28,311
Jeol, Ltd............................................ 5,000 22,820
Joshin Denki Co., Ltd................................ 2,000 4,897
Kagawa Bank, Ltd..................................... 3,000 14,937
Kagome Co., Ltd...................................... 3,000 23,186
Kaken Pharmaceutical Co., Ltd........................ 7,000 23,405
Kanematsu Corp....................................... 21,000 19,989
Kanematsu-NNK Corp................................... 3,000 10,129
*Kansai Kisen Kaisha................................. 9,000 4,759
Kanto Auto Works, Ltd., Yokosuka..................... 3,000 9,616
Kanto Denka Kogyo Co., Ltd........................... 4,000 10,251
Kawada Industries, Inc............................... 2,000 4,149
Kawai Musical Instruments Manufacturing Co., Ltd..... 5,000 12,122
Keiyo Co., Ltd....................................... 2,000 9,844
Kita-Nippon Bank, Ltd................................ 400 18,549
Kokusai Kogyo Co., Ltd............................... 2,000 8,477
Komatsu Forklift Co., Ltd............................ 3,000 4,735
Kosei Securities Co., Ltd............................ 4,000 5,890
Kurabo Industries, Ltd............................... 13,000 14,595
Kuraya Corp.......................................... 5,000 58,656
Kyodo Shiryo Co., Ltd................................ 5,000 6,061
Kyushu Bank, Ltd..................................... 4,000 12,951
Life Corp............................................ 2,000 9,030
Marudai Food Co., Ltd................................ 5,000 10,373
Maruha Corp.......................................... 18,000 18,744
*Maruyama Manufacturing Co., Inc..................... 3,000 6,004
Maruzen Co., Ltd..................................... 4,000 9,567
Matsuo Bridge Co., Ltd............................... 3,000 5,345
Melco, Inc........................................... 2,000 31,321
Misawa Homes Co., Ltd................................ 9,000 25,626
</TABLE>
22
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Mitsubishi Cable Industries, Ltd..................... 14,000 $ 23,918
*Mitsubishi Plastics, Inc............................ 16,000 19,525
*Mitsubishi Shindoh Co., Ltd......................... 3,000 3,954
*Mitsubishi Steel Manufacturing Co., Ltd............. 5,000 4,881
Mitsuboshi Belting, Ltd.............................. 8,000 23,170
#Mitsui Construction Co., Ltd........................ 6,000 6,102
Mitsui Home Co., Ltd................................. 4,000 21,152
*Mitsui Mining Co., Ltd.............................. 5,000 4,963
Mitsuuroko Co., Ltd.................................. 3,000 13,692
#Miura Co., Ltd...................................... 2,000 27,009
*Morinaga & Co., Ltd................................. 16,000 20,566
Nachi-Fujikoshi Corp................................. 13,000 21,258
*#Nagasakiya Co., Ltd. (Tokyo)....................... 5,000 7,118
Nakamuraya Co., Ltd.................................. 3,000 8,030
Nakayama Steel Works, Ltd............................ 5,000 9,315
*Navix Line, Ltd..................................... 34,000 15,766
Nichias Corp......................................... 4,000 8,461
Nichiha Corp......................................... 4,000 32,867
*Nichimo Co., Ltd.................................... 5,000 6,671
Nichireki Co., Ltd................................... 2,000 7,485
Nichiro Corp......................................... 5,000 6,915
Nifco, Inc........................................... 2,000 16,027
*Niigata Engineering Co., Ltd........................ 14,000 11,276
Nikkiso Co., Ltd..................................... 4,000 25,708
Nippon Beet Sugar Manufacturing Co., Ltd............. 5,000 8,176
*Nippon Carbon Co., Ltd.............................. 5,000 7,810
Nippon Chemical Industrial Co., Ltd.................. 2,000 5,499
Nippon Chemi-Con Corp................................ 5,000 18,874
Nippon Columbia Co., Ltd............................. 3,000 6,248
Nippon Concrete Industries Co., Ltd.................. 3,000 4,515
Nippon Densetsu Kogyo Co., Ltd....................... 2,000 6,346
*Nippon Kasei Chemical Co., Ltd...................... 5,000 7,118
Nippon Shinyaku Co., Ltd............................. 3,000 17,572
Nippon Signal Co., Ltd............................... 3,000 13,423
*Nippon Steel Chemical Co., Ltd...................... 6,000 5,955
*Nippon Suisan Kaisha, Ltd........................... 18,000 20,062
Nippon Synthetic Chemical Industry Co., Ltd.......... 3,000 6,394
Nippon Thompson Co., Ltd............................. 3,000 14,156
Nippon Yusen KK...................................... 1,250 3,813
Nissan Shatai Co., Ltd............................... 11,000 23,983
Nissha Printing Co., Ltd............................. 3,000 18,012
Nisshin Oil Mills, Ltd............................... 10,000 27,579
Nitsuko Corp......................................... 3,000 10,031
Nittetsu Mining Co., Ltd............................. 3,000 8,030
Noritz Corp.......................................... 2,000 13,342
North Pacific Bank, Ltd.............................. 5,000 19,769
*Odakyu Real Estate Co., Ltd......................... 4,000 7,745
Okamoto Industries, Inc.............................. 9,000 19,476
*Okasan Securities Co., Ltd.......................... 7,000 10,820
*Okura and Co., Ltd.................................. 6,000 3,173
*Pacific Metals Co., Ltd............................. 7,000 4,897
Parco Co., Ltd....................................... 2,000 7,989
*Pasco Corp.......................................... 5,000 17,491
*Prima Meat Packers, Ltd............................. 5,000 5,735
Raito Kogyo Co., Ltd................................. 2,400 20,423
Rasa Industries, Ltd................................. 3,000 9,128
Rheon Automatic Machinery Co., Ltd................... 2,000 7,403
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Rohto Pharmaceutical Co., Ltd........................ 2,000 $ 14,383
Ryobi, Ltd........................................... 5,000 9,559
Ryoyo Electro Corp................................... 2,000 18,711
SS Pharmaceutical Co., Ltd., Tokyo................... 4,000 14,806
SXL Corp............................................. 3,000 6,614
Sagami Co., Ltd...................................... 3,000 6,736
Sakai Chemical Industry Co., Ltd..................... 3,000 7,664
Sakata Inx Corp...................................... 3,000 9,299
*Sankyo Aluminum Industry Co., Ltd................... 16,000 15,490
Sankyu, Inc., Tokyo.................................. 20,000 26,033
Sanyo Shokai, Ltd.................................... 5,000 15,823
Sanyo Special Steel Co., Ltd......................... 7,000 6,378
Sasebo Heavy Industries Co., Ltd., Tokyo............. 7,000 8,371
Seiko Corp........................................... 3,000 13,179
Seiyo Food Systems, Inc.............................. 3,000 10,910
#Shikoku Chemicals Corp.............................. 3,000 8,298
Shimizu Bank, Ltd.................................... 400 20,078
Shinagawa Fuel Co., Ltd.............................. 3,000 10,495
Shindengen Electric Manufacturing Co., Ltd........... 3,000 13,985
Shin-Etsu Polymer Co., Ltd........................... 5,000 25,220
*Shinko Electric Co., Ltd............................ 6,000 10,836
Shinmaywa Industries, Ltd............................ 5,000 9,559
Showa Electric Wire & Cable Co., Ltd., Kawasaki...... 12,000 19,525
Showa Sangyo Co., Ltd................................ 10,000 20,257
Sumitomo Construction Co., Ltd....................... 6,000 7,224
*Sumitomo Light Metal Industries, Ltd................ 11,000 11,723
Sumitomo Precision Products Co., Ltd., Amagasaki
City............................................... 2,000 6,248
Sun Wave Corp........................................ 2,000 4,897
Taisei Rotec Corp.................................... 3,000 4,906
Takaoka Electric Manufacturing Co., Ltd., Tokyo...... 4,000 6,671
Takasago International Corp.......................... 3,000 15,376
Takashima & Co., Ltd................................. 4,000 7,387
Takiron Co., Ltd..................................... 3,000 6,809
Tamura Corp.......................................... 4,000 18,549
Tasaki Shinju Co., Ltd............................... 2,000 5,874
*Teac Corp........................................... 5,000 23,511
Teisan KK............................................ 5,000 12,528
Tenma Corp........................................... 2,000 21,640
Toa Corp............................................. 12,000 22,551
Toa Doro Kogyo Co., Ltd.............................. 3,000 5,003
*Toa Wool Spinning & Weaving Co., Ltd................ 6,000 6,834
Tochigi Bank, Ltd.................................... 3,000 13,911
Toenec Corp.......................................... 3,000 10,983
Toho Zinc Co., Ltd................................... 4,000 11,292
Tokai Carbon Co., Ltd................................ 12,000 26,944
Tokai Rika Co., Ltd.................................. 3,000 11,691
Tokico, Ltd.......................................... 4,000 5,337
Tokin Corp........................................... 2,000 10,625
Tokushu Paper Manufacturing Co., Ltd................. 3,000 17,914
Tokyo Kikai Seisakusho, Ltd.......................... 3,000 18,670
Tokyo Rope Manufacturing Co., Ltd.................... 4,000 5,662
*Tokyo Securities Co., Ltd........................... 4,000 3,677
Tokyo Tanabe Co., Ltd., Tokyo........................ 8,000 28,962
</TABLE>
23
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Tokyo Tekko Co., Ltd................................ 3,000 $ 2,197
Tokyo Theatres Co., Inc., Tokyo...................... 6,000 8,103
Tokyu Hotel Chain Co., Ltd........................... 12,000 14,644
Tokyu Store Chain Corp............................... 4,000 16,531
Tonami Transportation Co., Ltd....................... 3,000 5,613
Topy Industries, Ltd................................. 16,000 21,608
Toshiba Machine Co., Ltd............................. 6,000 13,472
Totoku Electric Co., Ltd., Tokyo..................... 3,000 5,345
Toyama Chemicals Co., Ltd............................ 6,000 25,382
Toyo Chemical Co., Ltd............................... 3,000 10,812
*Toyo Electric Co., Ltd.............................. 5,000 6,102
Toyo Engineering Corp................................ 11,000 13,692
Toyo Exterior Co., Ltd............................... 3,000 30,093
Toyo Kohan Co., Ltd.................................. 3,000 11,861
Toyo Tire & Rubber Co., Ltd.......................... 8,000 13,993
Toyo Umpanki Co., Ltd................................ 5,000 10,739
Tsubaki Nakashima Co., Ltd........................... 4,000 22,942
Tsumura & Co., Inc................................... 3,000 11,056
Unisia Jecs Corp..................................... 3,000 5,052
Wakachiku Construction Co., Ltd...................... 4,000 7,354
Yokohama Reito Co., Ltd.............................. 3,000 17,450
Yomiuri Land Co., Ltd................................ 3,000 7,322
Yondenko Corp........................................ 2,100 8,593
#Yonekyu Corp........................................ 2,000 29,043
Yoshimoto Kogyo Co., Ltd............................. 2,000 12,398
*Yuasa Corp.......................................... 7,000 17,768
Yurtec Corp.......................................... 4,000 23,300
Zenchiku Co., Ltd.................................... 4,000 9,925
------------
TOTAL COMMON STOCKS
(Cost $5,028,708).................................... 3,193,306
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $1,414).......................... 1,447
------------
TOTAL -- JAPAN
(Cost $5,030,122).................................... 3,194,753
------------
UNITED KINGDOM -- (17.2%)
COMMON STOCKS -- (17.1%)
Abbot Group P.L.C.................................... 7,000 21,606
Abbott Mead Vickers P.L.C............................ 2,850 18,840
Albright & Wilson P.L.C.............................. 12,000 15,846
Amec P.L.C........................................... 9,172 27,099
Ash & Lacy P.L.C..................................... 7,000 13,287
BPP Holdings P.L.C................................... 1,400 10,803
BSG International P.L.C.............................. 13,300 25,905
Bellway P.L.C........................................ 4,000 18,850
Benchmark Group P.L.C................................ 5,000 11,142
Berisford P.L.C...................................... 7,000 21,780
Bespak P.L.C......................................... 1,360 19,642
Black (Peter) Holdings P.L.C......................... 3,000 14,063
*Body Shop International P.L.C....................... 8,000 9,639
Booker P.L.C......................................... 11,000 12,256
Bradford Property Trust P.L.C........................ 6,000 21,936
Bradstock Group P.L.C................................ 21,000 15,598
Brake Brothers P.L.C................................. 2,430 27,876
Brammer (H.) P.L.C................................... 1,909 10,099
*British Biotech P.L.C............................... 30,000 19,312
British Polythene Industries P.L.C................... 2,000 9,375
British-Borneo Petroleum Syndicate P.L.C............. 5,142 12,519
Bryant Group P.L.C................................... 10,570 14,830
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Bulmer (H.P.) Holdings P.L.C......................... 2,002 $ 11,731
Carpetright P.L.C.................................... 4,000 12,974
Charter P.L.C........................................ 4,400 20,735
*Chiroscience Group P.L.C............................ 5,000 24,553
City Centre Restaurants P.L.C........................ 9,500 11,133
Courtaulds Textiles P.L.C............................ 4,600 11,959
Courts P.L.C......................................... 2,320 10,244
Davis Service Group P.L.C............................ 6,666 37,630
Dawson Group P.L.C................................... 4,000 12,743
Dawson International P.L.C........................... 10,277 2,290
Delta P.L.C.......................................... 6,000 12,528
Derwent Valley Holdings P.L.C........................ 2,000 15,615
Dewhirst Group P.L.C................................. 6,000 8,913
*Dialog Corp. P.L.C.................................. 8,000 9,375
Diploma P.L.C........................................ 3,000 8,170
Ellis & Everard P.L.C................................ 4,300 15,508
Euromoney Publications P.L.C......................... 990 26,963
Fairey Group P.L.C................................... 4,610 22,333
Finelist Group P.L.C................................. 3,000 4,853
First Choice Holidays................................ 14,437 23,949
Forth Ports P.L.C.................................... 2,000 18,157
Geest P.L.C.......................................... 3,000 20,055
Gerrard Group P.L.C.................................. 3,500 18,487
Go-Ahead Group P.L.C................................. 2,000 22,448
Graham Group P.L.C................................... 7,000 15,020
Greene King P.L.C.................................... 2,000 17,694
Greggs P.L.C......................................... 640 26,410
Greycoat P.L.C....................................... 6,000 14,509
Hambro Countrywide P.L.C............................. 14,000 26,344
Hazlewood Foods P.L.C................................ 11,000 25,873
Henlys Group P.L.C................................... 2,000 14,443
Heywood Williams Group P.L.C......................... 5,000 17,455
Highland Distilleries Co. P.L.C...................... 6,000 25,403
Hiscox P.L.C......................................... 6,000 16,886
Hogg Robinson P.L.C.................................. 4,770 16,140
House of Fraser P.L.C................................ 8,000 9,177
Hunting P.L.C........................................ 5,060 11,902
Ibstock P.L.C........................................ 19,000 18,190
Iceland Group P.L.C.................................. 8,000 32,022
Jardine Lloyd Thompson Group P.L.C................... 8,790 29,525
Johnston Press P.L.C................................. 7,010 24,298
Kalon Group P.L.C.................................... 14,550 21,855
Laird Group P.L.C.................................... 6,800 15,377
London Clubs International P.L.C..................... 7,000 16,118
London Forfeiting Co................................. 5,000 12,379
London Merchant Securities P.L.C..................... 10,000 17,909
Low & Bonar P.L.C.................................... 5,000 13,535
Lynx Holdings P.L.C.................................. 5,000 14,855
MacFarlane Group Clansman P.L.C...................... 6,000 6,883
Manchester United P.L.C.............................. 12,000 43,378
Marley P.L.C......................................... 12,857 22,813
McBride P.L.C........................................ 6,500 16,952
Meggitt P.L.C........................................ 10,461 22,447
Mersey Docks & Harbour Co. P.L.C..................... 3,580 30,078
*Micro Focus Group P.L.C............................. 3,575 7,435
Molins P.L.C......................................... 1,360 2,582
*Monument Oil & Gas Holdings P.L.C................... 35,000 22,097
Mowlem (John) & Co. P.L.C............................ 8,000 12,611
*NXT P.L.C........................................... 2,800 17,678
</TABLE>
24
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Nestor - BNA P.L.C................................... 3,700 $ 24,520
*Oxford Molecular Group P.L.C........................ 6,530 5,766
Parity P.L.C......................................... 2,000 16,011
Perkins Foods P.L.C.................................. 6,688 15,620
Persimmon P.L.C...................................... 8,162 23,172
Photo-Me International P.L.C......................... 6,000 35,405
Polypipe P.L.C....................................... 8,225 15,884
*Premier Consolidated Oilfields P.L.C................ 40,000 14,525
Psion P.L.C.......................................... 4,000 31,196
Quick Group P.L.C.................................... 12,738 13,982
Redrow Group P.L.C................................... 11,000 29,686
Regent Inns P.L.C.................................... 4,000 7,362
Renishaw P.L.C....................................... 2,904 17,568
SIG P.L.C............................................ 4,300 10,008
Salvesen (Christian) P.L.C........................... 12,000 20,203
Scapa Group P.L.C.................................... 11,000 19,972
*Sears P.L.C......................................... 6,200 22,002
Seibe P.L.C.......................................... 3,652 13,141
Senior Engineering Group P.L.C....................... 12,000 24,858
Shanks & McEwan Group P.L.C.......................... 8,000 26,542
St. Modwen Properties P.L.C.......................... 23,000 24,866
Stanley Leisure Organisation P.L.C................... 4,000 17,166
Staveley Industries P.L.C............................ 6,000 8,170
Swan Hill Group P.L.C................................ 13,000 9,549
T & S Stores P.L.C................................... 7,690 34,716
Taylor Nelson AGB P.L.C.............................. 18,000 23,026
Tibbett & Britten Group P.L.C........................ 2,300 11,674
Tilbury Douglas P.L.C................................ 9,249 36,105
Transport Development Group P.L.C.................... 4,126 17,264
Vardon P.L.C......................................... 9,000 21,615
Vaux Group P.L.C..................................... 5,168 21,283
Vitec Group P.L.C.................................... 2,000 17,744
Vosper Thornycroft Holdings P.L.C.................... 1,460 19,219
Waddington (John) P.L.C.............................. 3,980 11,069
*Wates City of London Properties P.L.C............... 12,000 14,855
Watson & Philip P.L.C................................ 2,300 6,796
Westbury P.L.C....................................... 5,170 16,939
Westminster Health Care Holdings P.L.C............... 3,000 9,730
Wilson (Connolly) Holdings P.L.C..................... 8,000 15,714
Wolverhampton & Dudley Breweries P.L.C............... 2,400 16,896
Yates Brothers Wine Lodges P.L.C..................... 3,000 15,524
------------
TOTAL COMMON STOCKS
(Cost $2,645,306).................................... 2,171,265
------------
INVESTMENT IN CURRENCY -- (0.1%)
*British Pound Sterling (Cost $7,528)................ 7,491
------------
TOTAL -- UNITED KINGDOM
(Cost $2,652,834).................................... 2,178,756
------------
FRANCE -- (8.4%)
COMMON STOCKS -- (8.4%)
Boiron SA............................................ 300 24,281
Bollore Technologies SA.............................. 200 39,850
Brioche Pasquier SA.................................. 200 24,475
*CDE (Comptoir des Entrepeneurs SA).................. 7,678 17,736
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Carbone Lorraine..................................... 400 $ 20,807
*Concorde Cie d'Assurances Contre les Risques de
Toute Nature SA.................................... 100 35,266
*DMC (Dollfus Mieg et Cie)........................... 300 4,041
Damart SA............................................ 30 24,862
Dietrich et Cie...................................... 450 23,646
Europe 1 Communication............................... 81 18,996
Fimalac SA........................................... 330 39,045
Fonciere Lyonnaise SA................................ 204 33,273
Fraikin SA........................................... 400 29,623
GFI Industries SA.................................... 500 19,044
Gaumont.............................................. 405 25,423
*Generale de Geophysique SA.......................... 300 20,578
*Groupe Andre SA..................................... 304 36,344
Groupe du Louvre SA.................................. 700 51,779
*Groupe Norbert Dentressangle SA..................... 600 21,477
Groupement pour le Financement de la Construction
SA................................................. 426 50,854
Guyenne et Gascogne SA............................... 60 26,132
Havas Advertising SA................................. 209 36,300
Immeubles de France.................................. 405 35,992
*Infogrames Entertainment SA......................... 550 34,428
Legris Industries SA................................. 400 17,492
*Metaleurop SA....................................... 1,500 7,141
*Moulinex SA......................................... 1,440 25,137
Nord-Est............................................. 900 28,042
Rochefortaise Communication SA....................... 190 21,609
Rue Imperiale de Lyon................................ 20 23,769
*SFIM (Societe de Fabrication d'Instruments de
Mesure)............................................ 102 9,712
Signaux et d'Equipements Electroniques SA............ 321 25,584
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)........................ 160 31,034
Skis Rossignol SA.................................... 648 9,655
Sogeparc SA.......................................... 300 24,862
Sommer-Allibert SA................................... 900 25,550
Sopra Conseil et Assistance en Informatique SA....... 100 34,278
Strafor Facom SA..................................... 283 19,337
Sylea SA............................................. 200 11,391
*Thomson-CSF......................................... 918 34,640
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies)................................. 400 16,258
------------
TOTAL COMMON STOCKS
(Cost $903,729)...................................... 1,059,743
------------
RIGHTS/WARRANTS -- (0.0%)
*Fonciere Lyonnaise SA Warrants 07/30/02............. 204 259
*Havas Advertising SA Warrants 05/13/01.............. 207 438
*Infogrames Entertainment SA Warrants 06/30/01....... 50 360
------------
TOTAL RIGHTS/WARRANTS
(Cost $403).......................................... 1,057
------------
</TABLE>
25
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VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs (Cost $21)............................ $ 20
------------
TOTAL -- FRANCE
(Cost $904,153)...................................... 1,060,820
------------
GERMANY -- (7.0%)
COMMON STOCKS -- (7.0%)
AGIV AG fuer Industrie & Verkehrswesen............... 1,700 39,112
Aachener und Muenchener Beteiligungs AG.............. 417 53,272
Andreae-Noris Zahn AG, Anzag......................... 580 17,666
Barmag AG............................................ 700 20,079
Bayerische Handelsbank AG............................ 860 26,704
Binding-Brauerei AG.................................. 70 19,251
*Brau und Brunnen AG................................. 300 26,615
*Concordia Bau und Boden AG.......................... 667 5,464
DSL Holding AG....................................... 150 25,018
*Deutsche Babcock AG, Oberhausen..................... 380 20,947
Duerr Beteiligungs AG................................ 500 13,219
Dyckerhoff & Widmann AG.............................. 100 11,711
Fag Kugelfischer Georg Schaeffer AG.................. 1,250 11,311
Gerresheimer Glas AG................................. 1,000 14,017
Goldschmidt AG Seobl................................. 50 20,405
*Harpen AG........................................... 25 5,101
Harpener AG.......................................... 100 21,322
Holsten-Brauerei AG, Hamburg......................... 100 20,996
*Holzmann (Philipp) AG............................... 200 23,066
Horten AG............................................ 200 27,798
IWKA AG.............................................. 1,000 17,152
KWS Kleinwanzlebener Saatzucht AG.................... 15 12,199
*Kali und Salz Beteiligungs AG....................... 200 28,626
Kiekert AG........................................... 500 22,327
*Kloeckner-Werke AG.................................. 400 23,539
Km-Europa Metal AG................................... 400 22,948
Kraftuebertragungswerke Rheinfelden AG............... 80 24,841
Mannheimer Versicherung AG........................... 48 28,389
Phoenix AG, Hamburg.................................. 1,000 19,872
Plettac AG........................................... 70 6,417
Rheinboden Hypothekenbank AG......................... 100 19,813
Rheinmetall Berlin AG................................ 990 22,836
Rhoen Klinikum AG.................................... 200 19,163
Salamander AG, Kornwesteim........................... 100 17,749
Schmalbach-Lubeca AG................................. 140 19,127
*Strabag AG.......................................... 100 6,506
Stuttgarter Hofbraeu AG.............................. 100 33,594
Sued-Chemie AG....................................... 200 8,813
Sueddeutsche Bodencreditbank AG...................... 150 5,545
Tarkett AG........................................... 1,200 15,685
Varta AG............................................. 130 19,376
Verseidag AG......................................... 2,000 28,271
Vossloh AG........................................... 800 24,509
Walter AG............................................ 1,000 31,051
------------
TOTAL COMMON STOCKS
(Cost $924,346)...................................... 901,422
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $2,175).......................... 2,167
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Holzmann (Philipp) AG Rights 12/7/98................ 200 $ 47
------------
TOTAL -- GERMANY
(Cost $926,521)...................................... 903,636
------------
HONG KONG -- (5.4%)
COMMON STOCKS -- (5.3%)
ASM Pacific Technology, Ltd.......................... 30,000 11,430
Allied Group, Ltd.................................... 276,000 11,050
Allied Properties (Hong Kong), Ltd................... 142,000 6,235
Asia Financial Holdings, Ltd......................... 48,975 8,792
Asia Standard International Group, Ltd............... 70,000 9,221
Cafe de Coral Holdings, Ltd.......................... 78,000 25,184
Century City International Holdings, Ltd............. 394,000 22,898
Champion Technology Holdings, Ltd.................... 168,000 3,255
Chen Hsong Holdings, Ltd............................. 72,000 8,741
*China Aerospace International Holdings, Ltd......... 46,800 5,742
*China Everbright Technology, Ltd.................... 206,000 17,559
China Foods Holdings, Ltd............................ 30,000 7,943
China Motor Bus Co., Ltd............................. 1,600 11,468
China-Hong Kong Photo Products Holdings, Ltd......... 90,000 9,415
Citybus Group, Ltd................................... 180,000 35,103
Continental Mariner Investment Co., Ltd.............. 60,000 8,679
Cross Harbour Tunnel Co., Ltd........................ 29,000 26,592
*Dong-Jun Holdings, Ltd.............................. 92,000 2,174
Dynamic Holdings, Ltd................................ 92,000 15,684
Elec & Eltek International Holdings, Ltd............. 110,000 21,025
FPB Bank Holding Co., Ltd............................ 50,000 12,205
Founder, Ltd......................................... 122,000 27,888
Four Seas Mercantile Holdings, Ltd................... 60,000 19,954
Giordano International, Ltd.......................... 82,000 13,450
Gold Peak Industries (Holdings), Ltd................. 65,000 16,789
Goldlion Holdings, Ltd............................... 37,000 4,492
Grande Holdings, Ltd................................. 28,000 7,504
Great Wall Electronic International, Ltd............. 142,640 5,158
Harbour Centre Development, Ltd...................... 9,000 4,882
International Bank of Asia, Ltd...................... 138,285 33,576
JCG Holdings, Ltd.................................... 28,000 9,944
Kumagai Gumi Hong Kong, Ltd.......................... 27,000 12,117
Lai Sun Development Co., Ltd......................... 86,000 13,772
Lai Sun Hotels International, Ltd.................... 150,000 9,008
Liu Chong Hing Investment, Ltd....................... 18,000 13,367
Moulin International Holdings, Ltd................... 94,760 12,483
Ngai Lik Industrial Holdings, Ltd.................... 94,000 24,887
Oriental Press Group, Ltd............................ 85,000 9,660
QPL International Holdings, Ltd...................... 23,000 1,960
Sea Holdings, Ltd.................................... 38,000 11,533
Semi-Tech (Global) Co., Ltd.......................... 68,346 3,531
Shaw Brothers Hong Kong, Ltd......................... 20,000 9,170
Shell Electric Manufacturing (Holdings) Co., Ltd..... 45,600 4,535
*Shougang Concord International Enterprises Co.,
Ltd................................................ 90,000 4,243
</TABLE>
26
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Shun Tak Holdings, Ltd............................... 224,000 $ 40,790
Silver Grant International Industries, Ltd........... 40,000 4,959
Sime Darby Hong Kong, Ltd............................ 20,000 6,328
*Star Telecom International Holdings, Ltd............ 74,000 8,506
Sun Hung Kai & Co., Ltd.............................. 59,000 5,562
Tai Cheung Holdings, Ltd............................. 25,000 6,619
Tem Fat Hing Fung (Holdings), Ltd.................... 348,000 22,921
*Triplenic Holdings, Ltd............................. 168,000 6,509
Union Bank of Hong Kong, Ltd......................... 24,000 20,147
------------
TOTAL COMMON STOCKS
(Cost $1,122,354).................................... 676,639
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Hong Kong Dollars (Cost $8,190)..................... 8,194
------------
RIGHTS/WARRANTS -- (0.0%)
*China Aerospace International Holdings, Ltd.
Warrants 12/31/99.................................. 4,680 109
*Dong Jun Holdings, Ltd. Warrants 03/31/00........... 18,400 0
*Grande Holdings, Ltd. Warrants 10/15/00............. 5,600 250
*Shell Electric Manufacturing (Holdings) Co., Ltd.
Warrants 05/31/99.................................. 7,600 34
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 393
------------
TOTAL -- HONG KONG
(Cost $1,130,544).................................... 685,226
------------
AUSTRALIA -- (5.0%)
COMMON STOCKS -- (5.0%)
Adelaide Bank, Ltd................................... 5,745 21,675
Ashton Mining, Ltd................................... 22,406 10,989
*Aurora Gold, Ltd.................................... 15,600 12,654
Bank of Queensland, Ltd.............................. 6,004 22,388
Capral Aluminium, Ltd................................ 8,754 12,000
*Centaur Mining & Exploration, Ltd................... 16,005 3,673
Crane (G.E) Holdings, Ltd............................ 3,486 20,495
*Cultus Petroleum NL................................. 7,573 3,429
Evans Deakin Industries, Ltd......................... 7,149 16,138
Flight Centre, Ltd................................... 10,900 27,416
GWA International, Ltd............................... 10,121 15,910
Goldfields, Ltd...................................... 33,405 31,088
Great Central Mines, Ltd............................. 10,809 7,952
Hills Industries, Ltd................................ 14,305 20,688
*Hudson Conway, Ltd.................................. 2,329 4,027
Iama, Ltd............................................ 14,180 18,279
Incitec, Ltd......................................... 4,881 13,903
Jupiters, Ltd........................................ 9,412 17,459
MMI, Ltd............................................. 3,465 4,706
Metal Manufactures, Ltd.............................. 7,600 10,753
Mirvac, Ltd.......................................... 29,894 31,016
North Flinders Mines, Ltd............................ 6,728 15,230
OPSM Protector, Ltd.................................. 2,313 5,032
Pacific BBA, Ltd..................................... 5,582 15,795
*Petsec Energy, Ltd.................................. 4,391 2,181
*Queensland Metals Corp., Ltd........................ 33,273 16,528
Resolute, Ltd........................................ 10,029 8,766
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Ridley Corp., Ltd.................................... 33,082 $ 23,922
SGIO Insurance, Ltd.................................. 20,098 26,539
Savage Resources, Ltd................................ 21,068 11,790
Siddons Ramset, Ltd.................................. 4,492 14,123
Simsmetal, Ltd....................................... 3,366 12,424
Sonic Healthcare, Ltd................................ 15,918 25,724
Sons of Gwalia, Ltd.................................. 4,212 12,792
Spotless Services, Ltd............................... 28,502 20,073
Thakral Holdings Group............................... 62,741 24,854
Tourism Assets Holdings, Ltd......................... 33,474 20,417
Westralian Sands, Ltd................................ 8,102 19,054
Wills (W.D. & H.O.) Holdings, Ltd.................... 11,484 25,274
------------
TOTAL COMMON STOCKS
(Cost $808,693)...................................... 627,156
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $5,800)..................... 5,973
------------
TOTAL -- AUSTRALIA
(Cost $814,493)...................................... 633,129
------------
MALAYSIA -- (3.9%)(##)
COMMON STOCKS -- (3.9%)
AMMB Holdings Berhad................................. 41,800 29,868
Affin Holdings Berhad................................ 81,000 26,254
*Arab Malaysia Corp. Berhad.......................... 40,000 9,650
Asiatic Development Berhad........................... 84,000 17,945
Ban Hin Lee Bank Berhad.............................. 6,000 5,171
Bandar Raya Developments Berhad...................... 11,000 2,188
Batu Kawan Berhad.................................... 10,500 8,895
Bimb Holdings Berhad................................. 85,000 27,394
Boustead Holdings Berhad............................. 10,000 6,225
CCM Bioscience....................................... 18 12
Cahya Mata Sarawak Berhad............................ 37,000 17,035
Chemical Co. of Malaysia Berhad...................... 7,000 5,801
Country Heights Holdings Berhad...................... 14,400 8,009
*Esso Malaysia Berhad................................ 12,000 7,691
Federal Flour Mills Berhad........................... 8,000 5,098
*Gadek Capital Berhad................................ 2,000 420
*Ho Hup Construction Co. Berhad...................... 5,000 1,860
Hock Hua Bank Berhad (Foreign)....................... 5,000 4,512
Hong Leong Industries Berhad......................... 23,000 11,225
Hong Leong Properties Berhad......................... 32,000 5,186
Hume Industries (Malaysia) Berhad.................... 26,000 16,759
IGB Corp. Berhad..................................... 18,000 4,442
KFC Holdings (Malaysia) Berhad....................... 10,000 6,262
*Kamunting Corp. Berhad.............................. 29,000 3,178
Kedah Cement Holdings Berhad......................... 24,000 9,901
Kelang Container Terminal Berhad..................... 7,000 3,867
Kemayan Corp. Berhad................................. 11,000 1,033
*Kuala Lumpur Industries Holdings Berhad............. 12,000 1,094
Kuala Sidim Berhad................................... 18,000 19,226
Landmarks Berhad..................................... 15,000 2,182
*Lingkaran Trans Kota Holdings Berhad................ 20,000 10,350
Lingui Development Berhad............................ 22,000 9,197
Lion Land Berhad..................................... 23,000 2,436
*MBF Land Berhad..................................... 30,000 2,624
MCB Holdings Berhad.................................. 25,000 3,821
Malayan Cement Berhad................................ 58,000 15,702
Malaysia Assurance Alliance Berhad................... 4,000 2,770
</TABLE>
27
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Malaysia Industrial Development Finance Berhad....... 43,000 $ 10,215
*Malaysian Plantations Berhad........................ 15,000 2,445
Metroplex Berhad..................................... 50,000 6,998
Mulpha International Berhad.......................... 48,000 5,525
New Straits Times Press (Malaysia) Berhad............ 20,000 11,050
Olympia Industries Berhad............................ 19,000 2,029
Pelangi Berhad....................................... 56,000 15,263
Pernas International Holdings Berhad................. 24,000 4,420
Phileo Allied Berhad................................. 12,000 3,691
Phileo Land Berhad................................... 9,000 2,188
*Promet Berhad....................................... 23,000 1,228
*Rashid Hussain Berhad............................... 59,000 33,031
Samanda Holdings Berhad.............................. 16,000 19,595
Selangor Properties Berhad........................... 50,000 15,193
Shangri-la Hotels (Malaysia) Berhad.................. 16,000 4,037
Sime UEP Properties Berhad........................... 19,000 12,317
Southern Bank Berhad (Foreign)....................... 33,750 11,001
Ta Enterprise Berhad................................. 40,000 8,029
*Time Engineering Berhad............................. 51,000 9,862
Tractors Malaysia Holdings Berhad.................... 12,000 3,425
*Westmont Land (Asia) Berhad......................... 12,600 2,088
------------
TOTAL MALAYSIA
(Cost $1,159,609).................................... 498,913
------------
SWITZERLAND -- (3.7%)
COMMON STOCKS -- (3.7%)
Attisholz Holding AG, Attisholz...................... 24 16,575
Bank Sarasin & Cie Series B, Basel................... 10 18,469
Danzas Holding AG.................................... 100 30,471
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg......................................... 100 16,816
ESEC Holding SA, Cham................................ 10 7,151
Feldschloesschen-Huerlimann Holding AG,
Rheinfelden........................................ 60 26,475
Financiere Michelin, Granges-Paccot.................. 50 20,841
*Forbo Holding AG, Eglisau........................... 51 22,541
Generali (Switzerland) Holdings, Adliswil............ 80 28,689
Kraftwerk Laufenburg, Laufenburg..................... 100 17,248
Moevenpick-Holding, Zuerich.......................... 40 20,697
Oz Holding, Zuerich.................................. 20 20,410
Phoenix Mecano AG, Stein am Rhein.................... 50 31,800
Phonak Holding AG Series B........................... 20 24,865
Publicitas Holding SA, Lausanne...................... 110 31,305
Sarna Kunststoff Holding AG, Sarnen.................. 15 19,501
Schweizerische National Versicherungs Gesellschaft,
Basel.............................................. 10 24,039
Sika Finanz AG, Baar................................. 90 25,483
Von Roll Holding AG, Gerlafingen..................... 1,359 37,894
Zuercher Ziegeleien Holding, Zuerich................. 27 25,613
------------
TOTAL COMMON STOCKS
(Cost $456,563)...................................... 466,883
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $2,188).......................... $ 2,231
------------
TOTAL -- SWITZERLAND
(Cost $458,751)...................................... 469,114
------------
SPAIN -- (3.7%)
COMMON STOCKS -- (3.6%)
AGF Union y Fenix Seguros y Reaseguros SA............ 2,100 24,593
Amper SA............................................. 800 18,960
*Asturiana del Zinc SA............................... 2,100 21,382
Banco de Valencia.................................... 1,000 27,106
Banco Zaragozano SA.................................. 1,200 35,863
Cementos Portland SA................................. 1,000 44,065
Europistas Concesionaria Espanola SA................. 2,300 19,263
*Fabricacion de Automoviles Renault de Espana SA..... 800 33,250
GESA (Gas y Electricidad SA)......................... 400 38,921
Iberica de Autopistas SA Concesionaria de Estado
Iberpistas......................................... 3,300 29,243
*Inmobiliaria Urbis SA............................... 2,300 36,527
Portland Valderrivas SA.............................. 900 36,530
Prosegur Cia de Seguridad SA......................... 2,200 26,758
Uralita SA........................................... 1,900 21,063
*Viscofan Industria Navarra de Envolturas Celulosicas
SA EM98............................................ 65 1,980
Viscofan Industria Navarra de Envolturas Celulosicas
SA................................................. 1,300 39,801
------------
TOTAL COMMON STOCKS
(Cost $324,814)...................................... 455,305
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Spanish Peseta (Cost $7,188)........................ 7,437
------------
TOTAL -- SPAIN
(Cost $332,002)...................................... 462,742
------------
SINGAPORE -- (3.6%)
COMMON STOCKS -- (3.6%)
Amtek Engineering, Ltd............................... 15,000 7,195
Avimo Group, Ltd..................................... 11,000 17,031
British-American Tobacco Co. (Singapore), Ltd........ 7,000 17,596
Bukit Sembawang Estates, Ltd......................... 1,000 5,465
Comfort Group, Ltd................................... 37,000 13,030
First Capital Corp., Ltd............................. 33,000 26,248
GK Goh Holdings...................................... 17,000 9,393
Haw Par Brothers International, Ltd.................. 24,000 25,064
Hitachi Zosen (Singapore), Ltd....................... 22,000 10,018
Hotel Plaza, Ltd..................................... 25,000 6,527
Hotel Properties, Ltd................................ 32,000 16,807
Inchcape Motors, Ltd................................. 18,000 25,028
Keppel Marine Industries, Ltd........................ 24,000 24,481
Keppel Telecommunications and Transportation, Ltd.... 27,000 19,345
Kim Eng Holdings, Ltd................................ 65,000 29,008
*Neptune Orient Lines, Ltd........................... 34,000 13,315
Orchard Parade Holdings, Ltd......................... 11,200 6,562
*Osprey Maritime, Ltd................................ 69,000 28,907
Overseas Union Enterprise, Ltd....................... 6,000 10,383
</TABLE>
28
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Robinson & Co., Ltd.................................. 8,000 $ 24,287
Scotts Holdings, Ltd................................. 25,000 11,384
Shangri-la Hotel, Ltd................................ 7,000 10,200
Sime Singapore, Ltd.................................. 49,000 14,876
Straits Trading Co., Ltd............................. 51,000 39,327
Times Publishing, Ltd................................ 11,000 16,630
Tuan Sing Holdings, Ltd.............................. 44,000 4,809
*Van der Horst, Ltd.................................. 4,000 1,785
Vickers Ballas Holdings, Ltd......................... 29,000 20,425
------------
TOTAL COMMON STOCKS
(Cost $609,727)...................................... 455,126
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $503)....................... 529
------------
TOTAL -- SINGAPORE
(Cost $610,230)...................................... 455,655
------------
SWEDEN -- (3.3%)
COMMON STOCKS -- (3.3%)
#Allgon AB Series B.................................. 1,400 15,359
*Argonaut AB Series B................................ 13,200 8,298
Avesta Sheffield AB.................................. 14,800 47,068
BTL AB Series B...................................... 8,200 35,378
Bergman & Beving AB Series B......................... 2,500 36,980
Carbo AB............................................. 2,400 41,418
Catena AB Series A................................... 1,700 13,202
Celsius Industrier AB Series B....................... 1,400 22,435
Diligentia AB........................................ 3,100 20,826
Enator AB............................................ 1,400 39,865
Esselte AB Series A.................................. 1,400 20,536
Esselte AB Series B.................................. 1,100 17,220
Garphyttan Industrier AB............................. 1,680 20,191
Lindex AB............................................ 700 25,282
*Mandator AB......................................... 3,000 25,331
Nobelpharma AB....................................... 1,400 19,932
Rottneros Bruk AB.................................... 11,700 5,336
Scribona AB Series A................................. 1,500 4,992
*Sifo Group AB....................................... 1,500 5,824
------------
TOTAL COMMON STOCKS
(Cost $488,641)...................................... 425,473
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona (Cost $14)............................ 13
------------
TOTAL -- SWEDEN
(Cost $488,655)...................................... 425,486
------------
ITALY -- (3.1%)
COMMON STOCKS -- (3.1%)
*Ansaldo Trasporti SpA............................... 7,000 12,523
Cartiere Burgo SpA................................... 4,000 25,087
Cia Assicuratrice Unipol SpA......................... 6,000 25,374
*Dalmine SpA......................................... 82,000 24,490
Falck (Acciaierie & Ferriere Lombarde)............... 5,000 39,035
Gewiss SpA........................................... 2,000 42,290
*Impregilo SpA....................................... 19,000 16,172
Magneti Marelli SpA.................................. 15,000 26,207
*Premafin Finanziaria SpA............................ 37,000 31,715
Safilo (Sta Azionaria Fabbrica Italiana Lavorazione
Occhiali) SpA...................................... 5,000 27,208
Sorin Biomedica SpA.................................. 7,500 32,927
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Tecnost SpA.......................................... 8,000 $ 25,661
UNICEM (Unione Cementi Marchini Emiliane e di
Augusta-Casale).................................... 3,000 31,216
Vianini Lavori SpA................................... 11,000 24,968
------------
TOTAL COMMON STOCKS
(Cost $275,252)...................................... 384,873
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira (Cost $3,441).......................... 3,634
------------
TOTAL -- ITALY
(Cost $278,693)...................................... 388,507
------------
DENMARK -- (2.7%)
COMMON STOCKS -- (2.7%)
Alm Brand A.S. Series B.............................. 623 13,569
Bang & Olufsen Holding A.S. Series B................. 450 27,512
Coloplast A.S. Series B.............................. 404 43,052
DFDS A.S., Copenhagen................................ 24 19,788
Danske Traelastko.................................... 200 13,223
Falck A.S............................................ 568 45,113
GN Great Nordic, Ltd................................. 1,600 50,778
Korn-Og Foderstof Kompagnet A.S...................... 700 13,285
Nordiske Kabel og Traadfabrikker Holding A.S......... 277 15,729
Obel (C.W.) A.S. Series B............................ 89 11,769
Radiometer A.S. Series B............................. 432 20,027
Sas Danmark A.S...................................... 1,739 21,102
Superfos A.S......................................... 1,142 16,700
*Topdanmark A.S...................................... 145 26,437
------------
TOTAL COMMON STOCKS
(Cost $343,940)...................................... 338,084
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone (Cost $5,610).......................... 5,832
------------
TOTAL -- DENMARK
(Cost $349,550)...................................... 343,916
------------
NETHERLANDS -- (2.6%)
COMMON STOCKS -- (2.6%)
ACF Holding NV (Certificate)......................... 800 17,959
Grolsche NV.......................................... 800 21,609
Hoek's (W.A.) Machine & Zuurstoffafabriek NV......... 300 17,308
Hollandsche Beton Groep NV........................... 1,436 16,645
Internatio-Mueller NV................................ 1,230 28,257
Kempen & Co. NV...................................... 314 17,606
Koninklijke Ahrend NV................................ 1,254 29,598
Koninklijke Frans Maas Groep NV...................... 736 22,390
Koninklijke Volker Wessels Stevin NV................. 930 18,048
Nedlloyd Groep NV, Rotterdam......................... 900 12,320
Otra NV.............................................. 1,000 12,745
Schuttersveld NV..................................... 1,284 28,420
Twentsche Kabel Holding NV........................... 616 17,932
Unique International NV.............................. 710 18,061
Van der Mollen Holding NV............................ 300 20,440
Wegener Arcade NV ................................... 1,550 30,568
------------
TOTAL COMMON STOCKS
(Cost $363,570)...................................... 329,906
------------
</TABLE>
29
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $39)...................... $ 42
------------
TOTAL -- NETHERLANDS
(Cost $363,609)...................................... 329,948
------------
BELGIUM -- (1.4%)
COMMON STOCKS -- (1.4%)
Ackermans & Van Haaren SA............................ 120 48,151
Afrifina............................................. 140 24,437
CMB (Cie Martime Belge).............................. 300 14,102
Cofinimmo SA......................................... 200 25,279
Deceuninck Plastics Industries SA.................... 130 38,750
*Immobel (Cie Immobiliere de Belgique SA)............ 200 14,675
Spector Photo Group SA............................... 188 6,272
------------
TOTAL COMMON STOCKS
(Cost $142,557)...................................... 171,666
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs (Cost $3,400)........................ 3,570
------------
TOTAL -- BELGIUM
(Cost $145,957)...................................... 175,236
------------
NEW ZEALAND -- (0.8%)
COMMON STOCKS -- (0.8%)
Enerco New Zealand, Ltd.............................. 4,758 14,210
Fernz Corp., Ltd..................................... 6,407 19,101
New Zealand Refining Co., Ltd........................ 1,008 8,616
Ports of Auckland.................................... 5,962 17,617
FACE
AMOUNT
------------
(000)
Trustpower, Ltd...................................... 18,000 $ 25,834
Warehouse Group, Ltd................................. 7,154 19,893
------------
TOTAL COMMON STOCKS
(Cost $130,329)...................................... 105,271
------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar (Cost $25)....................... 26
------------
TOTAL -- NEW ZEALAND
(Cost $130,354)...................................... 105,297
------------
TEMPORARY CASH INVESTMENTS -- (3.0%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.125%, 12/31/01, valued at $394,050) to be
repurchased at $381,052. (Cost $381,000)........... $ 381 381,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $16,157,077)++................................. $ 12,692,134
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $16,203,943.
## Illiquid securities fair valued by the Board of Directors.
</TABLE>
See accompanying Notes to Financial Statements.
30
<PAGE>
VA SHORT-TERM FIXED PORTFOLIO
STATEMENT OF NET ASSETS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
COMMERCIAL PAPER -- (76.6%)
BP America C.P.
5.100%, 12/11/98.................................. $ 500 $ 499,315
Barton Capital Corp. C.P.
5.300%, 01/27/99.................................. 500 495,899
Beta Finance, Inc. C.P.
5.350%, 01/12/99.................................. 500 496,949
CC (USA), Inc. C.P.
5.200%, 02/22/99.................................. 500 494,132
Caisse Centrale des Jardins du Quebec C.P.
5.250%, 01/26/99.................................. 500 495,971
Canadian Wheat Board C.P.
5.150%, 01/08/99.................................. 500 497,240
Ciesco L.P.C.P.
5.270%, 01/28/99.................................. 500 495,827
Coca-Cola Co. C.P.
5.070%, 01/12/99.................................. 500 496,949
Commerzbank C.P.
5.280%, 01/12/99.................................. 500 496,949
Corporate Asset Funding Corp. C.P.
5.370%, 01/07/99.................................. 500 497,312
Dresdner U.S. Finance C.P.
5.120%, 01/25/99.................................. 500 496,043
Enterprise Funding Corp. C.P.
5.050%, 12/10/98.................................. 500 499,380
Equipment Intermediate C.P.
5.350%, 12/07/98.................................. 500 499,589
General Electric Capital Corp. C.P.
5.180%, 12/01/98.................................. 500 500,000
Govco, Inc. C.P.
5.300%, 01/12/99.................................. 500 496,920
Louis Dreyfus Corp. C.P.
4.930%, 12/14/98.................................. 500 499,108
Metlife Funding, Inc. C.P.
5.140%, 12/02/98.................................. 500 499,932
Minnesota Mining & Manufacturing C.P.
5.200%, 12/22/98.................................. 200 199,424
Nestle Capital C.P.
5.100%, 12/01/98.................................. 500 500,000
New Center C.P.
5.100%, 12/04/98.................................. 500 499,795
Oesterreich Kontrollbank C.P.
5.250%, 12/14/98.................................. 500 499,110
Procter & Gamble Co. C.P.
4.850%, 12/03/98.................................. 500 499,863
Sheffield Receivables Corp. C.P.
5.340%, 01/27/99.................................. 500 495,899
Sigma Finance Corp. C.P.
5.400%, 01/04/99.................................. 500 497,530
St. Michael Finance, Ltd. C.P.
5.250%, 12/08/98.................................. 500 499,518
Sweden Kingdom C.P.
4.950%, 12/09/98.................................. 500 499,452
Swedish Export Credit Corp. C.P.
5.230%, 01/08/99.................................. 500 497,240
Teco Finance C.P.
5.150%, 12/02/98.................................. 500 499,931
USAA Capital Corp. C.P.
5.120%, 12/17/98.................................. 500 498,902
------------
TOTAL COMMERCIAL PAPER
(Cost $14,143,187)................................... 14,144,179
------------
FACE
AMOUNT VALUE+
------------ ------------
(000)
AGENCY OBLIGATIONS -- (8.1%)
Federal Home Loan Mortgage Corp.
5.050%, 01/15/99
(Cost $1,490,531)................................. $ 1,500 $ 1,490,190
------------
VARIABLE RATE OBLIGATIONS -- (7.0%)
American Express Centurion Bank
***5.313%, 12/07/98............................... 300 300,000
Key Bank N.A.
***5.469%, 12/02/99............................... 500 499,851
Chase Manhattan Corp.
***5.500%, 12/24/99............................... 500 500,000
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $1,300,000).................................... 1,299,851
------------
BONDS -- (5.5%)
Ford Motor Credit Co. Corporate Bonds
7.250%, 05/15/99.................................. 200 201,884
Illinois Tool Works, Inc. Corporate Bonds
7.500%, 12/01/98.................................. 250 250,000
Sara Lee Corp. Medium Term Notes
5.500%, 12/01/98.................................. 250 250,000
St. Paul Companies, Inc. Medium Term Notes
7.590%, 05/19/99.................................. 300 303,236
------------
TOTAL BONDS
(Cost $1,002,807).................................... 1,005,120
------------
TEMPORARY CASH INVESTMENTS -- (2.7%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.25%, 08/31/02, valued at $512,400) to be
repurchased at $501,069.
(Cost $501,000).................................... 501 501,000
------------
TOTAL INVESTMENTS -- (99.9%)
(Cost $18,437,525)++................................. 18,440,340
------------
OTHER ASSETS AND LIABILITIES -- (0.1%)
Interest Receivable.................................. 17,715
Receivable for Fund Shares Sold...................... 17,028
Other Assets......................................... 2,354
Other Liabilities.................................... (9,961)
------------
27,136
------------
NET ASSETS -- (100%) Applicable to 1,830,739
Outstanding $0.01 Par Value Shares (50,000,000 Shares
Authorized).......................................... $ 18,467,476
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.09
------------
------------
- --------------------
+ See Note B to Financial Statements.
++ Approximates cost for federal income tax purposes.
*** Rates shown are the rates of November 30, 1998, and maturities are the
next interest readjustment date.
</TABLE>
See accompanying Notes to Financial Statements.
31
<PAGE>
VA GLOBAL BOND PORTFOLIO
STATEMENT OF NET ASSETS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
FRANCE -- (23.4%)
BONDS -- (23.4%)
Belgium (Kingdom of)
6.875%, 05/30/02..................................... $ 1,000 $ 194,227
Caisse d'Amortissement et de Dette Sociale
5.500%, 04/25/02..................................... 800 149,697
Credit Local de France SA Euro Medium Term Notes
5.375%, 10/11/01..................................... 500 92,132
6.000%, 07/01/02..................................... 1,000 189,360
European Investment Bank
8.500%, 02/20/02..................................... 1,500 303,798
France (Government of) BTAN
5.500%, 10/12/01..................................... 1,100 204,940
4.750%, 03/12/02..................................... 1,000 183,312
France Telecom SA
9.000%, 07/27/01..................................... 1,800 360,145
KFW International Finance, Inc.
8.750%, 06/26/02..................................... 1,200 247,016
SNCF (Societe Nationale de Chemins de Fer Francais)
7.750%, 03/01/02..................................... 2,200 434,514
Suedwestdeutsche Landesbank Giro & Suedwestlb Capital
Markets P.L.C.
6.000%, 03/08/02..................................... 500 94,363
TOTAL BONDS
(Cost $2,281,139).................................... 2,453,504
------------
INVESTMENT IN CURRENCY -- (0.0%)
French Francs (Cost $8)................................ 8
------------
TOTAL -- FRANCE
(Cost $2,281,147).................................... 2,453,512
------------
JAPAN -- (18.4%)
BONDS -- (18.4%)
Asian Development Bank
5.000%, 02/05/03..................................... 45,000 431,434
Credit Local de France SA
6.000%, 10/31/01..................................... 9,000 84,933
Deutsche Siedlungs Landesrentenbank
2.600%, 07/10/02..................................... 32,000 278,894
Eksportfinans ASA
2.650%, 07/10/02..................................... 20,000 174,585
European Investment Bank
4.625%, 02/26/03..................................... 10,000 95,082
Inter-American Development Bank
6.000%, 10/30/01..................................... 25,000 235,844
2.250%, 02/05/02..................................... 10,000 85,704
Nordic Investment Bank
2.600%, 06/28/02..................................... 40,000 348,422
World Bank (International Bank for Reconstruction and
Development)
4.500%, 03/20/03..................................... 20,000 189,760
------------
TOTAL -- JAPAN
(Cost $1,868,628).................................... 1,924,658
------------
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
GERMANY -- (17.7%)
BONDS -- (17.7%)
Denmark (Kingdom of)
4.750%, 01/07/02..................................... $ 500 $ 302,139
Deutsche Bahn Finance BV
6.875%, 07/19/02..................................... 400 260,235
Germany (Republic of)
8.000%, 01/21/02..................................... 550 368,590
Japan Finance Corp. for Small Business
4.500%, 08/07/02..................................... 600 361,786
LB Rheinland-Pfatz Finance BV
5.375%, 02/12/02..................................... 300 185,577
Minnesota Mining & Manufacturing Co.
5.000%, 10/15/01..................................... 300 183,820
World Bank (International Bank for Reconstruction and
Development)
6.125%, 09/27/02..................................... 300 192,586
------------
TOTAL BONDS
(Cost $1,804,962).................................... 1,854,733
------------
INVESTMENT IN CURRENCY -- (0.0%)
German Marks (Cost $16)................................ 15
------------
TOTAL -- GERMANY
(Cost $1,804,978).................................... 1,854,748
------------
UNITED STATES -- (16.2%)
COMMERCIAL PAPER -- (16.2%)
Barton Capital Holdings, Ltd. C.P.
5.180%, 12/08/98..................................... 300 299,698
Ciesco L.P.C.P.
5.150%, 12/11/98..................................... 400 399,427
Enterprise Funding Corp. C.P.
5.050%, 12/10/98..................................... 400 399,495
Procter & Gamble Co. C.P.
5.050%, 01/08/99..................................... 300 298,401
Sheffield Corp. C.P.
5.300%, 12/01/98..................................... 300 300,000
------------
TOTAL -- UNITED STATES
(Cost $1,697,021).................................... 1,697,021
------------
AUSTRALIA -- (6.1%)
BONDS -- (6.1%)
Airservices Australia
7.375%, 11/15/01..................................... 250 166,318
Alberto (Province of)
7.000%, 03/20/02..................................... 500 329,334
State Bank of New South Wales
11.750%, 08/16/01.................................... 200 146,259
------------
TOTAL -- AUSTRALIA
(Cost $709,149)...................................... 641,911
------------
</TABLE>
32
<PAGE>
VA GLOBAL BOND PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
NETHERLANDS -- (5.4%)
BONDS -- (5.4%)
Bank Nederlandse Gemeenten NV
7.625%, 12/16/02..................................... $ 250 $ 149,220
Netherlands (Kingdom of)
5.750%, 09/15/02..................................... 750 420,714
------------
TOTAL BONDS
(Cost $547,304)...................................... 569,934
------------
INVESTMENT IN CURRENCY -- (0.0%)
Netherlands Guilder (Cost $8).......................... 8
------------
TOTAL -- NETHERLANDS
(Cost $547,312)...................................... 569,942
------------
SWEDEN -- (2.9%)
BONDS -- (2.9%)
Sweden Govt. Bond
13.000%, 06/15/01 (Cost $299,886).................... 2,000 300,031
INVESTMENT IN CURRENCY -- (0.0%)
Swedish Krona (Cost $23)............................... 22
------------
TOTAL -- SWEDEN
(Cost $299,909)...................................... 300,053
------------
CANADA -- (2.0%)
BONDS -- (2.0%)
Toyota Credit Canada, Inc.
8.000%, 12/29/00..................................... 200 137,826
7.375%, 12/31/01..................................... 100 69,107
------------
TOTAL -- CANADA
(Cost $229,029)...................................... 206,933
------------
FACE
AMOUNT VALUE+
------------ ------------
(000)
TEMPORARY CASH INVESTMENTS -- (4.2%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.125%, 12/31/01, valued at $457,950) to be
repurchased at $442,061. (Cost $442,000)............. $ 442 $ 442,000
------------
TOTAL INVESTMENTS -- (96.3%)
(Cost $9,879,173)++.................................. 10,090,778
------------
OTHER ASSETS AND LIABILITIES -- (3.7%)
Interest Receivable................................ 233,162
Other Assets....................................... 186,648
Other Liabilities.................................. (27,142)
------------
392,668
------------
NET ASSETS -- (100.0%) Applicable to 1,017,394
Outstanding $.01 Par Value Shares (100,000,000 Shares
Authorized).......................................... $ 10,483,446
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.30
------------
------------
- --------------------
+ See Note B to Financial Statements.
@ Denominated in local currency.
* Non-Income Producing Securities
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
33
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<CAPTION>
VA VA
INTERNATIONAL INTERNATIONAL
VALUE SMALL
PORTFOLIO PORTFOLIO
------------- -------------
<S> <C> <C>
ASSETS:
Investments at Value.............................. $ 20,982 $ 12,692
Collateral for Securities Lending................. 269 165
Cash.............................................. 16 15
Receivables
Dividends and Interest.......................... 81 34
Fund Shares Sold................................ 17 17
Prepaid Expenses and Other Assets................. 7 2
------------- -------------
Total Assets.................................. 21,372 12,925
------------- -------------
LIABILITIES:
Payable for Securities Lending.................... 269 165
Payable for Investment Securities Purchased....... -- 2
Accrued Expenses and Other Liabilities............ 12 10
------------- -------------
Total Liabilities............................. 281 177
------------- -------------
NET ASSETS........................................ $ 21,091 $ 12,748
------------- -------------
------------- -------------
SHARES OUTSTANDING $.01 PAR VALUE (50,000,000
Shares Authorized).............................. 1,810,542 1,639,116
------------- -------------
------------- -------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE........................................... $ 11.65 $ 7.78
------------- -------------
------------- -------------
Investments at Cost............................... $ 20,887 $ 16,157
------------- -------------
------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
34
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1998
(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 $38, respectively)..................... $ 148 $ 504 $ 415
Interest........................................ 33 34 40
Income from Securities Lending.................. -- -- 14
------- ------- -------
Total Investment Income..................... 181 538 469
------- ------- -------
EXPENSES
Investment Advisory Services.................... 89 69 81
Accounting & Transfer Agent Fees................ 22 32 29
Custodian's Fees................................ 3 4 13
Legal Fees...................................... 1 1 --
Audit Fees...................................... 2 3 2
Filing Fees..................................... 1 2 2
Shareholders' Reports........................... 4 6 4
Organization Costs.............................. 1 7 4
Other........................................... 1 3 3
------- ------- -------
Total Expenses.............................. 124 127 138
------- ------- -------
NET INVESTMENT INCOME........................... 57 411 331
------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment Securities...... 1,518 1,933 1,120
Net Realized Gain on Foreign Currency
Transactions.................................. -- -- 2
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign
Currency.................................. (3,079) 742 468
Translation of Foreign Currency Denominated
Amounts................................... -- -- 1
------- ------- -------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY.............................. (1,561) 2,675 1,591
------- ------- -------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................. $ (1,504) $ 3,086 $ 1,922
------- ------- -------
------- ------- -------
</TABLE>
See accompanying Notes to Financial Statements.
35
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA INTERNATIONAL VA SHORT-TERM VA GLOBAL
SMALL FIXED BOND
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ----------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes withheld of $25,
$0 and $0, respectively)...................... $ 258 -- --
Interest........................................ 25 $ 948 $ 369
Income from Securities Lending.................. 8 -- --
------- ----- ------
Total Investment Income..................... 291 948 369
------- ----- ------
EXPENSES
Investment Advisory Services.................... 59 42 22
Accounting & Transfer Agent Fees................ 18 12 14
Custodian's Fees................................ 21 2 2
Audit Fees...................................... 1 2 1
Filing Fees..................................... 2 2 1
Shareholders' Reports........................... 2 4 2
Organization Costs.............................. 1 1 7
Other........................................... 2 4 0
------- ----- ------
Total Expenses.............................. 106 69 49
------- ----- ------
NET INVESTMENT INCOME........................... 185 879 320
------- ----- ------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment Securities...... 821 19 1
Net Realized Gain (Loss) on Foreign Currency
Transactions.................................. (11) -- 35
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign
Currency.................................. (1,081) (7) 513
Translation of Foreign Currency Denominated
Amounts................................... (1) -- (154)
------- ----- ------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY.............................. (272) 12 396
------- ----- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................. $ (87) $ 891 $ 715
------- ----- ------
------- ----- ------
</TABLE>
See accompanying Notes to Financial Statements.
36
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA SMALL VA LARGE
VALUE PORTFOLIO VALUE PORTFOLIO
----------------------- -----------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1998 1997
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income........................... $ 57 $ 59 $ 411 $ 336
Net Realized Gain on Investment Securities...... 1,518 1,173 1,933 1,627
Net Realized Loss on Foreign Currency
Transactions.................................. -- -- -- (1)
Change in Unrealized Appreciation (Depreciation)
of Investment Securities...................... (3,079) 2,525 742 2,529
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................. (1,504) 3,757 3,086 4,491
---------- ---------- ---------- ----------
Distributions From:
Net Investment Income........................... (63) (22) (396) (290)
Net Realized Gains.............................. (1,173) (76) (1,625) (481)
---------- ---------- ---------- ----------
Total Distributions......................... (1,236) (98) (2,021) (771)
---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................... 6,766 9,470 12,228 11,914
Shares Issued in Lieu of Cash Distributions..... 1,236 98 2,021 771
Shares Redeemed................................. (4,858) (3,857) (9,672) (5,430)
---------- ---------- ---------- ----------
Net Increase From Capital Share
Transactions.............................. 3,144 5,711 4,577 7,255
---------- ---------- ---------- ----------
Total Increase.............................. 404 9,370 5,642 10,975
NET ASSETS
Beginning of Period............................. 17,428 8,058 24,545 13,570
---------- ---------- ---------- ----------
End of Period................................... $ 17,832 $ 17,428 $ 30,187 $ 24,545
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................. 471 696 747 814
Shares Issued in Lieu of Cash Distributions.... 89 8 134 57
Shares Redeemed................................ (328) (262) (579) (354)
---------- ---------- ---------- ----------
232 442 302 517
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
</TABLE>
See accompanying Notes to Financial Statements.
37
<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 ENDED YEAR ENDED YEAR ENDED YEAR ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1998 1997
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income........................... $ 331 $ 275 $ 185 $ 111
Net Realized Gain on Investment Securities...... 1,120 230 821 112
Net Realized Gain (Loss) on Foreign Currency
Transactions.................................. 2 (15) (11) (1)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... 468 (1,092) (1,081) (2,444)
Translation of Foreign Currency Denominated
Amounts..................................... 1 (3) (1) (1)
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................. 1,922 (605) (87) (2,223)
---------- ---------- ---------- ----------
Distributions From:
Net Investment Income........................... (295) (100) (119) (37)
Net Realized Gains.............................. (227) (44) (112) (136)
---------- ---------- ---------- ----------
Total Distributions......................... (522) (144) (231) (173)
---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................... 7,431 9,487 5,382 7,137
Shares Issued in Lieu of Cash Distributions..... 522 144 231 173
Shares Redeemed................................. (5,872) (1,789) (2,431) (1,037)
---------- ---------- ---------- ----------
Net Increase From Capital Share
Transactions.............................. 2,081 7,842 3,182 6,273
---------- ---------- ---------- ----------
Total Increase.............................. 3,481 7,093 2,864 3,877
NET ASSETS
Beginning of Period............................. 17,610 10,517 9,884 6,007
---------- ---------- ---------- ----------
End of Period................................... $ 21,091 $ 17,610 $ 12,748 $ 9,884
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................. 628 841 666 757
Shares Issued in Lieu of Cash Distributions.... 50 13 32 18
Shares Redeemed................................ (488) (155) (295) (112)
---------- ---------- ---------- ----------
190 699 403 663
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
</TABLE>
See accompanying Notes to Financial Statements.
38
<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 ENDED YEAR ENDED YEAR ENDED YEAR ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1998 1997
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income........................... $ 879 $ 623 $ 320 $ 239
Net Realized Gain on Investment Securities...... 19 13 1 25
Net Realized Gain on Foreign Currency
Transactions.................................. -- -- 35 409
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... (7) (14) 513 (354)
Translation of Foreign Currency Denominated
Amounts..................................... -- -- (154) 119
---------- ---------- ---------- ----------
Net Increase in Net Assets Resulting from
Operations................................ 891 622 715 438
---------- ---------- ---------- ----------
Distributions From:
Net Investment Income........................... (864) (595) (798) (388)
Net Realized Gains.............................. (12) -- (26) (93)
Tax Return of Capital........................... -- -- (27) --
---------- ---------- ---------- ----------
Total Distributions......................... (876) (595) (851) (481)
---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................... 6,661 9,723 4,119 5,358
Shares Issued in Lieu of Cash Distributions..... 876 595 851 481
Shares Redeemed................................. (4,221) (2,998) (1,424) (2,426)
---------- ---------- ---------- ----------
Net Increase From Capital Share
Transactions.............................. 3,316 7,320 3,546 3,413
---------- ---------- ---------- ----------
Total Increase.............................. 3,331 7,347 3,410 3,370
NET ASSETS
Beginning of Period............................. 15,136 7,789 7,073 3,703
---------- ---------- ---------- ----------
End of Period................................... $ 18,467 $ 15,136 $ 10,483 $ 7,073
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................. 662 967 410 513
Shares Issued in Lieu of Cash Distributions.... 87 59 87 47
Shares Redeemed................................ (419) (298) (141) (230)
---------- ---------- ---------- ----------
330 728 356 330
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
</TABLE>
See accompanying Notes to Financial Statements.
39
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
VA SMALL
VALUE PORTFOLIO
---------------------------------------------------
YEAR YEAR OCT. 3,
YEAR ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995
---------- -------- -------- ----------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 15.45 $ 11.75 $ 9.69 $ 10.00
---------- -------- -------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........................... 0.04 0.06 0.03 0.01
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... (1.27) 3.78 2.05 (0.31)
---------- -------- -------- ----------
Total from Investment Operations.............. (1.23) 3.84 2.08 (0.30)
---------- -------- -------- ----------
LESS DISTRIBUTIONS
Net Investment Income........................... (0.06) (0.03) (0.02) (0.01)
Net Realized Gains.............................. (1.05) (0.11) -- --
---------- -------- -------- ----------
Total Distributions........................... (1.11) (0.14) (0.02) (0.01)
---------- -------- -------- ----------
Net Asset Value, End of Period.................... $ 13.11 $ 15.45 $11.75 $ 9.69
---------- -------- -------- ----------
---------- -------- -------- ----------
Total Return...................................... (8.45)% 33.02% 21.47% (3.04)%#
Net Assets, End of Period (thousands)............. $ 17,832 $ 17,428 $8,058 $ 4,848
Ratio of Expenses to Average Net Assets........... 0.70% 0.71% 1.05% 0.99%*
Ratio of Net Investment Income to Average Net
Assets.......................................... 0.32% 0.45% 0.34% 0.91%*
Portfolio Turnover Rate........................... 22.81% 21.18% 5.19% 0.00%*
<CAPTION>
VA LARGE
VALUE PORTFOLIO
--------------------------------------------------
YEAR YEAR YEAR JAN. 13,
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995
-------- --------- --------- ---------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 16.08 $ 13.46 $ 11.29 $ 10.00
-------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........................... 0.24 0.24 0.17 0.19
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 1.47 3.07 2.12 1.85
-------- --------- --------- ---------
Total from Investment Operations.............. 1.71 3.31 2.29 2.04
-------- --------- --------- ---------
LESS DISTRIBUTIONS
Net Investment Income........................... (0.24) (0.23) (0.12) (0.16)
Net Realized Gains.............................. (1.04) (0.46 -- (0.59)
-------- --------- --------- ---------
Total Distributions........................... (1.28) (0.69) (0.12) (0.75)
-------- --------- --------- ---------
Net Asset Value, End of Period.................... $ 16.51 $ 16.08 $ 13.46 $ 11.29
-------- --------- --------- ---------
-------- --------- --------- ---------
Total Return...................................... 11.46% 25.72% 20.45% 20.41%#
Net Assets, End of Period (thousands)............. $ 30,187 $ 24,545 $ 13,570 $ 6,562
Ratio of Expenses to Average Net Assets........... 0.46% 0.48% 1.03% 1.20%*
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.49% 1.71% 1.59% 2.03%*
Portfolio Turnover Rate........................... 22.98% 20.49% 18.54% 65.38%*
</TABLE>
<TABLE>
<C> <S>
- ------------------
* Annualized
# Non-Annualized
</TABLE>
See accompanying Notes to Financial Statements.
40
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA INTERNATIONAL
VALUE PORTFOLIO
---------------------------------------------------
YEAR YEAR OCT. 3,
YEAR ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995
---------- -------- -------- ----------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 10.87 $ 11.41 $ 10.03 $ 10.00
---------- -------- -------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss).................... 0.19 0.17 0.11 --
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 0.91 (0.56) 1.29 0.03
---------- -------- -------- ----------
Total from Investment Operations.............. 1.10 (0.39) 1.40 0.03
---------- -------- -------- ----------
LESS DISTRIBUTIONS
Investment Income............................... (0.18) (0.10) -- --
Net Realized Gains.............................. (0.14) (0.05) (0.02) --
---------- -------- -------- ----------
Total Distributions........................... (0.32) (0.15) (0.02) --
---------- -------- -------- ----------
Net Asset Value, End of Period.................... $ 11.65 $ 10.87 $ 11.41 $ 10.03
---------- -------- -------- ----------
---------- -------- -------- ----------
Total Return...................................... 10.43% (3.45)% 13.92% 0.30%#
Net Assets, End of Period (thousands)............. $ 21,091 $ 17,610 $10,517 $ 5,014
Ratio of Expenses to Average Net Assets........... 0.68% 0.76% 1.17% 1.32%*
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.63% 1.83% 1.29% (0.20)%*
Portfolio Turnover Rate........................... 27.11% 7.95% 4.14% 0.00%*
<CAPTION>
VA INTERNATIONAL
SMALL PORTFOLIO
--------------------------------------------------
YEAR YEAR YEAR JAN. 13,
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995
-------- --------- --------- ---------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 7.99 $ 10.48 $ 9.71 $ 10.00
-------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss).................... 0.11 0.09 0.06 (0.01)
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... (0.14) (2.30) 0.71 (0.28)
-------- --------- --------- ---------
Total from Investment Operations.............. (0.03) (2.21) 0.77 (0.29)
-------- --------- --------- ---------
LESS DISTRIBUTIONS
Investment Income............................... (0.09) (0.06) -- --
Net Realized Gains.............................. (0.09) (0.22) -- --
-------- --------- --------- ---------
Total Distributions........................... (0.18) (0.28) -- --
-------- --------- --------- ---------
Net Asset Value, End of Period.................... $ 7.78 $ 7.99 $ 10.48 $ 9.71
-------- --------- --------- ---------
-------- --------- --------- ---------
Total Return...................................... (0.23)% (21.54)% 7.93% (2.90)%#
Net Assets, End of Period (thousands)............. $ 12,748 $ 9,884 $ 6,007 $ 4,856
Ratio of Expenses to Average Net Assets........... 0.90% 0.99% 1.27% 2.52%*
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.56% 1.32% 0.63% (0.39)%*
Portfolio Turnover Rate........................... 20.82% 8.57% 6.40% 0.00%*
</TABLE>
<TABLE>
<C> <S>
- ------------------
* Annualized
# Non-Annualized
</TABLE>
See accompanying Notes to Financial Statements.
41
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA SHORT-TERM
FIXED PORTFOLIO
---------------------------------------------------
YEAR YEAR OCT. 3,
YEAR ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995
---------- -------- -------- ----------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 10.08 $ 10.08 $10.04 $ 10.00
---------- -------- -------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........................... 0.53 0.53 0.48 0.08
Net Gains on Securities (Realized and
Unrealized)................................... 0.02 -- 0.04 --
---------- -------- -------- ----------
Total from Investment Operations.............. 0.06 0.53 0.52 0.08
---------- -------- -------- ----------
LESS DISTRIBUTIONS
Net Investment Income........................... (0.53) (0.53) (0.48) (0.04)
Net Realized Gains.............................. (0.01) -- -- --
Tax Return of Capital........................... -- -- -- --
---------- -------- -------- ----------
Total Distributions........................... (0.05) (0.53) (0.48) (0.04)
---------- -------- -------- ----------
Net Asset Value, End of Period.................... $ 10.09 $ 10.08 $10.08 $ 10.04
---------- -------- -------- ----------
---------- -------- -------- ----------
Total Return...................................... 5.54% 5.46% 5.34% 0.81%#
Net Assets, End of Period (thousands)............. $ 18,467 $ 15,136 $7,789 $ 5,041
Ratio of Expenses to Average Net Assets........... 0.41% 0.43% 0.70% 0.63%*
Ratio of Net Investment Income to Average Net
Assets.......................................... 5.24% 5.44% 4.93% 5.11%*
Portfolio Turnover Rate........................... 49.84% 72.92% 29.27% 0.00%*
<CAPTION>
VA GLOBAL
BOND PORTFOLIO
--------------------------------------------------
YEAR YEAR YEAR JAN. 13,
ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995
-------- --------- --------- ---------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 10.69 $ 11.14 $ 10.61 $ 10.00
-------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........................... 0.52 0.42 0.37 0.48
Net Gains on Securities (Realized and
Unrealized)................................... 0.30 0.34 0.57 0.81
-------- --------- --------- ---------
Total from Investment Operations.............. 0.82 0.76 0.94 1.29
-------- --------- --------- ---------
LESS DISTRIBUTIONS
Net Investment Income........................... (1.14) (0.94) (0.41) (0.57)
Net Realized Gains.............................. (0.04) (0.27) -- (0.11)
Tax Return of Capital........................... (0.03) -- -- --
-------- --------- --------- ---------
Total Distributions........................... (1.21) (1.21) (0.41) (0.68)
-------- --------- --------- ---------
Net Asset Value, End of Period.................... $ 10.30 $ 10.69 $ 11.14 $ 10.61
-------- --------- --------- ---------
-------- --------- --------- ---------
Total Return...................................... 8.44% 7.58% 9.16% 13.09%#
Net Assets, End of Period (thousands)............. $ 10,483 $ 7,073 $ 3,703 $ 3,393
Ratio of Expenses to Average Net Assets........... 0.57% 0.65% 1.73% 1.31%*
Ratio of Net Investment Income to Average Net
Assets.......................................... 3.65% 4.09% 3.43% 5.08%*
Portfolio Turnover Rate........................... 36.97% 58.35% 88.93% 60.09%*
</TABLE>
<TABLE>
<C> <S>
- ------------------
(Restated to reflect a 900% stock dividend as of January 2, 1996.)
* Annualized
# Non-Annualized
</TABLE>
See accompanying Notes to Financial Statements.
42
<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 thirty portfolios, six of which (the "VA
Portfolios") are included in this report. Of the remaining twenty-four
portfolios, twenty-three are presented in separate reports and the remaining
portfolio has not yet commenced operations. The VA Portfolios are only available
through a select group of insurance products.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by VA Small Value Portfolio and VA
Large Value Portfolio (the "Domestic Equity Portfolios") which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such reported
sale, at the mean between the most recent bid and asked prices. Securities held
by VA International Value Portfolio and VA International Small Portfolio (the
"International Equity Portfolios") which are listed on a securities exchange are
valued at the last quoted sale price. Price information on listed securities is
taken from the exchange where the security is primarily traded.
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. Securities for
which quotations are not readily available are valued in good faith at fair
value using methods determined by the Board of Directors.
Securities held by VA Short-Term Fixed Portfolio and VA Global Bond
Portfolio are valued on the basis of prices provided by a pricing service when
such prices are believed to reflect the fair market value of such securities.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Directors.
2. FOREIGN CURRENCY: Securities and other assets and liabilities of the
International Equity Portfolios and VA Global Bond Portfolio whose values are
initially expressed in foreign currencies are translated to U.S. dollars at the
mean price of such currency against U.S. dollars last quoted by a major bank.
Dividend and interest income and certain expenses are translated to U.S. dollars
at the rate of exchange on their respective accrual dates. Receivables and
payables denominated in foreign currencies are marked to market daily based on
daily exchange rates and exchange gains or losses are realized upon ultimate
receipt or disbursement. VA Global Bond Portfolio also enters into forward
foreign currency contracts solely for the purpose of hedging against
fluctuations in currency exchange rates. These contracts are also marked to
market daily based on daily exchange rates.
The International Equity Portfolios do not generally isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, VA Global
Bond Portfolio does isolate the effect of fluctuations in foreign currency rates
when determining the gain or loss upon the sale or maturity of foreign currency
denominated debt obligations pursuant to U.S. Federal income tax regulations;
such amounts are categorized as foreign exchange gain or loss for both financial
reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
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.
43
<PAGE>
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, 1998,
the VA Portfolios' advisory fees were computed daily and paid monthly to the
Advisor based on the following effective annual rates:
<TABLE>
<S> <C>
VA Small Value Portfolio................................. 0.50 of 1%
VA Large Value Portfolio................................. 0.25 of 1%
VA International Value Portfolio......................... 0.40 of 1%
VA International Small Portfolio......................... 0.50 of 1%
VA Short-Term Fixed Portfolio............................ 0.25 of 1%
VA Global Bond Portfolio................................. 0.25 of 1%
</TABLE>
Certain officers of the VA Portfolios are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 1998, the VA Portfolios made the following
purchases and sales of investment securities other than U.S. Government
Securities (amounts in thousands):
<TABLE>
<CAPTION>
OTHER INVESTMENT
SECURITIES
----------------------
PURCHASES SALES
----------- ---------
<S> <C> <C>
VA Small Value Portfolio................................................. $ 6,320 $ 3,947
VA Large Value Portfolio................................................. 8,864 6,201
VA International Value Portfolio......................................... 5,359 5,203
VA International Small Portfolio......................................... 5,329 2,333
VA Short-Term Fixed Portfolio............................................ 2,985 4,317
VA Global Bond Portfolio................................................. 3,751 2,748
</TABLE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1998, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies was
as follows (amounts in thousands):
<TABLE>
<CAPTION>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
----------------- ----------------- ---------
<S> <C> <C> <C>
VA Small Value Portfolio.................................................... $ 3,586 $ (3,220) $ 366
VA Large Value Portfolio.................................................... 6,586 (1,508) 5,078
VA International Value Portfolio............................................ 3,874 (3,840) 34
VA International Small Portfolio............................................ 1,495 (5,007) (3,512)
VA Short-Term Fixed Portfolio............................................... 4 (2) 2
VA Global Bond Portfolio.................................................... 266 (54) 212
</TABLE>
44
<PAGE>
F. FINANCIAL INSTRUMENTS:
In accordance with the VA Portfolios' Investment Objectives and Policies,
the VA Portfolios may invest in certain financial instruments which have
off-balance sheet risk and concentrations of credit risk. These instruments and
their significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The VA Portfolios may purchase money market
instruments subject to the seller's agreement to repurchase them at an agreed
upon date and price. The seller will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Fund's custodian or a third party sub-custodian. All open repurchase
agreements were entered into on November 30, 1998.
2. FORWARD CURRENCY CONTRACTS: VA Global Bond Portfolio may enter into
forward foreign currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies. At November 30, 1998, VA
Global Bond Portfolio had entered into the following contracts and the related
net unrealized foreign exchange loss is reflected in the accompanying financial
statements:
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION CONTRACT VALUE AT NOVEMBER EXCHANGE
DATE CURRENCY SOLD AMOUNT 30, 1998 GAIN (LOSS)
- ---------- ---------------------------------------- ------------- ------------------- ------------
<C> <C> <S> <C> <C> <C>
12/16/98 241,718,705 Japanese Yen $ 1,954,296 $ 1,966,471 $ (12,175)
12/21/98 2,566,147 Swedish Krona 319,682 316,320 3,362
12/23/98 339,405 Canadian Dollars 219,679 221,906 (2,227)
12/24/98 1,101,033 Netherland Guilders 578,093 577,491 602
12/28/98 3,243,748 German Marks 1,918,318 1,918,492 (174)
12/29/98 1,055,970 Australian Dollars 678,993 663,994 14,999
12/30/98 14,451,332 French Francs 2,523,887 2,548,192 (24,305)
------------- ------------------- ------------
$ 8,192,948 $ 8,212,866 $ (19,918)
------------- ------------------- ------------
------------- ------------------- ------------
</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.
G. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. For the year ended November 30, 1998, borrowings
under the line by the VA Portfolios were as follows:
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED NUMBER OF INTEREST
AVERAGE AVERAGE DAYS EXPENSE
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED
------------- -------------- ----------------- -----------
<S> <C> <C> <C> <C>
The VA Small Value Portfolio....................... 5.93% $ 68,833 6 $ 102
The VA Large Value Portfolio....................... 5.94% 231,462 22 993
The VA International Value Portfolio............... 5.95% 418,000 10 691
<CAPTION>
MAXIMUM AMOUNT
BORROWED DURING
THE PERIOD
------------------
<S> <C>
The VA Small Value Portfolio....................... $ 81,000
The VA Large Value Portfolio....................... 612,500
The VA International Value Portfolio............... 600,000
</TABLE>
There were no outstanding borrowings under the line of credit at November 30,
1998.
45
<PAGE>
H. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
AT NOVEMBER 30, 1998 NET ASSETS CONSIST OF:
(AMOUNTS IN THOUSANDS)
---------------------------------------------------
VA SMALL VA LARGE VA INTERNATIONAL
VALUE VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- --------------- ----------------
<S> <C> <C> <C>
Paid-In Capital.......................................................... $ 15,903 $ 23,063 $ 19,575
Undistributed Net Investment Income...................................... 45 113 288
Undistributed Net Realized Gain.......................................... 1,518 1,933 1,129
Undistributed Net Realized Foreign Exchange Gain......................... -- -- 2
Unrealized Appreciation of Investment Securities and Foreign Currency.... 366 5,078 95
Unrealized Net Foreign Exchange Gain..................................... -- -- 2
-------- --------------- --------
$ 17,832 $ 30,187 $ 21,091
-------- --------------- --------
-------- --------------- --------
<CAPTION>
VA INTERNATIONAL VA SHORT-TERM VA GLOBAL
SMALL FIXED BOND
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- --------------- ----------------
<S> <C> <C> <C>
Paid-In Capital.......................................................... $ 15,228 $ 18,372 $ 10,273
Undistributed Net Investment Income (Loss)............................... 174 74 (21)
Undistributed Net Realized Gain.......................................... 821 19 --
Undistributed Net Realized Foreign Exchange Gain (Loss).................. (11) -- 35
Unrealized Appreciation (Depreciation) of Investment Securities and
Foreign Currency....................................................... (3,465) 2 212
Unrealized Net Foreign Exchange Gain (Loss).............................. 1 -- (16)
-------- --------------- --------
$ 12,748 $ 18,467 $ 10,483
-------- --------------- --------
-------- --------------- --------
</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 Portfolio or, at the option of
the lending agent, replace the loaned securities. Such cash collateral for
November 30, 1998 was reinvested into overnight repurchase agreements with
Lehman Brothers, which was in turn collateralized by U.S. Government Treasury
Securities. The market value of securities on loan to brokers the related
collateral cash received by each Portfolio and value of collateral on overnight
repurchase agreements at November 30, 1998, was as follows:
<TABLE>
<CAPTION>
VALUE OF
COLLATERAL ON
VALUE OF OVERNIGHT
VALUE OF COLLATERAL AND REPURCHASE
SECURITIES INDEMNIFICATION AGREEMENTS
----------- --------------- -------------
<S> <C> <C> <C>
VA International Value Portfolio................................................ $ 250,908 $ 268,930 $ 269,247
VA International Small Portfolio................................................ 155,135 164,730 164,927
</TABLE>
46
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DFA INVESTMENT DIMENSIONS GROUP INC.:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, of DFA Investment Dimensions Group Inc., VA
International Value Portfolio and the VA International Small Portfolio and the
statements of net assets of the VA Small Value Portfolio, VA Large Value
Portfolio, VA Short-term Fixed Portfolio and VA Global Bond Portfolio, and the
related statements of operations, and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
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 and VA Global Bond Portfolio at November 30, 1998,
the results of their operations, the changes in their net assets and the
financial highlights for each of the periods presented, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities owned at November 30, 1998 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 15, 1999
47
