<PAGE>
- --------------------------------------------------------------------------------
DFA INVESTMENT DIMENSIONS GROUP INC.
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INVESTMENT TRUST COMPANY
ANNUAL
REPORT
YEAR ENDED NOVEMBER 30, 1998
---------------------------------------------
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<S> <C>
Performance Charts.................................................... 1
Schedules of Investments
The U.S. Large Company Portfolio.................................. 8
The Enhanced U.S. Large Company Portfolio......................... 8
The U.S. Large Cap Value Portfolio................................ 8
The U.S. 6-10 Value Portfolio..................................... 9
The U.S. 6-10 Small Company Portfolio............................. 9
The U.S. 9-10 Small Company Portfolio............................. 9
The DFA Real Estate Securities Portfolio.......................... 10
The Large Cap International Portfolio............................. 12
The International Small Company Portfolio......................... 19
The Japanese Small Company Portfolio.............................. 19
The Pacific Rim Small Company Portfolio........................... 19
The United Kingdom Small Company Portfolio........................ 20
The Continental Small Company Portfolio........................... 20
The DFA International Small Cap Value Portfolio................... 21
The Emerging Markets Portfolio.................................... 40
The Emerging Markets Small Cap Portfolio.......................... 40
The DFA One-Year Fixed Income Portfolio........................... 40
The DFA Two-Year Global Fixed Income Portfolio.................... 40
The DFA Five-Year Government Portfolio............................ 41
The DFA Global Fixed Income Portfolio............................. 42
The DFA Intermediate Government Fixed Income Portfolio............ 44
Statements of Assets and Liabilities.................................. 45
Statements of Operations.............................................. 48
Statements of Changes in Net Assets................................... 54
Financial Highlights.................................................. 60
Notes to Financial Statements......................................... 71
Report of Independent Accountants..................................... 79
</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>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<S> <C>
Performance Chart..................................................... 80
Statement of Assets and Liabilities................................... 81
Statement of Operations............................................... 82
Statements of Changes in Net Assets................................... 83
Financial Highlights.................................................. 84
Notes to Financial Statements......................................... 85
Report of Independent Accountants..................................... 87
</TABLE>
ii
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
ANNUAL REPORT
TABLE OF CONTENTS
<TABLE>
<S> <C>
Performance Charts.................................................... 88
Schedules of Investments
The U.S. Large Company Series..................................... 94
The Enhanced U.S. Large Company Series............................ 99
The U.S. Large Cap Value Series................................... 101
The U.S. 4-10 Value Series........................................ 103
The U.S. 6-10 Value Series........................................ 108
The U.S. 6-10 Small Company Series................................ 125
The U.S. 9-10 Small Company Series................................ 157
The DFA International Value Series................................ 181
The Japanese Small Company Series................................. 189
The Pacific Rim Small Company Series.............................. 196
The United Kingdom Small Company Series........................... 207
The Continental Small Company Series.............................. 214
The Emerging Markets Series....................................... 224
The Emerging Markets Small Cap Series............................. 232
The DFA One-Year Fixed Income Series.............................. 240
The DFA Two-Year Global Fixed Income Series....................... 242
Statements of Assets and Liabilities.................................. 244
Statements of Operations.............................................. 246
Statements of Changes in Net Assets................................... 249
Statement of Cash Flows (The Pacific Rim Small Company Series)........ 253
Financial Highlights.................................................. 254
Notes to Financial Statements......................................... 261
Report of Independent Accountants..................................... 268
</TABLE>
iii
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- ------------------------------------------------------------
U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500 INDEX
JANUARY 1991-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 U.S. LARGE COMPANY PORTFOLIO S&P 500 INDEX
<S> <C> <C>
$10,000 $10,000
Jan-91 $10,440 $10,442
Feb-91 $11,180 $11,190
Mar-91 $11,441 $11,456
Apr-91 $11,461 $11,488
May-91 $11,954 $11,980
Jun-91 $11,409 $11,432
Jul-91 $11,936 $11,967
Aug-91 $12,220 $12,249
Sep-91 $12,008 $12,048
Oct-91 $12,171 $12,209
Nov-91 $11,680 $11,716
Dec-91 $13,012 $13,055
Jan-92 $12,774 $12,812
Feb-92 $12,939 $12,976
Mar-92 $12,690 $12,722
Apr-92 $13,053 $13,092
May-92 $13,126 $13,163
Jun-92 $12,928 $12,972
Jul-92 $13,440 $13,495
Aug-92 $13,168 $13,222
Sep-92 $13,315 $13,374
Oct-92 $13,357 $13,422
Nov-92 $13,810 $13,875
Dec-92 $13,963 $14,056
Jan-93 $14,069 $14,159
Feb-93 $14,250 $14,350
Mar-93 $14,546 $14,659
Apr-93 $14,184 $14,299
May-93 $14,557 $14,686
Jun-93 $14,590 $14,734
Jul-93 $14,526 $14,665
Aug-93 $15,064 $15,223
Sep-93 $14,957 $15,111
Oct-93 $15,259 $15,418
Nov-93 $15,117 $15,273
Dec-93 $15,306 $15,460
Jan-94 $15,800 $15,978
Feb-94 $15,372 $15,547
Mar-94 $14,711 $14,871
Apr-94 $14,910 $15,064
May-94 $15,141 $15,310
Jun-94 $14,774 $14,931
Jul-94 $15,251 $15,426
Aug-94 $15,872 $16,053
Sep-94 $15,504 $15,667
Oct-94 $15,839 $16,025
Nov-94 $15,275 $15,437
Dec-94 $15,503 $15,663
Jan-95 $15,898 $16,070
Feb-95 $16,518 $16,693
Mar-95 $16,995 $17,187
Apr-95 $17,481 $17,688
May-95 $18,184 $18,386
Jun-95 $18,606 $18,818
Jul-95 $19,220 $19,445
Aug-95 $19,255 $19,497
Sep-95 $20,077 $20,314
Oct-95 $19,996 $20,243
Nov-95 $20,856 $21,134
Dec-95 $21,250 $21,525
Jan-96 $21,979 $22,265
Feb-96 $22,164 $22,479
Mar-96 $22,381 $22,695
Apr-96 $22,706 $23,029
May-96 $23,273 $23,623
Jun-96 $23,366 $23,720
Jul-96 $22,327 $22,664
Aug-96 $22,804 $23,145
Sep-96 $24,072 $24,445
Oct-96 $24,727 $25,115
Nov-96 $26,587 $27,021
Dec-96 $26,058 $26,492
Jan-97 $27,681 $28,137
Feb-97 $27,894 $28,365
Mar-97 $26,742 $27,185
Apr-97 $28,336 $28,808
May-97 $30,047 $30,577
Jun-97 $31,387 $31,940
Jul-97 $33,883 $34,476
Aug-97 $31,995 $32,559
Sep-97 $33,739 $34,344
Oct-97 $32,612 $33,197
Nov-97 $34,096 $34,734
Dec-97 $34,676 $35,331
Jan-98 $35,075 $35,723
Feb-98 $37,596 $38,299
Mar-98 $39,503 $40,260
Apr-98 $39,902 $40,666
May-98 $39,211 $39,967
Jun-98 $40,799 $41,590
Jul-98 $40,363 $41,149
Aug-98 $34,551 $35,199
Sep-98 $36,748 $37,455
Oct-98 $39,706 $40,500
Nov-98 $42,128 $42,954
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS JANUARY 1991
- -----------------------------------------------------
<S> <C> <C> <C>
23.56 22.75 19.92
</TABLE>
- - THE PORTFOLIO PROVIDES ACCESS TO U.S. LARGE COMPANIES BY INVESTING IN THE U.S.
LARGE COMPANY SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS
PRIMARILY IN THE SECURITIES COMPRISING THE S&P 500 INDEX.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF THE S&P
500 INDEX.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ENHANCED U.S. LARGE COMPANY PORTFOLIO VS.
S&P 500 INDEX
AUGUST 1996-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 ENHANCED U.S. LARGE COMPANY PORTFOLIO S&P 500 INDEX
<S> <C> <C>
$10,000 $10,000
Aug-96 $10,203 $10,212
Sep-96 $10,802 $10,786
Oct-96 $11,167 $11,081
Nov-96 $12,010 $11,923
Dec-96 $11,709 $11,689
Jan-97 $12,455 $12,415
Feb-97 $12,553 $12,515
Mar-97 $11,947 $11,995
Apr-97 $12,697 $12,711
May-97 $13,525 $13,491
Jun-97 $14,105 $14,093
Jul-97 $15,242 $15,212
Aug-97 $14,407 $14,366
Sep-97 $15,156 $15,153
Oct-97 $14,730 $14,647
Nov-97 $15,279 $15,325
Dec-97 $15,540 $15,589
Jan-98 $15,811 $15,762
Feb-98 $16,881 $16,898
Mar-98 $17,735 $17,764
Apr-98 $17,931 $17,943
May-98 $17,567 $17,634
Jun-98 $18,311 $18,350
Jul-98 $18,075 $18,156
Aug-98 $15,440 $15,531
Sep-98 $16,519 $16,526
Oct-98 $17,884 $17,870
Nov-98 $18,903 $18,953
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR AUGUST 1996
- -----------------------------------------
<S> <C> <C>
23.72 31.37
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE RETURN PREMIUMS BY INVESTING IN THE ENHANCED
U.S. LARGE COMPANY SERIES WHICH IN TURN INVESTS IN AN ENHANCED CASH PORTFOLIO
IN COMBINATION WITH THE S&P 500 INDEX FUTURES AND SWAPS.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
U.S. LARGE CAP VALUE PORTFOLIO VS.
RUSSELL 1000 VALUE INDEX
MARCH 1993-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 U.S. LARGE CAP VALUE PORTFOLIO RUSSELL 1000 VALUE INDEX FAMA-FRENCH LARGE CAP VALUE INDEX
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Mar-93 $10,109 $10,295 $10,302
Apr-93 $10,080 $10,163 $10,247
May-93 $10,189 $10,368 $10,333
Jun-93 $10,396 $10,596 $10,501
Jul-93 $10,545 $10,714 $10,623
Aug-93 $10,802 $11,101 $10,980
Sep-93 $10,614 $11,119 $10,869
Oct-93 $10,743 $11,111 $10,907
Nov-93 $10,633 $10,882 $10,742
Dec-93 $10,895 $11,089 $11,018
Jan-94 $11,198 $11,508 $11,242
Feb-94 $10,694 $11,114 $10,748
Mar-94 $10,261 $10,701 $10,273
Apr-94 $10,422 $10,906 $10,418
May-94 $10,351 $11,032 $10,291
Jun-94 $10,136 $10,768 $10,097
Jul-94 $10,575 $11,103 $10,542
Aug-94 $10,881 $11,422 $10,821
Sep-94 $10,563 $11,043 $10,423
Oct-94 $10,769 $11,196 $10,621
Nov-94 $10,286 $10,744 $10,137
Dec-94 $10,400 $10,867 $10,178
Jan-95 $10,639 $11,202 $10,445
Feb-95 $11,243 $11,645 $11,127
Mar-95 $11,419 $11,900 $11,299
Apr-95 $11,827 $12,276 $11,695
May-95 $12,443 $12,792 $12,249
Jun-95 $12,715 $12,966 $12,564
Jul-95 $13,272 $13,418 $13,146
Aug-95 $13,661 $13,607 $13,451
Sep-95 $14,134 $14,099 $13,854
Oct-95 $13,553 $13,960 $13,274
Nov-95 $14,296 $14,667 $13,963
Dec-95 $14,390 $15,036 $14,118
Jan-96 $14,800 $15,505 $14,462
Feb-96 $15,016 $15,623 $14,675
Mar-96 $15,534 $15,888 $15,108
Apr-96 $15,794 $15,949 $15,432
May-96 $16,053 $16,148 $15,672
Jun-96 $15,582 $16,161 $15,272
Jul-96 $14,886 $15,550 $14,479
Aug-96 $15,484 $15,995 $15,011
Sep-96 $15,785 $16,631 $15,386
Oct-96 $16,298 $17,275 $15,811
Nov-96 $17,478 $18,527 $16,965
Dec-96 $17,299 $18,290 $16,878
Jan-97 $17,919 $19,177 $17,440
Feb-97 $18,268 $19,459 $17,850
Mar-97 $17,431 $18,759 $17,026
Apr-97 $18,007 $19,546 $17,644
May-97 $19,395 $20,639 $19,023
Jun-97 $19,990 $21,525 $19,634
Jul-97 $21,995 $23,143 $21,485
Aug-97 $21,668 $22,319 $21,198
Sep-97 $22,807 $23,667 $22,306
Oct-97 $21,637 $23,007 $21,637
Nov-97 $21,864 $24,024 $22,191
Dec-97 $22,166 $24,725 $22,684
Jan-98 $22,454 $24,377 $22,874
Feb-98 $24,417 $26,017 $24,793
Mar-98 $25,777 $27,610 $26,276
Apr-98 $25,921 $27,795 $26,617
May-98 $25,693 $27,383 $26,684
Jun-98 $25,631 $27,734 $26,700
Jul-98 $24,742 $27,246 $25,779
Aug-98 $20,229 $23,192 $21,520
Sep-98 $21,255 $24,523 $22,837
Oct-98 $22,995 $26,423 $24,890
Nov-98 $24,421 $27,655 $26,147
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS MARCH 1993
- ---------------------------------------------------
<S> <C> <C> <C>
11.69 18.09 16.80
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS BY INVESTING IN THE U.S. LARGE CAP VALUE SERIES OF THE
DFA INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN U.S. LARGE COMPANIES ON
A MARKET CAP-WEIGHTED BASIS. THE SERIES INVESTS IN COMPANIES THAT HAVE AVERAGE
WEIGHTED MARKETS CAPITALIZATIONS OF APPROXIMATELY $18.7 BILLION 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 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.
- --------------------------------------------------------------------------------
1
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- ------------------------------------------------------------
U.S. 6-10 VALUE PORTFOLIO VS.
RUSSELL 2000 VALUE INDEX
APRIL 1993-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 U.S. 6-10 VALUE PORTFOLIO RUSSELL 2000 VALUE INDEX FAMA-FRENCH SMALL CAP VALUE INDEX
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Apr-93 $9,788 $9,760 $9,687
May-93 $10,050 $10,067 $10,081
Jun-93 $10,050 $10,162 $10,069
Jul-93 $10,353 $10,337 $10,209
Aug-93 $10,685 $10,741 $10,536
Sep-93 $11,058 $10,999 $10,727
Oct-93 $11,431 $11,251 $11,156
Nov-93 $11,228 $10,964 $10,978
Dec-93 $11,453 $11,286 $11,257
Jan-94 $12,044 $11,688 $11,791
Feb-94 $12,003 $11,654 $11,720
Mar-94 $11,606 $11,133 $11,235
Apr-94 $11,687 $11,242 $11,317
May-94 $11,717 $11,226 $11,279
Jun-94 $11,503 $10,936 $11,047
Jul-94 $11,696 $11,138 $11,320
Aug-94 $12,094 $11,576 $11,726
Sep-94 $12,053 $11,453 $11,676
Oct-94 $11,879 $11,243 $11,477
Nov-94 $11,472 $10,789 $11,096
Dec-94 $11,591 $11,113 $11,188
Jan-95 $11,705 $11,060 $11,370
Feb-95 $12,118 $11,469 $11,831
Mar-95 $12,262 $11,525 $11,968
Apr-95 $12,696 $11,867 $12,344
May-95 $13,046 $12,121 $12,607
Jun-95 $13,563 $12,536 $13,023
Jul-95 $14,295 $12,993 $13,547
Aug-95 $14,750 $13,379 $13,982
Sep-95 $14,936 $13,579 $14,215
Oct-95 $14,203 $13,037 $13,581
Nov-95 $14,731 $13,554 $13,963
Dec-95 $14,986 $13,974 $14,182
Jan-96 $14,933 $14,067 $14,382
Feb-96 $15,260 $14,288 $14,606
Mar-96 $15,682 $14,588 $15,099
Apr-96 $16,494 $14,986 $15,619
May-96 $17,137 $15,365 $16,233
Jun-96 $16,779 $15,184 $15,975
Jul-96 $15,735 $14,376 $15,124
Aug-96 $16,453 $15,000 $15,750
Sep-96 $17,001 $15,409 $16,151
Oct-96 $17,126 $15,588 $16,105
Nov-96 $17,938 $16,427 $16,842
Dec-96 $18,331 $16,961 $17,081
Jan-97 $18,797 $17,222 $17,686
Feb-97 $18,797 $17,385 $17,774
Mar-97 $18,299 $16,919 $17,307
Apr-97 $18,224 $17,168 $17,184
May-97 $19,948 $18,535 $18,815
Jun-97 $21,194 $19,473 $19,808
Jul-97 $22,462 $20,290 $20,842
Aug-97 $23,252 $20,613 $21,618
Sep-97 $25,040 $21,984 $23,189
Oct-97 $24,152 $21,386 $22,716
Nov-97 $23,946 $21,621 $22,575
Dec-97 $23,968 $22,354 $23,029
Jan-98 $23,673 $21,949 $22,921
Feb-98 $25,458 $23,277 $24,408
Mar-98 $26,494 $24,222 $25,417
Apr-98 $27,005 $24,341 $25,856
May-98 $25,971 $23,479 $24,840
Jun-98 $25,459 $23,346 $24,187
Jul-98 $23,583 $21,518 $22,392
Aug-98 $19,237 $18,148 $18,462
Sep-98 $19,783 $19,173 $18,918
Oct-98 $20,626 $19,743 $19,966
Nov-98 $21,719 $20,278 $20,801
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS APRIL 1993
- --------------------------------------------------
<S> <C> <C> <C>
-9.30 14.10 14.67
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS BY INVESTING IN THE U.S. 6-10 VALUE SERIES OF THE DFA
INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN U.S. SMALL COMPANIES ON A
MARKET CAP-WEIGHTED BASIS. THE SERIES INVESTS IN COMPANIES THAT HAVE AVERAGE
WEIGHTED MARKET CAPITALIZATIONS OF APPROXIMATELY $300 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.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
U.S. 6-10 SMALL COMPANY PORTFOLIO VS.
RUSSELL 2000 INDEX
APRIL 1992-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 U.S. 6-10 SMALL COMPANY PORTFOLIO RUSSELL 2000 INDEX CRSP 6-10 INDEX
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Apr-92 $9,588 $9,649 $9,606
May-92 $9,567 $9,777 $9,677
Jun-92 $9,103 $9,318 $9,289
Jul-92 $9,505 $9,642 $9,649
Aug-92 $9,309 $9,369 $9,383
Sep-92 $9,464 $9,585 $9,587
Oct-92 $9,763 $9,888 $9,892
Nov-92 $10,670 $10,645 $10,729
Dec-92 $11,079 $11,015 $11,096
Jan-93 $11,454 $11,388 $11,511
Feb-93 $11,193 $11,125 $11,229
Mar-93 $11,454 $11,485 $11,581
Apr-93 $11,099 $11,169 $11,231
May-93 $11,547 $11,663 $11,743
Jun-93 $11,495 $11,735 $11,788
Jul-93 $11,579 $11,897 $11,928
Aug-93 $11,975 $12,411 $12,478
Sep-93 $12,288 $12,761 $12,837
Oct-93 $12,548 $13,090 $13,234
Nov-93 $12,240 $12,664 $12,827
Dec-93 $12,592 $13,097 $13,215
Jan-94 $12,970 $13,507 $13,671
Feb-94 $12,873 $13,458 $13,590
Mar-94 $12,247 $12,749 $12,850
Apr-94 $12,269 $12,824 $12,798
May-94 $12,204 $12,680 $12,683
Jun-94 $11,848 $12,253 $12,355
Jul-94 $12,021 $12,454 $12,568
Aug-94 $12,593 $13,148 $13,287
Sep-94 $12,657 $13,103 $13,335
Oct-94 $12,700 $13,051 $13,322
Nov-94 $12,267 $12,523 $12,806
Dec-94 $12,423 $12,859 $12,974
Jan-95 $12,496 $12,697 $12,996
Feb-95 $12,908 $13,225 $13,476
Mar-95 $13,151 $13,451 $13,764
Apr-95 $13,576 $13,750 $14,123
May-95 $13,854 $13,986 $14,380
Jun-95 $14,557 $14,712 $15,173
Jul-95 $15,453 $15,560 $16,141
Aug-95 $15,889 $15,882 $16,559
Sep-95 $16,180 $16,166 $16,913
Oct-95 $15,343 $15,443 $16,050
Nov-95 $15,794 $16,092 $16,609
Dec-95 $16,172 $16,517 $17,019
Jan-96 $16,211 $16,499 $17,132
Feb-96 $16,752 $17,014 $17,712
Mar-96 $17,114 $17,366 $18,127
Apr-96 $18,250 $18,295 $19,490
May-96 $19,192 $19,016 $20,439
Jun-96 $18,315 $18,234 $19,505
Jul-96 $16,791 $16,642 $17,703
Aug-96 $17,772 $17,609 $18,756
Sep-96 $18,326 $18,298 $19,529
Oct-96 $18,055 $18,016 $19,158
Nov-96 $18,752 $18,758 $19,740
Dec-96 $19,029 $19,250 $20,137
Jan-97 $19,659 $19,635 $20,864
Feb-97 $19,239 $19,159 $20,365
Mar-97 $18,329 $18,255 $19,257
Apr-97 $18,118 $18,306 $18,938
May-97 $20,176 $20,344 $21,347
Jun-97 $21,213 $21,216 $22,657
Jul-97 $22,473 $22,203 $23,897
Aug-97 $23,300 $22,711 $24,731
Sep-97 $25,092 $24,374 $26,811
Oct-97 $24,001 $23,304 $25,762
Nov-97 $23,636 $23,152 $25,327
Dec-97 $23,640 $23,558 $25,459
Jan-98 $23,359 $23,185 $25,341
Feb-98 $25,071 $24,899 $27,237
Mar-98 $26,114 $25,925 $28,558
Apr-98 $26,472 $26,067 $28,998
May-98 $25,085 $24,662 $27,391
Jun-98 $24,741 $24,714 $27,115
Jul-98 $22,841 $22,712 $25,173
Aug-98 $18,138 $18,301 $20,025
Sep-98 $19,275 $19,734 $21,229
Oct-98 $20,116 $20,540 $22,184
Nov-98 $21,439 $21,616 $23,664
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS APRIL 1992
- --------------------------------------------------
<S> <C> <C> <C>
-9.29 11.86 12.12
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN THE U.S. 6-10 SMALL COMPANY SERIES OF THE DFA INVESTMENT TRUST
COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF U.S. SMALL COMPANIES
ON A MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED
U.S. SMALL COMPANIES THAT HAVE AVERAGE WEIGHTED MARKET CAPITALIZATIONS OF
APPROXIMATELY $450 MILLION.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF DECILE
6-10 COMPANIES IN THE U.S.
- - THE RUSSELL 2000 INDEX IS A MORE WIDELY RECOGNIZED AND MORE BROADLY BASED
SECURITIES INDEX THAN THE CRSP 6-10 INDEX, AND IS REPLACING THE LATTER FOR
COMPARISON PURPOSES.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
U.S. 9-10 SMALL COMPANY PORTFOLIO VS.
CRSP 9-10 INDEX
DECEMBER 1988-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 U.S. 9-10 SMALL COMPANY PORTFOLIO CRSP 9-10 INDEX
<S> <C> <C>
$10,000 $10,000
Dec-88 $10,394 $10,271
Jan-89 $10,814 $10,763
Feb-89 $10,904 $10,843
Mar-89 $11,294 $11,093
Apr-89 $11,609 $11,375
May-89 $12,029 $11,700
Jun-89 $11,789 $11,581
Jul-89 $12,269 $11,935
Aug-89 $12,418 $12,174
Sep-89 $12,418 $12,195
Oct-89 $11,668 $11,410
Nov-89 $11,609 $11,314
Dec-89 $11,453 $11,116
Jan-90 $10,578 $10,406
Feb-90 $10,776 $10,553
Mar-90 $11,172 $10,768
Apr-90 $10,875 $10,433
May-90 $11,485 $10,850
Jun-90 $11,651 $10,922
Jul-90 $11,206 $10,447
Aug-90 $9,753 $9,100
Sep-90 $8,945 $8,248
Oct-90 $8,433 $7,701
Nov-90 $8,813 $8,001
Dec-90 $8,984 $8,000
Jan-91 $9,739 $8,822
Feb-91 $10,823 $10,104
Mar-91 $11,559 $10,912
Apr-91 $11,599 $11,064
May-91 $11,986 $11,357
Jun-91 $11,405 $10,912
Jul-91 $11,869 $11,296
Aug-91 $12,179 $11,641
Sep-91 $12,218 $11,789
Oct-91 $12,605 $12,061
Nov-91 $12,257 $11,641
Dec-91 $12,994 $12,129
Jan-92 $14,459 $13,811
Feb-92 $15,113 $14,554
Mar-92 $14,736 $14,212
Apr-92 $14,143 $13,546
May-92 $14,123 $13,562
Jun-92 $13,390 $12,857
Jul-92 $13,885 $13,267
Aug-92 $13,569 $12,891
Sep-92 $13,746 $13,096
Oct-92 $14,102 $13,456
Nov-92 $15,350 $14,762
Dec-92 $16,027 $15,286
Jan-93 $16,898 $16,171
Feb-93 $16,594 $15,718
Mar-93 $17,073 $16,175
Apr-93 $16,551 $15,679
May-93 $17,117 $16,275
Jun-93 $17,052 $16,304
Jul-93 $17,335 $16,557
Aug-93 $17,922 $17,259
Sep-93 $18,489 $17,790
Oct-93 $19,360 $18,621
Nov-93 $19,021 $18,109
Dec-93 $19,390 $18,321
Jan-94 $20,588 $19,231
Feb-94 $20,541 $19,158
Mar-94 $19,625 $18,227
Apr-94 $19,742 $18,049
May-94 $19,719 $18,034
Jun-94 $19,202 $17,556
Jul-94 $19,555 $17,644
Aug-94 $20,214 $18,433
Sep-94 $20,427 $18,729
Oct-94 $20,662 $18,840
Nov-94 $19,988 $18,113
Dec-94 $19,992 $17,899
Jan-95 $20,558 $18,402
Feb-95 $21,076 $19,000
Mar-95 $21,381 $19,342
Apr-95 $22,134 $19,876
May-95 $22,794 $20,305
Jun-95 $24,088 $21,483
Jul-95 $25,642 $22,845
Aug-95 $26,560 $23,763
Sep-95 $27,078 $24,329
Oct-95 $25,759 $23,071
Nov-95 $26,254 $23,447
Dec-95 $26,881 $23,738
Jan-96 $26,956 $24,070
Feb-96 $27,951 $24,807
Mar-96 $28,588 $25,514
Apr-96 $31,013 $27,672
May-96 $33,336 $29,653
Jun-96 $31,395 $27,898
Jul-96 $28,435 $25,474
Aug-96 $29,788 $26,704
Sep-96 $30,655 $27,593
Oct-96 $30,119 $26,983
Nov-96 $30,986 $27,642
Dec-96 $31,618 $28,214
Jan-97 $32,946 $29,698
Feb-97 $32,268 $29,187
Mar-97 $30,686 $27,532
Apr-97 $29,840 $26,431
May-97 $32,889 $29,346
Jun-97 $34,527 $30,852
Jul-97 $36,616 $32,592
Aug-97 $38,480 $34,072
Sep-97 $41,727 $37,298
Oct-97 $40,117 $36,217
Nov-97 $39,495 $35,478
Dec-97 $38,819 $34,974
Jan-98 $38,590 $34,915
Feb-98 $41,095 $37,163
Mar-98 $43,072 $39,036
Apr-98 $43,795 $40,067
May-98 $41,619 $37,975
Jun-98 $40,761 $36,578
Jul-98 $38,026 $34,313
Aug-98 $30,383 $27,001
Sep-98 $31,504 $27,971
Oct-98 $32,626 $29,025
Nov-98 $35,099 $31,547
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- -------------------------------------------------
<S> <C> <C> <C>
-11.13 13.03 13.38
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN THE U.S. 9-10 SMALL COMPANY SERIES OF THE DFA INVESTMENT TRUST
COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A
MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED U.S.
SMALL COMPANIES WITH AVERAGE WEIGHTED MARKET CAPITALIZATIONS OF APPROXIMATELY
$150 MILLION.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF DECILE
9-10 COMPANIES IN THE U.S.
Past performance is not predictive of future performance.
CRSP 9-10 Index courtesy of the Center for Research in Security Prices,
University of Chicago.
- --------------------------------------------------------------------------------
2
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- ------------------------------------------------------------
DFA REAL ESTATE SECURITIES PORTFOLIO VS.
WILSHIRE REIT-ONLY INDEX
JANUARY 1993-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 DFA REAL ESTATE SECURITIES PORTFOLIO WILSHIRE REIT-ONLY INDEX S&P 500 INDEX
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Jan-93 $10,370 $10,666 $10,073
Feb-93 $10,420 $11,360 $10,209
Mar-93 $10,779 $12,144 $10,428
Apr-93 $10,339 $11,412 $10,173
May-93 $10,350 $11,202 $10,448
Jun-93 $10,660 $11,626 $10,482
Jul-93 $10,941 $11,752 $10,433
Aug-93 $11,341 $12,029 $10,830
Sep-93 $11,851 $12,511 $10,750
Oct-93 $11,691 $12,125 $10,968
Nov-93 $11,109 $11,507 $10,865
Dec-93 $11,546 $11,514 $10,999
Jan-94 $11,801 $11,792 $11,367
Feb-94 $11,740 $12,316 $11,061
Mar-94 $11,096 $11,816 $10,579
Apr-94 $11,065 $11,978 $10,717
May-94 $11,004 $12,226 $10,892
Jun-94 $10,729 $11,981 $10,623
Jul-94 $10,760 $11,915 $10,974
Aug-94 $10,944 $11,918 $11,421
Sep-94 $10,588 $11,749 $11,146
Oct-94 $10,148 $11,268 $11,401
Nov-94 $9,804 $10,882 $10,982
Dec-94 $10,577 $11,820 $11,143
Jan-95 $10,278 $11,414 $11,432
Feb-95 $10,449 $11,600 $11,876
Mar-95 $10,428 $11,584 $12,228
Apr-95 $10,375 $11,505 $12,583
May-95 $10,791 $11,981 $13,080
Jun-95 $11,015 $12,222 $13,388
Jul-95 $11,143 $12,391 $13,834
Aug-95 $11,218 $12,505 $13,871
Sep-95 $11,410 $12,750 $14,452
Oct-95 $11,047 $12,359 $14,402
Nov-95 $11,178 $12,504 $15,035
Dec-95 $11,854 $13,266 $15,313
Jan-96 $11,967 $13,429 $15,840
Feb-96 $12,115 $13,618 $15,992
Mar-96 $12,125 $13,624 $16,146
Apr-96 $12,115 $13,593 $16,383
May-96 $12,375 $13,917 $16,806
Jun-96 $12,601 $14,182 $16,875
Jul-96 $12,658 $14,202 $16,124
Aug-96 $13,111 $14,774 $16,466
Sep-96 $13,395 $15,138 $17,391
Oct-96 $13,723 $15,539 $17,868
Nov-96 $14,335 $16,281 $19,224
Dec-96 $15,864 $18,180 $18,847
Jan-97 $15,959 $18,289 $20,017
Feb-97 $15,900 $18,225 $20,179
Mar-97 $15,996 $18,363 $19,340
Apr-97 $15,484 $17,691 $20,495
May-97 $15,938 $18,220 $21,753
Jun-97 $16,784 $19,222 $22,723
Jul-97 $17,225 $19,743 $24,527
Aug-97 $17,143 $19,631 $23,164
Sep-97 $18,704 $21,525 $24,433
Oct-97 $18,181 $20,838 $23,617
Nov-97 $18,515 $21,268 $24,710
Dec-97 $18,937 $21,755 $25,135
Jan-98 $18,712 $21,496 $25,414
Feb-98 $18,399 $21,057 $27,247
Mar-98 $18,889 $21,537 $28,642
Apr-98 $18,286 $20,799 $28,931
May-98 $18,173 $20,645 $28,434
Jun-98 $18,186 $20,641 $29,588
Jul-98 $16,982 $19,183 $29,274
Aug-98 $15,428 $17,382 $25,041
Sep-98 $16,406 $18,444 $26,646
Oct-98 $16,055 $18,088 $28,813
Nov-98 $16,293 $18,385 $30,559
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS JANUARY 1993
- -----------------------------------------------------
<S> <C> <C> <C>
-12.00 7.96 8.60
</TABLE>
- - THE PORTFOLIO INVESTS IN EQUITY REITS. THE PORTFOLIO INVESTS ON A MARKET
CAP-WEIGHTED BASIS.
- - THE PORTFOLIO DOES NOT PURCHASE HEALTH CARE REITS.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF U.S.
EQUITY REITS.
- - THE WILSHIRE REIT-ONLY INDEX IS A MORE APPROPRIATE MEASURE OF DIMENSIONAL'S
REAL ESTATE STRATEGY THAN THE S&P 500 INDEX, AND IS REPLACING THE LATTER FOR
COMPARISON PURPOSES.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
LARGE CAP INTERNATIONAL PORTFOLIO VS.
EAFE INDEX (NET DIVIDENDS)
AUGUST 1991-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 LARGE CAP INTERNATIONAL PORTFOLIO EAFE INDEX (NET DIVIDENDS) EAFE INDEX (GROSS DIVIDENDS)
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Aug-91 $9,865 $9,797 $9,799
Sep-91 $10,338 $10,350 $10,354
Oct-91 $10,636 $10,497 $10,503
Nov-91 $10,288 $10,006 $10,015
Dec-91 $10,880 $10,524 $10,535
Jan-92 $10,540 $10,299 $10,313
Feb-92 $10,073 $9,931 $9,947
Mar-92 $9,402 $9,275 $9,293
Apr-92 $9,392 $9,319 $9,340
May-92 $9,966 $9,942 $9,968
Jun-92 $9,539 $9,471 $9,499
Jul-92 $9,412 $9,229 $9,258
Aug-92 $10,121 $9,807 $9,843
Sep-92 $9,868 $9,614 $9,656
Oct-92 $9,295 $9,109 $9,154
Nov-92 $9,363 $9,195 $9,245
Dec-92 $9,451 $9,243 $9,291
Jan-93 $9,362 $9,242 $9,291
Feb-93 $9,607 $9,521 $9,579
Mar-93 $10,364 $10,351 $10,413
Apr-93 $11,090 $11,334 $11,402
May-93 $11,326 $11,573 $11,641
Jun-93 $11,130 $11,392 $11,467
Jul-93 $11,494 $11,791 $11,868
Aug-93 $12,103 $12,428 $12,509
Sep-93 $11,819 $12,148 $12,234
Oct-93 $12,143 $12,522 $12,613
Nov-93 $11,194 $11,428 $11,516
Dec-93 $11,894 $12,253 $12,345
Jan-94 $12,730 $13,288 $13,394
Feb-94 $12,362 $13,251 $13,354
Mar-94 $12,004 $12,680 $12,780
Apr-94 $12,432 $13,217 $13,329
May-94 $12,313 $13,142 $13,249
Jun-94 $12,503 $13,327 $13,435
Jul-94 $12,661 $13,457 $13,569
Aug-94 $12,970 $13,776 $13,895
Sep-94 $12,502 $13,342 $13,464
Oct-94 $13,010 $13,786 $13,922
Nov-94 $12,398 $13,123 $13,254
Dec-94 $12,525 $13,205 $13,333
Jan-95 $12,164 $12,698 $12,827
Feb-95 $12,079 $12,663 $12,788
Mar-95 $12,886 $13,452 $13,594
Apr-95 $13,342 $13,958 $14,110
May-95 $13,183 $13,791 $13,941
Jun-95 $12,981 $13,549 $13,704
Jul-95 $13,715 $14,393 $14,567
Aug-95 $13,173 $13,844 $14,014
Sep-95 $13,396 $14,114 $14,294
Oct-95 $13,204 $13,735 $13,908
Nov-95 $13,559 $14,117 $14,297
Dec-95 $14,159 $14,685 $14,884
Jan-96 $14,126 $14,746 $14,943
Feb-96 $14,082 $14,796 $15,003
Mar-96 $14,374 $15,111 $15,318
Apr-96 $14,762 $15,551 $15,762
May-96 $14,579 $15,264 $15,479
Jun-96 $14,665 $15,350 $15,571
Jul-96 $14,244 $14,902 $15,120
Aug-96 $14,308 $14,935 $15,150
Sep-96 $14,729 $15,332 $15,559
Oct-96 $14,599 $15,175 $15,404
Nov-96 $15,278 $15,779 $16,020
Dec-96 $15,057 $15,576 $15,811
Jan-97 $14,385 $15,031 $15,258
Feb-97 $14,605 $15,277 $15,517
Mar-97 $14,804 $15,332 $15,579
Apr-97 $14,925 $15,413 $15,673
May-97 $15,871 $16,417 $16,692
Jun-97 $16,971 $17,321 $17,610
Jul-97 $17,268 $17,602 $17,892
Aug-97 $16,080 $16,287 $16,568
Sep-97 $17,125 $17,199 $17,495
Oct-97 $15,716 $15,878 $16,148
Nov-97 $15,705 $15,716 $15,987
Dec-97 $15,886 $15,853 $16,131
Jan-98 $16,469 $16,578 $16,873
Feb-98 $17,365 $17,642 $17,952
Mar-98 $17,946 $18,185 $18,509
Apr-98 $18,058 $18,329 $18,657
May-98 $18,068 $18,239 $18,564
Jun-98 $18,292 $18,378 $18,712
Jul-98 $18,415 $18,563 $18,899
Aug-98 $16,220 $16,263 $16,556
Sep-98 $15,704 $15,766 $16,059
Oct-98 $17,273 $17,408 $17,745
Nov-98 $18,237 $18,300 $18,650
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS AUGUST 1991
- ----------------------------------------------------
<S> <C> <C> <C>
16.12 10.25 8.54
</TABLE>
- - THE PORTFOLIO PROVIDES ACCESS TO NON-U.S. LARGE COMPANIES IN EUROPE, AUSTRALIA
AND THE FAR EAST (CURRENTLY 20 COUNTRIES). INVESTMENT WILL BE APPROXIMATELY
MARKET-CAP WEIGHTED. COUNTRY WEIGHTING IS DESIGNED TO REFLECT EACH COUNTRY'S
MARKET CAPITALIZATION RELATIVE TO THE OVERALL INDEX, ADJUSTED TO REFLECT
CROSS-OWNERSHIP.
- - THE PORTFOLIO'S RETURNS IN FISCAL 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.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INTERNATIONAL SMALL COMPANY PORTFOLIO VS.
SALOMON EXTENDED MARKET INDEX
OCTOBER 1996-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 INTERNATIONAL SMALL COMPANY PORTFOLIO SALOMON EXTENDED MARKET INDEX EAFE INDEX (GROSS DIVIDENDS)
<S> <C> <C> <C>
$9,930 $10,000 $10,000
Oct-96 $9,841 $9,961 $9,900
Nov-96 $9,890 $10,124 $10,296
Dec-96 $9,569 $9,938 $10,162
Jan-97 $9,350 $9,723 $9,806
Feb-97 $9,460 $9,887 $9,973
Mar-97 $9,281 $9,755 $10,013
Apr-97 $9,082 $9,609 $10,073
May-97 $9,739 $10,225 $10,728
Jun-97 $9,918 $10,456 $11,318
Jul-97 $9,510 $10,298 $11,499
Aug-97 $9,083 $9,858 $10,648
Sep-97 $8,864 $10,034 $11,244
Oct-97 $8,466 $9,637 $10,379
Nov-97 $7,779 $9,207 $10,275
Dec-97 $7,299 $9,003 $10,367
Jan-98 $7,814 $9,379 $10,844
Feb-98 $8,611 $10,078 $11,538
Mar-98 $8,763 $10,552 $11,896
Apr-98 $8,652 $10,632 $11,991
May-98 $8,641 $10,830 $11,931
Jun-98 $8,359 $10,514 $12,027
Jul-98 $8,167 $10,441 $12,147
Aug-98 $7,259 $9,161 $10,641
Sep-98 $7,027 $8,923 $10,321
Oct-98 $7,471 $9,553 $11,405
Nov-98 $7,895 $9,859 $11,987
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR OCTOBER 1996
- ------------------------------------------
<S> <C> <C>
0.78 -10.33
</TABLE>
- - THE PORTFOLIO INVESTS IN FOUR INTERNATIONAL SERIES OF THE DFA INVESTMENT TRUST
COMPANY. THE PORTFOLIO INVESTS 25% IN THE JAPANESE SMALL COMPANY SERIES, 15%
IN THE PACIFIC RIM SMALL COMPANY SERIES, 40% IN THE CONTINENTAL SMALL COMPANY
SERIES, AND 20% IN THE UNITED KINGDOM SMALL COMPANY SERIES.
- - 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.
- --------------------------------------------------------------------------------
3
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- ------------------------------------------------------------
JAPANESE SMALL COMPANY PORTFOLIO VS.
JAPANESE LARGE COMPANY STOCKS
DECEMBER 1988-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 JAPANESE SMALL COMPANY PORTFOLIO JAPANESE LARGE COMPANY STOCKS
<S> <C> <C>
$9,900 $10,000
Dec-88 $9,717 $10,027
Jan-89 $10,418 $10,009
Feb-89 $10,617 $10,233
Mar-89 $10,486 $9,878
Apr-89 $11,090 $9,880
May-89 $10,753 $9,374
Jun-89 $10,405 $8,890
Jul-89 $11,535 $10,075
Aug-89 $11,097 $9,329
Sep-89 $12,582 $9,989
Oct-89 $12,309 $9,723
Nov-89 $12,933 $10,218
Dec-89 $13,459 $10,244
Jan-90 $13,218 $9,586
Feb-90 $12,765 $8,607
Mar-90 $10,780 $6,954
Apr-90 $9,827 $7,020
May-90 $11,735 $8,021
Jun-90 $11,843 $7,633
Jul-90 $12,401 $7,556
Aug-90 $10,527 $6,796
Sep-90 $8,815 $5,688
Oct-90 $11,554 $7,103
Nov-90 $9,167 $6,217
Dec-90 $8,969 $6,538
Jan-91 $8,564 $6,727
Feb-91 $10,512 $7,527
Mar-91 $10,226 $7,051
Apr-91 $10,590 $7,283
May-91 $10,418 $7,225
Jun-91 $9,715 $6,705
Jul-91 $9,689 $6,927
Aug-91 $8,618 $6,540
Sep-91 $9,719 $7,111
Oct-91 $10,425 $7,458
Nov-91 $9,314 $6,897
Dec-91 $9,607 $7,115
Jan-92 $9,269 $6,796
Feb-92 $8,834 $6,224
Mar-92 $7,837 $5,550
Apr-92 $7,061 $5,211
May-92 $8,027 $5,635
Jun-92 $7,285 $5,120
Jul-92 $6,724 $5,053
Aug-92 $7,637 $5,954
Sep-92 $7,573 $5,809
Oct-92 $7,130 $5,547
Nov-92 $7,171 $5,692
Dec-92 $7,099 $5,612
Jan-93 $6,947 $5,579
Feb-93 $7,318 $5,823
Mar-93 $8,491 $6,644
Apr-93 $9,971 $7,798
May-93 $11,288 $8,020
Jun-93 $10,669 $7,911
Jul-93 $11,077 $8,445
Aug-93 $11,252 $8,631
Sep-93 $10,653 $8,190
Oct-93 $9,780 $8,169
Nov-93 $7,854 $6,827
Dec-93 $8,104 $7,018
Jan-94 $9,721 $8,200
Feb-94 $10,208 $8,551
Mar-94 $10,409 $8,190
Apr-94 $10,819 $8,514
May-94 $10,927 $8,712
Jun-94 $11,853 $9,159
Jul-94 $11,426 $8,828
Aug-94 $11,289 $8,890
Sep-94 $10,779 $8,657
Oct-94 $11,065 $8,916
Nov-94 $10,178 $8,464
Dec-94 $10,494 $8,574
Jan-95 $10,136 $8,019
Feb-95 $9,463 $7,675
Mar-95 $10,007 $8,369
Apr-95 $10,364 $8,790
May-95 $9,289 $8,233
Jun-95 $8,794 $7,863
Jul-95 $9,514 $8,438
Aug-95 $9,522 $8,154
Sep-95 $9,194 $8,164
Oct-95 $8,869 $7,757
Nov-95 $9,512 $8,212
Dec-95 $10,119 $8,643
Jan-96 $10,336 $8,520
Feb-96 $10,144 $8,371
Mar-96 $10,501 $8,661
Apr-96 $11,599 $9,163
May-96 $11,125 $8,696
Jun-96 $11,001 $8,736
Jul-96 $10,141 $8,338
Aug-96 $9,857 $7,967
Sep-96 $9,895 $8,237
Oct-96 $9,200 $7,694
Nov-96 $8,915 $7,844
Dec-96 $7,813 $7,320
Jan-97 $7,056 $6,513
Feb-97 $6,996 $6,660
Mar-97 $6,488 $6,456
Apr-97 $6,379 $6,679
May-97 $7,436 $7,427
Jun-97 $7,555 $7,973
Jul-97 $6,693 $7,726
Aug-97 $5,971 $7,039
Sep-97 $5,068 $6,959
Oct-97 $5,200 $6,315
Nov-97 $4,288 $5,924
Dec-97 $3,533 $5,601
Jan-98 $4,509 $6,086
Feb-98 $4,867 $6,120
Mar-98 $4,430 $5,705
Apr-98 $4,200 $5,683
May-98 $4,021 $5,370
Jun-98 $4,113 $5,448
Jul-98 $4,072 $5,378
Aug-98 $3,635 $4,768
Sep-98 $3,437 $4,639
Oct-98 $3,865 $5,420
Nov-98 $4,187 $5,667
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- -------------------------------------------------
<S> <C> <C> <C>
-2.85 -12.00 -8.34
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN THE JAPANESE SMALL COMPANY SERIES OF THE DFA INVESTMENT TRUST
COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A
MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL
COMPANIES LISTED ON THE LOWER HALF OF COMPANIES ON THE FIRST SECTION OF TOKYO
STOCK EXCHANGE.
- - PRIOR TO AUGUST 9, 1996, THE PORTFOLIO INVESTED DIRECTLY IN JAPANESE SMALL
COMPANY STOCKS.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF SMALL CAP
COMPANIES IN JAPAN.
Past performance is not predictive of future performance.
Japanese Large Company Stocks courtesy of Morgan Stanley Capital International
Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PACIFIC RIM SMALL COMPANY PORTFOLIO VS.
PACIFIC RIM LARGE COMPANY STOCKS
FEBRUARY 1993-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 PACIFIC RIM SMALL COMPANY PORTFOLIO PACIFIC RIM LARGE COMPANY STOCKS
<S> <C> <C>
$9,850 $10,000
Feb-93 $10,580 $10,770
Mar-93 $11,125 $10,953
Apr-93 $12,215 $11,512
May-93 $13,218 $11,949
Jun-93 $12,848 $11,591
Jul-93 $13,082 $11,996
Aug-93 $13,422 $12,908
Sep-93 $13,967 $13,153
Oct-93 $15,777 $15,284
Nov-93 $16,128 $14,826
Dec-93 $18,749 $17,909
Jan-94 $17,716 $17,426
Feb-94 $17,904 $16,572
Mar-94 $16,013 $14,782
Apr-94 $16,427 $15,462
May-94 $16,436 $15,972
Jun-94 $15,983 $15,270
Jul-94 $16,435 $16,079
Aug-94 $17,390 $17,156
Sep-94 $17,981 $16,710
Oct-94 $18,139 $16,977
Nov-94 $16,817 $15,619
Dec-94 $16,487 $15,385
Jan-95 $14,728 $14,062
Feb-95 $15,261 $15,370
Mar-95 $15,315 $15,539
Apr-95 $15,070 $15,741
May-95 $15,593 $16,811
Jun-95 $15,657 $16,492
Jul-95 $16,670 $17,168
Aug-95 $16,361 $16,721
Sep-95 $16,500 $16,939
Oct-95 $15,999 $16,634
Nov-95 $15,765 $16,784
Dec-95 $16,016 $17,438
Jan-96 $17,122 $18,589
Feb-96 $17,223 $18,868
Mar-96 $17,494 $19,113
Apr-96 $18,893 $19,648
May-96 $18,351 $19,452
Jun-96 $17,843 $19,082
Jul-96 $17,245 $18,128
Aug-96 $17,742 $18,944
Sep-96 $18,013 $19,437
Oct-96 $18,206 $19,961
Nov-96 $18,770 $21,039
Dec-96 $18,316 $21,081
Jan-97 $18,706 $20,828
Feb-97 $19,744 $21,120
Mar-97 $18,866 $20,148
Apr-97 $18,415 $19,745
May-97 $19,098 $20,970
Jun-97 $19,257 $21,431
Jul-97 $19,172 $21,388
Aug-97 $18,096 $18,415
Sep-97 $17,291 $19,041
Oct-97 $13,079 $15,005
Nov-97 $11,626 $14,539
Dec-97 $10,605 $14,583
Jan-98 $9,485 $13,693
Feb-98 $12,076 $15,802
Mar-98 $11,658 $15,628
Apr-98 $10,592 $14,534
May-98 $9,216 $12,907
Jun-98 $7,894 $12,132
Jul-98 $7,367 $11,720
Aug-98 $6,220 $10,138
Sep-98 $6,638 $11,070
Oct-98 $7,785 $13,218
Nov-98 $8,838 $13,839
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS FEBRUARY 1993
- ------------------------------------------------------
<S> <C> <C> <C>
-24.74 -11.60 -2.10
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN THE PACIFIC RIM SMALL COMPANY SERIES OF THE DFA INVESTMENT TRUST
COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A
MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL
COMPANIES LISTED ON THE MAJOR EXCHANGES OF AUSTRALIA, HONG KONG, MALAYSIA, NEW
ZEALAND, AND SINGAPORE.
- - PRIOR TO AUGUST 9, 1996, THE PORTFOLIO INVESTED DIRECTLY IN PACIFIC RIM SMALL
COMPANY STOCKS.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF SMALL
COMPANIES IN THE PACIFIC RIM REGION.
Past performance is not predictive of future performance.
Pacific Rim Large Company Stocks courtesy of Morgan Stanley Capital
International Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
UNITED KINGDOM SMALL COMPANY PORTFOLIO VS.
UNITED KINGDOM LARGE COMPANY STOCKS
DECEMBER 1988-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 UNITED KINGDOM SMALL COMPANY PORTFOLIO UNITED KINGDOM LARGE COMPANY STOCKS
<S> <C> <C>
$9,850 $10,000
Dec-88 $9,290 $9,755
Jan-89 $9,844 $10,749
Feb-89 $10,133 $10,623
Mar-89 $10,092 $10,648
Apr-89 $10,099 $10,861
May-89 $9,411 $10,163
Jun-89 $9,260 $10,164
Jul-89 $10,165 $11,669
Aug-89 $9,526 $11,340
Sep-89 $9,689 $11,379
Oct-89 $8,385 $10,302
Nov-89 $8,333 $10,822
Dec-89 $8,708 $11,758
Jan-90 $9,159 $11,944
Feb-90 $8,935 $11,600
Mar-90 $8,504 $11,286
Apr-90 $7,977 $10,564
May-90 $8,600 $12,022
Jun-90 $9,231 $12,744
Jul-90 $9,737 $13,372
Aug-90 $8,759 $12,515
Sep-90 $7,860 $11,397
Oct-90 $8,256 $12,258
Nov-90 $8,147 $12,736
Dec-90 $8,127 $12,755
Jan-91 $7,895 $13,080
Feb-91 $8,711 $14,140
Mar-91 $8,724 $13,386
Apr-91 $8,698 $13,480
May-91 $8,492 $13,372
Jun-91 $7,814 $12,339
Jul-91 $8,179 $13,746
Aug-91 $8,471 $14,104
Sep-91 $9,364 $14,781
Oct-91 $9,278 $14,389
Nov-91 $9,170 $13,779
Dec-91 $9,327 $14,946
Jan-92 $9,203 $14,840
Feb-92 $9,159 $14,625
Mar-92 $8,698 $13,661
Apr-92 $9,668 $15,581
May-92 $10,500 $16,457
Jun-92 $10,079 $15,957
Jul-92 $9,070 $15,212
Aug-92 $8,765 $15,180
Sep-92 $8,282 $15,022
Oct-92 $7,339 $13,805
Nov-92 $7,250 $13,974
Dec-92 $8,025 $14,566
Jan-93 $8,530 $14,339
Feb-93 $8,373 $14,056
Mar-93 $9,043 $15,155
Apr-93 $9,663 $15,653
May-93 $9,783 $15,775
Jun-93 $9,612 $15,535
Jul-93 $9,447 $15,496
Aug-93 $10,223 $16,599
Sep-93 $10,186 $16,447
Oct-93 $10,218 $17,022
Nov-93 $9,891 $16,956
Dec-93 $10,482 $18,294
Jan-94 $11,904 $19,291
Feb-94 $11,853 $18,396
Mar-94 $11,170 $17,277
Apr-94 $11,573 $17,821
May-94 $11,213 $16,941
Jun-94 $10,871 $16,946
Jul-94 $11,137 $17,929
Aug-94 $11,526 $18,867
Sep-94 $11,371 $18,046
Oct-94 $11,586 $19,100
Nov-94 $11,064 $18,248
Dec-94 $10,969 $18,212
Jan-95 $10,936 $17,946
Feb-95 $10,764 $18,078
Mar-95 $11,213 $19,353
Apr-95 $11,500 $19,746
May-95 $11,897 $20,220
Jun-95 $11,863 $20,238
Jul-95 $12,375 $21,343
Aug-95 $12,360 $20,972
Sep-95 $12,608 $21,678
Oct-95 $12,437 $21,769
Nov-95 $11,993 $21,763
Dec-95 $12,147 $22,346
Jan-96 $12,201 $22,301
Feb-96 $12,633 $22,647
Mar-96 $13,012 $22,792
Apr-96 $13,631 $23,380
May-96 $14,133 $23,796
Jun-96 $14,004 $23,546
Jul-96 $13,535 $23,499
Aug-96 $13,999 $24,742
Sep-96 $14,100 $25,208
Oct-96 $14,778 $26,483
Nov-96 $15,199 $27,791
Dec-96 $15,766 $28,828
Jan-97 $15,571 $27,920
Feb-97 $16,088 $28,752
Mar-97 $16,197 $29,123
Apr-97 $15,927 $29,353
May-97 $15,845 $30,509
Jun-97 $15,673 $30,967
Jul-97 $15,156 $32,060
Aug-97 $15,547 $31,582
Sep-97 $16,109 $34,055
Oct-97 $16,678 $33,013
Nov-97 $16,483 $33,158
Dec-97 $16,323 $34,183
Jan-98 $16,408 $35,759
Feb-98 $17,026 $38,148
Mar-98 $18,429 $40,452
Apr-98 $18,488 $40,577
May-98 $19,174 $39,826
Jun-98 $18,476 $39,982
Jul-98 $17,105 $39,110
Aug-98 $15,393 $35,876
Sep-98 $14,688 $35,061
Oct-98 $14,359 $36,965
Nov-98 $14,247 $38,274
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- -------------------------------------------------
<S> <C> <C> <C>
-13.56 7.25 3.60
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN THE U.K. SMALL COMPANY SERIES OF THE DFA INVESTMENT TRUST COMPANY
WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET
CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL
COMPANIES IN THE LOWER HALF BY MARKET CAPITALIZATION OF COMPANIES TRADED ON
THE INTERNATIONAL STOCK EXCHANGE OF THE UNITED KINGDOM.
- - PRIOR TO AUGUST 9, 1996, THE PORTFOLIO INVESTED DIRECTLY IN UNITED KINGDOM
SMALL COMPANY STOCKS.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF SMALL
COMPANIES IN THE UNITED KINGDOM.
Past performance is not predictive of future performance.
United Kingdom Large Company Stocks courtesy of Financial Times--Actuaries All
Share Index.
- --------------------------------------------------------------------------------
4
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- ------------------------------------------------------------
CONTINENTAL SMALL COMPANY PORTFOLIO VS.
CONTINENTAL LARGE COMPANY STOCKS
DECEMBER 1988-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 CONTINENTAL SMALL COMPANY PORTFOLIO CONTINENTAL LARGE COMPANY STOCKS
<S> <C> <C>
$9,850 $10,000
Dec-88 $9,966 $10,202
Jan-89 $10,140 $10,109
Feb-89 $10,189 $10,098
Mar-89 $10,322 $10,184
Apr-89 $10,992 $10,564
May-89 $10,760 $10,151
Jun-89 $11,141 $10,776
Jul-89 $11,976 $11,846
Aug-89 $11,993 $11,787
Sep-89 $13,035 $12,153
Oct-89 $12,572 $11,565
Nov-89 $13,358 $12,228
Dec-89 $14,420 $13,595
Jan-90 $14,352 $13,497
Feb-90 $14,106 $13,205
Mar-90 $14,753 $13,705
Apr-90 $15,119 $13,610
May-90 $15,545 $14,291
Jun-90 $16,081 $14,621
Jul-90 $17,069 $15,238
Aug-90 $15,128 $13,360
Sep-90 $13,544 $11,574
Oct-90 $14,337 $12,583
Nov-90 $13,826 $12,385
Dec-90 $13,833 $12,159
Jan-91 $13,443 $12,545
Feb-91 $14,365 $13,702
Mar-91 $13,196 $12,664
Apr-91 $13,196 $12,560
May-91 $13,249 $13,124
Jun-91 $12,478 $12,033
Jul-91 $12,752 $12,515
Aug-91 $12,752 $12,687
Sep-91 $13,133 $13,007
Oct-91 $12,717 $12,781
Nov-91 $12,567 $12,698
Dec-91 $13,263 $13,636
Jan-92 $13,044 $13,727
Feb-92 $12,978 $13,922
Mar-92 $12,816 $13,636
Apr-92 $12,758 $13,855
May-92 $13,252 $14,652
Jun-92 $13,309 $14,578
Jul-92 $12,976 $14,084
Aug-92 $13,024 $14,039
Sep-92 $12,272 $13,829
Oct-92 $11,303 $12,957
Nov-92 $10,827 $12,854
Dec-92 $10,632 $12,995
Jan-93 $10,965 $13,229
Feb-93 $10,965 $13,692
Mar-93 $11,552 $14,226
Apr-93 $12,060 $14,482
May-93 $12,079 $14,685
Jun-93 $11,444 $14,435
Jul-93 $11,395 $14,551
Aug-93 $12,637 $15,991
Sep-93 $12,666 $16,023
Oct-93 $12,763 $16,728
Nov-93 $12,479 $16,126
Dec-93 $13,322 $17,352
Jan-94 $14,327 $18,306
Feb-94 $14,516 $17,812
Mar-94 $14,983 $17,705
Apr-94 $15,560 $18,502
May-94 $15,331 $17,817
Jun-94 $15,183 $17,514
Jul-94 $15,561 $18,425
Aug-94 $15,719 $18,775
Sep-94 $15,372 $18,099
Oct-94 $15,381 $18,751
Nov-94 $14,749 $18,094
Dec-94 $14,789 $18,257
Jan-95 $14,688 $18,202
Feb-95 $14,960 $18,785
Mar-95 $15,181 $19,386
Apr-95 $15,483 $20,200
May-95 $15,736 $20,604
Jun-95 $15,948 $20,893
Jul-95 $16,342 $21,958
Aug-95 $15,546 $20,948
Sep-95 $15,556 $21,597
Oct-95 $15,052 $21,468
Nov-95 $14,553 $21,640
Dec-95 $14,792 $22,397
Jan-96 $15,097 $22,643
Feb-96 $15,749 $23,187
Mar-96 $15,999 $23,674
Apr-96 $15,999 $23,721
May-96 $16,369 $23,863
Jun-96 $16,510 $24,317
Jul-96 $16,152 $23,806
Aug-96 $16,216 $24,259
Sep-96 $15,999 $24,744
Oct-96 $16,282 $25,041
Nov-96 $16,587 $26,243
Dec-96 $16,912 $26,557
Jan-97 $17,311 $27,089
Feb-97 $17,345 $27,224
Mar-97 $17,958 $28,422
Apr-97 $17,464 $27,967
May-97 $18,169 $29,142
Jun-97 $18,793 $31,123
Jul-97 $18,746 $32,586
Aug-97 $18,440 $30,110
Sep-97 $19,746 $33,181
Oct-97 $19,181 $31,389
Nov-97 $18,745 $32,048
Dec-97 $18,890 $33,202
Jan-98 $19,572 $34,497
Feb-98 $21,024 $37,360
Mar-98 $23,030 $40,349
Apr-98 $23,942 $41,438
May-98 $25,201 $43,303
Jun-98 $24,546 $43,693
Jul-98 $24,637 $45,309
Aug-98 $22,052 $38,649
Sep-98 $21,011 $36,794
Oct-98 $21,614 $40,068
Nov-98 $22,386 $42,352
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- -------------------------------------------------
<S> <C> <C> <C>
18.23 12.06 8.39
</TABLE>
- - THE PORTFOLIO SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN THE CONTINENTAL SMALL COMPANY SERIES OF THE DFA INVESTMENT TRUST
COMPANY WHICH IN TURN INVESTS IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A
MARKET CAP-WEIGHTED BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL
COMPANIES LISTED ON THE MAJOR EXCHANGES OF BELGIUM, DENMARK, FRANCE, GERMANY,
ITALY, THE NETHERLANDS, SPAIN, SWEDEN, AND SWITZERLAND.
- - PRIOR TO AUGUST 9, 1996, THE PORTFOLIO INVESTED DIRECTLY IN CONTINENTAL SMALL
COMPANY STOCKS.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF SMALL CAP
COMPANIES IN CONTINENTAL EUROPE.
Past performance is not predictive of future performance.
Continental Large Company Stocks courtesy of Morgan Stanley Capital
International Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO VS.
SALOMON EXTENDED MARKET INDEX
JANUARY 1995-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DFA INTERNATIONAL SMALL CAP SALOMON EXTENDED EAFE INDEX
GROWTH OF $10,000 VALUE PORTFOLIO MARKET INDEX (GROSS DIVIDENDS)
<S> <C> <C> <C>
$9,900 $10,000 $10,000
Jan-95 $9,831 $9,675 $9,620
Feb-95 $9,682 $9,534 $9,591
Mar-95 $9,999 $9,939 $10,195
Apr-95 $10,256 $10,237 $10,583
May-95 $10,068 $10,058 $10,456
Jun-95 $9,880 $9,934 $10,278
Jul-95 $10,266 $10,513 $10,926
Aug-95 $10,009 $10,247 $10,510
Sep-95 $9,860 $10,327 $10,721
Oct-95 $9,544 $10,030 $10,431
Nov-95 $9,632 $10,136 $10,723
Dec-95 $10,015 $10,524 $11,163
Jan-96 $10,214 $10,712 $11,208
Feb-96 $10,324 $10,879 $11,252
Mar-96 $10,463 $11,129 $11,489
Apr-96 $11,010 $11,714 $11,822
May-96 $11,070 $11,620 $11,609
Jun-96 $10,920 $11,621 $11,679
Jul-96 $10,472 $11,182 $11,340
Aug-96 $10,422 $11,294 $11,363
Sep-96 $10,422 $11,358 $11,669
Oct-96 $10,293 $11,313 $11,553
Nov-96 $10,402 $11,499 $12,015
Dec-96 $10,109 $11,287 $11,859
Jan-97 $9,859 $11,044 $11,444
Feb-97 $9,942 $11,229 $11,638
Mar-97 $9,858 $11,080 $11,685
Apr-97 $9,630 $10,914 $11,755
May-97 $10,274 $11,613 $12,519
Jun-97 $10,430 $11,876 $13,207
Jul-97 $10,025 $11,696 $13,419
Aug-97 $9,568 $11,197 $12,426
Sep-97 $9,391 $11,396 $13,122
Oct-97 $9,017 $10,946 $12,111
Nov-97 $8,259 $10,457 $11,990
Dec-97 $7,812 $10,226 $12,098
Jan-98 $8,372 $10,652 $12,655
Feb-98 $9,205 $11,447 $13,464
Mar-98 $9,392 $11,985 $13,882
Apr-98 $9,228 $12,076 $13,993
May-98 $9,140 $12,300 $13,923
Jun-98 $8,877 $11,941 $14,034
Jul-98 $8,603 $11,859 $14,175
Aug-98 $7,659 $10,405 $12,417
Sep-98 $7,461 $10,134 $12,045
Oct-98 $7,922 $10,850 $13,309
Nov-98 $8,273 $11,197 $13,988
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR JANUARY 1995
- ------------------------------------------
<S> <C> <C>
-0.53 -4.72
</TABLE>
- - THIS PORTFOLIO INVESTS IN COMPANIES WITH MARKET CAPITALIZATIONS NO LARGER THAN
$800 MILLION AND BOOK-TO-MARKET RATIOS IN THE UPPER 30% OF SMALL PUBLICLY
TRADED INTERNATIONAL COMPANIES. COUNTRY WEIGHTINGS ENSURE REGIONAL
DIVERSIFICATION AND MIMIC THOSE OF THE INTERNATIONAL SMALL COMPANY PORTFOLIO.
WITHIN REGIONS, COUNTRIES ARE WEIGHTED BY THE SIZE OF THE SMALL CAP MARKET.
- - 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.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO VS.
MSCI EMERGING MARKETS FREE INDEX
MAY 1994-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
EMERGING MARKETS MSCI EMERGING MARKETS MSCI EMERGING MARKETS
GROWTH OF $10,000 PORTFOLIO FREE INDEX FREE EQUAL-WEIGHTED INDEX
<S> <C> <C> <C>
$9,850 $10,000 $10,000
May-94 $9,998 $10,320 $10,456
Jun-94 $10,047 $10,018 $10,170
Jul-94 $10,775 $10,635 $10,928
Aug-94 $11,741 $11,942 $12,247
Sep-94 $11,859 $12,066 $12,316
Oct-94 $11,505 $11,832 $12,126
Nov-94 $11,131 $11,204 $11,594
Dec-94 $10,323 $10,296 $10,722
Jan-95 $9,367 $9,194 $9,530
Feb-95 $9,308 $8,950 $9,352
Mar-95 $9,712 $8,985 $9,719
Apr-95 $10,185 $9,371 $10,340
May-95 $10,904 $9,844 $11,054
Jun-95 $10,963 $9,853 $11,012
Jul-95 $11,396 $10,059 $11,368
Aug-95 $10,963 $9,809 $10,815
Sep-95 $10,755 $9,749 $10,637
Oct-95 $10,381 $9,367 $10,226
Nov-95 $10,243 $9,191 $10,090
Dec-95 $10,544 $9,581 $10,517
Jan-96 $11,672 $10,253 $11,591
Feb-96 $11,425 $10,073 $11,438
Mar-96 $11,514 $10,133 $11,510
Apr-96 $11,841 $10,502 $11,845
May-96 $11,841 $10,429 $11,941
Jun-96 $11,930 $10,472 $12,105
Jul-96 $10,910 $9,738 $11,107
Aug-96 $11,216 $9,973 $11,456
Sep-96 $11,454 $10,045 $11,746
Oct-96 $11,196 $9,770 $11,436
Nov-96 $11,593 $9,922 $11,940
Dec-96 $11,746 $9,954 $12,123
Jan-97 $12,933 $10,624 $13,532
Feb-97 $13,092 $11,072 $13,705
Mar-97 $12,723 $10,754 $13,339
Apr-97 $12,235 $10,735 $12,812
May-97 $12,833 $11,014 $13,408
Jun-97 $13,362 $11,580 $13,750
Jul-97 $13,371 $11,729 $13,777
Aug-97 $11,425 $10,223 $11,545
Sep-97 $11,894 $10,490 $12,084
Oct-97 $10,128 $8,760 $10,151
Nov-97 $9,589 $8,435 $9,601
Dec-97 $9,524 $8,619 $9,116
Jan-98 $9,339 $7,936 $9,233
Feb-98 $10,253 $8,760 $10,403
Mar-98 $10,613 $9,111 $10,791
Apr-98 $10,438 $8,994 $10,552
May-98 $9,236 $7,734 $8,997
Jun-98 $8,403 $6,907 $8,056
Jul-98 $8,753 $7,101 $8,536
Aug-98 $6,534 $5,022 $6,275
Sep-98 $6,554 $5,326 $6,381
Oct-98 $7,612 $5,880 $7,553
Nov-98 $8,383 $6,363 $8,627
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR MAY 1994
- --------------------------------------
<S> <C> <C>
-13.02 -3.78
</TABLE>
- - THE PORTFOLIO INVESTS IN THE EMERGING MARKETS SERIES OF THE DFA INVESTMENT
TRUST COMPANY WHICH IN TURN PROVIDES ACCESS TO NON-U.S. LARGE COMPANIES IN
"EMERGING MARKET" COUNTRIES INCLUDING ARGENTINA, BRAZIL, CHILE, GREECE,
INDONESIA, ISRAEL, MALAYSIA, MEXICO, PHILIPPINES, PORTUGAL, SOUTH KOREA,
THAILAND, AND TURKEY.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF AN
EQUALLY-WEIGHTED EMERGING MARKETS COUNTRY PORTFOLIO.
- - THE MSCI EMERGING MARKETS FREE INDEX IS A MORE WIDELY RECOGNIZED AND MORE
BROADLY BASED SECURITIES INDEX THAN THE MSCI EMERGING MARKETS FREE
EQUAL-WEIGHTED INDEX, AND IS REPLACING THE LATTER FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
5
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- ------------------------------------------------------------
EMERGING MARKETS SMALL CAP PORTFOLIO VS.
MSCI EMERGING MARKETS FREE INDEX
MARCH 1998-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 EMERGING MARKETS SMALL CAP PORTFOLIO MSCI EMERGING MARKETS FREE INDEX
<S> <C> <C>
$9,900 $10,000
Mar-98 $10,385 $10,400
Apr-98 $10,643 $10,267
May-98 $9,959 $8,828
Jun-98 $9,326 $7,885
Jul-98 $9,554 $8,106
Aug-98 $7,366 $5,733
Sep-98 $7,079 $6,080
Oct-98 $7,970 $6,712
Nov-98 $8,999 $7,264
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED FROM
TOTAL RETURN (%) MARCH 1998
- -----------------------------
<S> <C>
-10.01
</TABLE>
- - THE PORTFOLIO INVESTS IN THE EMERGING MARKETS SMALL CAP SERIES OF THE DFA
INVESTMENT TRUST COMPANY WHICH IN TURN PROVIDES ACCESS TO NON-U.S. SMALL
COMPANIES IN "EMERGING MARKET" COUNTRIES INCLUDING ARGENTINA, BRAZIL, GREECE,
INDONESIA, ISRAEL, MALAYSIA, MEXICO, PHILIPPINES, SOUTH KOREA, THAILAND, AND
TURKEY.
- - THIS WAS A NEW PORTFOLIO AND ITS YEAR-TO-DATE RETURNS IN FISCAL 1998 REFLECT
THE PERFORMANCE OF ITS STRATEGY.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DFA ONE-YEAR FIXED INCOME PORTFOLIO VS.
THREE-MONTH U.S. TREASURY BILL INDEX
DECEMBER 1988-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 DFA ONE-YEAR FIXED INCOME PORTFOLIO THREE-MONTH U.S. TREASURY BILL INDEX ONE-MONTH CD'S
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Dec-88 $10,061 $10,071 $10,067
Jan-89 $10,142 $10,145 $10,144
Feb-89 $10,183 $10,208 $10,210
Mar-89 $10,258 $10,286 $10,293
Apr-89 $10,358 $10,365 $10,367
May-89 $10,468 $10,447 $10,455
Jun-89 $10,558 $10,532 $10,535
Jul-89 $10,646 $10,610 $10,615
Aug-89 $10,719 $10,682 $10,692
Sep-89 $10,791 $10,753 $10,764
Oct-89 $10,877 $10,835 $10,850
Nov-89 $10,953 $10,910 $10,923
Dec-89 $11,026 $10,977 $10,991
Jan-90 $11,108 $11,054 $11,070
Feb-90 $11,176 $11,118 $11,136
Mar-90 $11,247 $11,191 $11,207
Apr-90 $11,317 $11,271 $11,282
May-90 $11,414 $11,352 $11,358
Jun-90 $11,501 $11,427 $11,430
Jul-90 $11,607 $11,512 $11,507
Aug-90 $11,677 $11,589 $11,583
Sep-90 $11,747 $11,662 $11,653
Oct-90 $11,841 $11,739 $11,736
Nov-90 $11,926 $11,815 $11,811
Dec-90 $12,028 $11,903 $11,887
Jan-91 $12,111 $11,977 $11,964
Feb-91 $12,187 $12,039 $12,028
Mar-91 $12,262 $12,101 $12,089
Apr-91 $12,349 $12,176 $12,156
May-91 $12,426 $12,237 $12,214
Jun-91 $12,473 $12,292 $12,268
Jul-91 $12,562 $12,356 $12,332
Aug-91 $12,663 $12,419 $12,389
Sep-91 $12,770 $12,481 $12,446
Oct-91 $12,848 $12,544 $12,500
Nov-91 $12,953 $12,604 $12,549
Dec-91 $13,079 $12,665 $12,597
Jan-92 $13,122 $12,709 $12,643
Feb-92 $13,165 $12,746 $12,679
Mar-92 $13,193 $12,790 $12,719
Apr-92 $13,280 $12,843 $12,759
May-92 $13,347 $12,885 $12,793
Jun-92 $13,436 $12,930 $12,832
Jul-92 $13,536 $12,981 $12,869
Aug-92 $13,601 $13,018 $12,901
Sep-92 $13,690 $13,063 $12,932
Oct-92 $13,698 $13,090 $12,960
Nov-92 $13,683 $13,123 $12,990
Dec-92 $13,757 $13,163 $13,025
Jan-93 $13,843 $13,202 $13,055
Feb-93 $13,900 $13,233 $13,083
Mar-93 $13,965 $13,266 $13,114
Apr-93 $14,033 $13,300 $13,143
May-93 $14,042 $13,329 $13,169
Jun-93 $14,101 $13,369 $13,198
Jul-93 $14,144 $13,404 $13,227
Aug-93 $14,210 $13,441 $13,258
Sep-93 $14,263 $13,477 $13,285
Oct-93 $14,290 $13,508 $13,312
Nov-93 $14,315 $13,542 $13,343
Dec-93 $14,363 $13,583 $13,372
Jan-94 $14,435 $13,622 $13,401
Feb-94 $14,406 $13,648 $13,428
Mar-94 $14,400 $13,688 $13,460
Apr-94 $14,391 $13,722 $13,493
May-94 $14,421 $13,763 $13,533
Jun-94 $14,469 $13,819 $13,575
Jul-94 $14,554 $13,869 $13,617
Aug-94 $14,610 $13,918 $13,664
Sep-94 $14,635 $13,969 $13,709
Oct-94 $14,683 $14,029 $13,759
Nov-94 $14,673 $14,085 $13,809
Dec-94 $14,717 $14,156 $13,866
Jan-95 $14,855 $14,227 $13,928
Feb-95 $14,996 $14,295 $13,985
Mar-95 $15,088 $14,368 $14,049
Apr-95 $15,186 $14,435 $14,107
May-95 $15,347 $14,510 $14,175
Jun-95 $15,433 $14,584 $14,237
Jul-95 $15,513 $14,654 $14,301
Aug-95 $15,590 $14,728 $14,364
Sep-95 $15,659 $14,793 $14,423
Oct-95 $15,742 $14,862 $14,489
Nov-95 $15,816 $14,929 $14,552
Dec-95 $15,890 $15,011 $14,611
Jan-96 $15,959 $15,080 $14,678
Feb-96 $16,021 $15,140 $14,736
Mar-96 $16,091 $15,196 $14,792
Apr-96 $16,146 $15,262 $14,852
May-96 $16,199 $15,329 $14,910
Jun-96 $16,285 $15,392 $14,964
Jul-96 $16,360 $15,461 $15,030
Aug-96 $16,439 $15,531 $15,090
Sep-96 $16,536 $15,604 $15,150
Oct-96 $16,655 $15,671 $15,212
Nov-96 $16,751 $15,738 $15,270
Dec-96 $16,808 $15,807 $15,334
Jan-97 $16,891 $15,880 $15,399
Feb-97 $16,960 $15,942 $15,457
Mar-97 $16,989 $16,009 $15,524
Apr-97 $17,101 $16,086 $15,592
May-97 $17,183 $16,168 $15,661
Jun-97 $17,284 $16,228 $15,731
Jul-97 $17,402 $16,301 $15,802
Aug-97 $17,452 $16,371 $15,868
Sep-97 $17,555 $16,446 $15,941
Oct-97 $17,657 $16,517 $16,013
Nov-97 $17,710 $16,581 $16,079
Dec-97 $17,814 $16,652 $16,156
Jan-98 $17,920 $16,731 $16,227
Feb-98 $17,979 $16,791 $16,292
Mar-98 $18,069 $16,870 $16,367
Apr-98 $18,135 $16,946 $16,439
May-98 $18,235 $17,017 $16,508
Jun-98 $18,305 $17,088 $16,584
Jul-98 $18,409 $17,164 $16,658
Aug-98 $18,492 $17,243 $16,733
Sep-98 $18,577 $17,331 $16,805
Oct-98 $18,642 $17,398 $16,876
Nov-98 $18,724 $17,456 $16,945
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE TEN
TOTAL RETURN (%) YEAR YEARS YEARS
- -------------------------------------------------
<S> <C> <C> <C>
5.72 5.52 6.47
</TABLE>
- - THE PORTFOLIO MAXIMIZES EXPECTED RETURNS BY INVESTING IN THE DFA ONE-YEAR
FIXED INCOME SERIES OF THE DFA INVESTMENT TRUST COMPANY WHICH USES A STRATEGY
OF SHIFTING MATURITIES BASED ON CHANGES IN THE YIELD CURVE. USING CURRENT
PRICES, THE STRATEGY CREATES A MATRIX OF EXPECTED RETURNS FROM DIFFERENT BUY
AND SELL STRATEGIES AND IDENTIFIES THE OPTIMAL MATURITY RANGE FOR THE HIGHEST
EXPECTED RETURNS. ISSUES WHICH MEET MATURITY AND QUALITY LEVEL ARE FURTHER
EVALUATED FOR BUSINESS RISK. MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN
BE DOCUMENTED.
- - THE PORTFOLIO'S RETURNS IN FISCAL 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.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO VS.
MERRILL LYNCH 1-3 YEAR GOVERNMENT
MARCH 1996-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO MERRILL LYNCH 1-3 YEAR GOVERNMENT
<S> <C> <C>
$10,000 $10,000
Mar-96 $10,046 $9,991
Apr-96 $10,096 $9,999
May-96 $10,147 $10,020
Jun-96 $10,184 $10,092
Jul-96 $10,256 $10,131
Aug-96 $10,357 $10,166
Sep-96 $10,429 $10,258
Oct-96 $10,520 $10,374
Nov-96 $10,592 $10,454
Dec-96 $10,635 $10,454
Jan-97 $10,709 $10,503
Feb-97 $10,750 $10,528
Mar-97 $10,747 $10,523
Apr-97 $10,811 $10,610
May-97 $10,884 $10,682
Jun-97 $10,962 $10,755
Jul-97 $11,016 $10,874
Aug-97 $11,059 $10,884
Sep-97 $11,128 $10,966
Oct-97 $11,171 $11,047
Nov-97 $11,204 $11,074
Dec-97 $11,260 $11,149
Jan-98 $11,351 $11,257
Feb-98 $11,396 $11,268
Mar-98 $11,458 $11,314
Apr-98 $11,492 $11,367
May-98 $11,561 $11,427
Jun-98 $11,603 $11,487
Jul-98 $11,661 $11,541
Aug-98 $11,741 $11,686
Sep-98 $11,814 $11,841
Oct-98 $11,872 $11,899
Nov-98 $11,918 $11,889
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR MARCH 1996
- ----------------------------------------
<S> <C> <C>
6.38 6.59
</TABLE>
- - THE PORTFOLIO INVESTS IN THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES OF THE
DFA INVESTMENT TRUST COMPANY, WHICH IN TURN SEEKS TO MAXIMIZE EXPECTED RETURNS
BY SHIFTING MATURITIES BASED ON CHANGES IN THE YIELD CURVE. USING CURRENT
PRICES, THE STRATEGY CREATES A MATRIX OF EXPECTED RETURNS FROM DIFFERENT BUY
AND SELL STRATEGIES AND IDENTIFIES THE OPTIMAL MATURITY RANGE FOR THE HIGHEST
EXPECTED RETURNS. MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN BE
DOCUMENTED. INVESTMENTS ARE MADE IN U.S. GOVERNMENT SECURITIES, HIGH-QUALITY
CORPORATE SECURITIES AND CURRENCY HEDGED GLOBAL BONDS WITH A MAXIMUM MATURITY
OF TWO YEARS.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
6
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
PERFORMANCE CHARTS
- ------------------------------------------------------------
DFA FIVE-YEAR GOVERNMENT PORTFOLIO VS.
LEHMAN INTERMEDIATE GOVERNMENT INDEX
DECEMBER 1988-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH IN $10,000 DFA FIVE-YEAR GOVERNMENT PORTFOLIO LEHMAN INTERMEDIATE GOVERNMENT INDEX
<S> <C> <C>
$10,000 $10,000
Dec-88 $10,041 $10,010
Jan-89 $10,128 $10,110
Feb-89 $10,168 $10,067
Mar-89 $10,232 $10,114
Apr-89 $10,334 $10,318
May-89 $10,438 $10,517
Jun-89 $10,565 $10,786
Jul-89 $10,663 $11,005
Aug-89 $10,692 $10,856
Sep-89 $10,742 $10,908
Oct-89 $10,857 $11,137
Nov-89 $10,933 $11,247
Dec-89 $10,993 $11,280
Jan-90 $11,056 $11,210
Feb-90 $11,118 $11,252
Mar-90 $11,159 $11,265
Apr-90 $11,189 $11,228
May-90 $11,348 $11,468
Jun-90 $11,446 $11,620
Jul-90 $11,572 $11,782
Aug-90 $11,516 $11,740
Sep-90 $11,621 $11,844
Oct-90 $11,808 $12,009
Nov-90 $11,996 $12,190
Dec-90 $12,183 $12,358
Jan-91 $12,301 $12,486
Feb-91 $12,364 $12,562
Mar-91 $12,408 $12,631
Apr-91 $12,551 $12,761
May-91 $12,615 $12,833
Jun-91 $12,587 $12,843
Jul-91 $12,760 $12,982
Aug-91 $13,017 $13,228
Sep-91 $13,271 $13,453
Oct-91 $13,434 $13,606
Nov-91 $13,608 $13,766
Dec-91 $13,964 $14,100
Jan-92 $13,797 $13,965
Feb-92 $13,827 $14,008
Mar-92 $13,744 $13,952
Apr-92 $13,901 $14,078
May-92 $14,118 $14,287
Jun-92 $14,379 $14,493
Jul-92 $14,702 $14,771
Aug-92 $14,889 $14,922
Sep-92 $15,135 $15,128
Oct-92 $14,879 $14,946
Nov-92 $14,776 $14,885
Dec-92 $14,983 $15,077
Jan-93 $15,275 $15,358
Feb-93 $15,510 $15,583
Mar-93 $15,576 $15,641
Apr-93 $15,711 $15,763
May-93 $15,642 $15,720
Jun-93 $15,889 $15,948
Jul-93 $15,894 $15,980
Aug-93 $16,196 $16,218
Sep-93 $16,257 $16,285
Oct-93 $16,295 $16,324
Nov-93 $16,176 $16,244
Dec-93 $16,228 $16,311
Jan-94 $16,424 $16,472
Feb-94 $16,128 $16,246
Mar-94 $15,846 $16,009
Apr-94 $15,686 $15,905
May-94 $15,710 $15,916
Jun-94 $15,700 $15,919
Jul-94 $15,912 $16,128
Aug-94 $15,958 $16,175
Sep-94 $15,795 $16,041
Oct-94 $15,792 $16,044
Nov-94 $15,671 $15,973
Dec-94 $15,716 $16,026
Jan-95 $15,895 $16,287
Feb-95 $16,064 $16,601
Mar-95 $16,144 $16,693
Apr-95 $16,262 $16,886
May-95 $16,564 $17,363
Jun-95 $16,659 $17,474
Jul-95 $16,726 $17,482
Aug-95 $16,849 $17,626
Sep-95 $16,932 $17,744
Oct-95 $17,050 $17,939
Nov-95 $17,136 $18,158
Dec-95 $17,218 $18,338
Jan-96 $17,301 $18,492
Feb-96 $17,370 $18,296
Mar-96 $17,422 $18,212
Apr-96 $17,457 $18,159
May-96 $17,507 $18,150
Jun-96 $17,665 $18,335
Jul-96 $17,718 $18,392
Aug-96 $17,753 $18,412
Sep-96 $17,966 $18,649
Oct-96 $18,232 $18,955
Nov-96 $18,427 $19,185
Dec-96 $18,355 $19,081
Jan-97 $18,429 $19,153
Feb-97 $18,447 $19,184
Mar-97 $18,392 $19,075
Apr-97 $18,557 $19,290
May-97 $18,686 $19,441
Jun-97 $18,822 $19,608
Jul-97 $19,065 $19,969
Aug-97 $19,065 $19,893
Sep-97 $19,215 $20,110
Oct-97 $19,365 $20,345
Nov-97 $19,421 $20,390
Dec-97 $19,528 $20,555
Jan-98 $19,645 $20,822
Feb-98 $19,722 $20,799
Mar-98 $19,819 $20,864
Apr-98 $19,896 $20,964
May-98 $19,993 $21,108
Jun-98 $20,065 $21,250
Jul-98 $20,164 $21,331
Aug-98 $20,242 $21,734
Sep-98 $20,342 $22,240
Oct-98 $20,421 $22,278
Nov-98 $20,500 $22,209
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED
TOTAL RETURN ONE FIVE TEN
(%) YEAR YEARS YEARS
- ------------------------------------------------
<S> <C> <C> <C>
5.56 4.85 7.44
</TABLE>
- - THE PORTFOLIO MAXIMIZES EXPECTED RETURNS BY SHIFTING MATURITIES BASED ON
CHANGES IN THE YIELD CURVE. USING CURRENT PRICES, THE STRATEGY CREATES A
MATRIX OF EXPECTED RETURNS FROM DIFFERENT BUY AND SELL STRATEGIES AND
IDENTIFIES THE OPTIMAL MATURITY RANGE FOR THE HIGHEST EXPECTED RETURNS.
MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN BE DOCUMENTED. INVESTMENTS
ARE MADE IN U.S. GOVERNMENT SECURITIES WITH A MAXIMUM MATURITY OF FIVE YEARS.
- - THIS PORTFOLIO'S RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DFA GLOBAL FIXED INCOME PORTFOLIO VS.
LEHMAN INTERMEDIATE GOVERNMENT/CORPORATE INDEX
DECEMBER 1990-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DFA GLOBAL FIXED LEHMAN INTERMEDIATE SALOMON WORLD GOVERNMENT
GROWTH OF $10,000 INCOME PORTFOLIO GOVERNMENT/CORPORATE INDEX BOND INDEX
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Dec-90 $10,060 $10,137 $10,126
Jan-91 $10,126 $10,240 $10,277
Feb-91 $10,185 $10,322 $10,375
Mar-91 $10,214 $10,393 $10,405
Apr-91 $10,320 $10,506 $10,491
May-91 $10,378 $10,570 $10,540
Jun-91 $10,376 $10,577 $10,508
Jul-91 $10,479 $10,696 $10,621
Aug-91 $10,655 $10,900 $10,807
Sep-91 $10,819 $11,088 $11,012
Oct-91 $10,942 $11,214 $11,095
Nov-91 $11,047 $11,343 $11,170
Dec-91 $11,342 $11,620 $11,461
Jan-92 $11,199 $11,514 $11,422
Feb-92 $11,225 $11,559 $11,464
Mar-92 $11,155 $11,514 $11,396
Apr-92 $11,255 $11,615 $11,432
May-92 $11,426 $11,795 $11,592
Jun-92 $11,620 $11,970 $11,700
Jul-92 $11,867 $12,208 $11,882
Aug-92 $12,008 $12,330 $11,960
Sep-92 $12,196 $12,498 $12,143
Oct-92 $12,010 $12,335 $12,192
Nov-92 $11,931 $12,288 $12,185
Dec-92 $12,078 $12,453 $12,339
Jan-93 $12,292 $12,695 $12,533
Feb-93 $12,477 $12,895 $12,769
Mar-93 $12,508 $12,947 $12,762
Apr-93 $12,513 $13,050 $12,806
May-93 $12,506 $13,022 $12,833
Jun-93 $12,746 $13,226 $13,092
Jul-93 $12,854 $13,258 $13,210
Aug-93 $13,093 $13,469 $13,483
Sep-93 $13,125 $13,524 $13,561
Oct-93 $13,260 $13,560 $13,681
Nov-93 $13,294 $13,484 $13,690
Dec-93 $13,474 $13,546 $13,871
Jan-94 $13,563 $13,697 $13,881
Feb-94 $13,251 $13,494 $13,602
Mar-94 $12,920 $13,271 $13,429
Apr-94 $12,836 $13,181 $13,344
May-94 $12,736 $13,190 $13,275
Jun-94 $12,623 $13,161 $13,174
Jul-94 $12,717 $13,351 $13,315
Aug-94 $12,815 $13,392 $13,238
Sep-94 $12,752 $13,269 $13,194
Oct-94 $12,776 $13,268 $13,218
Nov-94 $12,908 $13,208 $13,317
Dec-94 $12,891 $13,254 $13,353
Jan-95 $12,995 $13,477 $13,537
Feb-95 $13,186 $13,756 $13,749
Mar-95 $13,449 $13,834 $13,973
Apr-95 $13,632 $14,006 $14,181
May-95 $13,966 $14,429 $14,676
Jun-95 $13,992 $14,525 $14,698
Jul-95 $14,114 $14,527 $14,798
Aug-95 $14,214 $14,659 $14,922
Sep-95 $14,415 $14,765 $15,128
Oct-95 $14,562 $14,929 $15,312
Nov-95 $14,876 $15,124 $15,603
Dec-95 $14,961 $15,283 $15,764
Jan-96 $15,085 $15,414 $15,914
Feb-96 $14,927 $15,234 $15,688
Mar-96 $15,037 $15,156 $15,741
Apr-96 $15,124 $15,103 $15,803
May-96 $15,271 $15,091 $15,882
Jun-96 $15,328 $15,251 $16,034
Jul-96 $15,461 $15,297 $16,117
Aug-96 $15,698 $15,309 $16,258
Sep-96 $15,979 $15,522 $16,567
Oct-96 $16,277 $15,797 $16,871
Nov-96 $16,531 $16,005 $17,175
Dec-96 $16,573 $15,903 $17,136
Jan-97 $16,715 $15,965 $17,285
Feb-97 $16,874 $15,995 $17,361
Mar-97 $16,759 $15,885 $17,260
Apr-97 $16,888 $16,072 $17,450
May-97 $17,017 $16,206 $17,556
Jun-97 $17,279 $16,353 $17,818
Jul-97 $17,489 $16,685 $18,171
Aug-97 $17,523 $16,602 $18,131
Sep-97 $17,686 $16,794 $18,424
Oct-97 $17,751 $16,981 $18,618
Nov-97 $17,833 $17,018 $18,735
Dec-97 $17,950 $17,154 $18,953
Jan-98 $18,128 $17,379 $19,207
Feb-98 $18,253 $17,365 $19,297
Mar-98 $18,368 $17,420 $19,432
Apr-98 $18,440 $17,508 $19,529
May-98 $18,584 $17,635 $19,775
Jun-98 $18,665 $17,748 $19,904
Jul-98 $18,792 $17,810 $20,033
Aug-98 $18,954 $18,090 $20,470
Sep-98 $19,183 $18,544 $20,975
Oct-98 $19,310 $18,525 $20,946
Nov-98 $19,401 $18,524 $21,084
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED
TOTAL RETURN ONE FIVE FROM
(%) YEAR YEARS DECEMBER 1990
- -----------------------------------------------------
<S> <C> <C> <C>
8.79 7.85 8.64
</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.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO VS.
LEHMAN GOVERNMENT INDEX
NOVEMBER 1990-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DFA INTERMEDIATE GOVERNMENT
GROWTH OF $10,000 FIXED INCOME PORTFOLIO LEHMAN GOVERNMENT INDEX LEHMAN TREASURY INDEX
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Nov-90 $10,263 $10,222 $10,221
Dec-90 $10,450 $10,380 $10,380
Jan-91 $10,573 $10,492 $10,492
Feb-91 $10,649 $10,551 $10,547
Mar-91 $10,680 $10,605 $10,601
Apr-91 $10,794 $10,722 $10,718
May-91 $10,862 $10,764 $10,757
Jun-91 $10,828 $10,749 $10,741
Jul-91 $10,972 $10,876 $10,867
Aug-91 $11,234 $11,129 $11,119
Sep-91 $11,509 $11,362 $11,353
Oct-91 $11,637 $11,462 $11,454
Nov-91 $11,796 $11,577 $11,569
Dec-91 $12,214 $11,972 $11,969
Jan-92 $11,970 $11,785 $11,778
Feb-92 $11,985 $11,831 $11,824
Mar-92 $11,901 $11,762 $11,753
Apr-92 $12,036 $11,837 $11,827
May-92 $12,244 $12,056 $12,044
Jun-92 $12,486 $12,228 $12,219
Jul-92 $12,862 $12,536 $12,531
Aug-92 $13,035 $12,653 $12,650
Sep-92 $13,256 $12,831 $12,834
Oct-92 $13,018 $12,646 $12,646
Nov-92 $12,941 $12,625 $12,620
Dec-92 $13,143 $12,837 $12,835
Jan-93 $13,459 $13,110 $13,111
Feb-93 $13,784 $13,373 $13,374
Mar-93 $13,869 $13,417 $13,419
Apr-93 $13,982 $13,520 $13,523
May-93 $13,973 $13,505 $13,508
Jun-93 $14,293 $13,805 $13,811
Jul-93 $14,335 $13,889 $13,892
Aug-93 $14,653 $14,199 $14,202
Sep-93 $14,773 $14,253 $14,258
Oct-93 $14,802 $14,307 $14,310
Nov-93 $14,603 $14,150 $14,153
Dec-93 $14,671 $14,205 $14,208
Jan-94 $14,875 $14,399 $14,404
Feb-94 $14,536 $14,094 $14,095
Mar-94 $14,183 $13,777 $13,779
Apr-94 $14,006 $13,668 $13,671
May-94 $13,989 $13,650 $13,655
Jun-94 $13,944 $13,619 $13,625
Jul-94 $14,185 $13,870 $13,873
Aug-94 $14,232 $13,872 $13,876
Sep-94 $14,004 $13,677 $13,681
Oct-94 $13,986 $13,667 $13,673
Nov-94 $13,915 $13,643 $13,646
Dec-94 $13,976 $13,726 $13,729
Jan-95 $14,232 $13,981 $13,983
Feb-95 $14,607 $14,282 $14,281
Mar-95 $14,683 $14,372 $14,371
Apr-95 $14,912 $14,560 $14,559
May-95 $15,564 $15,147 $15,147
Jun-95 $15,692 $15,263 $15,267
Jul-95 $15,613 $15,207 $15,211
Aug-95 $15,794 $15,385 $15,387
Sep-95 $15,929 $15,532 $15,535
Oct-95 $16,152 $15,769 $15,775
Nov-95 $16,428 $16,015 $16,020
Dec-95 $16,643 $16,242 $16,249
Jan-96 $16,776 $16,341 $16,351
Feb-96 $16,466 $16,008 $16,016
Mar-96 $16,270 $15,875 $15,877
Apr-96 $16,120 $15,773 $15,775
May-96 $16,061 $15,746 $15,750
Jun-96 $16,277 $15,950 $15,950
Jul-96 $16,308 $15,989 $15,988
Aug-96 $16,263 $15,954 $15,955
Sep-96 $16,555 $16,219 $16,216
Oct-96 $16,940 $16,576 $16,573
Nov-96 $17,246 $16,864 $16,860
Dec-96 $17,037 $16,692 $16,686
Jan-97 $17,068 $16,711 $16,703
Feb-97 $17,083 $16,734 $16,723
Mar-97 $16,873 $16,557 $16,542
Apr-97 $17,111 $16,795 $16,781
May-97 $17,270 $16,940 $16,925
Jun-97 $17,457 $17,129 $17,114
Jul-97 $17,988 $17,616 $17,606
Aug-97 $17,763 $17,441 $17,428
Sep-97 $18,052 $17,703 $17,693
Oct-97 $18,379 $18,009 $18,001
Nov-97 $18,412 $18,101 $18,094
Dec-97 $18,598 $18,291 $18,284
Jan-98 $18,916 $18,565 $18,564
Feb-98 $18,882 $18,515 $18,508
Mar-98 $18,910 $18,567 $18,558
Apr-98 $18,995 $18,651 $18,642
May-98 $19,199 $18,843 $18,836
Jun-98 $19,362 $19,058 $19,052
Jul-98 $19,397 $19,086 $19,083
Aug-98 $19,893 $19,582 $19,602
Sep-98 $20,677 $20,111 $20,149
Oct-98 $20,503 $20,043 $20,084
Nov-98 $20,452 $20,049 $20,080
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED
TOTAL RETURN ONE FIVE FROM
(%) YEAR YEARS NOVEMBER 1990
- -----------------------------------------------------
<S> <C> <C> <C>
11.08 6.97 9.26
</TABLE>
- - THE PORTFOLIO EMPLOYS A BUY AND HOLD STRATEGY INVESTING IN GOVERNMENT
SECURITIES WITH A MATURITY GENERALLY BETWEEN FIVE AND FIFTEEN YEARS AND
ORDINARILY MAINTAINING AN AVERAGE WEIGHTED MATURITY OF SEVEN TO TEN YEARS. THE
INVESTMENT UNIVERSE INCLUDES OBLIGATIONS OF THE U.S. GOVERNMENT, U.S.
GOVERNMENT AGENCIES AND AAA-RATED DOLLAR DENOMINATED OBLIGATIONS OF FOREIGN
GOVERNMENTS AND SUPRANATIONALS. PERFORMANCE IS EXPECTED TO MATCH OR EXCEED THE
RETURNS OF THE LEHMAN BROTHERS TREASURY INDEX WITHOUT EXCEEDING THE VOLATILITY
OF THAT INDEX.
- - THIS PORTFOLIO'S RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF ITS
STRATEGY.
- - THE LEHMAN GOVERNMENT INDEX IS MORE REFLECTIVE OF THE STRATEGY'S OBJECTIVES
THAN THE LEHMAN TREASURY INDEX, AND IS REPLACING THE LATTER FOR COMPARISON
PURPOSES.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
7
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
SCHEDULES OF INVESTMENTS
THE U.S. LARGE COMPANY PORTFOLIO
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C> <C>
Investment in The U.S. Large Company Series of The DFA Investment Trust Company.............. $ 549,973,925
----------------
Total Investments (100%) (Cost $344,475,471)++........................................... $ 549,973,925
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $347,883,067.
THE ENHANCED U.S. LARGE COMPANY PORTFOLIO
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Investment in The Enhanced U.S. Large Company Series of The DFA Investment Trust Company..... 4,750,801 $ 61,522,878
--------------
Total Investments (100%) (Cost $51,340,500)++............................................ $ 61,522,878
--------------
--------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $52,212,731.
THE U.S. LARGE CAP VALUE PORTFOLIO
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ------------------
<S> <C> <C>
Investment in The U.S. Large Cap Value Series of The DFA Investment Trust Company.......... 57,508,916 $ 1,080,592,528
------------------
Total Investments (100%) (Cost $805,588,666)++......................................... $ 1,080,592,528
------------------
------------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $812,044,046.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
8
<PAGE>
SCHEDULES OF INVESTMENTS
THE U.S. 6-10 VALUE PORTFOLIO
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
-------------- ------------------
<S> <C> <C>
Investment in The U.S. 6-10 Value Series of The DFA Investment Trust Company............. 136,192,440 $ 2,350,681,512
------------------
Total Investments (100%) (Cost $2,075,504,868)++..................................... $ 2,350,681,512
------------------
------------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $2,083,395,461.
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ----------------
<S> <C> <C>
Investment in The U.S. 6-10 Small Company Series of The DFA Investment Trust Company......... 28,332,869 $ 324,694,681
----------------
Total Investments (100%) (Cost $275,334,576)++........................................... $ 324,694,681
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $281,664,903.
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
-------------- ------------------
<S> <C> <C>
Investment in The U.S. 9-10 Small Company Series of The DFA Investment Trust Company..... 151,178,298 $ 1,339,424,806
------------------
Total Investments (100%) (Cost $1,111,510,189)++..................................... $ 1,339,424,806
------------------
------------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $1,138,562,728.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
9
<PAGE>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (99.2%)
AMB Property Corp..................................... 94,200 $ 2,095,950
AMLI Residential Properties Trust..................... 15,900 344,831
Acadia Realty Trust................................... 10,000 61,250
Aegis Realty, Inc..................................... 6,700 67,000
Agree Realty Corp..................................... 4,300 80,625
*Alexander's, Inc..................................... 4,800 382,500
Alexandria Real Estate Equities, Inc.................. 10,600 327,275
American Industrial Properties........................ 9,000 96,750
American Real Estate Investment Corp.................. 5,500 72,187
American Realty Trust, Inc............................ 15,300 240,019
Apartment Investment & Management Co. Class A......... 40,546 1,388,700
Archstone Communities Trust........................... 120,700 2,519,612
Arden Realty Group, Inc............................... 52,500 1,207,500
Asset Investments Corp................................ 4,100 53,812
Associated Estates Realty Corp........................ 19,000 239,875
AvalonBay Communities, Inc............................ 52,911 1,792,360
BRE Properties, Inc. Class A.......................... 36,760 886,835
Banyan Strategic Realty Trust......................... 11,200 60,200
Bedford Property Investors, Inc....................... 19,150 339,912
Berkshire Realty Co................................... 32,200 305,900
Boddie-Noell Properties, Inc.......................... 5,000 59,687
Boston Properties, Inc................................ 53,500 1,688,594
Boykin Lodging Trust, Inc............................. 14,400 191,700
Bradley Real Estate, Inc.............................. 21,355 441,782
Brandywine Realty Trust............................... 32,100 577,800
Burnham Pacific Properties, Inc....................... 26,900 346,337
CBL & Associates Properties, Inc...................... 23,500 590,437
Cabot Industrial Trust................................ 25,000 523,437
Camden Property Trust................................. 52,224 1,341,504
Capital Automotive REIT............................... 20,900 278,884
Captec Net Lease Realty, Inc.......................... 8,200 95,837
Carramerica Realty Corp............................... 60,500 1,467,125
Centerpoint Properties Corp........................... 18,500 629,000
Centertrust Retail Properties, Inc.................... 19,400 227,950
Chateau Communities, Inc.............................. 24,776 709,213
Chelsea GCA Realty, Inc............................... 13,600 459,850
Colonial Properties Trust............................. 21,800 589,962
Commercial Net Lease Realty, Inc...................... 24,600 350,550
*Continental Mortgage & Equity Trust.................. 2,700 40,669
Cornerstone Properties, Inc........................... 85,600 1,342,850
Cornerstone Realty Income Trust, Inc.................. 10,000 105,625
*Corporate Office Properties Trust.................... 13,000 90,187
Cousins Properties, Inc............................... 28,700 886,112
Crescent Real Estate Equities, Inc.................... 101,900 2,528,394
Crown American Realty Trust........................... 27,200 215,900
Developers Diversified Realty Corp.................... 51,400 992,662
Duke Realty Investments, Inc.......................... 76,700 1,740,131
Eastgroup Properties, Inc............................. 14,277 265,017
Entertainment Properties Trust........................ 12,000 221,250
Equity Inns, Inc...................................... 31,000 315,812
Equity Office Properties Trust........................ 213,762 5,370,770
Equity Residential Properties Corp.................... 101,778 4,306,482
Essex Property Trust.................................. 14,000 433,125
Federal Realty Investment Trust....................... 38,300 916,806
Felcor Lodging Trust, Inc............................. 57,000 1,357,312
First Industrial Realty Trust, Inc.................... 32,300 781,256
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
First Union Real Estate Equity & Mortgage
Investments......................................... 27,400 $ 159,262
First Washington Realty Trust, Inc.................... 7,200 165,600
Franchise Financial Corp.............................. 41,200 1,011,975
Franklin Select Realty Trust Class A.................. 12,100 75,625
Gables Residential Trust.............................. 21,400 530,987
General Growth Properties............................. 34,300 1,299,112
Glenborough Realty Trust, Inc......................... 27,900 596,362
Glimcher Realty Trust................................. 21,500 362,813
Golf Trust America, Inc............................... 6,400 167,200
Great Lakes Reit, Inc................................. 14,800 233,100
Grove Property Trust.................................. 7,100 76,325
*HMG Courtland Properties, Inc........................ 1,100 5,363
Highwood Properties, Inc.............................. 49,500 1,345,781
Home Properties of New York, Inc...................... 13,300 327,513
*Horizon Group Properties, Inc........................ 2,418 9,521
Hospitality Properties Trust.......................... 36,100 938,600
Humphrey Hospitality Trust............................ 3,800 36,100
IRT Property Co....................................... 31,400 314,000
Imon Property Group, Inc.............................. 92,648 2,744,697
Innkeepers USA Trust.................................. 29,100 321,919
Irvine Apartment Communities, Inc..................... 24,500 656,906
JDN Realty Corp....................................... 26,950 557,528
JP Realty, Inc........................................ 17,300 386,006
Jameson Inns, Inc..................................... 9,600 97,800
Kilroy Realty Corp.................................... 23,300 521,338
Kimco Realty Corp..................................... 47,900 1,853,131
Koger Equity, Inc..................................... 22,400 355,600
*Konover Property Trust, Inc.......................... 13,000 94,250
Kranzco Realty Trust, Inc............................. 10,200 160,013
Lasalle Hotel Properties Trust........................ 12,800 172,000
Lexford Residential Trust............................. 8,000 156,000
Lexington Corporate Properties Trust.................. 14,500 190,313
Liberty Property Trust................................ 54,600 1,344,525
MGI Properties........................................ 11,900 330,969
Macerich Co........................................... 27,300 726,863
Mack-California Realty Corp........................... 48,900 1,451,719
Malan Realty Investors, Inc........................... 4,300 65,038
Manufactured Home Communities, Inc.................... 24,500 600,250
Meridian Industrial Trust, Inc........................ 26,700 644,138
Meristar Hospitality Corp............................. 16,950 329,466
Mid-America Apartment Communities, Inc................ 15,800 385,125
Mid-Atlantic Realty Trust............................. 12,300 149,138
Mills Corp............................................ 21,900 469,481
Monmouth Real Estate Investment Corp. Class A......... 4,500 24,750
National Golf Properties, Inc......................... 11,000 317,625
New Plan Excel Realty Trust, Inc...................... 79,900 1,747,813
One Liberty Properties, Inc........................... 2,300 29,325
PS Business Parks, Inc................................ 19,900 462,675
Pacific Gulf Properties, Inc.......................... 16,900 325,325
Pan Pacific Retail Properties, Inc.................... 17,800 354,888
Parkway Properties, Inc............................... 8,950 270,178
Patriot American Hospitality, Inc. (Paired Shares).... 122,800 905,650
Pennsylvania Real Estate Investment Trust............. 11,200 224,000
</TABLE>
10
<PAGE>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Philips International Realty Corp..................... 6,100 $ 94,550
Post Properties, Inc.................................. 30,370 1,161,653
Prentiss Properties Trust............................. 33,100 719,925
Prime Group Realty Trust.............................. 13,100 196,500
Prime Retail, Inc..................................... 42,769 451,748
Prologis Trust........................................ 111,300 2,462,513
Property Capital Trust................................ 9,300 2,127
Public Storage, Inc................................... 98,196 2,608,331
RFS Hotel Investors, Inc.............................. 23,900 342,069f
*Ramco-Gershenson Properties Trust.................... 6,000 90,750
Realty Income Corp.................................... 22,700 573,175
Reckson Associates Realty Corp........................ 33,700 777,206
Regency Realty Corp................................... 21,400 498,888
Roberts Realty Investment............................. 3,800 29,094
Rouse Co.............................................. 57,700 1,575,931
SL Green Realty Corp.................................. 17,600 376,200
Saul Centers, Inc..................................... 12,100 192,088
Shurgard Storage Centers, Inc. Class A................ 27,200 715,700
Sizeler Property Investors, Inc....................... 8,200 69,700
Smith (Charles E.) Residential Realty, Inc............ 14,300 422,744
Sovran Self Storage, Inc.............................. 10,900 277,950
Spieker Properties, Inc............................... 48,400 1,748,450
Starwood Lodging Trust................................ 176,050 5,347,519
Storage Trust Realty.................................. 13,500 302,906
Storage USA, Inc...................................... 25,000 793,750
Summit Properties, Inc................................ 24,400 427,000
Sun Communities, Inc.................................. 14,400 468,900
Sunstone Hotel Investors, Inc......................... 31,600 335,750
Tanger Factory Outlet Centers, Inc.................... 6,800 152,575
*Tarragon Realty Investors, Inc....................... 6,107 72,139
Taubman Centers, Inc.................................. 45,300 628,538
*Tower Realty Trust, Inc.............................. 10,000 188,125
Town & Country Trust.................................. 14,000 211,750
Transcontinental Realty Investors, Inc................ 3,500 42,656
Trinet Corporate Realty Trust, Inc.................... 20,900 560,381
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*U.S. Restaurant Properties, Inc...................... 10,000 $ 242,500
United Dominion Realty Trust, Inc..................... 87,282 943,737
United Mobile Homes, Inc.............................. 6,000 59,250
Urban Shopping Centers, Inc........................... 15,200 499,700
#Urstadt Biddle Properties Class A.................... 5,000 40,000
Urstadt Biddle Properties, Inc........................ 5,000 40,625
Vornado Realty Trust.................................. 61,054 2,320,052
Walden Residential Properties, Inc.................... 15,600 321,750
Washington Real Estate Investment Trust............... 31,500 551,250
Weeks Corp............................................ 15,600 446,550
Weingarten Realty Investors........................... 23,800 1,081,413
Western Investment Real Estate Trust.................. 15,300 178,819
Westfield America, Inc................................ 95,000 1,662,500
Winston Hotels, Inc................................... 14,100 132,188
------------
TOTAL COMMON STOCKS
(Cost $108,479,400).................................. 105,564,398
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.25%, 08/31/02, valued at $854,000) to be
repurchased at $835,115.
(Cost $835,000)..................................... $ 835 835,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $109,314,400)++.... $106,399,398
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $107,483,600.
</TABLE>
See accompanying Notes to Financial Statements.
11
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
UNITED KINGDOM -- (21.7%)
COMMON STOCKS -- (21.7%)
Abbey National P.L.C.................................. 27,800 $ 562,112
*Allied Zurich P.L.C.................................. 31,499 449,733
*Anglian Water P.L.C.................................. 1,493 21,267
Associated British Foods P.L.C........................ 8,000 80,945
BAA P.L.C............................................. 10,000 110,590
BG P.L.C.............................................. 81,353 557,939
BOC Group P.L.C....................................... 10,850 157,689
BTR P.L.C............................................. 66,768 136,657
Barclays P.L.C........................................ 31,935 724,789
Bass P.L.C............................................ 16,428 226,690
Blue Circle Industries P.L.C.......................... 4,000 20,203
Boots Co., P.L.C...................................... 20,298 327,668
British Aerospace P.L.C............................... 17,500 150,493
British Airways P.L.C................................. 10,000 67,675
British American Tobacco P.L.C........................ 31,499 288,947
British Land Co. P.L.C................................ 5,100 43,942
British Petroleum Co., P.L.C.......................... 122,762 1,914,871
British Sky Broadcasting Group P.L.C.................. 17,000 140,582
British Steel P.L.C................................... 9,300 15,044
British Telecommunications P.L.C...................... 137,353 1,882,867
Burmah Castrol P.L.C.................................. 2,000 29,117
Cable and Wireless P.L.C.............................. 45,778 581,821
Cadbury Schweppes P.L.C............................... 22,414 336,669
Carlton Communications P.L.C.......................... 6,000 48,231
*Centrica P.L.C....................................... 44,000 91,328
Commercial Union P.L.C................................ 13,000 206,209
Compass Group P.L.C................................... 6,000 63,284
Diageo P.L.C.......................................... 82,864 928,704
EMI Group P.L.C....................................... 14,688 87,521
GKN P.L.C............................................. 7,000 77,298
General Electric Co. P.L.C............................ 57,881 473,393
Glaxo Wellcome P.L.C.................................. 73,648 2,330,370
Granada Group P.L.C................................... 17,275 269,744
Great Universal Stores P.L.C.......................... 21,200 220,629
Guardian Royal Exchange P.L.C......................... 8,700 47,389
HSBC Holdings P.L.C................................... 18,000 456,358
HSBC Holdings P.L.C................................... 17,000 460,187
Halifax P.L.C......................................... 24,000 341,476
Hanson P.L.C.......................................... 6,500 48,280
Imperial Chemical Industries P.L.C.................... 15,800 146,045
Kingfisher P.L.C...................................... 13,000 124,026
Ladbroke Group P.L.C.................................. 11,900 46,061
Land Securities P.L.C................................. 5,000 66,437
Lasmo P.L.C........................................... 5,800 13,379
Legal & General Group P.L.C........................... 12,000 147,068
Lloyds TSB Group P.L.C................................ 127,311 1,770,426
Lucas Varity P.L.C.................................... 14,000 48,065
Marks & Spencer P.L.C................................. 62,011 421,704
*Misys P.L.C.......................................... 5,000 35,240
National Grid Group P.L.C............................. 14,000 111,325
National Power P.L.C.................................. 24,802 211,241
Pearson P.L.C......................................... 6,000 107,949
*Provident Financial P.L.C............................ 2,000 30,041
Prudential Corp. P.L.C................................ 44,788 653,515
RMC Group P.L.C....................................... 2,000 26,079
Railtrack Group P.L.C................................. 5,000 137,247
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Rank Group P.L.C...................................... 4,000 $ 14,195
Reed International P.L.C.............................. 11,000 86,607
Rentokill Initial P.L.C............................... 28,000 180,245
Reuters Holdings Group P.L.C.......................... 29,640 286,449
Rio Tinto P.L.C....................................... 25,526 299,146
Rolls-Royce P.L.C..................................... 15,051 60,866
Royal & Sun Alliance Insurance Group, Inc. P.L.C...... 17,524 146,361
Royal Bank of Scotland Group P.L.C.................... 8,700 131,109
Safeway P.L.C......................................... 24,954 123,155
Sainsbury (J.) P.L.C.................................. 39,617 331,863
Schroders P.L.C....................................... 1,000 20,533
Scottish & Newcastle P.L.C............................ 6,100 77,831
Scottish Hydro-Electric P.L.C......................... 4,000 46,415
Scottish Power P.L.C.................................. 11,000 116,747
Seibe P.L.C........................................... 21,000 75,564
Smithkline Beecham P.L.C.............................. 72,993 896,388
Smiths Industries P.L.C............................... 3,000 42,635
Stagecoach Holdings PLC............................... 13,000 48,709
TI Group.............................................. 5,000 28,473
Tate & Lyle P.L.C..................................... 2,700 17,024
Tesco P.L.C........................................... 147,695 436,376
*Thames Water PLC..................................... 3,400 65,044
Unilever P.L.C........................................ 68,800 716,004
United Utilities P.L.C................................ 5,400 78,704
Vodafone Group P.L.C.................................. 62,678 925,934
Williams P.L.C........................................ 7,000 43,328
Wolseley P.L.C........................................ 5,000 31,609
Zeneca Group P.L.C.................................... 15,200 632,246
------------
TOTAL COMMON STOCKS
(Cost $13,373,040)................................... 25,034,119
------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $14,335)...................................... 14,273
------------
TOTAL -- UNITED KINGDOM
(Cost $13,387,375)................................... 25,048,392
------------
JAPAN -- (19.9%)
COMMON STOCKS -- (19.9%)
Acom Co., Ltd......................................... 1,000 60,609
Advantest Corp........................................ 770 51,492
Ajinomoto Co., Inc.................................... 11,000 100,049
*#All Nippon Airways Co., Ltd......................... 24,000 83,176
Asahi Bank, Ltd....................................... 41,000 156,769
Asahi Breweries, Ltd.................................. 3,000 43,443
Asahi Chemical Industry Co., Ltd...................... 27,000 112,463
Asahi Glass Co., Ltd.................................. 21,000 122,323
Bank of Tokyo-Mitsubishi, Ltd......................... 94,200 1,026,912
Bank of Yokohama, Ltd................................. 20,000 42,304
Bridgestone Corp...................................... 15,000 351,448
Canon, Inc............................................ 16,000 354,051
Chiba Bank, Ltd....................................... 11,000 41,523
#Chubu Electric Power Co., Ltd........................ 14,100 263,830
Chugoku Electric Power Co., Ltd....................... 6,600 111,414
Credit Saison Co., Ltd................................ 1,600 36,577
Dai Nippon Printing Co., Ltd.......................... 13,000 188,781
Daiichi Pharmaceutical Co., Ltd....................... 2,000 30,752
#Daiwa Bank, Ltd...................................... 23,000 38,920
</TABLE>
12
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Daiwa House Industry Co., Ltd......................... 9,000 $ 95,550
Daiwa Securities Co., Ltd............................. 22,000 78,571
Denso Corp............................................ 15,000 290,433
East Japan Railway Co................................. 75 436,259
Elsai Co., Ltd........................................ 2,000 30,914
Fanuc, Ltd............................................ 4,300 136,430
#Fuji Bank, Ltd....................................... 52,000 206,020
Fuji Photo Film Co., Ltd.............................. 9,000 336,804
Fujitsu, Ltd.......................................... 35,000 404,897
Gunma Bank, Ltd....................................... 5,000 37,463
Hankyu Corp........................................... 8,000 32,542
*Hanwa Co., Ltd....................................... 2,000 1,969
Hitachi, Ltd.......................................... 63,000 379,784
Honda Motor Co., Ltd.................................. 18,000 647,250
Hoya Corp............................................. 1,000 42,060
#Industrial Bank of Japan............................. 45,120 244,100
Itochu Corp........................................... 21,000 40,148
Ito-Yokado Co., Ltd................................... 7,000 428,246
*#Japan Air Lines Co., Ltd............................ 14,000 35,535
Joyo Bank, Ltd........................................ 3,000 10,983
Jusco Co., Ltd........................................ 6,000 114,465
#Kajima Corp.......................................... 17,000 45,363
Kaneka Corp........................................... 3,000 21,526
Kansai Electric Power Co., Inc........................ 17,600 353,661
Kao Corp.............................................. 6,000 113,733
Kawasaki Heavy Industries, Ltd........................ 13,000 32,151
Kawasaki Steel Corp................................... 58,000 87,293
Kinden Corp........................................... 2,000 26,847
Kinki Nippon Railway Co., Ltd......................... 29,000 144,151
Kirin Brewery Co., Ltd................................ 18,000 187,146
#Kobe Steel, Ltd...................................... 42,000 31,435
Komatsu, Ltd.......................................... 15,000 77,001
Kubota Corp........................................... 25,000 57,761
Kuraray Co., Ltd...................................... 3,000 31,289
Kyocera Corp.......................................... 2,000 94,533
Kyowa Hakko Kogyo Co., Ltd............................ 4,000 19,623
Kyushu Electric Power Co., Inc........................ 8,500 145,216
Marubeni Corp......................................... 22,000 40,091
Marui Co., Ltd........................................ 2,000 35,714
Matsushita Communication Industrial Co., Ltd.......... 1,000 43,687
Matsushita Electric Industrial Co., Ltd............... 40,000 644,321
#Matsushita Electric Works, Ltd....................... 14,000 134,396
*Minebea Co., Ltd..................................... 3,000 32,289
#Mitsubishi Chemical Corp............................. 39,000 72,974
Mitsubishi Corp....................................... 29,000 186,381
Mitsubishi Electric Corp.............................. 36,000 91,377
Mitsubishi Estate Co., Ltd............................ 17,000 162,642
Mitsubishi Heavy Industries, Ltd...................... 60,000 225,024
Mitsubishi Trust & Banking Corp....................... 23,000 166,531
Mitsui & Co., Ltd..................................... 30,000 171,575
Mitsui Fudosan Co., Ltd............................... 8,000 61,438
Mitsui Marine & Fire Insurance Co., Ltd............... 7,000 35,364
Mitsui Trust & Banking Co., Ltd....................... 20,000 26,847
Murata Manufacturing Co., Ltd......................... 2,000 78,588
NEC Corp.............................................. 30,000 255,776
NGK Insulators, Ltd................................... 3,000 32,899
NKK Corp.............................................. 63,000 45,103
Nagoya Railroad Co., Ltd.............................. 8,000 26,684
#Nikko Securities Co., Ltd............................ 24,000 81,224
Nikon Corp............................................ 3,000 28,799
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Nintendo Co., Ltd., Kyoto............................. 1,000 $ 94,858
*Nippon Credit Bank, Ltd.............................. 26,000 36,804
Nippon Express Co., Ltd............................... 19,000 98,926
Nippon Meat Packers, Inc., Osaka...................... 2,000 27,856
Nippon Oil Co., Ltd................................... 22,000 72,486
Nippon Paper Industries Co., Ltd...................... 9,000 38,586
Nippon Steel Corp..................................... 124,000 225,968
Nippon Telegraph & Telephone Corp..................... 260 972,990
Nippon Yusen KK....................................... 11,000 33,558
Nissan Motor Co., Ltd................................. 47,000 145,298
Nissin Food Products Co., Ltd......................... 1,000 19,525
Nomura Securities Co., Ltd............................ 35,000 340,831
Obayashi Corp......................................... 7,000 31,663
Odakyu Electric Railway Co., Ltd...................... 7,000 22,779
Oji Paper Co., Ltd.................................... 10,000 44,989
Olympus Optical Co., Ltd.............................. 2,000 21,933
Omron Corp............................................ 2,000 24,243
Orix Corp............................................. 600 42,906
Osaka Gas Co., Ltd.................................... 48,000 140,579
Pioneer Electronic.................................... 2,000 32,948
Ricoh Co., Ltd., Tokyo................................ 5,000 48,202
Rohm Co., Ltd......................................... 2,000 169,867
SMC Corp.............................................. 500 37,382
Sakura Bank, Ltd...................................... 61,000 155,825
Sankyo Co., Ltd....................................... 4,000 91,116
Sanyo Electric........................................ 33,000 93,427
Secom Co., Ltd........................................ 2,000 148,226
Sega Enterprises, Ltd................................. 1,500 36,365
Seibu Railway Co., Ltd................................ 8,000 251,220
Sekisui Chemical Co., Ltd............................. 5,000 30,508
Seksui House.......................................... 12,000 116,954
Seven-Eleven Japan Co., Ltd........................... 7,000 518,223
Seventy-seven (77) Bank, Ltd.......................... 3,000 27,994
Sharp Corp. Osaka..................................... 19,000 167,865
Shikoku Electric Power Co., Inc....................... 4,200 67,654
Shimano, Inc.......................................... 1,000 27,091
*Shimizu Corp......................................... 12,000 39,538
Shin-Etsu Chemical Co., Ltd........................... 3,000 67,117
Shionogi & Co., Ltd................................... 3,000 21,087
Shiseido Co., Ltd..................................... 3,000 34,193
Shizuoka Bank, Ltd.................................... 14,000 152,050
Sony Corp............................................. 7,600 557,078
#Sumitomo Bank, Ltd................................... 56,000 623,690
#Sumitomo Chemical Co., Ltd........................... 29,000 100,740
Sumitomo Corp......................................... 19,000 104,027
Sumitomo Electric Industries, Ltd..................... 13,000 141,718
Sumitomo Marine & Fire Insurance Co., Ltd............. 6,000 35,877
Sumitomo Metal Industries, Ltd. Osaka................. 56,000 66,970
TDK Corp.............................................. 1,000 83,062
#Taisei Corp.......................................... 15,000 28,677
Taisho Pharmaceutical Co., Ltd........................ 6,000 148,877
Takeda Chemical Industries, Ltd....................... 16,000 540,189
*Teijin, Ltd.......................................... 9,000 32,289
Tobu Railway Co., Ltd................................. 8,000 23,104
Tohuku Electric Power Co., Inc........................ 9,000 146,437
#Tokai Bank, Ltd...................................... 34,000 172,323
Tokio Marine & Fire Insurance Co., Ltd................ 26,000 294,012
Tokyo Electric Power Co., Ltd......................... 25,700 587,512
Tokyo Electron, Ltd................................... 1,000 37,423
</TABLE>
13
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Tokyo Gas Co., Ltd.................................... 53,000 $ 124,609
Tokyu Corp............................................ 17,000 44,671
Toppan Printing Co., Ltd.............................. 12,000 142,532
Toray Industries, Inc................................. 25,000 118,980
Toshiba Corp.......................................... 61,000 342,418
Tostem Corp........................................... 2,000 33,355
Toto, Ltd............................................. 3,000 22,454
Toyo Seikan Kaisha, Ltd............................... 3,300 55,036
Toyo Trust & Banking Co., Ltd......................... 12,000 37,293
Toyoda Automatic Loom Works, Ltd...................... 2,000 33,762
Toyota Motor Corp..................................... 72,000 1,827,530
Yamanouchi Pharmaceutical Co., Ltd.................... 6,000 175,724
Yamato Transport Co., Ltd............................. 4,000 49,658
Yamazaki Baking Co., Ltd.............................. 2,000 24,113
*Yasuda Trust & Banking Co., Ltd...................... 16,000 15,229
------------
TOTAL COMMON STOCKS
(Cost $27,163,436)................................... 22,938,711
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $780)......................................... 780
------------
TOTAL -- JAPAN
(Cost $27,164,216)................................... 22,939,491
------------
GERMANY -- (10.4%)
COMMON STOCKS -- (10.4%)
Allianz AG............................................ 700 258,549
BASF AG............................................... 15,000 578,875
Bayer AG.............................................. 14,000 599,487
Bayerische Motorenwerke AG BMW, Muenchen.............. 481 389,743
*Bayerische Motorenwerke AG BMW, Muenchen Em 98....... 144 114,125
Bayerische Vereinsbank AG............................. 8,000 721,560
Commerzbank AG........................................ 8,490 283,706
#DaimlerChrysler AG, Stuttgart........................ 11,552 1,108,207
Deutsche Bank AG...................................... 9,800 635,837
Deutsche Lufthansa AG................................. 1,100 24,462
Deutsche Telekom AG................................... 46,600 1,378,062
Dresdner Bank AG, Frankfurt........................... 9,880 457,543
Hochtief AG........................................... 1,510 58,273
Hoechst AG............................................ 12,000 515,265
Mannesmann AG......................................... 7,430 830,546
Metro AG.............................................. 840 52,761
Munchener Rueckversicherungs.......................... 500 239,682
RWE AG................................................ 13,250 706,863
SAP AG (Systeme Anwendungen Produkte in der
Datenverarbeitung).................................. 1,100 507,458
Schering AG........................................... 200 25,468
Siemens AG............................................ 11,000 781,355
Thyssen AG............................................ 650 120,521
Veba AG............................................... 12,000 683,117
Viag AG............................................... 546 351,669
Volkswagen AG......................................... 5,920 498,591
------------
TOTAL COMMON STOCKS
(Cost $5,877,243).................................... 11,921,725
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks
(Cost $12,260)...................................... $ 12,043
------------
TOTAL -- GERMANY
(Cost $5,889,503).................................... 11,933,768
------------
FRANCE -- (10.2%)
COMMON STOCKS -- (9.5%)
AXA-UAP............................................... 7,692 996,898
Accor SA.............................................. 508 111,969
Air Liquide........................................... 787 134,192
Air Liquide Prime Fidelite............................ 2,076 348,902
Alcatel Alsthom Cie Generale d'Electricite SA......... 5,100 676,258
Banque Nationale de Paris............................. 2,276 174,577
*Banque Paribas....................................... 2,350 210,087
Bouygues.............................................. 200 37,382
Canal Plus SA......................................... 483 111,313
Cap Gemini SA......................................... 500 73,353
Carrefour Supermarche SA.............................. 900 638,753
Casino Guichard Perrachon............................. 500 47,609
Cie Generale d'Optique Essilor International SA....... 80 31,246
Dassault Systemes SA.................................. 900 35,231
Elf Aquitaine......................................... 5,127 640,964
Eridania Beghin-Say SA................................ 200 37,170
France Telecom SA..................................... 4,000 278,600
#Generale des Eaux.................................... 3,174 719,734
Generale des Establissements Michelin SA Series B..... 1,009 43,678
Groupe Danone......................................... 2,346 686,689
L'Oreal............................................... 1,540 961,548
LVMH (Louis Vuitton Moet Hennessy).................... 2,016 390,672
LaFarge SA............................................ 2,044 193,183
*Lagardere Sca........................................ 900 36,738
Legrand SA............................................ 100 27,190
Lyonnais des Eaux SA.................................. 2,754 545,341
Pernod-Ricard......................................... 1,260 82,227
Peugeot SA............................................ 950 150,761
Pinault Printemps Redoute SA.......................... 1,000 171,039
Promodes.............................................. 100 65,577
Rhone-Poulenc SA Series A............................. 3,765 188,210
Saint-Gobain.......................................... 1,984 293,863
Sanofi SA............................................. 2,414 432,044
Schneider SA.......................................... 2,519 155,239
Societe Generale Paris................................ 1,782 281,540
Sodexho Alliance SA................................... 200 38,969
Ste Bic............................................... 400 25,039
*Thomson-CSF.......................................... 2,324 87,695
Total SA.............................................. 5,485 681,852
Valeo SA.............................................. 600 51,523
------------
TOTAL COMMON STOCKS
(Cost $5,696,378).................................... 10,894,855
------------
INVESTMENT IN CURRENCY -- (0.7%)
*French Francs
(Cost $821,681)..................................... 802,933
</TABLE>
14
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*France Telecom SA Warrants 1998
(Cost $0)........................................... 4,000 $ 0
------------
TOTAL -- FRANCE
(Cost $6,518,059).................................... 11,697,788
------------
SWITZERLAND -- (7.6%)
COMMON STOCKS -- (7.6%)
ABB AG, Baden......................................... 186 232,184
Adecco SA............................................. 150 65,326
*Alusuisse Lonza Group AG............................. 30 37,945
Credit Suisse Holding, Zuerich (Namen)................ 3,575 616,605
Financiere Richemont AG Units -A-..................... 106 157,992
Holderbank Financiere Glarus AG, Glarus............... 50 58,067
Nestle SA, Cham et Vevey.............................. 853 1,777,735
Novartis AG, Basel.................................... 1,334 2,511,754
Roche Holding AG, Basel............................... 79 1,420,761
*Sairgroup, Zuerich................................... 80 17,736
Schneizerische Rueckversicherangs-Gesellschaft........ 100 253,541
*United Bank of Switzerland........................... 4,444 1,341,354
*Zurich Allied AG..................................... 330 236,444
------------
TOTAL COMMON STOCKS
(Cost $3,070,539).................................... 8,727,444
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $11,369)...................................... 10,160
------------
TOTAL -- SWITZERLAND
(Cost $3,081,908).................................... 8,737,604
------------
NETHERLANDS -- (5.3%)
COMMON STOCKS -- (5.3%)
ABN Amro Holding NV................................... 6,119 126,451
AKZO Nobel NV......................................... 1,100 45,233
Aegon NV.............................................. 1,913 205,289
Elsevier NV........................................... 2,600 34,229
Heineken NV........................................... 1,250 63,661
Ing Groep NV.......................................... 20,932 1,202,181
Koninklijke Ahold NV.................................. 2,200 76,504
Koninklijke Kpn NV.................................... 1,900 82,215
Philips Electronics NV................................ 1,100 69,811
Polygram NV........................................... 600 35,970
Royal Dutch Petroleum Co., Den Haag................... 53,200 2,555,948
TNT Post Groep NV..................................... 1,900 47,934
Unilever NV........................................... 19,200 1,505,523
Wolters Kluwer NV..................................... 200 38,236
------------
TOTAL COMMON STOCKS
(Cost $2,643,974).................................... 6,089,185
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder
(Cost $1,502)....................................... 1,519
------------
TOTAL -- NETHERLANDS
(Cost $2,645,476).................................... 6,090,704
------------
ITALY -- (4.8%)
COMMON STOCKS -- (4.8%)
Alleanza Assicurazioni SpA............................ 13,612 187,006
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Alleanza Assicurazioni SpA (Risp)..................... 124 $ 1,095
Assicurazioni Generali SpA, Trieste................... 21,404 801,619
Banca Commerciale Italiana SpA........................ 34,000 233,348
*Banca di Roma........................................ 66,500 115,391
Banco Ambrosiano Veneto SpA........................... 44,000 246,394
*Campart SpA.......................................... 38,769 31,587
Credito Italiano...................................... 39,000 222,355
Edison SpA............................................ 10,000 100,947
#Fiat SpA............................................. 75,900 233,483
HPI SpA (Holding di Partecipazioni Industriale)....... 18,000 13,784
ITALGAS SpA, Torino................................... 11,000 54,535
Ifil Finanziaria Partecipazioni SpA, Torino........... 9,000 36,878
Italcementi Fabbriche Riunite Cemento SpA, Bergamo.... 1,500 15,151
*La Fondiara Assicurazioni SpA........................ 4,200 22,980
Montedison SpA........................................ 73,260 87,738
Pirelli SpA........................................... 20,000 62,360
RAS SpA (Riunione Adriatica di Sicurta)............... 7,465 100,550
RAS SpA (Riunione Adriatica di Sicurta) (Risp)........ 371 3,512
SAI SpA (Sta Assicuratrice Industriale SpA)........... 2,000 22,519
San Paolo-Imi SpA..................................... 32,607 536,593
*Seat Pagine Gialle SpA............................... 86,000 75,821
Sirti SpA............................................. 4,000 23,080
Telecom Italia Mobile SpA............................. 134,740 885,309
Telecom Italia SpA, Torino............................ 176,965 1,438,108
------------
TOTAL COMMON STOCKS
(Cost $2,076,226).................................... 5,552,143
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira
(Cost $614)......................................... 652
------------
TOTAL -- ITALY
(Cost $2,076,840).................................... 5,552,795
------------
SPAIN -- (3.4%)
COMMON STOCKS -- (3.4%)
Argentaria Caja Postal y Banco Hipotecario SA......... 5,800 135,446
Autopistas Concesionaria Espanola SA.................. 3,000 45,872
Banco Bilbao Vizcaya SA............................... 38,400 608,507
Banco Central Hispanoamericano SA..................... 13,200 152,294
Banco de Santander SA................................. 18,972 388,987
Banco Popular Espanol SA, Madrid...................... 2,000 147,345
ENDESA SA, Madrid..................................... 19,700 515,502
Fomento de Construcciones y Contratas SA.............. 700 41,889
Iberdrola SA.......................................... 15,500 257,471
Repsol SA............................................. 5,600 318,376
SDG SA, Barcelona..................................... 2,800 236,642
Sociedad General de Aguas de Barcelona SA............. 500 28,635
Tabacalera SA......................................... 2,200 54,587
Telefonica de Espana SA............................... 19,418 915,026
Union Electrica Fenosa SA............................. 3,600 53,420
</TABLE>
15
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Zardoya-Otis SA....................................... 700 $ 21,431
------------
TOTAL COMMON STOCKS
(Cost $2,128,753).................................... 3,921,430
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta
(Cost $2,482)....................................... 2,592
TOTAL -- SPAIN
(Cost $2,131,235).................................... 3,924,022
------------
SWEDEN -- (2.7%)
COMMON STOCKS -- (2.7%)
AGA AB Series A....................................... 2,900 6,462
AGA AB Series B....................................... 2,500 29,584
Asea AB Series A...................................... 13,000 141,017
Asea AB Series B...................................... 5,000 53,621
Astra AB Series A..................................... 29,866 548,540
Astra AB Series B..................................... 6,133 109,997
*Drott Series B....................................... 2,400 19,082
*Fastighets AB Balder................................. 420 3,986
Foreningssparbanken AB Series A....................... 4,500 126,471
Hennes & Mauritz AB Series B.......................... 2,300 170,391
*Mandamus AB.......................................... 225 1,193
Sandvik AB Series A................................... 3,200 58,773
Sandvik AB Series B................................... 1,300 24,037
Skandinaviska Enskilda Banken Series A................ 10,300 117,442
Skanska AB............................................ 2,400 66,860
Svenska Handelsbanken Series A........................ 4,200 169,812
Swedish Match AB (Frueher Svenska Taendsticks AB)..... 8,800 29,831
Sydkraft AB Series C.................................. 2,400 48,814
Telefon AB L.M. Ericsson Series A..................... 3,000 88,197
Telefon AB L.M. Ericsson Series B..................... 36,600 1,019,612
Volvo AB Series A..................................... 2,200 49,763
Volvo AB Series B..................................... 6,600 153,763
------------
TOTAL COMMON STOCKS
(Cost $1,995,760).................................... 3,067,248
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $2,069)....................................... 2,040
------------
TOTAL -- SWEDEN
(Cost $1,997,829).................................... 3,069,288
------------
AUSTRALIA -- (2.6%)
COMMON STOCKS -- (2.6%)
*AMP, Ltd............................................. 13,900 180,217
Amcor, Ltd............................................ 12,538 54,714
Australia & New Zealand Banking Group, Ltd............ 31,683 209,383
Boral, Ltd............................................ 24,676 36,929
Brambles Industries, Ltd.............................. 3,950 96,882
Broken Hill Proprietary Co., Ltd...................... 41,288 328,418
CSR, Ltd.............................................. 16,243 39,118
Coca-Cola Amatil, Ltd................................. 11,102 37,334
Coles Myer, Ltd....................................... 21,826 113,225
Commonwealth Bank of Australia........................ 11,528 159,111
Fosters Brewing Group, Ltd............................ 34,148 89,539
Goodman Fielder, Ltd.................................. 16,460 17,699
Lend Lease Corp., Ltd................................. 3,221 78,685
MIM Holdings.......................................... 50,522 24,779
National Australia Bank, Ltd.......................... 37,953 568,461
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
News Corp., Ltd....................................... 19,620 $ 137,842
Normandy Mining, Ltd.................................. 21,710 20,204
Pacific Dunlop, Ltd................................... 19,238 34,234
Pioneer International, Ltd............................ 11,314 24,046
Rio Tinto, Ltd........................................ 12,510 161,259
Santos, Ltd........................................... 7,866 22,826
Southcorp, Ltd........................................ 8,053 26,261
Tabcorp Holdings, Ltd................................. 3,947 26,519
The Australian Gas Light Company...................... 4,194 31,227
WMC, Ltd.............................................. 30,370 95,846
Westpac Banking Corp.................................. 50,211 335,302
Woodside Petroleum, Ltd............................... 6,666 33,952
------------
TOTAL COMMON STOCKS
(Cost $2,283,234).................................... 2,984,012
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $1,666)....................................... 1,742
------------
TOTAL -- AUSTRALIA
(Cost $2,284,900).................................... 2,985,754
------------
HONG KONG -- (2.1%)
COMMON STOCKS -- (2.1%)
CLP Holdings, Ltd..................................... 35,500 186,601
Cathay Pacific Airways, Ltd........................... 61,000 59,086
Citic Pacific, Ltd.................................... 24,000 54,398
Hang Seng Bank, Ltd................................... 39,000 343,762
Henderson Land Development Co., Ltd................... 18,000 92,057
Hong Kong Electric Holdings, Ltd...................... 30,500 101,430
Hong Kong Telecommunications, Ltd..................... 231,058 441,645
Hutchison Whampoa, Ltd................................ 73,000 520,890
New World Development Co. Ltd......................... 31,558 76,623
Sung Hungkai Properties, Ltd.......................... 47,506 340,512
Swire Pacific, Ltd. Series A.......................... 27,000 122,394
Wharf Holdings, Ltd................................... 41,000 64,865
------------
TOTAL COMMON STOCKS
(Cost $2,610,928).................................... 2,404,263
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $9,488)....................................... 9,492
------------
TOTAL -- HONG KONG
(Cost $2,620,416).................................... 2,413,755
------------
BELGIUM -- (1.7%)
COMMON STOCKS -- (1.7%)
Electrabel SA......................................... 1,300 506,735
Etablissement Delhaize Freres & Cie le Lion SA
Molenbeek-Saint-Jean................................ 700 57,581
Fortis AG Class B..................................... 1,931 614,333
*Fortis AG............................................ 931 5,310
Fortis AG Strips...................................... 931 27
Ing Groep NV.......................................... 1,211 71,501
#Petrofina SA, Bruxelles.............................. 500 223,559
Solvay SA............................................. 2,000 141,014
Tractebel (Cie Reunies Electrobel et Tractionel SA)... 2,100 361,135
------------
TOTAL COMMON STOCKS
(Cost $1,308,014).................................... 1,981,195
------------
</TABLE>
16
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Ing N.V. Warrants 01/05/08
(Cost $0)........................................... 200 $ 4,127
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs
(Cost $1,142)....................................... 1,197
------------
TOTAL -- BELGIUM
(Cost $1,309,156).................................... 1,986,519
------------
FINLAND -- (1.2%)
COMMON STOCKS -- (1.2%)
Cultor Oyj Series I................................... 1,100 10,055
Kemira Oyj............................................ 3,200 21,596
Merita Oyj Helsinki................................... 19,100 111,440
Nokia Oyj Series A.................................... 9,626 945,420
Outokumpu Oyj Series A................................ 3,100 29,542
Pohjola Group Insurance Corp. Series B................ 400 18,437
Pohjola Group Insurance Corp. Series A................ 500 23,436
Sampo Insurance Co., Ltd.............................. 1,500 51,636
Stockmann Oy AB....................................... 600 14,236
Upm-Kymmene Corp...................................... 6,900 181,163
------------
TOTAL COMMON STOCKS
(Cost $1,248,189).................................... 1,406,961
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Finnish Markka
(Cost $92).......................................... 99
------------
TOTAL -- FINLAND
(Cost $1,248,281).................................... 1,407,060
------------
DENMARK -- (0.8%)
COMMON STOCKS -- (0.8%)
Carlsberg A.S. Series B............................... 650 36,585
Dampskibsselskabet AF 1912 A.S........................ 16 105,787
Dampskibsselskabet Svendborg A.S...................... 11 102,675
Danisco A.S........................................... 1,380 71,462
Den Danske Bank A.S................................... 790 102,007
Fls Industries........................................ 890 17,999
ISS International Service System A.S.................. 440 29,091
Kapital Holdings A.S.................................. 670 37,523
Novo Nordisk A.S. Series B............................ 1,470 168,542
Tele Danmark A.S. Series B............................ 1,450 162,414
Unidanmark A.S. Series A.............................. 1,070 87,557
------------
TOTAL COMMON STOCKS
(Cost $1,040,052).................................... 921,642
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone
(Cost $14).......................................... 15
------------
TOTAL -- DENMARK
(Cost $1,040,066).................................... 921,657
------------
SINGAPORE -- (0.6%)
COMMON STOCKS -- (0.6%)
Cerebos Pacific, Ltd.................................. 10,000 16,940
City Developments, Ltd................................ 26,000 123,924
*Creative Technology Co., Ltd......................... 3,000 55,192
Cycle & Carriage, Ltd................................. 7,000 24,226
Fraser & Neave, Ltd................................... 10,000 34,609
Keppel Bank of Singapore, Ltd......................... 35,750 57,088
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Keppel Corp., Ltd..................................... 25,000 $ 65,878
Keppel Land, Ltd...................................... 22,000 26,048
Singapore Land, Ltd................................... 11,000 26,315
#Singapore Telecommunications, Ltd.................... 161,000 268,825
Wing Tai Holdings, Ltd................................ 19,000 14,420
------------
TOTAL COMMON STOCKS
(Cost $908,313)...................................... 713,465
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $10,238)...................................... 10,289
------------
TOTAL -- SINGAPORE
(Cost $918,551)...................................... 723,754
------------
NORWAY -- (0.5%)
COMMON STOCKS -- (0.5%)
Bergesen Dy ASA Series A.............................. 1,100 13,557
Den Norske Bank ASA Series A.......................... 16,000 62,161
Kvaerner ASA.......................................... 600 9,083
Merkantildata ASA..................................... 2,200 24,020
Norsk Hydro ASA....................................... 5,700 214,576
Norske Skogindustrier ASA Series A.................... 900 24,717
Orkla ASA Series A.................................... 4,800 80,380
*Petroleum Geo Services ASA........................... 2,200 32,715
*Storebrand ASA....................................... 6,900 51,303
Tomra Systems ASA..................................... 1,000 29,272
------------
TOTAL COMMON STOCKS
(Cost $653,321)...................................... 541,784
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $35).......................................... 36
------------
TOTAL -- NORWAY
(Cost $653,356)...................................... 541,820
------------
IRELAND -- (0.4%)
COMMON STOCKS -- (0.4%)
Allied Irish Banks P.L.C.............................. 16,000 246,819
CRH P.L.C............................................. 4,000 53,536
Irish Life P.L.C...................................... 6,054 51,587
Irish Permanent P.L.C................................. 1,500 20,385
Jefferson Smurfit Group P.L.C......................... 20,000 39,961
Kerry Group P.L.C..................................... 3,000 41,871
------------
TOTAL COMMON STOCKS
(Cost $470,649)...................................... 454,159
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Irish Punt
(Cost $1,203)....................................... 1,200
------------
TOTAL -- IRELAND
(Cost $471,852)...................................... 455,359
------------
AUSTRIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Austrian Airlines/Oesterreichische Luftverkehrs....... 754 24,085
Bank Austria AG....................................... 2,325 120,589
Oesterreichische Elektrizitaetswirtschafts AG......... 437 68,327
Omv AG................................................ 783 74,048
Va Technologie AG..................................... 435 36,567
</TABLE>
17
<PAGE>
THE LARGE CAP INTERNATIONAL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Wienerberger Baustoft Industrie AG.................... 251 $ 48,107
------------
TOTAL COMMON STOCKS
(Cost $396,545)...................................... 371,723
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Austrian Schilling
(Cost $0)........................................... 1
------------
TOTAL -- AUSTRIA
(Cost $396,545)...................................... 371,724
------------
NEW ZEALAND -- (0.2%)
COMMON STOCKS -- (0.2%)
Brierley Investments, Ltd............................. 41,700 10,561
Carter Holt Harvey, Ltd............................... 26,900 25,691
Lion Nathan, Ltd...................................... 8,500 21,708
Telecom Corporation of New Zealand, Ltd............... 27,300 116,679
------------
TOTAL COMMON STOCKS
(Cost $185,271)...................................... 174,639
------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $1,648)....................................... 1,713
------------
TOTAL -- NEW ZEALAND
(Cost $186,919)...................................... 176,352
------------
MALAYSIA -- (0.1%)(##)
COMMON STOCKS -- (0.1%)
Kuala Lumpur Kepong Berhad............................ 14,000 13,665
Malayan Banking Berhad................................ 24,000 26,519
Malaysian International Shipping Corp. (Foreign)...... 20,000 16,501
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Nestle (Malaysia) Berhad.............................. 4,000 $ 10,460
Resorts World Berhad.................................. 21,000 16,011
Rothmans of Pall Mall Malaysia Berhad................. 5,000 18,232
Sime Darby Berhad (Malaysia).......................... 46,000 29,989
YTL Corp. Berhad...................................... 24,000 19,271
------------
TOTAL -- MALAYSIA
(Cost $200,434)...................................... 150,648
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (3.5%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.125%, 12/31/01, valued at $4,062,975) to be
repurchased at $3,998,550.
(Cost $3,998,000)................................... $ 3,998 3,998,000
------------
TOTAL INVESTMENTS -- (100%)(Cost $80,220,417)++........ $115,126,254
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $80,525,778.
## Illiquid securities fair valued by the Board of Directors.
</TABLE>
See accompanying Notes to Financial Statements.
18
<PAGE>
SCHEDULES OF INVESTMENTS
THE INTERNATIONAL SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C>
Investment in The Japanese Small Company Series of The DFA Investment Trust Company (25.7%) (Cost
$118,081,605)............................................................................................. $ 70,243,729
Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company (18.4%) (Cost
$78,367,573).............................................................................................. 50,520,660
Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company (17.6%) (Cost
$54,353,960).............................................................................................. 48,226,359
Investment in The Continental Small Company Series of The DFA Investment Trust Company (38.1%) (Cost
$87,133,935).............................................................................................. 104,489,793
Temporary Cash Investments (0.2%) Repurchase Agreement, PNC Capital Markets Inc. 4.95%, 12/01/98
(Collateralized by U.S. Treasury Note 6.125%, 12/31/01 valued at $564,450) to be repurchased at $549,075
(Cost $549,000)........................................................................................... 549,000
----------------
Total Investments (100%) (Cost $338,486,073)++.......................................................... $ 274,029,541
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $338,861,234.
THE JAPANESE SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C>
Investment in The Japanese Small Company Series of The DFA Investment Trust Company......................... $ 119,759,690
----------------
Total Investments (100%) (Cost $283,671,500)++.......................................................... $ 119,759,690
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $286,761,443.
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C>
Investment in The Pacific Rim Small Company Series of The DFA Investment Trust Company...................... $ 89,360,311
----------------
Total Investments (100%) (Cost $169,437,456)++.......................................................... $ 89,360,311
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $171,338,317.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
19
<PAGE>
SCHEDULES OF INVESTMENTS
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
VALUE+
--------------
<S> <C>
Investment in The United Kingdom Small Company Series of The DFA Investment Trust Company.................... $ 79,257,904
--------------
Total Investments (100%) (Cost $76,226,400)++............................................................ $ 79,257,904
--------------
--------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $76,233,865.
THE CONTINENTAL SMALL COMPANY PORTFOLIO
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C>
Investment in The Continental Small Company Series of The DFA Investment Trust Company...................... $ 199,910,812
----------------
Total Investments (100%) (Cost $134,890,323)++.......................................................... $ 199,910,812
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $135,297,112.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
20
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (25.5%)
COMMON STOCKS -- (25.5%)
Achilles Corp......................................... 37,000 $ 49,666
Aica Kogyo Co., Ltd................................... 75,000 248,942
Aichi Corp............................................ 63,200 190,238
Aichi Machine Industry Co., Ltd....................... 86,000 195,900
Aichi Steel Works, Ltd................................ 261,000 437,406
Aida Engineering, Ltd................................. 84,000 300,683
Akai Electric Co., Ltd................................ 95,000 104,336
Amada Metrecs Co., Ltd................................ 71,000 333,859
Amada Sonoike Co., Ltd................................ 133,000 360,307
*Amada Wasino Co., Ltd................................ 150,000 197,690
Ando Corp............................................. 177,000 300,952
*#Aoki Corp........................................... 361,000 217,328
Aoki International Co., Ltd........................... 63,000 307,517
Arai-Gumi, Ltd........................................ 19,600 43,850
Araya Industrial Co., Ltd............................. 194,000 268,305
#Asahi Kogyosha Co., Ltd.............................. 114,000 387,667
*Asahi Tec Corp....................................... 45,000 80,540
Asanuma Corp.......................................... 325,000 489,139
Ashimori Industry Co., Ltd............................ 44,000 79,824
*#Asics Corp.......................................... 384,000 371,754
#Atsugi Nylon Industrial Co., Ltd..................... 352,000 335,047
Azel Corp., Tokyo..................................... 152,000 298,015
Bandai Co., Ltd....................................... 31,000 322,812
#Bank of Okinawa, Ltd................................. 36,700 740,449
*#Bank of Osaka, Ltd.................................. 223,000 348,324
Bank of the Ryukyus, Ltd.............................. 48,490 599,616
Brother Industries, Ltd............................... 349,000 1,036,324
Bunka Shutter Co., Ltd................................ 129,000 295,949
*#Cabin Co., Ltd...................................... 164,000 282,851
Calpis Co., Ltd....................................... 71,000 288,228
Central Finance Co., Ltd.............................. 387,000 692,645
#Cesar Co............................................. 41,000 79,385
#Chiba Kogyo Bank, Ltd................................ 48,500 797,022
*Chisan Tokan Co., Ltd................................ 165,000 153,026
*Chiyoda Corp......................................... 191,000 441,295
Chuetsu Pulp and Paper Co., Ltd....................... 215,000 341,075
#Chugoku Marine Paints, Ltd........................... 60,000 142,044
Chuo Spring Co., Ltd., Nagoya......................... 222,000 594,191
Chuo Trust and Banking Co., Ltd....................... 299,000 1,313,537
Cleanup Corp.......................................... 68,000 354,051
D'urban, Inc.......................................... 39,000 57,745
Dai-Dan Co., Ltd...................................... 42,000 273,348
Daido Hoxan, Inc...................................... 124,000 272,372
Daido Steel Co., Ltd.................................. 562,000 850,407
Daido Steel Sheet Corp................................ 45,000 125,569
Daidoh, Ltd........................................... 91,000 245,045
*#Daiei OMC, Inc...................................... 264,000 285,649
Daiho Corp............................................ 83,000 160,031
Daiichi Cement Co., Ltd............................... 77,000 88,952
*Dai-Ichi Hotel, Ltd., Tokyo.......................... 121,000 130,923
*#Dai-Ichi Katei Denki Co., Ltd....................... 225,000 146,437
*Dai-Ichi Kogyo Seiyaku Co., Ltd...................... 19,000 38,643
*Dai-Ichi Securities Co., Ltd......................... 200,000 117,149
#Daiken Corp.......................................... 65,000 169,216
*#Daikyo, Inc......................................... 176,000 231,956
Daio Paper Corp....................................... 128,750 555,137
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Daisue Construction Co., Ltd......................... 25,000 $ 18,305
*#Daiwa Danchi Co., Ltd............................... 170,000 373,414
Daiwabo Co., Ltd...................................... 215,000 237,878
#Deodeo Corp.......................................... 57,600 458,757
Descente, Ltd......................................... 202,000 371,396
Dijet Industrial Co., Ltd............................. 10,000 15,539
Eagle Industry Co., Ltd............................... 35,000 90,262
*First Baking Co., Ltd................................ 70,000 105,353
Fuji Denki Reiki Co., Ltd............................. 67,000 244,191
Fuji Kiko Co., Ltd.................................... 45,000 78,710
*Fujii & Co., Ltd..................................... 9,000 9,592
Fujirebio, Inc........................................ 91,000 286,500
*#Fujita Corp......................................... 491,000 299,585
Fukuda Corp........................................... 80,000 212,170
Fukushima Bank, Ltd................................... 32,000 72,372
*Gakken Co., Ltd...................................... 127,000 161,178
Gastec Service, Inc................................... 98,000 370,729
*Godo Steel, Ltd...................................... 206,000 184,347
*Goldwin, Inc......................................... 54,000 54,914
*Graphtec Corp........................................ 99,000 164,302
Gun-Ei Chemical Industry Co., Ltd..................... 306,000 512,821
*Gunze Sangyo, Inc., Tokyo............................ 222,000 279,938
Gunze, Ltd............................................ 315,000 679,100
*Hanshin Sogo Bank, Ltd............................... 198,000 389,814
Harima Chemicals, Inc................................. 83,000 306,557
*#Hazama Corp......................................... 305,000 215,872
Heiwado Co., Ltd...................................... 73,000 472,136
Hibiya Engineering, Ltd............................... 53,000 206,533
Hisaka Works, Ltd..................................... 106,000 452,733
Hitachi Koki Co., Ltd................................. 153,000 505,353
Hitachi Medical Corp.................................. 39,000 391,523
#Hitachi Plant Engineering & Construction Co., Ltd.... 48,000 128,864
Hochiki Corp.......................................... 17,000 55,044
*Hodogaya Chemical Co., Ltd........................... 32,000 50,765
Hokkai Can Co., Ltd., Tokyo........................... 125,000 270,501
*Hokkaido Bank, Ltd................................... 477,000 597,608
Hokkaido Gas Co., Ltd................................. 8,000 14,448
Hokko Chemical Industry Co., Ltd...................... 12,000 28,311
Hokuriku Electrical Construction Co., Ltd............. 81,000 199,007
Hokushin Co., Ltd..................................... 32,600 77,442
Honen Corp............................................ 67,000 125,366
Ichikawa Co., Ltd..................................... 117,000 209,404
Ichiken Co., Ltd...................................... 45,000 54,182
Idec Izumi Corp....................................... 130,000 660,999
Ikegami Tsushinki Co., Ltd............................ 129,000 270,761
Inabata and Co., Ltd., Osaka.......................... 178,000 486,560
Intec, Inc............................................ 51,000 441,873
*Inui Steamship Co., Ltd.............................. 32,000 26,033
Ishizuka Glass Co., Ltd............................... 119,000 256,549
#Itochu Fuel Corp..................................... 140,000 451,025
Itoki Crebio Corp..................................... 63,000 125,569
Iwasaki Electric Co., Ltd............................. 60,000 115,685
*Iwatsu Electric Co., Ltd............................. 76,000 111,292
Izumi Co., Ltd........................................ 82,000 547,022
Izumiya Co., Ltd...................................... 151,000 1,458,159
#JDC Corp............................................. 128,000 67,686
</TABLE>
21
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JGC Corp.............................................. 226,000 $ 568,125
#JMS Co., Ltd......................................... 135,000 428,327
Japan Aircraft Manufacturing Co., Ltd................. 24,000 62,870
Japan Oil Transportation Co., Ltd..................... 41,000 77,384
Japan Paperboard Industries Co., Ltd., Tokyo.......... 35,000 68,337
*Japan Steel Works, Ltd............................... 237,000 308,493
Japan Transcity Corp.................................. 79,000 181,882
Japan Vilene Co., Ltd................................. 202,000 410,836
Joban Kosan Co., Ltd.................................. 87,000 166,328
#Joshin Denki Co., Ltd................................ 71,000 173,861
*Jujiya Co., Ltd...................................... 265,000 271,640
Juken Sangyo Co., Ltd................................. 38,000 103,254
Kahma Co., Ltd........................................ 41,000 233,485
*#Kamagai Gumi Co., Ltd............................... 878,000 728,571
Kamei Corp............................................ 65,000 285,552
Kanaden Corp.......................................... 11,000 47,429
Kanematsu Electronics, Ltd............................ 87,000 397,063
*Kankaku Securities Co., Ltd.......................... 645,000 456,516
Kansei Corp........................................... 89,000 249,797
Kanto Auto Works, Ltd., Yokosuka...................... 220,000 705,174
Kanto Bank, Ltd....................................... 30,700 374,634
Kanto Natural Gas Development Co., Ltd................ 198,000 997,087
#Kasumi Co., Ltd...................................... 43,000 161,267
Kato Works Co., Ltd................................... 100,000 209,893
Katsumura Construction Co., Ltd....................... 24,000 30,654
Kawada Industries, Inc................................ 95,000 197,079
Kawai Musical Instruments Manufacturing Co., Ltd...... 35,000 84,852
#Kawashima Textile Manufacturers, Ltd................. 306,000 435,649
Kawasho Corp.......................................... 425,000 494,427
Kawasho Gecoss Corp................................... 45,300 147,781
Keihin Co., Ltd....................................... 34,000 47,299
#Keiyo Co., Ltd....................................... 35,000 172,266
Kinki Sharyo Co., Ltd., Nagaokakyo.................... 52,000 84,185
Kinseki, Ltd.......................................... 67,000 309,600
*Kinsho-Mataichi Corp................................. 51,000 54,352
Kioritz Corp.......................................... 237,000 335,486
Kitagawa Iron Works Co., Ltd.......................... 41,000 68,378
Kitano Construction Corp.............................. 98,000 191,344
Kitz Corp............................................. 197,000 270,851
#Kiyo Bank, Ltd....................................... 375,000 701,676
Kokune Corp........................................... 99,000 104,702
Kokusai Kogyo Co., Ltd................................ 71,000 300,935
Komai Tekko, Inc...................................... 63,000 139,408
Komatsu Construction Co., Ltd......................... 16,000 22,128
Komatsu Forklift Co., Ltd............................. 111,000 175,187
Komatsu Zenoah Co..................................... 26,000 61,129
Kosei Securities Co., Ltd............................. 118,000 173,755
*Krosaki Corp......................................... 32,000 37,227
*Kumiai Chemical Industry Co., Ltd., Tokyo............ 66,000 135,844
Kurabo Industries, Ltd................................ 337,000 378,344
Kurimoto, Ltd......................................... 171,000 559,242
Kyokuto Kaihatsu Kogyo Co., Ltd....................... 39,000 142,776
Kyowa Leather Cloth Co., Ltd.......................... 75,000 231,858
Kyudenko Corp......................................... 107,000 692,035
Kyushu Bank, Ltd...................................... 314,000 1,016,694
Life Corp............................................. 14,000 63,212
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
#MR Max Corp.......................................... 39,000 $ 144,679
Maeda Corp............................................ 244,000 744,386
Maeda Road Construction Co., Ltd...................... 103,000 615,888
Magara Construction Co., Ltd.......................... 57,000 82,541
Marudai Food Co., Ltd................................. 170,000 352,668
Maruetsu, Inc......................................... 192,000 582,623
Marusan Securities Co., Ltd........................... 25,000 83,998
Maruzen Showa Unyu Co., Ltd........................... 143,000 260,592
Matsui Construction Co., Ltd.......................... 90,000 219,655
Matsuo Bridge Co., Ltd................................ 90,000 160,348
Meito Sangyo Co., Ltd................................. 90,000 790,758
Mitsuba Corp.......................................... 72,000 277,058
Mitsubishi Cable Industries, Ltd...................... 29,000 49,544
*#Mitsubishi Oil Co., Ltd............................. 590,000 979,173
Mitsubishi Paper Mills, Ltd........................... 419,000 896,493
*Mitsubishi Steel Manufacturing Co., Ltd.............. 185,000 180,605
#Mitsui Construction Co., Ltd......................... 199,000 202,367
Mitsui Matsushima Co., Ltd............................ 55,000 68,459
*Mitsui Mining Co., Ltd............................... 129,000 128,034
Mitsui Wood Systems, Inc.............................. 37,000 76,757
Mitsuuroko Co., Ltd................................... 174,000 794,126
Miyaji Iron Works Co. Ltd............................. 57,000 95,989
Miyazaki Bank, Ltd.................................... 127,260 451,394
Miyuki Keori Co., Ltd................................. 124,000 466,059
#Mizuno Corp.......................................... 176,000 544,094
Morita Corp........................................... 117,000 256,996
*Morozoff, Ltd., Osaka................................ 119,000 202,335
Mory Industries, Inc.................................. 56,000 92,483
*#Mutoh Industries, Ltd............................... 147,000 160,251
Mutow Co., Ltd........................................ 89,000 433,705
Nabco, Ltd............................................ 107,000 186,284
Nagase & Co., Ltd..................................... 196,000 671,298
Naigai Co., Ltd....................................... 140,000 158,314
Nakamuraya Co., Ltd................................... 8,000 21,412
*#Nakano Corp......................................... 157,000 197,974
Nakayama Steel Works, Ltd............................. 151,000 281,313
*National Securities Co., Ltd......................... 124,000 67,589
Neturen Co., Ltd., Tokyo.............................. 73,000 186,479
*New Japan Securities Co., Ltd........................ 558,000 526,586
Nichia Steel Works, Ltd............................... 156,200 585,813
*#Nichimo Co., Ltd.................................... 127,000 169,443
Nichimo Corp.......................................... 104,000 106,606
Nichireki Co., Ltd.................................... 32,000 119,753
Nihon Kohden Corp..................................... 82,000 248,828
Nihon Matai Co., Ltd.................................. 119,000 290,433
Nihon Nohyaku Co., Ltd................................ 90,000 188,171
Nihon Parkerizing Co., Ltd............................ 228,000 741,946
Nihon Tokushu Toryo Co., Ltd.......................... 79,000 146,534
Niigata Chuo Bank, Ltd................................ 321,000 658,086
Nikko Co., Ltd., Akashi............................... 123,000 255,166
Nippon Beet Sugar Manufacturing Co., Ltd.............. 217,000 354,840
Nippon Chemical Industrial Co., Ltd................... 47,000 129,238
Nippon Chemi-Con Corp................................. 119,000 449,203
#Nippon Chemiphar Co., Ltd............................ 115,000 271,315
Nippon Columbia Co., Ltd.............................. 35,000 72,893
Nippon Concrete Industries Co., Ltd................... 23,000 34,616
Nippon Conlux Co., Ltd................................ 78,000 328,702
*Nippon Conveyor Co., Ltd............................. 52,000 53,303
Nippon Denko Co., Ltd................................. 137,000 207,306
</TABLE>
22
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Nippon Densetsu Kogyo Co., Ltd........................ 86,000 $ 272,860
Nippon Formula Feed Manufacturing Co., Ltd............ 35,000 41,002
Nippon Hodo Co., Ltd.................................. 151,000 728,465
Nippon Hume Pipe Co., Ltd............................. 95,000 210,991
Nippon Koei Co., Ltd., Tokyo.......................... 121,000 297,283
*#Nippon Koshuha Steel Co., Ltd....................... 133,000 152,563
#Nippon Light Metal Co., Ltd.......................... 525,000 572,323
*Nippon Metal Industry Co., Ltd....................... 238,000 263,326
#Nippon Paint Co., Ltd................................ 315,000 538,155
Nippon Piston Ring Co., Ltd........................... 8,000 12,040
Nippon Road Co., Ltd.................................. 125,000 214,570
Nippon Seisen Co., Ltd................................ 35,000 61,503
#Nippon Shinpan Co., Ltd.............................. 399,000 730,353
*Nippon Suisan Kaisha, Ltd............................ 49,000 54,613
Nippon Synthetic Chemical Industry Co., Ltd........... 133,000 283,485
Nippon Valqua Industries, Ltd......................... 153,000 237,740
*#Nippon Yakin Kogyo Co., Ltd......................... 237,000 161,959
#Nissan Construction Co., Ltd......................... 106,000 137,976
*Nissan Diesel Motor Co., Ltd......................... 179,000 342,214
Nisshin Oil Mills, Ltd................................ 189,000 521,241
Nissin Electric Co., Ltd.............................. 152,000 320,273
Nittetsu Mining Co., Ltd.............................. 77,000 206,093
Nitto Construction Co., Ltd........................... 10,000 17,084
Nittoc Construction Co., Ltd.......................... 73,000 198,950
Noritz Corp........................................... 70,000 466,970
Obayashi Road Corp.................................... 152,000 296,778
Ohki Corp............................................. 168,000 259,681
*Ohkura Electric Co., Ltd............................. 12,000 20,501
Okabe Co., Ltd........................................ 98,000 318,109
*#Okasan Securities Co., Ltd.......................... 284,000 438,985
Oki Electric Cable Co., Ltd........................... 10,000 17,491
Okura Industrial Co., Ltd............................. 180,000 395,379
Ono Sokki Co., Ltd.................................... 9,000 30,312
*Optec Dai-Ichi Denko Co., Ltd........................ 52,333 60,882
Osaki Electric Co., Ltd............................... 29,000 88,944
P.S.C. Corp........................................... 21,000 78,759
Pacific Industrial Co., Ltd........................... 187,000 623,739
#Parco Co., Ltd....................................... 77,000 307,574
#Pokka Corp........................................... 110,000 657,745
*Prima Meat Packers, Ltd.............................. 93,000 106,679
#Rengo Co., Ltd....................................... 252,000 508,428
*Renown Look, Inc..................................... 114,000 118,711
*Renown, Inc.......................................... 357,000 249,772
Rheon Automatic Machinery Co., Ltd.................... 93,000 344,248
#Rhythm Watch Co., Ltd................................ 120,000 166,938
Ryoden Trading Co., Ltd............................... 85,000 274,528
S.T. Chemical Co., Ltd................................ 115,000 421,005
#SXL Corp............................................. 108,000 238,106
Sagami Co., Ltd....................................... 141,000 316,596
Sakai Chemical Industry Co., Ltd...................... 202,000 516,010
Sakai Heavy Industries, Ltd........................... 43,000 99,699
#Sakurada Co., Ltd.................................... 36,000 55,939
San-Ai Oil Co., Ltd................................... 100,000 252,196
Sankei Building Co., Ltd.............................. 36,000 112,170
*Sanko Metal Industrial Co., Ltd., Tokyo.............. 49,000 55,410
*Sankyo Aluminum Industry Co., Ltd.................... 328,000 317,540
Sankyo Seiko Co., Ltd................................. 75,000 201,350
Sanyo Industries, Ltd., Tokyo......................... 121,000 202,782
<CAPTION>
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Sanyo Special Steel Co., Ltd.......................... 248,000 $ 225,968
Sata Construction Co., Ltd., Gumma.................... 134,000 206,036
Sato Shoji Corp....................................... 49,000 127,563
*Seikitokyu Kogyo Co., Ltd............................ 211,000 181,956
Seiren Co., Ltd....................................... 102,000 307,029
Seiyo Food Systems, Inc............................... 74,000 269,102
Sekisui Jushi Co., Ltd................................ 35,000 148,064
Sekisui Plastics Co., Ltd............................. 148,000 201,074
Senko Co., Ltd........................................ 150,000 244,061
Senshukai Co., Ltd.................................... 88,000 567,003
*#Settsu Corp......................................... 308,000 115,262
Shibaura Engineering Works Co., Ltd................... 16,000 66,385
Shibuya Kogyo Co., Ltd................................ 61,000 379,141
Shin Nippon Air Technologies Co., Ltd................. 44,620 177,870
#Shinagawa Fuel Co., Ltd.............................. 86,000 300,846
Shinko Shoji Co., Ltd................................. 40,000 208,916
Shinmaywa Industries, Ltd............................. 154,000 294,419
*#Shokusan Jutaku Sogo Co., Ltd....................... 116,000 66,059
Showa Highpolymer Co., Ltd............................ 26,000 77,839
Showa Sangyo Co., Ltd................................. 146,000 295,753
Sintokogio, Ltd., Nagoya.............................. 113,000 346,575
Soda Nikka Co., Ltd................................... 82,000 146,762
*Sokkisha Co., Ltd.................................... 35,000 54,100
Sotetsu Rosen Co., Ltd................................ 4,000 18,061
Star Micronics Co., Ltd............................... 74,000 355,190
*Suminoe Textile Co., Ltd............................. 46,000 67,361
*Sumitomo Corporation's Leasing, Ltd.................. 85,000 424,585
Sumitomo Osaka Cement Co., Ltd........................ 594,000 1,135,616
Sumitomo Precision Products Co., Ltd., Amagasaki
City................................................ 40,000 124,959
Sumitomo Seika Chemicals Co., Ltd..................... 10,000 25,301
Sun Wave Corp......................................... 70,000 171,412
SunTelephone Co., Ltd................................. 78,000 199,251
*#Suzutan Co., Ltd.................................... 156,000 209,404
TYK Corp.............................................. 36,000 94,012
Tadano, Ltd........................................... 30,000 80,784
Taihei Dengyo Kaisha, Ltd............................. 58,000 189,684
Taihei Kogyo Co., Ltd................................. 101,000 156,939
*Taiheiyo Cement Corp................................. 508,800 1,200,390
*Taiheiyo Securities Co., Ltd......................... 392,000 277,449
*Taisei Prefab Construction Co., Ltd.................. 265,000 316,913
Taisei Rotec Corp..................................... 220,000 359,746
Taiyo Toyo Sanso Co., Ltd............................. 102,000 173,430
#Takada Kiko Co., Ltd................................. 73,000 285,063
*#Taka-Q Co., Ltd..................................... 98,000 151,481
Takara Co., Ltd....................................... 97,000 527,929
Takiron Co., Ltd...................................... 157,000 356,354
Tamura Corp........................................... 73,000 338,513
Tasaki Shinju Co., Ltd................................ 65,000 190,896
Tatsuta Electric Wire & Cable Co., Ltd................ 55,000 81,435
*Tayca Corp........................................... 169,000 382,216
Teikoku Hormone Manufacturing Co., Ltd................ 76,000 450,732
Teikoku Tsushin Kogyo Co., Ltd........................ 63,000 167,084
#Tekken Corp.......................................... 204,000 308,689
Tenma Corp............................................ 32,000 346,241
Tetra Co., Ltd., Tokyo................................ 31,000 52,961
Titan Kogyo KK........................................ 86,000 188,903
Toa Corp.............................................. 112,000 210,478
</TABLE>
23
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CONTINUED
<TABLE>
<CAPTION>
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<S> <C> <C>
Toa Doro Kogyo Co., Ltd............................... 76,000 $ 126,749
*Toa Wool Spinning & Weaving Co., Ltd................. 185,000 210,706
*Tobu Store Co., Ltd.................................. 168,000 262,415
#Tochigi Bank, Ltd.................................... 86,000 398,796
Tochigi Fuji Industrial Co., Ltd...................... 125,000 260,332
#Toda Kogyo Corp...................................... 156,000 753,856
Toenec Corp........................................... 124,000 453,954
Tohto Suisan Co., Ltd................................. 135,000 199,886
Tokai Maruman Securities Co., Ltd..................... 100,000 169,216
Tokai Rika Co., Ltd................................... 68,000 264,985
*Tokai Senko KK, Nagoya............................... 118,000 193,915
#Tokico, Ltd.......................................... 160,000 213,472
Tokimec, Inc.......................................... 107,000 181,061
#Tokushu Paper Manufacturing Co., Ltd................. 42,000 250,797
Tokyo Denki Komusho Co., Ltd.......................... 82,000 287,520
*Tokyo Nissan Auto Sales Co., Ltd..................... 34,000 49,512
*Tokyo Securities Co., Ltd............................ 271,000 249,129
*#Tokyo Tatemono Co., Ltd............................. 294,000 521,412
*Tokyo Tekko Co., Ltd................................. 170,000 124,471
*Tokyu Car Corp....................................... 175,000 206,435
#Tokyu Construction Co., Ltd.......................... 223,000 181,419
*#Tokyu Department Store Co., Ltd..................... 329,000 334,567
Tokyu Hotel Chain Co., Ltd............................ 81,000 98,845
*Tokyu Tourist Corp................................... 54,000 65,897
Toli Corp............................................. 49,000 94,077
Tomoe Corp............................................ 50,000 100,472
Tomoku Co., Ltd....................................... 99,000 195,713
Tonami Transportation Co., Ltd........................ 126,000 235,763
Topcon Corp........................................... 129,000 440,774
Topre Corp............................................ 92,000 374,227
Torishima Pump Manufacturing Co., Ltd., Osaka......... 93,000 372,242
Toshiba Engineering & Construction Co., Ltd........... 21,000 51,765
Toshiba Tungaloy Co.,Ltd.............................. 38,000 102,636
Tosho Printing Co., Ltd............................... 24,000 57,598
*Tostem Viva Corp..................................... 87,000 147,218
Totenko Co., Ltd...................................... 83,000 452,408
Totetsu Kogyo Co., Ltd................................ 117,000 247,478
Totoku Electric Co., Ltd., Tokyo...................... 57,000 101,554
Toyo Communication Equipment Co., Ltd................. 42,000 170,843
Toyo Construction Co., Ltd............................ 266,000 296,469
*Toyo Electric Co., Ltd............................... 14,000 17,084
Toyo Engineering Corp................................. 226,000 281,305
Toyo Exterior Co., Ltd................................ 3,000 30,093
Toyo Ink Manufacturing Co., Ltd....................... 378,000 768,793
*Toyo Kanetsu KK...................................... 182,000 205,809
Toyo Radiator Co., Ltd................................ 93,000 129,377
*Toyo Securities Co., Ltd............................. 267,000 319,305
Toyo Shutter Co., Ltd................................. 66,000 198,666
Toyo Wharf & Warehouse Co., Ltd....................... 41,000 67,044
Toyoda Boshoku Corp................................... 44,000 107,387
Tsubaki Nakashima Co., Ltd............................ 28,000 160,592
Tsudakoma Corp........................................ 118,000 204,474
*#Tsugami Corp........................................ 282,000 332,655
#Tsumura & Co., Inc................................... 44,000 162,154
Tsurumi Manufacturing Co., Ltd........................ 7,000 31,321
Tsutsumi Jewelry Co., Ltd............................. 25,000 353,889
<CAPTION>
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<S> <C> <C>
Tsutsunaka Plastic Industry Co., Ltd.................. 61,000 $ 153,344
Uchida Yoko Co., Ltd.................................. 101,000 262,935
Ueki Corp............................................. 113,000 174,666
Unisia Jecs Corp...................................... 130,000 218,923
Utoc Corp............................................. 22,000 27,205
Wakachiku Construction Co., Ltd....................... 167,000 307,045
Yahagi Construction Co., Ltd.......................... 130,000 423,039
Yamamura Glass Co., Ltd............................... 227,000 299,170
Yamatane Corp......................................... 105,000 260,535
*#Yamatane Securities Co., Ltd........................ 83,000 62,122
Yamato International, Inc............................. 72,000 84,933
Yokogawa Bridge Corp.................................. 66,000 201,887
Yokohama Reito Co., Ltd............................... 8,000 46,534
Yondenko Corp......................................... 139,650 571,461
*Yuasa Corp........................................... 86,000 218,288
Yuasa Trading Co., Ltd................................ 57,000 85,787
Yurtec Corp........................................... 80,000 465,994
Zenchiku Co., Ltd..................................... 66,000 163,765
------------
TOTAL COMMON STOCKS
(Cost $204,457,645).................................. 113,576,509
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $13,577)...................................... 13,583
------------
TOTAL -- JAPAN
(Cost $204,471,222).................................. 113,590,092
------------
UNITED KINGDOM -- (18.4%)
COMMON STOCKS -- (18.4%)
600 Group P.L.C....................................... 155,890 168,539
*AAF Industries P.L.C................................. 20,000 17,166
*ABI Leisure Group P.L.C.............................. 65,000 0
AIM Group P.L.C....................................... 32,556 63,141
ASDA Property Holdings P.L.C.......................... 140,000 285,389
*ASW Holdings P.L.C................................... 434,000 121,781
Abbeycrest P.L.C...................................... 70,000 123,052
Acatos & Hutcheson P.L.C.............................. 100,404 232,018
Adam & Harvey Group P.L.C............................. 8,000 18,487
Adscene Group P.L.C................................... 103,067 199,043
Adwest Group P.L.C.................................... 150,000 174,551
Airflow Streamlines P.L.C............................. 19,305 42,380
Airsprung Furniture Group P.L.C....................... 80,900 84,794
*Alexanders Holdings P.L.C............................ 71,000 17,872
Alexandra Workwear P.L.C.............................. 46,000 73,270
Allders P.L.C......................................... 156,842 242,056
Allied Leisure P.L.C.................................. 198,600 83,591
Allied London Properties P.L.C........................ 210,148 260,153
Allied Textile Companies P.L.C........................ 126,205 229,145
Alumasc Group P.L.C................................... 150,000 238,924
Amec P.L.C............................................ 90,063 266,098
*Anglesey Mining P.L.C................................ 100,000 7,840
Anglo Eastern Plantations P.L.C....................... 57,195 46,731
Anite Group P.L.C..................................... 800,000 607,421
Apollo Metals P.L.C................................... 30,588 41,401
Arlen P.L.C........................................... 200,000 94,910
Armitage Brothers P.L.C............................... 10,000 32,352
Armour Trust P.L.C.................................... 225,000 41,781
Ascot P.L.C........................................... 174,615 727,754
Ash & Lacy P.L.C...................................... 150,000 284,729
Ashtenne Holdings P.L.C............................... 50,000 111,003
Associated Nursing Services P.L.C..................... 85,000 192,914
</TABLE>
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Austin Reed Group P.L.C............................... 138,001 $ 219,812
Avesco P.L.C.......................................... 38,571 190,359
Avon Rubber P.L.C..................................... 48,840 329,717
Avonside Group P.L.C.................................. 185,000 112,984
*Azlan Group P.L.C.................................... 185,000 172,529
BICC P.L.C............................................ 134,750 140,124
BLP Group P.L.C....................................... 35,000 59,215
BS P.L.C.............................................. 5,000 11,018
BWI P.L.C............................................. 94,870 85,343
Babcock International Group P.L.C..................... 300,000 354,054
Baggeridge Brick P.L.C................................ 96,100 121,346
Baird (William) P.L.C................................. 236,500 419,644
Bandt P.L.C........................................... 326,334 164,287
Banks (Sidney C.) P.L.C............................... 48,771 165,028
Bardon Group P.L.C.................................... 382,304 462,230
Barlows P.L.C......................................... 100,000 76,753
Barr (A.G.) P.L.C..................................... 7,500 55,089
Beattie (James) P.L.C................................. 85,000 229,392
Bellway P.L.C......................................... 50,000 235,623
Benson Group P.L.C.................................... 25,000 11,142
Bentalls P.L.C........................................ 111,883 133,889
Betacom P.L.C......................................... 86,077 50,793
Bett Brothers P.L.C................................... 71,892 169,098
Birkby P.L.C.......................................... 174,356 460,467
Birse Group P.L.C..................................... 529,277 98,283
Black Arrow Group P.L.C............................... 35,000 48,239
Blagden Industries P.L.C.............................. 181,983 521,161
Blockleys P.L.C....................................... 45,147 31,671
*Body Shop International P.L.C........................ 125,000 150,617
Boot (Henry) & Sons P.L.C............................. 50,000 144,428
Bourne End Properties P.L.C........................... 289,475 174,400
Brasway P.L.C......................................... 108,399 20,129
Breedon P.L.C......................................... 16,000 22,580
Bridport-Gundry P.L.C................................. 17,500 24,553
Bristol United Press P.L.C............................ 61,511 390,891
Britannia Group P.L.C................................. 90,000 51,994
*British Biotech P.L.C................................ 640,896 412,567
British Fittings Group P.L.C.......................... 76,000 92,830
British Mohair Holdings P.L.C......................... 10,000 13,452
British Steam Specialties Group P.L.C................. 47,000 245,535
British-Borneo Petroleum Syndicate P.L.C.............. 316,285 770,039
Brooke Industrial Holdings P.L.C...................... 25,000 37,551
Brooks Service Group P.L.C............................ 15,000 24,511
*Brown & Jackson P.L.C................................ 600,000 782,384
Brunel Holdings P.L.C................................. 200,000 19,807
Bryant Group P.L.C.................................... 539,790 757,331
Budgens P.L.C......................................... 252,148 259,082
Bullough P.L.C........................................ 235,000 267,645
Burford Holdings P.L.C................................ 75,000 106,464
*Burn Stewart Distillers P.L.C........................ 200,395 57,885
Burndene Investments P.L.C............................ 229,402 106,022
Burtonwood Brewery P.L.C.............................. 37,080 98,845
CLS Holdings P.L.C.................................... 254,181 467,800
CNC Properties P.L.C.................................. 95,386 136,189
Caffyns P.L.C......................................... 2,500 11,451
*Cairn Energy P.L.C................................... 100,290 189,542
Cala P.L.C............................................ 175,000 272,968
Calderburn P.L.C...................................... 150,000 111,416
Cape P.L.C............................................ 237,482 370,428
<CAPTION>
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<S> <C> <C>
Capital & Regional Properties P.L.C................... 175,657 $ 452,306
Capital Corp. P.L.C................................... 180,000 173,808
Carclo Engineering Group P.L.C........................ 144,314 214,384
*Carlisle Holdings, Ltd............................... 465,000 166,938
Carr's Milling Industries P.L.C....................... 11,000 14,707
*Cathay International P.L.C........................... 920,000 75,928
Channel Holdings P.L.C................................ 350,000 38,995
Chesterfield Properties P.L.C......................... 42,000 265,516
Chime Communications P.L.C............................ 100,000 80,054
Chloride Group P.L.C.................................. 316,000 263,403
Church & Co. P.L.C.................................... 24,000 121,814
Churchill China P.L.C................................. 30,000 44,071
Clarkson (Horace) P.L.C............................... 75,061 97,258
Clinton Cards P.L.C................................... 107,415 242,013
*Clubhaus P.L.C....................................... 27,733 30,441
Clyde Blowers P.L.C................................... 26,000 71,240
Coats Viyella P.L.C................................... 674,730 272,859
Colefax & Fowler Group P.L.C.......................... 96,000 113,297
Community Hospitals Group P.L.C....................... 67,000 484,938
Conrad Ritblat Group P.L.C............................ 75,825 293,493
Cook (D.C.) Holdings, Ltd............................. 200,000 94,084
Cornwell Parker P.L.C................................. 153,333 198,677
Cosalt P.L.C.......................................... 20,000 68,170
*Costain Group P.L.C.................................. 73,000 19,279
Countryside Property P.L.C............................ 144,855 181,714
Courtaulds Textiles P.L.C............................. 202,150 525,528
Courts P.L.C.......................................... 141,633 625,360
Cpl Aromas P.L.C...................................... 15,000 21,912
Cradley Group Holdings P.L.C.......................... 38,466 26,667
*Creighton Naturally P.L.C............................ 100,000 13,617
Crest Nicholson P.L.C................................. 545,000 895,079
Crest Packaging P.L.C................................. 75,000 47,661
Crestacare P.L.C...................................... 427,000 207,918
Cropper (James) P.L.C................................. 14,000 35,818
Cussins Property Group P.L.C.......................... 25,000 32,187
*DRS Data Research Services P.L.C..................... 51,000 11,154
Daejan Holdings P.L.C................................. 34,500 629,250
Dagenham Motors Group P.L.C........................... 55,248 149,099
*Dana Petroleum P.L.C., UK............................ 233,333 26,960
*Albermarle Property Investments P.L.C................ 150,000 8,666
Dawson Group P.L.C.................................... 68,000 216,625
Dawson International P.L.C............................ 606,389 135,122
Debenham Tewson & Chinnocks Holdings P.L.C............ 42,423 62,321
Delta P.L.C........................................... 216,000 451,010
Delyn Group P.L.C. ................................... 18,000 26,740
Dencora P.L.C......................................... 25,000 78,610
Denmans Electrical P.L.C.............................. 53,568 92,398
Derwent Valley Holdings P.L.C......................... 94,000 733,890
Development Securities P.L.C.......................... 70,000 244,949
Diploma P.L.C......................................... 286,078 779,131
Dixon Motors P.L.C.................................... 165,000 262,817
Dolphin Packaging P.L.C............................... 21,000 73,658
Domino Printing Sciences P.L.C........................ 88,000 588,274
Eldridge Pope & Co. P.L.C............................. 25,000 76,547
Eleco Holdings P.L.C.................................. 68,900 18,765
Electronic Data Processing P.L.C...................... 55,900 66,433
Emess P.L.C........................................... 200,000 67,675
English & Overseas Properties P.L.C................... 38,800 49,634
*Ennstone P.L.C....................................... 88,000 50,112
</TABLE>
25
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Epwin Group P.L.C..................................... 180,000 $ 360,986
Estates & General P.L.C............................... 75,000 87,275
Eurocamp P.L.C........................................ 8,550 32,953
Eurocopy P.L.C........................................ 156,700 48,497
European Motor Holdings P.L.C......................... 271,675 179,371
Evans Halshaw Holdings P.L.C.......................... 66,767 177,982
Evans of Leeds P.L.C.................................. 238,000 339,809
*Exco P.L.C........................................... 341,000 121,014
*Eyecare Products P.L.C............................... 338,988 68,543
FII Group P.L.C....................................... 104,900 64,930
Fenner P.L.C.......................................... 175,000 296,076
*Ferguson International Holdings P.L.C................ 88,836 75,516
Fife Indmar P.L.C..................................... 27,000 27,408
Fine Art Developments P.L.C........................... 295,000 535,620
Finlay (James) P.L.C.................................. 199,130 241,583
First Leisure Corp. P.L.C............................. 127,900 449,668
Firth Rixson P.L.C.................................... 100,000 135,349
Folkes Group P.L.C.................................... 15,000 14,979
*French P.L.C......................................... 17,000 8,979
Friendly Hotels P.L.C................................. 37,061 63,314
Frogmore Estates P.L.C................................ 103,039 649,691
Frost Group P.L.C..................................... 196,000 192,493
Fulmar P.L.C.......................................... 32,500 44,257
*GBE International P.L.C.............................. 309,427 26,814
GEI International P.L.C............................... 150,000 158,458
Galliford P.L.C....................................... 160,000 45,557
Garton Engineering P.L.C.............................. 6,000 14,954
Gaskell P.L.C......................................... 40,000 57,111
Gerrard Group P.L.C................................... 75,010 396,197
Gleeson (M.J.) Group P.L.C............................ 18,829 252,518
Glenchewton P.L.C..................................... 100,000 103,988
Goodwin P.L.C......................................... 5,000 5,076
Gowrings P.L.C........................................ 15,000 26,740
Grainger Trust, Ltd................................... 42,000 197,577
Greene King P.L.C..................................... 106,000 937,805
*Greenwich Resources P.L.C............................ 156,000 25,106
Greycoat P.L.C........................................ 232,000 561,006
H & C Furnishings P.L.C............................... 350,000 404,397
Hall Engineering (Holdings) P.L.C..................... 281,000 445,266
Halstead (James) Group P.L.C.......................... 72,722 213,062
Hambro Countrywide P.L.C.............................. 94,783 178,352
*Hamlet Group P.L.C................................... 42,000 0
Hampden Group P.L.C................................... 25,000 17,538
*Hampton Trust P.L.C.................................. 200,491 59,567
Hanover International P.L.C........................... 25,000 32,806
Hardys & Hansons P.L.C................................ 96,200 358,860
Hartstone Group P.L.C................................. 1,182,431 209,810
Hawtin P.L.C.......................................... 150,000 65,611
Haynes Publishing Group P.L.C......................... 23,932 83,942
Hazlewood Foods P.L.C................................. 395,500 930,258
Headway P.L.C......................................... 25,000 10,935
Helical Bar P.L.C..................................... 34,500 280,458
Hemingway Properties P.L.C............................ 413,977 167,411
Hi-Tech Sports P.L.C.................................. 90,000 28,968
Hickson International P.L.C........................... 853,872 845,641
*Highbury House Communications P.L.C.................. 250,000 36,107
Highland Distilleries Co. P.L.C....................... 243,000 1,028,811
Hill & Smith Holdings P.L.C........................... 74,890 46,355
*Hillsdown Holdings P.L.C............................. 241,781 307,294
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Hollas Group P.L.C................................... 100,000 $ 3,714
Holt (Joseph) P.L.C................................... 5,878 154,751
Hopkinsons Group P.L.C................................ 412,000 78,205
*Horace Small Apparel P.L.C........................... 48,000 49,122
House of Fraser P.L.C................................. 140,000 160,603
Howard Holdings P.L.C................................. 100,000 56,946
Hunting P.L.C......................................... 36,272 85,316
*Huntingdon Life Sciences Group P.L.C................. 773,340 165,942
IAF Group P.L.C....................................... 66,500 103,728
Ibstock P.L.C......................................... 1,733,000 1,659,084
Iceland Group P.L.C................................... 569,000 2,277,539
Ilion Group P.L.C..................................... 44,000 35,224
Independent Insurance Group P.L.C..................... 220,000 784,365
*Industrial Control Services Group P.L.C.............. 200,000 51,994
Inn Business Group.................................... 150,471 111,765
Intelek P.L.C......................................... 25,000 6,809
Inveresk P.L.C........................................ 124,500 54,457
Jackson Group P.L.C................................... 30,763 34,783
Jacobs (John I.) P.L.C................................ 133,169 137,380
Jarvis Hotels P.L.C................................... 100,000 207,150
John David Sports P.L.C............................... 200,000 178,265
Johnson Group Cleaners P.L.C.......................... 37,000 145,657
Johnston Group P.L.C.................................. 21,000 98,788
Jones & Shipman P.L.C................................. 35,000 4,622
Jones Stroud Holdings P.L.C........................... 30,504 78,798
Joseph (Leopold) Holdings P.L.C....................... 9,000 79,848
Kalamazoo Computer Group P.L.C........................ 12,200 8,357
Kelsey Industries P.L.C............................... 3,000 14,732
*Kenwood Appliances P.L.C............................. 119,108 242,801
Kier Group P.L.C...................................... 11,635 41,578
Kunick P.L.C.......................................... 799,000 323,113
Laing (John) P.L.C.................................... 73,279 347,139
Laird Group P.L.C..................................... 92,400 208,946
Lambert Fenchurch P.L.C............................... 62,220 87,295
Lambert Howarth Group P.L.C........................... 15,073 36,573
Lamont Holdings P.L.C................................. 100,000 92,434
*Laura Ashley Holdings P.L.C.......................... 200,000 49,518
Leeds Group P.L.C..................................... 241,639 207,402
Leicester City P.L.C.................................. 100,000 58,596
*Liberty P.L.C........................................ 39,900 93,849
Lilleshall P.L.C...................................... 29,000 32,310
Linden P.L.C.......................................... 37,500 87,894
Linton Park P.L.C..................................... 30,500 173,181
Lionheart P.L.C....................................... 100,000 6,190
Locker (Thomas) Holdings P.L.C........................ 419,082 119,325
London Clubs International P.L.C...................... 291,000 670,053
London Forfeiting Co.................................. 66,200 163,905
London Industrial P.L.C............................... 30,822 214,946
London Merchant Securities P.L.C...................... 355,222 636,167
Lonrho P.L.C.......................................... 30,000 149,916
Lookers P.L.C......................................... 168,983 230,112
*Lovell (Y.J.) Holdings P.L.C......................... 29,000 5,983
Low & Bonar P.L.C..................................... 120,000 324,838
MFI Furniture Group P.L.C............................. 100,000 56,120
MS International P.L.C................................ 49,000 14,963
*Mackie International Group P.L.C..................... 33,250 5,214
Mallett P.L.C......................................... 25,000 35,694
Mansfield Brewery P.L.C............................... 162,608 628,058
Marley P.L.C.......................................... 463,913 823,165
</TABLE>
26
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Marshalls P.L.C....................................... 225,001 $ 495,801
Marston Thompson & Evershed P.L.C..................... 162,000 792,833
Martin International Holdings P.L.C................... 226,800 84,230
Marylebone Warwick Balfour Group P.L.C................ 36,400 44,160
Matthews (Bernard) P.L.C.............................. 219,058 395,927
Mayborn Group P.L.C................................... 50,000 66,437
McAlpine (Alfred) P.L.C............................... 126,000 281,807
McCarthy & Stone P.L.C................................ 155,000 344,109
McKay Securities P.L.C................................ 94,000 193,946
Merchant Retail Group P.L.C........................... 153,000 96,597
Meristem P.L.C........................................ 66,000 47,389
*Merrydown P.L.C...................................... 94,172 32,642
Metrotect Industries P.L.C............................ 39,000 11,265
*Micro Focus Group P.L.C.............................. 87,500 181,979
Microgen Holdings P.L.C............................... 45,600 83,170
Mid-States P.L.C...................................... 50,000 18,982
Molins P.L.C.......................................... 57,750 109,620
Moorfield Estates P.L.C............................... 370,000 116,037
Morland & Co. P.L.C................................... 73,800 447,667
Mowlem (John) & Co. P.L.C............................. 446,215 703,379
Mucklow (A & J) Group P.L.C........................... 160,000 389,542
Nightfreight P.L.C.................................... 75,000 23,521
Norcor Holdings P.L.C................................. 33,000 26,963
Norcros P.L.C......................................... 437,000 346,230
OMI International P.L.C............................... 99,000 13,481
*Oliver Group P.L.C................................... 43,000 11,001
Owen (H.R.) P.L.C..................................... 700,000 170,424
Oxford Instruments P.L.C.............................. 17,162 60,904
*PGA European Tour Courses P.L.C...................... 80,000 32,352
Panther Securities P.L.C.............................. 40,000 85,831
Parkland Group P.L.C.................................. 60,000 33,177
Partridge Fine Arts P.L.C............................. 33,000 39,491
Paterson Zochonis P.L.C............................... 40,000 247,590
Peel Holdings P.L.C................................... 74,000 647,365
Pemberstone P.L.C..................................... 91,000 77,355
Pendragon P.L.C....................................... 30,000 72,544
*Peptide Therapeutics Group P.L.C..................... 100,000 176,614
Perry Group P.L.C..................................... 79,000 168,865
Persimmon P.L.C....................................... 206,114 585,164
Photo-Me International P.L.C.......................... 50,000 295,045
Pifco Holdings P.L.C.................................. 19,500 57,936
Pillar Property Investments P.L.C..................... 60,428 252,847
Pittards P.L.C........................................ 39,000 22,209
*Pittencrieff Resources P.L.C......................... 204,394 91,091
*Plantation & General Investment P.L.C................ 64,601 38,387
Plysu P.L.C........................................... 111,942 217,106
Portmeirion Potteries (Holdings) P.L.C................ 16,044 43,696
Powerscreen International P.L.C....................... 215,000 429,404
*Premier Consolidated Oilfields P.L.C................. 2,628,330 954,431
*Premier Land P.L.C................................... 416,666 37,826
Prestwick Holdings P.L.C.............................. 70,000 23,686
Princedale Group P.L.C................................ 100,000 13,205
Property Partnerships P.L.C........................... 10,000 41,678
Prowting P.L.C........................................ 113,261 179,471
*QS Holdings P.L.C.................................... 102,000 38,723
*Quadrant Group P.L.C................................. 5,900 4,139
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Quality Software Products Holdings P.L.C............. 11,000 $ 68,995
Queensborough Holdings P.L.C.......................... 187,000 57,103
Quick Group P.L.C..................................... 189,217 207,694
Quintain Estates & Development P.L.C.................. 39,107 98,762
RCO Holdings P.L.C.................................... 20,000 52,489
RJB Mining P.L.C...................................... 500,000 507,560
Radamec Group P.L.C................................... 20,000 14,690
Raglan Property P.L.C................................. 313,895 128,233
Ransom (William) & Son P.L.C.......................... 75,000 50,137
Rea Brothers Group P.L.C.............................. 87,906 61,666
Readicut International P.L.C.......................... 356,249 149,946
Reg Vardy P.L.C....................................... 101,000 297,578
Regal Hotel Group P.L.C............................... 600,000 321,867
*Richards P.L.C....................................... 62,000 11,769
Richardsons Westgarth P.L.C........................... 41,017 24,034
Roseby's P.L.C........................................ 45,000 64,992
Rowe Evans Investments P.L.C.......................... 95,900 81,521
Royal Doulton P.L.C................................... 98,000 133,451
Ruberoid P.L.C........................................ 204,100 291,408
Rugby Estates P.L.C................................... 32,000 68,929
Russell (Alexander) P.L.C............................. 40,000 45,226
S & U P.L.C........................................... 7,000 33,392
SEP Industrial Holdings P.L.C......................... 370,000 97,716
Safeland P.L.C........................................ 100,000 44,566
*Safestore P.L.C...................................... 26,923 21,109
Salvesen (Christian) P.L.C............................ 74,500 125,429
Sanderson Bramall Motor Group P.L.C................... 8,720 19,071
Saville (J.) Gordon Group P.L.C....................... 337,302 336,834
Savills P.L.C......................................... 21,000 32,063
Scottish Metropolitan Property P.L.C.................. 407,167 490,611
Seacon Holdings P.L.C................................. 50,000 27,648
*Sears P.L.C.......................................... 146,610 520,288
Seton Healthcare Group P.L.C.......................... 12,776 182,728
Shaftesbury P.L.C..................................... 150,000 418,427
Shani Group P.L.C..................................... 30,000 20,550
Sharpe & Fisher P.L.C................................. 64,804 166,866
*Sheffield United P.L.C............................... 88,000 35,587
Sherwood Group P.L.C.................................. 202,000 120,032
*ShopRite Group P.L.C................................. 146,000 45,185
Sidlaw Group P.L.C.................................... 112,994 147,341
Silentnight Holdings P.L.C............................ 30,000 92,599
Simon Engineering P.L.C............................... 175,847 146,578
Sinclair (William) Holdings P.L.C..................... 40,000 69,325
Sirdar P.L.C.......................................... 119,721 113,627
*Sketchley P.L.C...................................... 109,000 61,171
Smart (J.) & Co. (Contractors) P.L.C.................. 8,000 35,323
Smith (James) Estates P.L.C........................... 95,000 137,990
Spring Ram Corp. P.L.C................................ 1,346,888 144,506
St. Ives P.L.C........................................ 9,377 55,874
St. Modwen Properties P.L.C........................... 214,000 231,365
Stadium Group P.L.C................................... 1,591 3,309
Stanley Leisure Organisation P.L.C.................... 152,932 656,317
Stat-Plus Group P.L.C................................. 25,300 51,156
Staveley Industries P.L.C............................. 35,000 47,661
Stirling Group P.L.C.................................. 214,889 81,580
Stoddard Sekers International P.L.C................... 98,000 9,301
Stratagem Group P.L.C................................. 47,000 70,208
Stylo P.L.C........................................... 16,588 9,446
</TABLE>
27
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Sunleigh P.L.C....................................... 2,000,000 $ 16,506
Swallowfield P.L.C.................................... 25,000 26,822
Swan Hill Group P.L.C................................. 87,000 63,903
Syltone P.L.C......................................... 29,000 48,585
TI Group P.L.C........................................ 39,000 31,865
*Tadpole Technology P.L.C............................. 53,280 8,575
*Tandem Group P.L.C................................... 472,000 23,372
Tay Homes P.L.C....................................... 103,937 190,430
Telemetrix P.L.C...................................... 170,214 147,501
Tex Holdings P.L.C.................................... 11,000 10,077
The Cardiff Property P.L.C............................ 4,000 16,176
Thorpe (F.W.) P.L.C................................... 15,000 33,920
Tie Rack P.L.C........................................ 75,000 32,806
Tilbury Douglas P.L.C................................. 10,809 42,195
Time Products P.L.C................................... 81,758 87,717
Tinsley (Eliza) Group PLC............................. 27,781 29,577
Tomkinsons P.L.C...................................... 10,000 21,458
Tops Estates P.L.C.................................... 82,557 160,116
Tottenham Hotspur P.L.C............................... 70,000 83,768
Town Centre Securities (New) P.L.C.................... 227,419 242,119
Transport Development Group P.L.C..................... 285,056 1,192,752
*Tring International Group P.L.C...................... 60,000 6,437
Try Group P.L.C....................................... 91,160 23,323
UCM Group P.L.C....................................... 46,000 55,807
*UK Land.............................................. 16,000 21,128
Ugland International Holdings P.L.C................... 146,666 173,092
*Union P.L.C.......................................... 100,000 38,789
United Carriers Group P.L.C........................... 60,000 15,846
United Industries P.L.C............................... 81,822 65,502
*Utility Cable P.L.C.................................. 200,000 7,428
Vardon P.L.C.......................................... 110,000 264,179
Vaux Group P.L.C...................................... 172,340 709,739
*Vert (Jacques) P.L.C................................. 45,000 9,285
Vibroplant P.L.C...................................... 185,000 180,163
Viglen Technology P.L.C............................... 196,000 76,027
*Villiers Group P.L.C................................. 167,000 23,430
Vtr P.L.C............................................. 13,000 17,488
*Wace Group P.L.C..................................... 253,807 136,154
Wainhomes P.L.C....................................... 111,000 184,133
Walker Greenbank P.L.C................................ 94,910 80,679
Ward Holdings P.L.C................................... 206,900 87,085
Warner Estate Holdings P.L.C.......................... 99,000 352,147
Warnford Investments P.L.C............................ 12,000 45,557
Waterman Partnership Holdings P.L.C................... 25,000 22,696
*Wates City of London Properties P.L.C................ 381,099 471,782
Watson & Philip P.L.C................................. 200,000 590,915
Watts, Blake, Bearne & Co. P.L.C...................... 57,205 307,818
Wembley P.L.C......................................... 53,000 265,507
Westbury P.L.C........................................ 162,482 532,363
Westminster Health Care Holdings P.L.C................ 97,500 316,234
Whitecroft P.L.C...................................... 70,000 62,393
Wilson (Connolly) Holdings P.L.C...................... 415,400 815,934
Wimpey (George) P.L.C................................. 25,000 47,661
Wintrust P.L.C........................................ 24,000 154,496
Wolverhampton & Dudley Breweries P.L.C................ 108,700 765,227
Wyevale Garden Centres P.L.C.......................... 50,000 265,334
Yorklyde P.L.C........................................ 14,000 17,793
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Yorkshire Food Group P.L.C........................... 70,000 $ 0
Yorkshire Group P.L.C................................. 117,096 229,035
Young & Co's Brewery P.L.C. Class A................... 5,000 52,819
Young (H.) Holdings P.L.C............................. 38,666 62,227
------------
TOTAL COMMON STOCKS
(Cost $94,583,958)................................... 82,235,749
------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling
(Cost $34,740)...................................... 34,694
------------
RIGHTS/WARRANTS -- (0.0%)
*Albemarle Property Investments P.L.C. Rights 12/07/98
(Cost $9,203)....................................... 450,000 1,396
------------
FACE
AMOUNT@
------------
BONDS -- (0.0%)
Viglen Technology P.L.C. 6.375%, 09/01/00............. 0 215
*Viglen Technology P.L.C., 6.98%, 01/01/01............ 0 0
------------
TOTAL BONDS
(Cost $94)........................................... 215
------------
TOTAL -- UNITED KINGDOM
(Cost $94,627,995)................................... 82,272,054
------------
SHARES
------------
FRANCE -- (7.9%)
COMMON STOCKS -- (7.9%)
Agricole de la Crau................................... 204 20,108
Airfeu SA............................................. 3,141 138,463
Alain Manoukian SA.................................... 9,565 252,988
*Arbel SA............................................. 1,583 7,564
Bail-Investissement (Societe Immobiliere pour le
Commerce & l'Industrie)............................. 100 13,930
Bains de Mer et du Cercle des Etrangers a Monaco...... 6,329 920,690
Banque de la Reunion.................................. 504 46,568
Bazar de l'Hotel de Ville SA.......................... 9,361 1,327,097
Burelle SA............................................ 10,986 619,889
*CEE (Continentale d'Equipements Electriques)......... 2,215 62,491
CPR (Cie Parisienne de Reescompte).................... 17,123 848,419
Caisse Regionale de Credit Agricole Mutuel de la
Brie................................................ 5,842 408,441
*Cascades SA.......................................... 22,612 63,794
Cie Francaise des Ferrailles.......................... 9,710 402,357
*Cofigeo (Cie Financiere Geo)......................... 205 32,533
Conflandey SA......................................... 1,939 87,869
Continentale d'Entreprises SA......................... 19,198 758,278
*DMC (Dollfus Mieg et Cie)............................ 38,146 513,886
*Desquenne et Giral SA................................ 4,761 88,148
Didot-Bottin.......................................... 602 87,149
Dietrich et Cie....................................... 38,762 2,036,792
Exacompta Clairefontaine SA........................... 1,233 138,058
*Explosifs et de Produits Chimiques................... 312 68,493
Fimalac SA............................................ 10,590 1,252,976
Fonderies Franco Belge................................ 913 76,470
Forges Stephanoises SA................................ 300 32,797
</TABLE>
28
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THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
France-Africaine de Recherches Petrolieres
Francarep........................................... 280 $ 14,822
Gantois Series A...................................... 465 75,926
Gascogne SA........................................... 10,334 816,339
Gautier France SA..................................... 2,227 138,225
*Gel 2000 SA.......................................... 4,629 11,346
Gevelot............................................... 1,200 137,537
Groupe Zannier SA..................................... 26,650 568,600
Guerbet SA............................................ 15,148 352,577
ICBT Groupe SA........................................ 8,110 171,604
Immeubles de France................................... 36,632 3,255,483
Immobanque............................................ 9,394 1,126,377
*Immobiliere Complexes Commerciaux SA................. 6,452 203,075
*#Immobiliere et Hoteliere SA......................... 27,700 67,892
Legris Industries SA.................................. 8,500 371,702
Locindus (Cie Financiere pour la Location d'Immeubles
Industrials et Commerciaux)......................... 12,163 1,720,043
Maire (Henri)......................................... 1,252 22,076
*Marie Brizard & Roger International SA............... 2,745 240,076
Matussiere et Forest SA............................... 7,020 64,243
*Metaleurop SA........................................ 43,410 206,670
Michel Thierry SA..................................... 3,269 481,311
*Mors................................................. 37,132 36,666
*NAF NAF SA........................................... 36,191 501,588
#Nord-Est............................................. 22,900 713,504
*Nordon & Cie......................................... 1,600 140,217
PSB Industries SA..................................... 1,838 186,354
Papiers Peints (Societe Francaise des)................ 70 7,455
*Paul Predault SA..................................... 6,400 157,991
*Pier Import Europe SA................................ 18,642 193,941
Plastic Omnium........................................ 8,895 768,540
Primisteres Reynoird SA............................... 5,349 273,524
*Rochette............................................. 138,121 438,386
Rougier SA............................................ 2,715 145,439
*Rouleau-Guichard SA.................................. 2,495 98,987
Rue Imperiale de Lyon................................. 2,519 2,993,728
*SDR de Bretagne SA................................... 3,200 32,162
SERIBO (Societe d'Etudes et de Realizations pour les
Industries du Bois)................................. 4,015 110,513
*SFIM (Societe de Fabrication d'Instruments de
Mesure)............................................. 3,403 324,026
Sabeton............................................... 1,846 253,893
*Saupiquet............................................ 2,210 157,823
Sechilienne........................................... 100 24,686
Securidev SA.......................................... 16,908 205,417
*Selectibanque SA..................................... 46,567 592,022
Signaux et d'Equipements Electroniques SA............. 13,500 1,075,961
*Signaux Girod SA..................................... 5,407 99,536
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)......................... 3,483 675,570
Smoby SA.............................................. 1,600 112,851
Societe Financiere Immobail SA........................ 9,997 449,505
*Societe Financiere Interbail SA...................... 27,370 699,789
Sylea SA.............................................. 4,300 244,904
Teisseire France SA................................... 6,492 169,420
Tivoly SA............................................. 1,904 40,254
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Trouvay et Cauvin SA................................. 9,481 $ 140,513
Union du Credit Bail Immobiliere Unibail.............. 3,962 554,701
VM Materiaux SA....................................... 1,636 66,926
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies).................................. 43,572 1,770,935
*Via Banque........................................... 21,658 664,495
------------
TOTAL COMMON STOCKS
(Cost $35,418,580)................................... 35,474,394
------------
RIGHTS/WARRANTS -- (0.0%)
*Alain Manoukian Warrants 06/30/01.................... 1,367 5,303
*Union du Credit Bail Immobiliere Unibail Warrants
09/01/99............................................ 3,962 13,972
------------
TOTAL RIGHTS/WARRANTS
(Cost $20,570)....................................... 19,275
------------
INVESTMENT IN CURRENCY -- (0.0%)
*French Francs
(Cost $7,478)....................................... 7,471
------------
TOTAL -- FRANCE
(Cost $35,446,628)................................... 35,501,140
------------
GERMANY -- (5.8%)
COMMON STOCKS -- (5.8%)
Anterra Vermoegensverwaltungs AG...................... 3,920 285,170
*BDAG Balcke-Duerr AG................................. 2,420 322,041
Bayerische Handelsbank AG............................. 38,220 1,198,062
Bremer Woll-Kaemmerei AG.............................. 5,310 260,667
#DSL Holding AG....................................... 11,850 1,976,425
Deutsche Verkehrs-Bank AG............................. 1,908 182,813
*Dierig Holding AG.................................... 1,250 140,098
Dyckerhoff & Widmann AG............................... 12,224 1,431,500
Escada AG............................................. 5,709 921,798
Fag Kugelfischer Georg Schaeffer AG................... 78,350 708,995
*Flender (A. Friedrich) AG............................ 9,832 1,366,541
Heilit & Woerner Bau AG............................... 8,542 687,086
*Herlitz AG........................................... 13,643 532,558
*#Holzmann (Philipp) AG............................... 6,200 715,055
*Honsel-Werke AG...................................... 3,450 369,327
*Hutschenreuther AG................................... 8,591 111,784
Kaufring AG........................................... 12,600 499,296
*Mauser Waldeck AG.................................... 1,151 120,493
Norddeutsche Steingutfabrik AG........................ 715 10,530
Nuernberger Hypothekenbank AG......................... 16,340 517,034
*Orenstein & Koppel AG................................ 13,550 304,534
Otto Reichelt AG...................................... 36,354 311,769
Phoenix AG, Hamburg................................... 18,540 368,436
Rheinboden Hypothekenbank AG.......................... 3,900 772,720
Rheinmetall Berlin AG................................. 60,000 1,383,977
Salamander AG, Kornwesteim............................ 12,999 2,307,219
#Schmalbach-Lubeca AG................................. 3,480 475,449
Scor Deutschland Rueckversicherungs AG................ 415 63,817
Stern-Brauerei Carl Funke AG.......................... 300 19,163
Stoehr & Co. AG....................................... 44,310 317,103
*Strabag AG........................................... 15,450 1,005,157
Sueddeutsche Bodencreditbank AG....................... 45,740 1,690,788
*Triton-Belco AG, Hamburg............................. 2,977 52,822
Tucher Braeu AG....................................... 1,047 56,351
Varta AG.............................................. 5,611 836,284
</TABLE>
29
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Voegele (Joseph) AG................................... 1,559 $ 253,566
Walter Bau AG......................................... 4,427 654,580
Weru AG............................................... 950 404,547
Westag & Getalit...................................... 1,980 433,291
Wuerttembergische Metallwarenfabrik AG................ 64,620 1,158,037
*Zanders Feinpapiere AG............................... 10,902 857,572
------------
TOTAL COMMON STOCKS
(Cost $28,128,286)................................... 26,084,455
------------
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks
(Cost $10,158)...................................... 10,019
------------
RIGHTS/WARRANTS -- (0.0%)
*Holzmann (Philipp) AG Rights 12/7/98 (Cost $0)....... 6,200 1,467
------------
TOTAL -- GERMANY
(Cost $28,138,444)................................... 26,095,941
------------
AUSTRALIA -- (4.7%)
COMMON STOCKS -- (4.7%)
A.P. Eagers, Ltd...................................... 16,699 40,426
*AWA, Ltd............................................. 295,133 98,357
Acacia Resources, Ltd................................. 400,664 592,053
Adelaide Brighton, Ltd................................ 449,901 254,608
*Aerodata Holdings, Ltd............................... 52,987 6,664
*An Feng Kingstream Steel, Ltd........................ 81,521 5,126
*Anzoil NL............................................ 38,461 5,562
Ashton Mining, Ltd.................................... 448,960 220,199
Asia Pacific Specialty Chemicals, Ltd................. 94,300 68,190
Atkins Carlyle, Ltd................................... 44,240 106,822
*Aurora Gold, Ltd..................................... 45,000 36,502
Ausdrill, Ltd......................................... 135,330 42,548
Australian Hospital Care, Ltd......................... 179,800 118,711
Australian National Industries, Ltd................... 1,114,084 714,547
Australian Oil & Gas Corp., Ltd....................... 66,551 59,842
*Australian Resources, Ltd............................ 352,493 48,762
Avatar Industries, Ltd................................ 237,842 118,149
BT Hotel Group BHT.................................... 325,000 159,401
*Beach Petroleum NL................................... 549,636 13,824
Bridgestone Australia, Ltd............................ 26,822 49,248
*CIM Resources, Ltd................................... 325,177 15,131
Caltex Australia, Ltd................................. 307,800 754,824
*Cambridge Gulf Exploration NL........................ 93,366 4,051
Capral Aluminium, Ltd................................. 415,738 569,887
*Centaur Mining & Exploration, Ltd.................... 620,579 142,430
Centennial Coal, Ltd.................................. 55,585 20,971
Central Equity, Ltd................................... 155,382 163,166
Centro Properties, Ltd................................ 175,272 305,285
*Climax Mining, Ltd................................... 139,697 18,886
Colly Cotton, Ltd..................................... 71,100 59,908
Consolidated Paper Industries, Ltd.................... 13,691 15,066
*Consolidated Rutile, Ltd............................. 437,974 187,271
*Coplex Resources NL.................................. 351,512 16,577
Coventry Group, Ltd................................... 66,628 196,910
Crane (G.E) Holdings, Ltd............................. 52,153 306,622
Crevet, Ltd........................................... 46,997 13,298
*Croesus Mining NL.................................... 154,735 24,811
*Crown, Ltd........................................... 1,439,216 389,141
*Cudgen RZ, Ltd....................................... 47,724 19,506
*Cumnock Coal, Ltd.................................... 40,710 5,376
*Denehurst, Ltd....................................... 78,163 3,588
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Devex, Ltd........................................... 141,218 $ 29,747
*Dome Resources NL.................................... 195,839 20,934
*Dominion Mining, Ltd................................. 116,119 28,476
ERG, Ltd.............................................. 296,242 204,905
Eltin, Ltd............................................ 146,860 115,432
Email, Ltd............................................ 403,088 608,308
*Emporer Mines, Ltd................................... 135,024 56,036
Energy Equity Corp., Ltd.............................. 393,461 76,697
Energy Resources of Australia, Ltd. Series A.......... 200,366 233,082
*Equatorial Mining, Ltd............................... 21,997 41,495
FAI Insurances, Ltd................................... 570,291 254,605
FAI Life, Ltd......................................... 223,514 129,302
Finemore Holdings, Ltd................................ 38,378 62,502
Forrester Parker Group, Ltd........................... 169,862 108,945
GUD Holdings, Ltd..................................... 17,778 27,388
Gazal Corp., Ltd...................................... 89,069 84,010
*General Gold Resources NL............................ 135,245 5,103
*Gold Mines of Australia, Ltd......................... 39,934 2,134
Goldfields, Ltd....................................... 473,424 440,580
Gowing Bros., Ltd..................................... 76,536 105,877
Grand Hotel Group..................................... 70,000 69,281
Great Central Mines, Ltd.............................. 443,193 326,055
Green's Foods, Ltd.................................... 81,301 19,938
Hancock and Gore, Ltd................................. 56,383 56,726
Healthscope, Ltd...................................... 127,219 46,397
*Holyman, Ltd......................................... 92,339 19,741
Homestake Mining Co................................... 68,662 768,509
*Hudson Conway, Ltd................................... 89,183 154,215
Hudson Timber & Hardware, Ltd......................... 59,500 26,938
Hudson Timber & Hardware, Ltd. Issue 97............... 14,875 2,712
Iama, Ltd............................................. 167,886 216,412
*Intag International, Ltd............................. 93,568 1,618
Ipoh, Ltd............................................. 208,463 216,285
Ipswich and West Moreton Building Society, Ltd........ 23,034 42,727
Jupiters, Ltd......................................... 596,821 1,107,080
*Kidston Gold Mines, Ltd.............................. 198,750 63,737
*Lachlan Resources NL................................. 217,903 6,440
MMI, Ltd.............................................. 116,345 158,021
*MRI Holdings, Ltd.................................... 87,075 23,270
MacMahon Holdings, Ltd................................ 305,720 96,118
Magellan Petroleum Australia, Ltd..................... 29,537 28,045
*Manettas, Ltd........................................ 154,638 42,784
*Meekatharra Minerals, Ltd............................ 184,462 16,819
Metal Manufactures, Ltd............................... 441,932 625,246
Mirvac, Ltd........................................... 275,038 285,358
*New Hampton Goldfields NL............................ 145,700 17,865
*Newcrest Mining, Ltd................................. 474,531 674,351
Normandy Mt. Leyshon, Ltd............................. 123,978 120,834
*Orbital Engine Corp., Ltd............................ 165,000 76,777
PMP Communications, Ltd............................... 724,135 1,463,451
Pacific Hydro, Ltd.................................... 81,545 41,020
Parbury, Ltd.......................................... 30,916 5,832
*Payce Consolidated, Ltd.............................. 74,466 33,245
*Peptide Technology, Ltd.............................. 153,432 44,380
*Perilya Mines NL..................................... 167,228 27,340
Permanent Trustee Co., Ltd............................ 18,736 117,812
Pirelli Cables Australia, Ltd......................... 168,560 75,253
*Portman Mining, Ltd.................................. 152,897 91,335
QCT Resources, Ltd.................................... 472,579 359,561
</TABLE>
30
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*RCG, Ltd............................................. 388,221 $ 688,400
Resolute, Ltd......................................... 440,868 385,333
#Savage Resources, Ltd................................ 970,559 543,156
Schaffer Corp., Ltd................................... 14,106 18,627
Sea World Property Trust.............................. 61,000 34,521
*Solution 6 Holdings, Ltd............................. 28,900 15,628
Sons of Gwalia, Ltd................................... 33,034 100,328
Southern Cross Broadcasting (Australia), Ltd.......... 45,600 204,154
Spicers Paper, Ltd.................................... 245,591 234,730
*St. Barbara Mines, Ltd............................... 329,338 15,739
*Star Mining Corp. NL................................. 302,691 761
Tassal, Ltd........................................... 40,115 34,557
*Techniche, Ltd....................................... 34,687 22,902
Thakral Holdings Group................................ 824,280 326,534
*Ticor, Ltd........................................... 482,210 218,314
*Titan Resources NL................................... 125,121 8,654
Tourism Assets Holdings, Ltd.......................... 109,674 66,894
*Union Gold Mining Co. NL............................. 118,986 20,949
Village Roadshow, Ltd................................. 109,348 215,213
Visions Systems, Ltd.................................. 16,599 72,853
Walker Corp., Ltd..................................... 482,291 206,220
Wesfi, Ltd............................................ 77,830 67,292
Westralian Sands, Ltd................................. 134,869 317,173
White (Joe) Maltings, Ltd............................. 38,112 88,910
Wide Bay Capricorn Building Society, Ltd.............. 26,657 54,644
Wills (W.D. & H.O.) Holdings, Ltd..................... 229,057 504,109
Yates (Arthur) and Co. Property, Ltd.................. 336,074 211,323
------------
TOTAL COMMON STOCKS
(Cost $26,881,535)................................... 20,875,250
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $103,993)..................................... 103,093
------------
PREFERRED STOCKS -- (0.0%)
Village Roadshow, Ltd. 2.2% Class A
(Cost $8,642)....................................... 5,158 7,460
------------
RIGHTS/WARRANTS -- (0.0%)
*Cumnock Coal Rights 12/02/98
(Cost $0)........................................... 284,970 0
------------
TOTAL -- AUSTRALIA
(Cost $26,994,170)................................... 20,985,803
------------
HONG KONG -- (4.4%)
COMMON STOCKS -- (4.4%)
ALCO Holdings, Ltd.................................... 710,000 28,426
Acme Landis Holdings, Ltd............................. 130,000 6,044
Allied Group, Ltd..................................... 5,364,000 214,754
Allied Properties (Hong Kong), Ltd.................... 6,468,000 284,014
*Applied International Holdings, Ltd.................. 1,150,000 25,991
*Asia Commercial Holdings, Ltd........................ 35,960 2,601
*Asia Securities International, Ltd................... 2,326,000 114,152
Asia Standard International Group, Ltd................ 3,658,000 481,875
Associated International Hotels, Ltd.................. 758,000 269,211
Beauforte Investors Corp., Ltd........................ 44,000 46,313
*Burlingame International Co., Ltd.................... 675,000 62,766
Burwill Holdings, Ltd................................. 350,000 29,381
*CCT Telecom Holdings, Ltd............................ 752,000 67,013
CDL Hotels International, Ltd......................... 2,489,041 763,460
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
CNT Group, Ltd........................................ 1,428,000 $ 80,225
*Capetronic International Holdings, Ltd............... 107,000 3,040
Century City International Holdings, Ltd.............. 2,863,067 166,393
Champion Technology Holdings, Ltd..................... 4,268,000 82,681
*Cheerful Holdings, Ltd............................... 376,000 4,953
Cheuk Nang Properties (Holdings), Ltd................. 318,000 34,909
*Cheung Wah Development Co., Ltd...................... 898,000 7,886
Chevalier Construction Holdings, Ltd.................. 194,857 4,530
Chevalier Development International, Ltd.............. 625,852 137,408
Chevalier International Holdings, Ltd................. 1,447,349 117,762
China Foods Holdings, Ltd............................. 1,032,000 273,227
*China Investments Holdings, Ltd...................... 989,000 22,352
China Travel International Investment, Ltd............ 1,160,000 158,801
Chinese Estates Holdings, Ltd......................... 2,675,131 411,133
Chinney Investments, Ltd.............................. 752,000 68,955
Chow Sang Sang Holdings International, Ltd............ 738,000 173,468
*Chuang's China Investments, Inc...................... 4,420,000 45,667
Chuang's Consortium International, Ltd................ 3,051,760 224,655
*City Chiu Chow (Holdings), Ltd....................... 298,000 5,542
Companion Building Material (Holdings), Ltd........... 2,206,000 26,781
Continental Holdings, Ltd............................. 382,000 10,854
Continental Mariner Investment Co., Ltd............... 268,000 38,765
Crocodile Garments, Ltd............................... 986,000 22,412
*Culturecom Holdings, Ltd............................. 1,326,000 17,981
*Dransfield Holdings, Ltd............................. 1,952,000 19,159
Dynamic Holdings, Ltd................................. 482,000 82,170
Easyknit International Holdings, Ltd.................. 200,150 7,496
*Emperor (China Concept) Investments, Ltd............. 2,790,000 32,429
Emporer International Holdings, Ltd................... 812,000 73,408
*Fairwood Holdings, Ltd............................... 675,000 15,081
*Fairyoung Holdings, Ltd.............................. 330,000 30,686
Far East Consortium International, Ltd................ 1,758,041 188,451
*Far East Holdings International, Ltd................. 408,000 16,598
Fountain Set Holdings, Ltd............................ 1,350,000 186,556
*Four Seas Travel International, Ltd.................. 236,000 6,096
*Fu Hui Jewelry Co. (Hong Kong), Ltd.................. 670,000 12,806
*G-Properties Holdings, Ltd........................... 534,353 7,177
Golden Resources Development International, Ltd....... 722,000 50,353
Goldlion Holdings, Ltd................................ 1,092,000 132,569
Grande Holdings, Ltd.................................. 506,000 135,600
Great Eagle Holdings, Ltd............................. 698,910 911,661
Great Wall Electronic International, Ltd.............. 2,278,566 82,397
Guangzhou Investment Co., Ltd......................... 2,120,000 224,512
Harbour Centre Development, Ltd....................... 590,000 320,031
Harbour Ring International Holdings, Ltd.............. 3,430,000 117,390
Henderson China Holdings, Ltd......................... 438,000 199,399
High Fashion International, Ltd....................... 800,000 41,328
Hon Kwok Land Investment Co., Ltd..................... 1,096,000 116,069
</TABLE>
31
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hong Kong Ferry (Holdings) Co., Ltd................... 349,000 $ 419,179
*Hong Kong Parkview Group, Ltd........................ 648,000 164,029
Hong Kong & Shanghai Hotels, Ltd...................... 1,789,124 1,478,806
Hop Hing Holdings, Ltd................................ 604,000 46,024
Hopewell Holdings, Ltd................................ 6,044,000 764,964
*Hualing Holdings, Ltd................................ 784,000 22,276
Huey Tai International, Ltd........................... 2,920,260 175,374
*Hwa Kay Thai Holdings, Ltd........................... 3,235,600 15,043
Innovative International (Holdings), Ltd.............. 539,439 74,545
*Jinhui Holdings Co., Ltd............................. 978,000 29,177
*Joyce Boutique Holdings, Ltd......................... 808,000 17,740
K Wah International Holdings, Ltd..................... 871,672 60,791
*KTP Holdings, Ltd.................................... 758,000 22,712
*Kader Holdings Co., Ltd.............................. 857,000 22,579
Keck Seng Investments (Hong Kong), Ltd................ 380,000 56,438
Kee-Shing Holdings Co., Ltd........................... 256,000 28,764
King Fook Holdings, Ltd............................... 338,000 15,715
*Kong Tai International Holdings Co., Ltd............. 5,175,000 64,830
Kumagai Gumi Hong Kong, Ltd........................... 278,000 124,764
*Kwong Sang Hong International, Ltd................... 1,060,000 110,887
Lai Sun Development Co., Ltd.......................... 1,908,800 305,684
Lai Sun Garment (International), Ltd.................. 540,000 112,282
Lai Sun Hotels International, Ltd..................... 1,086,000 65,219
*Lam Soon (Hong Kong), Ltd............................ 203,250 45,149
*Lam Soon Food Industries, Ltd........................ 156,000 33,847
Lane Crawford International, Ltd. Series A............ 63,000 31,732
Leefung-Asco Printers Holdings, Ltd................... 128,000 18,515
*Linkful International Holdings, Ltd.................. 582,000 7,742
Lippo, Ltd............................................ 751,000 198,831
Liu Chong Hing Investment, Ltd........................ 626,000 464,871
*Luks Industrial Co., Ltd............................. 3,069,000 61,435
*Magnificent Estates, Ltd............................. 5,014,600 48,572
*Mansion Holdings, Ltd................................ 113,200 1,170
*Megga (S.) International Holdings, Ltd............... 1,399,200 6,325
Melbourne Enterprises, Ltd............................ 41,000 184,270
Melco International Development, Ltd.................. 170,000 15,808
Min Xin Holdings, Ltd................................. 432,000 46,308
Miramar Hotel & Investment Co., Ltd................... 600,000 600,542
*Mui Hong Kong, Ltd................................... 2,050,000 24,887
Nam Hing Holdings, Ltd................................ 538,000 14,591
Nanyang Holdings, Ltd................................. 80,850 58,473
National Electronics Holdings, Ltd.................... 1,106,000 32,282
*Nph International Holdings, Ltd...................... 408,000 6,481
#Onfem Holdings, Ltd.................................. 684,000 29,151
Orient Power Holdings, Ltd............................ 441,000 24,491
*Oriental Metals Holdings Co., Ltd.................... 796,000 18,299
Pacific Concord Holding, Ltd.......................... 2,956,000 416,123
*Paul Y. Properties Group, Ltd........................ 11,308 2,059
Pokfulam Development Co., Ltd......................... 244,000 66,176
*Poly Investments Holdings, Ltd....................... 1,428,000 52,561
Prestige Properties Holdings, Ltd..................... 1,166,000 60,988
Process Automation Holdings, Ltd...................... 400,000 26,863
QPL International Holdings, Ltd....................... 651,000 55,490
*RJP Electronics, Ltd................................. 1,350,000 20,922
Realty Development Corp., Ltd. Series A............... 213,000 357,613
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Regal Hotels International Holdings, Ltd.............. 4,988,179 $ 715,082
*Rhine Holdings, Ltd.................................. 260,000 2,183
*Rivera Holdings, Ltd................................. 1,912,000 29,879
Ryoden Development, Ltd............................... 2,410,000 255,224
*S.A.S.Dragon Holdings, Ltd........................... 94,400 7,559
SIS International Holdings, Ltd....................... 326,000 24,419
San Miguel Brewery Hong Kong, Ltd..................... 812,400 103,871
Sea Holdings, Ltd..................................... 1,208,000 366,628
Seapower Resources International, Ltd................. 2,785,000 74,094
Semi-Tech (Global) Co., Ltd........................... 1,950,339 100,754
Shaw Brothers Hong Kong, Ltd.......................... 158,000 72,440
Shell Electric Manufacturing (Holdings) Co., Ltd...... 1,177,000 117,046
*Shougang Concord Century Holdings, Ltd............... 1,000,000 25,830
*Shougang Concord International Enterprises Co.,
Ltd................................................. 2,196,000 103,518
*Shun Ho Construction (Holdings), Ltd................. 814,380 27,346
*Shun Ho Resources Holdings, Ltd...................... 510,000 19,101
Shun Tak Holdings, Ltd................................ 1,924,000 350,360
Sincere Co., Ltd...................................... 872,000 48,989
Sing Tao Holdings, Ltd................................ 410,000 60,894
*Singamas Container Holdings, Ltd..................... 360,000 10,136
*Sino Foundations Holdings, Ltd....................... 618,000 8,620
South China Brokerage Co., Ltd........................ 4,418,000 30,241
South China Holdings, Ltd............................. 846,000 101,612
South China Industries, Ltd........................... 1,182,000 64,115
*South Sea Development Co., Ltd....................... 967,000 17,484
Starlight International Holdings, Ltd................. 708,000 33,375
*Stelux Holdings International, Ltd................... 1,862,552 69,759
Sun Fook Kong Holdings, Ltd........................... 1,018,000 138,047
Sun Hung Kai & Co., Ltd............................... 1,488,000 140,287
*Swank International Manufacturing Co., Ltd........... 226,000 24,518
Tai Cheung Holdings, Ltd.............................. 1,377,000 364,568
Tai Sang Land Development, Ltd........................ 640,900 175,890
*Tak Sing Alliance Holdings, Ltd...................... 1,299,335 38,596
*Tak Wing Investment Holdings, Ltd.................... 370,000 21,025
Tan Chong International Limited....................... 2,943,000 292,666
Tern Properties Co., Ltd.............................. 168,000 28,206
Tian An China Investments Co., Ltd.................... 2,287,000 78,271
Tian Teck Land, Ltd................................... 800,000 109,518
*Top Form International, Ltd.......................... 494,000 9,442
Tse Sui Luen Jewellry (International), Ltd............ 395,830 15,592
*Tung Fong Hung Holdings, Ltd......................... 138,840 11,834
Tungtex (Holdings) Co., Ltd........................... 558,000 63,417
*UDL Holdings, Ltd.................................... 1,504,000 7,770
*USI Holdings, Ltd.................................... 671,999 57,280
*Wah Nam Group, Ltd................................... 630,000 3,580
*Winfoong International, Ltd.......................... 1,525,000 61,055
*Wing Fai International, Ltd.......................... 342,000 3,799
*Wing On Co. International, Ltd....................... 588,000 212,631
Wing Shan International, Ltd.......................... 1,130,000 90,482
Winsor Industrial Corp., Ltd.......................... 394,500 61,139
Winsor Properties Holdings, Ltd....................... 55,000 18,468
*Wo Kee Hong (Holdings), Ltd.......................... 2,722,400 36,917
Wong's Kong King International (Holdings), Ltd........ 874,000 17,609
</TABLE>
32
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
World Houseware (Holdings), Ltd....................... 609,639 $ 22,439
*Yaohan International Holdings, Ltd................... 1,660,000 8,361
*Yau Lee Holdings, Ltd................................ 2,631,000 38,396
*Yoshiya International Corp., Ltd..................... 720,000 27,896
*Yugang International, Ltd............................ 1,258,000 35,581
------------
TOTAL COMMON STOCKS
(Cost $31,278,677)................................... 19,832,031
------------
RIGHTS/WARRANTS -- (0.0%)
*Chinese Estates Holdings, Ltd. Warrants 11/24/00..... 267,513 14,856
*Chinese Estates Holdings, Ltd. Warrants 11/24/99..... 267,513 14,856
*Dransfield Holdings, Ltd. Rights 12/10/98............ 976,000 0
*Far East Consortium International, Ltd. Warrants
10/31/99............................................ 132,604 171
*Four Seas Travel International, Ltd. Warrants
12/08/00............................................ 47,200 128
*Grande Holdings, Ltd. Warrants 10/15/00.............. 89,600 3,992
*Hop Hing Holdings, Ltd. Warrants 04/30/01............ 120,800 1,342
*KTP Holdings, Ltd. Warrants 09/30/99................. 23,000 30
*Mansion Holdings, Ltd. Warrants 07/28/01............. 113,200 395
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 35,770
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $17,386)...................................... 17,389
------------
TOTAL -- HONG KONG
(Cost $31,296,063)................................... 19,885,190
------------
ITALY -- (4.4%)
COMMON STOCKS -- (4.4%)
*Ansaldo Trasporti SpA................................ 497,000 889,117
*Banca Nazionale dell'Agricoltura SpA................. 1,857,500 3,261,984
Banco di Chiavari e della Riviera Ligure SpA,
Chiavari............................................ 172,500 611,012
*Brioschi Finanziaria SpA, Milano..................... 100,000 29,866
CEMENTIR (Cementarie del Tirreno SpA), Roma........... 1,400,000 1,630,678
Caltagirone SpA....................................... 1,145,000 1,224,233
Cementeria di Augusta SpA............................. 142,500 291,954
Cia Assicuratrice Unipol SpA.......................... 215,464 911,200
Comau SpA............................................. 295,500 810,169
*FONSPA (Credito Fondiaro e Industriale Istituto per i
Finanziamenti a Medio e Lungo Termine SpA).......... 527,000 1,437,001
Finarte Casa d'Aste SpA (Milano)...................... 135,000 168,936
*Finarte Partecipazioni Pro Arte SpA.................. 277,050 198,584
*Fincasa 44 SpA....................................... 175,000 37,004
*Gabetti Holding SpA.................................. 175,000 292,686
*Grassetto SpA........................................ 110,000 0
*Impregilo SpA........................................ 655,000 557,522
Ipi SpA............................................... 447,500 809,918
Linificio & Canapificio Nazionale SpA................. 185,000 106,084
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Maffei SpA............................................ 90,500 $ 147,036
Marangoni SpA, Rovereto............................... 68,000 245,330
*Milano Assicurazioni SpA............................. 135,700 478,231
Montefibre SpA, Milano................................ 262,464 212,429
*Necchi SpA........................................... 62,500 35,466
*Premafin Finanziaria SpA............................. 2,615,000 2,241,451
Riva Finanziaria SpA.................................. 86,000 307,702
SISA (Societa Imballaggi Speciali Asti SpA)........... 175,000 135,890
SMI STA Metallurgica Italiana SpA..................... 290,000 187,946
*SOPAF (Societa Partecipazioni Finanziarie SpA)....... 640,000 496,969
*Stayer SpA........................................... 117,500 118,612
Vianini Industria SpA................................. 315,000 300,860
Vianini Lavori SpA.................................... 448,250 1,017,442
Zucchi (Vincenzo) SpA................................. 74,000 618,821
------------
TOTAL COMMON STOCKS
(Cost $11,946,411)................................... 19,812,133
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Italian Lira
(Cost $14,948)...................................... 14,839
------------
TOTAL -- ITALY
(Cost $11,961,359)................................... 19,826,972
------------
SPAIN -- (4.0%)
COMMON STOCKS -- (4.0%)
*BAMI SA (Inmobiliara de Construcciones y Terrenos)... 36,200 201,279
Banco Guipuzcoano SA.................................. 19,247 1,000,608
Banco Pastor SA, La Coruna............................ 17,000 1,063,386
Banco Zaragozano SA................................... 51,800 1,548,095
Bodegas y Bebedas SA.................................. 23,836 310,623
Construcciones Lain SA................................ 15,816 42,871
Elecnor SA............................................ 5,770 200,514
Empresa Nacional de Celulosa SA....................... 54,900 885,237
Europistas Concesionaria Espanola SA.................. 158,900 1,330,793
*Fabricacion de Automoviles Renault de Espana SA...... 12,690 527,427
*Filo SA.............................................. 65,600 259,883
GESA (Gas y Electricidad SA).......................... 34,800 3,386,154
*Grupo Fosforera SA................................... 12,060 20,703
Inbesos SA............................................ 16,000 72,282
*Inmobiliaria Urbis SA................................ 144,300 2,291,670
*Nueva Montana Quijano SA Series B.................... 122,740 137,345
Omsa Alimentacion SA.................................. 38,675 362,880
Papelera de Navarra SA................................ 7,851 167,791
Pescanova SA.......................................... 24,900 380,734
*Sarrio SA............................................ 216,615 1,077,956
Tableros de Fibras SA Series B........................ 57,730 866,672
Tavex Algodonera SA................................... 17,800 241,243
Transportes Ferroviarios Especiales Tranfesa.......... 25,580 362,685
Unipapel SA........................................... 34,058 449,751
Uralita SA............................................ 63,500 703,937
VT Holding A.S........................................ 7,839 81,724
------------
TOTAL COMMON STOCKS
(Cost $10,709,862)................................... 17,974,243
------------
</TABLE>
33
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Spanish Peseta
(Cost $1) .......................................... $ 1
------------
TOTAL -- SPAIN
(Cost $10,709,863)................................... 17,974,244
------------
SWITZERLAND -- (3.8%)
COMMON STOCKS -- (3.8%)
Attisholz Holding AG, Attisholz....................... 1,670 1,153,346
Banque Privee Edmond de Rothschild SA, Geneve......... 105 573,486
Bucher Holding AG, Niederweningen..................... 2,125 1,954,739
Calida Holding AG..................................... 400 103,486
Canon (Schweiz) AG, Dietlikon......................... 9,900 661,665
Carlo Gavazzi Holding AG, Baar Series B............... 230 185,952
Cie Financiere Tradition.............................. 750 38,807
Coop Bank, Basel...................................... 370 281,856
Daetwyler Holding AG, Atldorf......................... 940 1,681,406
Feldschloesschen-Huerlimann Holding AG, Rheinfelden... 5,035 2,221,712
Galenica Holding AG, Bern Series B.................... 3,115 1,661,047
Golay-Buchel Holding SA, Lausanne..................... 125 89,832
Industrieholding Cham AG, Cham........................ 325 214,878
*Keramik Holding AG Laufen, Laufen.................... 1,540 502,454
Kuehne & Nagel International AG, Schindellegi......... 700 548,333
*Maag Holding AG, Zuerich............................. 1,900 300,397
*Sihl Zuercher Papierfabriek an der Sihl, Zuerich..... 50 19,835
UMS Schweizerische Metallwerke Holding AG, Bern....... 3,200 298,960
Unigestion Holding, Geneve............................ 9,200 542,153
Vaudoise Assurances Holding, Lausanne................. 189 543,303
Vaudoise d'Electricite SA, Morges..................... 95 217,105
WMH Walter Meier Holding AG, Staefa................... 260 220,483
Zellweger Luwa AG, Uster.............................. 590 384,997
*Zschokke Holding SA, Geneve.......................... 1,950 574,564
*Zueblin Holding AG, Zuerich.......................... 3,300 68,538
Zuercher Ziegeleien Holding, Zuerich.................. 2,000 1,897,247
------------
TOTAL COMMON STOCKS
(Cost $13,746,056)................................... 16,940,581
------------
RIGHTS/WARRANTS -- (0.0%)
*Carlo Gavazzi Holdings Rights 06/30/99 (Cost $0)..... 1,150 3,719
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $23).......................................... 24
------------
TOTAL -- SWITZERLAND
(Cost $13,746,079)................................... 16,944,324
------------
NETHERLANDS -- (3.7%)
COMMON STOCKS -- (3.7%)
ACF Holding NV (Certificate).......................... 53,200 1,194,264
Bam Groep NV.......................................... 17,307 1,141,043
Begemann Groep NV..................................... 44,600 460,836
*Begemann Groep NV Series B........................... 44,600 160,240
Cindu International NV................................ 3,580 223,635
Econosto NV........................................... 23,124 242,570
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Gamma Holding NV...................................... 55,716 $ 2,416,743
Gemeenschappeljk Bezit Crown van Gelder NV............ 40,320 649,238
Hollandsche Beton Groep NV............................ 31,372 363,647
Kas-Associatie NV..................................... 16,350 1,125,114
Koninklijke Ten Cate NV............................... 39,230 1,102,880
Landre & Glinderman NV................................ 3,307 105,806
MacIntosh NV.......................................... 63,909 1,789,980
NKF Holding NV........................................ 38,465 696,033
Nagron Nationaal Grondbezit NV........................ 2,218 62,239
Nedlloyd Groep NV, Rotterdam.......................... 35,000 479,130
Norit NV.............................................. 78,571 820,088
Polynorm NV........................................... 13,226 1,026,680
Roto Smeets de Boer NV................................ 20,100 811,768
*Sphinx NV............................................ 36,562 268,474
*Textielgroep Twenthe NV.............................. 1,200 49,093
*Tulip Computers NV................................... 38,643 109,246
Ubbink NV............................................. 900 27,426
Van Dorp Groep NV..................................... 11,400 164,431
Vredestein NV......................................... 64,470 828,455
------------
TOTAL COMMON STOCKS
(Cost $18,106,702)................................... 16,319,059
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder
(Cost $21,127)...................................... 20,623
------------
TOTAL -- NETHERLANDS
(Cost $18,127,829)................................... 16,339,682
------------
SINGAPORE -- (3.2%)
COMMON STOCKS -- (3.2%)
*Alliance Technology & Development, Ltd............... 3,000 656
Apollo Enterprises, Ltd............................... 192,000 90,347
Bonvests Holdings, Ltd................................ 471,000 127,260
*#CK Tang, Ltd........................................ 171,000 38,416
Carnaudmetalbox Asia, Ltd............................. 163,000 170,227
Chevalier Singapore Holdings, Ltd..................... 200,000 29,144
Chuan Hup Holdings, Ltd............................... 516,000 170,749
Cosco Investment (Singapore), Ltd..................... 223,000 70,408
First Capital Corp., Ltd.............................. 580,000 461,329
Focal Finance, Ltd.................................... 101,000 104,251
*General Magnetics, Ltd............................... 187,000 22,708
Haw Par Brothers International, Ltd................... 411,000 429,222
Hind Hotels International, Ltd........................ 147,000 98,180
Hong Kok Corp., Ltd................................... 307,000 178,946
Hotel Grand Central, Ltd.............................. 327,700 103,465
Hotel Plaza, Ltd...................................... 892,000 232,887
Hotel Properties, Ltd................................. 785,000 412,285
Hour Glass, Ltd....................................... 210,000 52,278
Hwa Hong Corp., Ltd................................... 402,000 280,696
Hwa Tat Lee, Ltd...................................... 330,000 39,072
Insurance Corp. of Singapore, Ltd..................... 112,000 110,845
Intraco, Ltd.......................................... 215,000 82,241
Isetan (Singapore), Ltd............................... 64,000 71,889
Jack Chia-MPH, Ltd.................................... 208,000 63,777
Jurong Engineering, Ltd............................... 91,000 106,085
Keppel Land, Ltd...................................... 1,891,000 2,238,916
Keppel Marine Industries, Ltd......................... 409,000 417,200
LC Development, Ltd................................... 292,000 70,031
Lee Kim Tah Holdings, Ltd............................. 72,000 26,230
Liang Court Holdings, Ltd............................. 1,052,600 293,990
</TABLE>
34
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Lim Kah Ngam, Ltd..................................... 235,000 $ 42,092
*Low Keng Huat Singapore, Ltd......................... 232,000 27,468
Metro Holdings, Ltd................................... 233,800 265,459
*Neptune Orient Lines, Ltd............................ 1,394,000 545,926
Orchard Parade Holdings, Ltd.......................... 472,000 276,555
Pacific Carriers, Ltd................................. 669,000 253,874
Prima, Ltd............................................ 83,000 112,885
Republic Hotels and Resorts, Ltd...................... 552,000 304,995
Resources Development Corp., Ltd...................... 88,000 80,147
SNP Corp., Ltd........................................ 72,500 16,287
*SPP, Ltd............................................. 55,000 5,677
Scotts Holdings, Ltd.................................. 529,000 240,895
Shangri-la Hotel, Ltd................................. 354,200 516,145
Singapura Building Society, Ltd....................... 84,000 45,392
*Singatronics, Ltd.................................... 433,000 98,590
Ssangyong Cement (Singapore), Ltd..................... 9,000 7,760
Straits Trading Co., Ltd.............................. 552,000 425,652
Tat Lee Finance, Ltd.................................. 160,000 115,606
Tibs Holdings, Ltd.................................... 203,000 136,814
Times Publishing, Ltd................................. 271,000 409,714
Tuan Sing Holdings, Ltd............................... 1,676,000 183,172
United Engineers, Ltd................................. 334,000 214,963
United Industrial Corp., Ltd.......................... 3,443,000 1,505,155
United Overseas Finance, Ltd.......................... 129,000 90,074
United Overseas Land, Ltd............................. 1,321,000 922,385
*Van der Horst, Ltd................................... 109,000 48,644
Vickers Ballas Holdings, Ltd.......................... 543,000 382,445
WBL Corp., Ltd........................................ 98,000 73,784
Wing Tai Holdings, Ltd................................ 266,000 201,885
------------
TOTAL COMMON STOCKS
(Cost $22,820,701)................................... 14,144,170
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $14,947)...................................... 14,919
------------
TOTAL -- SINGAPORE
(Cost $22,835,648)................................... 14,159,089
------------
MALAYSIA -- (2.9%)(##)
COMMON STOCKS -- (2.9%)
A&M Realty Berhad..................................... 135,000 29,834
AMMB Holdings Berhad.................................. 450,400 321,833
*Advance Synergy Berhad............................... 523,000 82,351
Affin Holdings Berhad................................. 633,000 205,171
Aluminum Co. of Malaysia.............................. 175,000 35,129
Amalgamated Containers Berhad......................... 67,000 11,475
*Amsteel Corp. Berhad................................. 1,912,000 186,622
Ancom Berhad.......................................... 171,000 47,867
Angkasa Marketing Berhad.............................. 206,000 30,350
*Anson Perdana Berhad................................. 122,000 26,287
Antah Holding Berhad.................................. 275,000 42,795
*Aokam Perdana Berhad................................. 310,000 35,110
*Arab Malaysia Corp. Berhad........................... 364,000 87,816
Arab Malaysia Finance Berhad.......................... 154,000 36,586
*Asas Dunia Berhad.................................... 247,000 49,582
*Asia Pacific Land Berhad............................. 1,101,000 111,519
*Austral Amalgamated Berhad........................... 256,000 33,473
Austral Enterprises Berhad............................ 224,000 173,260
Bandar Raya Developments Berhad....................... 605,000 120,331
Batu Kawan Berhad..................................... 358,000 303,278
*Berjaya Industrial Berhad............................ 130,000 11,013
*Best World Land Berhad............................... 232,000 20,936
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Bimb Holdings BHD..................................... 163,800 $ 52,790
*Bolton Properties Berhad............................. 291,000 49,840
Boustead Holdings Berhad.............................. 441,000 274,508
*CHG Industries Berhad................................ 60,000 16,243
Cahya Mata Sarawak Berhad............................. 123,000 56,630
Cement Industries of Malaysia Berhad.................. 204,000 93,923
Chin Teck Plantations Berhad.......................... 55,000 65,331
Chocolate Products (Malaysia) Berhad.................. 540,000 51,713
Choo Bee Metal Industries Berhad...................... 128,000 25,459
Cold Storage (Malaysia) Berhad........................ 125,000 44,890
Commerce Asset Holding Berhad......................... 759,000 381,597
DNP Holdings Berhad................................... 487,000 80,718
*Damansara Realty Berhad.............................. 1,136,000 114,018
*Datuk Keramik Holdings Berhad........................ 309,000 61,459
Diethelm Holdings (Malaysia) Berhad................... 101,000 18,600
Diversified Resources Berhad.......................... 114,000 43,459
Eastern & Oriental Berhad............................. 143,000 40,556
Eastern Pacific Industrial Corp. Berhad............... 125,000 29,466
*Econstates Berhad.................................... 193,000 48,339
*FACB Berhad.......................................... 969,000 93,688
FCW Holdings Berhad................................... 182,000 30,501
*Faber Group Berhad................................... 502,000 56,394
Far East Holdings Berhad.............................. 78,000 39,503
Federal Flour Mills Berhad............................ 274,000 174,593
Fima Corp. Berhad..................................... 4,000 1,805
Gadek (Malaysia) Berhad............................... 136,000 77,142
*General Corp. Berhad................................. 521,000 64,765
*George Kent (Malaysia) Berhad........................ 108,000 17,304
*George Town Holdings Berhad.......................... 171,000 32,436
Goh Ban Huat Berhad................................... 72,000 17,238
Gold Coin (Malaysia) Berhad........................... 47,000 39,816
*Golden Plus Holdings Berhad.......................... 189,000 44,552
Gopeng Berhad......................................... 81,000 14,619
*Granite Industries Berhad............................ 345,000 69,254
*Gula Perak Berhad.................................... 357,000 61,144
Guthrie Ropel Berhad.................................. 196,000 113,341
H&R Johnson (Malaysia) Berhad......................... 44,000 9,562
HLG Capital Berhad.................................... 49,000 12,092
*Ho Hup Construction Co. Berhad....................... 77,000 28,645
Hong Leong Industries Berhad.......................... 217,000 105,902
IGB Corp. Berhad...................................... 583,000 143,871
*Idris Hydraulic (Malaysia) Berhad.................... 87,000 12,657
*Innovest Berhad...................................... 126,000 24,365
*Insas Berhad......................................... 794,000 106,744
Integrated Logistics Berhad........................... 107,000 24,829
Intria Berhad......................................... 1,127,500 134,968
Island & Peninsular Berhad............................ 242,000 124,788
*Jasa Megah Industries Berhad......................... 226,000 32,048
Jeram Kuantan (Malaysia) Berhad....................... 42,000 6,575
Johan Holdings Berhad................................. 121,000 14,819
*KIG Glass Industrial Berhad.......................... 218,000 28,906
*Kamunting Corp. Berhad............................... 1,648,000 180,582
Kanzen Berhad......................................... 83,000 18,343
Keck Seng (Malaysia) Berhad........................... 373,000 122,273
*Kelanamas Industries Berhad.......................... 162,000 17,602
Kemayan Corp. Berhad.................................. 454,000 42,641
Kim Hin Industry Berhad............................... 131,000 22,919
Kuala Sidim Berhad.................................... 203,000 216,832
*Kumpulan Emas Berhad................................. 652,000 84,652
</TABLE>
35
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Kym Holdings Berhad.................................. 51,000 $ 15,028
*Land - General Berhad................................ 649,000 118,326
Landmarks Berhad...................................... 595,000 86,565
*Larut Consolidated Berhad............................ 291,000 51,715
*Leader Universal Holdings Berhad..................... 636,000 127,669
*Leong Hup Holdings Berhad............................ 230,000 30,074
*Lien Hoe Corp. Berhad................................ 80,000 11,197
Lim Kim Hai Holdings Berhad........................... 36,000 7,094
Lion Corp. Berhad..................................... 226,800 44,274
Lion Land Berhad...................................... 1,551,304 164,273
*MBF Holdings Berhad.................................. 1,521,000 89,635
*MBF Land Berhad...................................... 884,000 77,330
MCB Holdings Berhad................................... 173,000 26,444
MMC Engineering Group Berhad.......................... 25,000 10,129
MUI Properties Berhad................................. 1,017,400 118,041
MWE Holdings Berhad................................... 228,000 38,420
Malayan Flour Mills Berhad............................ 137,000 34,313
Malayawata Steel Berhad............................... 306,000 64,243
Malaysia Building Society Berhad...................... 343,000 85,908
Malaysia Industrial Development Finance Berhad........ 739,000 175,564
Malaysia Mining Corp. Berhad.......................... 1,531,000 572,363
Malaysian Airlines System............................. 1,187,000 542,129
Malaysian Helicopter Services Berhad.................. 1,070,000 195,083
Malaysian Mosaics Berhad.............................. 108,000 27,448
*Malaysian Plantations Berhad......................... 497,000 81,003
Maruichi Malaysia Steel Tube Berhad................... 101,000 54,313
Mechmar Corp. Berhad.................................. 67,000 13,079
Mega First Corp. Berhad............................... 358,000 39,558
Metrojaya Berhad...................................... 152,000 26,313
Metroplex Berhad...................................... 1,210,000 169,355
*Minho (Malaysia) Berhad.............................. 153,000 24,514
Muda Holdings Berhad.................................. 223,000 36,961
Muhibbah Engineering Berhad........................... 13,000 4,477
Mulpha International Berhad........................... 1,291,250 148,625
*NCK Corp. Berhad..................................... 25,000 8,149
Nam Fatt Berhad....................................... 143,000 40,293
New Straits Times Press (Malaysia) Berhad............. 78,000 43,094
OSK Holdings.......................................... 349,000 109,263
Olympia Industries Berhad............................. 328,000 35,035
Oriental Holdings Berhad.............................. 197,200 188,847
PJ Development Holdings Berhad........................ 380,000 58,085
Palmco Holdings Berhad................................ 229,000 54,403
Pan Pacific Asia Berhad............................... 165,000 49,530
*Panglobal Berhad..................................... 180,000 23,702
Paramount Corp. Berhad................................ 100,000 20,258
Parit Perak Holdings Berhad........................... 228,000 37,370
Peladang Kimia Berhad................................. 107,000 39,411
Perlis Plantations Berhad............................. 380,000 299,521
Pernas International Holdings Berhad.................. 834,000 153,591
Perusahaan Otomobil Nasional Berhad................... 173,000 156,751
Pilecon Engineering Berhad............................ 257,000 63,422
Prime Utilities Berhad................................ 56,000 42,490
*Promet Berhad........................................ 201,000 10,735
Public Finance Berhad................................. 95,000 29,042
Putera Capital Berhad................................. 77,000 20,987
Road Builders (Malaysia) Holdings Berhad.............. 35,000 21,271
SCB Developments Berhad............................... 215,000 76,814
SP Settia Berhad...................................... 35,000 12,053
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sarawak Enterprise Corp. Berhad....................... 293,000 $ 76,083
*Sateras Resources (Malaysia) Berhad.................. 292,000 31,190
Scientex, Inc. Berhad................................. 3,000 1,050
Selangor Dredging Berhad.............................. 356,000 44,254
Selangor Properties Berhad............................ 532,000 161,657
Shangri-la Hotels (Malaysia) Berhad................... 682,000 172,070
Siah Brothers Corp. Berhad............................ 52,000 10,151
*Silverstone Berhad................................... 66,920 0
*South East Asia Lumber, Inc. Berhad.................. 12,000 2,475
*South Malaysia Industries Berhad..................... 240,000 24,309
Southern Acids (Malaysia) Berhad...................... 24,000 7,912
Sriwani Holdings Berhad............................... 55,000 17,219
Ta Enterprise Berhad.................................. 941,000 188,893
*Taiping Consolidated Berhad.......................... 332,000 36,379
Talam Corp. Berhad.................................... 191,000 34,999
Tan & Tan Developments Berhad......................... 496,000 121,488
Tan Chong Motor Holdings Berhad....................... 981,000 202,343
*Time Engineering Berhad.............................. 796,000 153,923
*Tongkah Holdings Berhad.............................. 205,000 51,344
Tradewinds (Malaysia) Berhad.......................... 289,000 103,252
Tronoh Mines Malaysia Berhad.......................... 62,000 67,366
UMW Holdings Berhad................................... 249,000 133,442
Uniphone Telecommunications Berhad.................... 212,000 36,309
Utusan Melayu (Malaysia) Berhad....................... 95,000 21,869
*Wembley Industries Holdings Berhad................... 128,000 0
*Westmont Industries Berhad........................... 361,000 59,169
*Westmont Land (Asia) Berhad.......................... 238,000 39,448
*Wing Tiek Holdings Berhad............................ 86,000 14,096
Worldwide Holdings Berhad............................. 156,000 35,337
------------
TOTAL COMMON STOCKS
(Cost $44,529,872)................................... 12,770,474
------------
RIGHTS/WARRANTS -- (0.0%)
*Mechmar Corp. Berhad Rights 01/12/99 (Cost $0)....... 67,000 123
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Malaysian Ringetts
(Cost $14).......................................... 14
------------
TOTAL -- MALAYSIA
(Cost $44,529,886)................................... 12,770,611
------------
SWEDEN -- (2.7%)
COMMON STOCKS -- (2.6%)
Alma Industri & Handel AB Series B.................... 8,000 174,545
*Althin Medical AB Series B........................... 23,800 139,353
Angpannefoereningen AB Series B....................... 7,650 119,760
*Argonaut AB Series A................................. 62,600 41,669
*Argonaut AB Series B................................. 571,480 359,266
Avesta Sheffield AB................................... 214,800 683,124
B & N Bylock & Nordsjoefrakt AB Series B.............. 99,200 234,778
BPA AB Series A....................................... 64,900 176,000
BPA AB Series B....................................... 84,000 212,265
Beijer AB Series B.................................... 8,000 115,871
Benima Ferator Engineering AB......................... 10,600 43,903
Berg (C.F.) & Co. AB Series B......................... 19,200 41,418
Bong Ljungdahl AB..................................... 15,200 116,166
Boras Waefveri AB Series B............................ 15,900 109,757
Celsius Industrier AB Series B........................ 42,900 687,458
Concordia Maritime AB Series B........................ 136,100 186,220
Diligentia AB......................................... 108,370 728,033
</TABLE>
36
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Evidentia Fastigheter AB Series A.................... 40,410 $ 189,286
*Evidentia Fastigheter AB Series B.................... 3,900 17,307
FFNS Gruppen AB Series B.............................. 47,050 376,980
*Fagerlid Industrier AB............................... 51,750 105,892
Fastighets AB Tornet.................................. 17,750 231,926
*Fastighits AB Celtica................................ 11,000 53,153
*Firefly AB........................................... 5,800 3,039
Geveko AB Series B.................................... 19,900 228,129
Gorthon Lines AB Series B............................. 69,300 286,169
ICB Shipping AB Series B.............................. 135,200 1,049,935
*Intelligent Micro Systems Data AB.................... 7,500 38,367
JP Bank Series A...................................... 48,100 243,094
JP Bank Series B...................................... 23,100 123,864
*Jacobson and Widmark AB.............................. 31,000 152,851
*Kjessler & Mannerstrale AB........................... 20,200 69,720
*Klippans Finpappersbruk AB........................... 30,800 62,644
Meda AB Series A...................................... 12,700 62,619
NH Nordiska Holding AB................................ 86,500 102,361
Naerkes Elektriska AB Series B........................ 26,100 173,732
Piren AB.............................................. 78,118 577,760
Platzer Bygg AB Series B.............................. 236,100 270,660
#Prifast AB........................................... 74,742 741,662
Rottneros Bruk AB..................................... 1,191,000 543,199
*Scandiaconsult AB.................................... 31,700 139,890
Spendrups Bryggeri AB Series B........................ 47,200 145,455
*Stena Line AB Series B............................... 303,500 321,738
*Sweco AB Series B.................................... 47,050 121,794
Wallenstam Byggnads AB Series B....................... 79,600 407,199
Westergyllen AB Series B.............................. 6,800 124,894
Wihlborg & Son AB Series B............................ 560,350 545,672
------------
TOTAL COMMON STOCKS
(Cost $15,796,480)................................... 11,680,577
------------
FACE
AMOUNT@
------------
(000)
BONDS -- (0.1%)
*Wihlborgs Fastigheter AB 5.83% Notes 12/02/02 (Cost
$452,917)........................................... 57 668,159
------------
SHARES
------------
RIGHTS/WARRANTS -- (0.0%)
*Jacobson & Widmark AB Rights 03/01/99................ 31,000 1,529
*Wihlborgs Fastigheter AB Warrants 12/20/02........... 169,740 21,969
------------
TOTAL RIGHTS/WARRANTS
(Cost $85,873)....................................... 23,498
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $503)......................................... 498
------------
TOTAL -- SWEDEN
(Cost $16,335,773)................................... 12,372,732
------------
DENMARK -- (2.1%)
COMMON STOCKS -- (2.1%)
Aalborg Portland Holding A.S. Series A................ 22,780 370,262
Aalborg Portland Holding A.S. Series B................ 5,950 97,192
Aarhus Oliefabrik A.S. Series A....................... 6,770 227,491
Albani Bryggerierne Series B.......................... 1,140 89,118
SHARES VALUE+
------------ ------------
Alm Brand A.S. Series B............................... 28,044 $ 610,787
Amagerbanken A.S...................................... 3,842 163,171
Ambu International AS Series B........................ 608 28,139
Amtssparekassen Fyn A.S............................... 4,181 218,545
Andersen & Martini Series B........................... 500 22,169
Bording (F.E.) A.S. Series B.......................... 475 21,799
Broedrene Hartmann A.S. Series B...................... 1,312 183,695
Chemitalic A.S........................................ 2,230 39,549
Cubic Modulsystem A/S Series B........................ 400 26,447
Dalhoff, Larsen & Hornemann A.S. Series B............. 1,813 43,435
Dampskibsselsk et Torm A.S............................ 3,657 126,299
Dampskibsselskabet Norden A.S......................... 937 69,677
*Dansk Data Elektronik A.S............................ 1,190 24,437
Denka Holding A.S..................................... 400 37,959
Djursland Bank........................................ 473 33,849
*#East Asiatic Co., Ltd............................... 46,252 262,631
Egnsbank Fyn Aktieselskab............................. 300 34,303
Egnsbank Han Herred................................... 2,545 69,286
Egnsbank Nord A.S..................................... 708 67,187
Ejendamsselskabet Norden A.S.......................... 1,953 95,705
Fih A.S. Series B..................................... 33,364 737,036
Foras Holding A.S. Series B........................... 2,979 129,299
Forstaedernes Bank.................................... 4,715 91,461
Fredgaard Radio AS.................................... 2,177 125,309
Haandvaerkerbanken I Naestved......................... 519 40,370
Hedegaard (Peder P.) A.S.............................. 1,406 51,401
Henriksen Og Henriksen Holding A/S Series B........... 500 30,880
Hoejgaard Holding A.S. Series A....................... 2,076 201,850
Hoejgaard Holding A.S. Series B....................... 1,415 137,581
Hoffman & Sonner A.S. Series B........................ 1,261 40,608
*Junckers (F.) Industrier A.S......................... 3,475 124,338
Kompan A.S............................................ 310 14,830
Korn-Og Foderstof Kompagnet A.S....................... 26,230 497,829
Lan & Spar Bank A.S................................... 5,706 184,636
Lauritzen (J.) Holding Series B....................... 5,218 422,114
Lokalbanken I Nordsjaelland A.S....................... 690 53,671
*Midtbank A.S......................................... 5,700 185,329
Migatronic Series B................................... 1,294 33,215
Moens Bank A.S........................................ 424 21,899
Morso Bank............................................ 240 20,535
Naestved Diskontobanken............................... 651 72,412
Nordvestbank.......................................... 943 86,847
Norresundby Bank...................................... 439 63,173
*Obtec A.S............................................ 510 34,910
Ove Arkil Series B.................................... 680 46,017
*Rederiet Knud I. Larsen A.S.......................... 3,619 11,260
Ringkjoebing Bank..................................... 344 69,570
Ringkjoebing Landbobank............................... 513 130,085
Salling Bank.......................................... 500 25,280
*Scanbox Danmark A/S Series B......................... 3,400 71,406
Skaelskor Bank........................................ 540 28,562
Skjern Bank A.S....................................... 306 24,992
Spaencom A.S.......................................... 300 21,002
Spar Nord Holding..................................... 11,919 570,174
Sparbank Vest A.S..................................... 2,374 184,660
Sparekassen Faaborg A.S............................... 1,634 134,726
Sydbank A.S........................................... 15,770 723,729
The Bank of Greenland A.S., Nuuk...................... 3,430 98,716
Thrigetitan AS Series A............................... 100 8,478
*Topdanmark A.S....................................... 2,460 448,523
</TABLE>
37
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Torsana A/S Series B.................................. 200 $ 16,646
Totalbanken A.S....................................... 600 33,603
Vestfyns Bank......................................... 500 20,613
Vestjysk Bank......................................... 1,576 94,393
Vt Holdings A Shares.................................. 420 15,355
Vt Holdings Class B................................... 3,780 126,431
Wessel & Vett Magasin du Nord A.S. Series C........... 6,498 308,320
------------
TOTAL COMMON STOCKS
(Cost $12,435,926)................................... 9,577,206
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone (Cost $0)............................... 1
------------
TOTAL -- DENMARK
(Cost $12,435,926)................................... 9,577,207
------------
NORWAY -- (1.8%)
COMMON STOCKS -- (1.8%)
*Askia Invest ASA..................................... 93,000 14,452
*Awilco ASA Series A.................................. 22,700 38,013
Bergensbanken ASA..................................... 24,056 191,752
Braathens S.A.F.E. ASA................................ 86,300 398,868
*Broevig Offshore ASA................................. 6,600 33,157
*C. Tybring-Gjedde ASA................................ 19,000 95,452
*Color Line ASA....................................... 110,300 280,756
Dyno Industrier ASA................................... 68,522 1,083,207
#Elkem ASA............................................ 132,052 1,397,563
*Fesil ASA............................................ 19,257 79,974
Gresvig ASA........................................... 13,300 106,906
Hafslund ASA.......................................... 45,500 292,585
Helicopter Services Group ASA......................... 54,652 289,203
*Kenor ASA............................................ 24,000 11,575
*Kongsberg Automotive ASA............................. 11,499 112,456
Kverneland ASA........................................ 21,732 518,226
Leif Hoegh & Co. ASA.................................. 80,400 1,012,472
Moelven Industrier ASA................................ 179,016 121,111
Nera ASA.............................................. 157,700 226,055
*Nomadic Shipping ASA................................. 33,021 26,542
Nordlandsbanken ASA................................... 16,808 378,290
*Nydalens Compagnie ASA Series A...................... 10,112 52,832
*Raufoss Ammunisjonfabrikker ASA...................... 3,100 33,224
Sagatex AS............................................ 18,200 88,995
Se Labels ASA......................................... 14,028 93,965
*Sensonor ASA......................................... 57,632 131,254
Smedvig ASA........................................... 30,600 278,759
Storli ASA Series A................................... 52,474 456,938
Ugland Nordic Shipping ASA............................ 4,000 34,832
Veidekke ASA.......................................... 3,000 40,190
*Wabo A.S.A........................................... 24,000 740
*Waterfront Shipping ASA Series A..................... 24,000 2,572
------------
TOTAL COMMON STOCKS
(Cost $11,492,289)................................... 7,922,916
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Norwegian Krone
(Cost $63,321)...................................... 63,463
------------
TOTAL -- NORWAY
(Cost $11,555,610)................................... 7,986,379
------------
BELGIUM -- (1.3%)
COMMON STOCKS -- (1.3%)
*Banque Belgo-Zairoise Belgolaise SA.................. 83 22,338
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Belge des Betons...................................... 626 $ 358,842
CFE (Compagnie Francois d'Entreprises)................ 2,996 674,078
CMB (Cie Martime Belge)............................... 9,700 455,947
Cofinimmo SA.......................................... 5,550 701,504
Floridienne NV........................................ 1,900 117,082
*Forges de Clabecq SA................................. 1,760 101
*Franki NV (Cie Internationale des Pieux Armes
Frankignoul SA)..................................... 1,800 5,417
Ibel (Nouvelle)....................................... 2,500 172,327
*Immobel (Cie Immobiliere de Belgique SA)............. 17,260 1,266,424
*Papeteries de Catala SA.............................. 450 74,935
Quick Restaurants SA.................................. 4,000 141,014
*Recticel SA.......................................... 58,686 706,451
SIPEF (Societe Internationale de Plantations & de
Finance), Anvers.................................... 275 37,439
Sapec SA.............................................. 6,401 436,640
Spector Photo Group SA................................ 3,000 100,086
Ter Beke NV........................................... 1,600 141,702
Uco Textiles NV....................................... 2,000 212,095
------------
TOTAL COMMON STOCKS
(Cost $5,512,403).................................... 5,624,422
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Belgian Francs
(Cost $6,259)....................................... 6,462
------------
TOTAL -- BELGIUM
(Cost $5,518,662).................................... 5,630,884
------------
FINLAND -- (1.2%)
COMMON STOCKS -- (1.2%)
*Amer Group P.L.C..................................... 80,600 885,668
Bank of Aland, Ltd.................................... 5,700 123,051
Benefon Oy............................................ 19,000 111,226
Finnair Oyj........................................... 102,600 600,622
Finvest Oyj........................................... 116,395 158,460
Honkarakenne Oy Series B.............................. 15,900 78,854
Interavanti Oy........................................ 45,000 52,511
Julius Tallberg-Kiinteistoet Oy, Helsinki Series B.... 11,601 80,096
#Kone Oy Series B..................................... 9,000 1,032,718
Laennen Tehtaat Oy.................................... 12,500 170,175
Lemminkainen Oy....................................... 23,600 206,544
#Okobank Series A..................................... 30,570 544,006
Olvi Oyj Series A..................................... 7,500 151,699
Oy Leo-Longlife, Ltd. Series A........................ 3,900 65,610
#Partek Oyj........................................... 74,600 812,483
Raute Oy Series A..................................... 11,200 87,130
*Silja Oy AB Series A................................. 70,800 185,889
Tamfelt Oyj........................................... 700 17,698
Tulikivi Oy........................................... 5,900 122,779
------------
TOTAL COMMON STOCKS
(Cost $7,018,167).................................... 5,487,219
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Finnish Markka
(Cost $100)......................................... 107
------------
TOTAL -- FINLAND
(Cost $7,018,267).................................... 5,487,326
------------
</TABLE>
38
<PAGE>
THE DFA INTERNATIONAL SMALL CAP VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
NEW ZEALAND -- (0.6%)
COMMON STOCKS -- (0.6%)
AFFCO Holdings, Ltd................................... 145,200 $ 16,855
CDL Hotels NZ, Ltd.................................... 255,100 48,457
Cavalier Corp., Ltd................................... 53,900 95,560
Ceramco Corp., Ltd.................................... 72,600 42,138
DB Group, Ltd......................................... 151,200 251,309
*Evergreen Forests, Ltd............................... 2,000 475
Independent Newspapers, Ltd. (Auckland)............... 193,547 730,194
New Zealand Oil & Gas, Ltd............................ 110,000 23,217
PDL Holdings, Ltd..................................... 20,300 45,202
Progessive Enterprises, Ltd........................... 190,700 135,841
Richina Pacific, Ltd.................................. 83,326 26,380
Sanford, Ltd.......................................... 214,000 355,689
Shortland Properties, Ltd............................. 393,900 130,940
St. Lukes Group, Ltd.................................. 255,181 241,017
Steel & Tube Holdings, Ltd............................ 132,200 110,911
Tasman Agriculture, Ltd............................... 99,400 40,910
*Tourism Holdings, Ltd................................ 40,114 23,071
Trans Tasman Properties, Ltd.......................... 543,540 123,324
Tranz Rail Holdings, Ltd.............................. 181,100 320,117
Wrightson, Ltd........................................ 222,300 39,881
------------
TOTAL COMMON STOCKS
(Cost $2,585,332).................................... 2,801,488
------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $5)........................................... 6
------------
TOTAL -- NEW ZEALAND
(Cost $2,585,337).................................... 2,801,494
------------
IRELAND -- (0.4%)
COMMON STOCKS -- (0.3%)
Abbey P.L.C........................................... 34,858 117,788
Ardagh P.L.C.......................................... 30,537 53,836
Arnotts P.L.C......................................... 14,090 111,783
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Barlo Group P.L.C..................................... 250,000 $ 227,720
*Dunloe Ewart P.L.C................................... 38,000 17,307
Golden Vale P.L.C..................................... 142,059 183,663
Green Proper Co....................................... 61,899 395,587
Jurys Hotel Group P.L.C............................... 39,870 307,521
Ryan Hotels P.L.C..................................... 65,978 66,883
------------
TOTAL COMMON STOCKS
(Cost $1,400,838).................................... 1,482,088
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Irish Punt
(Cost $259,321)..................................... 259,928
------------
TOTAL -- IRELAND
(Cost $1,660,159).................................... 1,742,016
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH
INVESTMENTS -- (1.1%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.125%, 12/31/01, valued at $5,133,300) to be
repurchased at $5,049,694. (Cost $5,049,000)........ $ 5,049 5,049,000
------------
TOTAL INVESTMENTS -- (100%)
(Cost $605,043,400)++................................ $446,992,180
------------
------------
- --------------------
+ See Note B to Financial Statements.
@ Denominated in local currency.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $605,218,917.
## Illiquid securities fair valued by the Board of Directors.
</TABLE>
See accompanying Notes to Financial Statements.
39
<PAGE>
SCHEDULES OF INVESTMENTS
THE EMERGING MARKETS PORTFOLIO
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C>
Investment in The Emerging Markets Series of The DFA Investment Trust Company............................... $ 225,306,263
----------------
Total Investments (100%) (Cost $288,775,470)++.......................................................... $ 225,306,263
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $293,412,815.
THE EMERGING MARKETS SMALL CAP PORTFOLIO
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
VALUE+
----------------
<S> <C>
Investment in The Emerging Markets Small Cap Series of The DFA Investment Trust Company..................... $ 4,974,696
----------------
Total Investments (100%) (Cost $5,303,834)++............................................................ $ 4,974,696
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $5,343,446.
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ----------------
<S> <C> <C>
Investment in The DFA One-Year Fixed Income Series of The DFA Investment Trust Company....... 75,108,004 $ 752,582,205
----------------
Total Investments (100%) (Cost $745,278,083)++........................................... $ 752,582,205
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $749,681,312.
THE DFA TWO-YEAR GLOBAL FIXED INCOME PORTFOLIO
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------- ----------------
<S> <C> <C>
Investment in The DFA Two-Year Fixed Income Series of The DFA Investment Trust Company....... 43,183,463 $ 440,903,165
----------------
Total Investments (100%) (Cost $433,353,420)++........................................... $ 440,903,165
----------------
----------------
</TABLE>
- --------------
++The cost for federal income tax purposes is $435,471,294.
- --------------
+See Note B to Financial Statements.
See accompanying Notes to Financial Statements.
40
<PAGE>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
AGENCY OBLIGATIONS -- (99.3%)
Federal Farm Credit Bank
4.720%, 12/02/98................................... $ 28,500 $ 28,496,167
5.020%, 12/09/98................................... 24,000 23,974,560
4.770%, 12/15/98................................... 9,350 9,332,400
4.860%, 01/04/99................................... 9,000 8,957,585
5.000%, 01/05/99................................... 26,000 25,873,864
5.000%, 01/06/99................................... 50,000 49,750,500
5.020%, 01/08/99................................... 10,000 9,947,327
5.000%, 01/15/99................................... 24,000 23,850,300
Federal Home Loan Bank
4.790%, 12/16/98................................... 7,000 6,986,262
5.040%, 02/05/99................................... 23,000 22,792,540
------------
TOTAL AGENCY OBLIGATIONS
(Cost $209,955,500).................................. 209,961,505
------------
TEMPORARY CASH INVESTMENTS -- (0.7%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.25%, 08/31/02, valued at $1,531,863) to be
repurchased at $1,505,207.
(Cost $1,505,000)................................ 1,505 1,505,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $211,460,500)++................................ $211,466,505
------------
------------
- --------------------
+ See Note B to Financial Statements.
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
41
<PAGE>
THE DFA GLOBAL FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
FRANCE -- (21.1%)
BONDS -- (21.1%)
Belgium (Kingdom of)
6.875%, 05/30/02................................... 35,000 $ 6,797,932
Caisse d'Amortissement et de Dette Sociale
5.500%, 04/25/02................................... 49,200 9,206,332
Credit Local de France SA Euro Medium Term Notes
5.375%, 10/11/01................................... 31,000 5,712,185
6.000%, 07/01/02................................... 20,000 3,787,199
France (Government of) BTAN
5.500%, 10/12/01................................... 38,000 7,079,759
4.750%, 03/12/02................................... 30,000 5,499,355
France Telecom SA
9.000%, 07/27/01................................... 50,000 10,004,038
KFW International Finance, Inc.
8.750%, 06/26/02................................... 33,800 6,957,619
SNCF (Societe Nationale de Chemins de Fer Francais)
7.750%, 03/01/02................................... 67,800 13,390,931
Suedwestdeutsche Landesbank Giro & Suedwestlb Capital
Markets P.L.C.
6.000%, 03/08/02................................... 15,500 2,925,264
Toyota Motor Credit Corp. Euro Medium Term Notes
6.250%, 04/11/02................................... 30,000 5,661,226
------------
TOTAL BONDS
(Cost $73,200,983)................................... 77,021,840
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*French Francs (Cost $2).............................. 2
------------
TOTAL -- FRANCE
(Cost $73,200,985)................................... 77,021,842
------------
UNITED STATES -- (23.7%)
COMMERCIAL PAPER -- (21.0%)
Barton Capital Corp. C.P.
5.370%, 01/14/99................................... 4,800 4,768,496
5.300%, 01/27/99................................... 5,000 4,958,042
CC (USA), Inc. C.P.
5.200%, 02/22/99................................... 7,000 6,917,853
Ciesco L.P. C.P.
5.250%, 01/14/99................................... 16,000 15,897,333
Enterprise Funding Corp. C.P.
5.250%, 12/03/98................................... 3,000 2,999,125
Equipment Intermediation Partnership C.P.
5.350%, 12/07/98................................... 13,000 12,988,408
National Rural Utilities C.P.
5.050%, 02/18/99................................... 3,000 2,966,162
Sheffield Corp. C.P.
5.300%, 12/01/98................................... 4,000 4,000,000
Sigma Finance Corp. C.P.
5.440%, 01/07/99................................... 11,000 10,938,498
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
Statoil Corp. C.P.
5.150%, 12/11/98................................... 10,000 $ 9,985,694
------------
TOTAL COMMERCIAL PAPER
(Cost $76,418,428)................................... 76,419,611
------------
VARIABLE RATE
OBLIGATIONS -- (2.7%)
Chase Manhattan Corp.
5.500%, 11/24/00................................... 10,000 10,000,000
------------
TOTAL --
(Cost $10,000,000)................................... 10,000,000
------------
TOTAL -- UNITED STATES
(Cost $86,418,428)................................... 86,419,611
------------
GERMANY -- (19.7%)
BONDS -- (19.6%)
Denmark (Kingdom of)
4.750%, 01/07/02................................... 5,500 3,323,525
Deutsche Bahn Finance BV
6.875%, 07/19/02................................... 7,100 4,619,170
Germany (Federal Republic of)
8.000%, 07/22/02................................... 12,000 8,094,489
Japan Finance Corp. for Small Business
4.500%, 08/07/02................................... 17,400 10,491,785
LB Rheinland-Pfalz Finance BV
5.375%, 02/12/02................................... 14,700 9,093,276
Landwirtschaftliche Rentenbank
5.000%, 07/30/02................................... 9,000 5,541,229
Minnesota Mining & Manufacturing Co.
5.000%, 10/15/01................................... 19,700 12,070,879
Suedwestdeutsche Landesbank Capital Markets P.L.C.
5.375%, 02/06/02................................... 7,000 4,326,406
Tokyo Electric Power Co., Inc.
4.750%, 06/16/02................................... 15,000 9,075,693
7.625%, 11/06/02................................... 7,000 4,622,423
------------
TOTAL BONDS
(Cost $69,095,005)................................... 71,258,875
------------
INVESTMENT IN
CURRENCY -- (0.1%)
*German Marks (Cost $386,382)......................... 389,513
------------
TOTAL -- GERMANY
(Cost $69,481,387)................................... 71,648,388
------------
JAPAN -- (19.6%)
BONDS -- (19.6%)
Asian Development Bank
5.000%, 02/05/03................................... 1,600,000 15,339,886
Credit Local de France SA
6.000%, 10/31/01................................... 400,000 3,774,812
Deutsche Siedlungs Landesrentenbank
2.600%, 07/10/02................................... 868,000 7,564,987
Eksportfinans ASA
2.650%, 07/10/02................................... 360,000 3,142,531
</TABLE>
42
<PAGE>
THE DFA GLOBAL FIXED INCOME PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
European Investment Bank
4.625%, 02/26/03................................... 1,500,000 $ 14,262,273
Inter-American Development Bank
2.250%, 02/05/02................................... 1,358,000 11,638,638
Nordic Investment Bank
2.600%, 06/28/02................................... 60,000 522,632
World Bank (International Bank for Reconstruction and
Development)
4.500%, 03/20/03................................... 1,580,000 14,991,011
------------
TOTAL -- JAPAN
(Cost $72,164,593)................................... 71,236,770
------------
SWEDEN -- (6.3%)
BONDS -- (6.3%)
Eksportfinans ASA
7.500%, 08/16/01................................... 39,000 5,184,776
Nordic Investment Bank, Helsinki
7.500%, 02/28/01................................... 47,100 6,219,813
Sweden Govt Bond
13.000%, 06/15/01.................................. 78,000 11,701,202
------------
TOTAL BONDS
(Cost $23,421,648)................................... 23,105,791
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Swedish Krona (Cost $2,364).......................... 2,268
------------
TOTAL -- SWEDEN
(Cost $23,424,002)................................... 23,108,059
------------
AUSTRALIA -- (6.2%)
BONDS -- (6.2%)
Airservices Australia
7.375%, 11/15/01................................... 2,750 1,829,494
Alberta (Province of)
7.000%, 03/20/02................................... 5,500 3,622,676
KFW International Finance, Inc.
7.375%, 05/09/01................................... 6,000 3,961,442
Mobil Australia Finance Co., Inc.
6.625%, 03/15/01................................... 2,000 1,296,209
New South Wales Treasury Corp.
8.000%, 12/01/01................................... 7,000 4,784,542
New South Wales Treasury Corp. Euro Medium Term Notes
8.750%, 04/18/02................................... 2,000 1,389,020
State Bank of New South Wales
11.750%, 08/16/01.................................. 3,800 2,778,920
10.750%, 03/12/02.................................. 2,000 1,456,930
State Bank of South Australia
11.000%, 04/10/02.................................. 2,000 1,473,279
------------
TOTAL BONDS
(Cost $24,568,606)................................... 22,592,512
------------
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
INVESTMENT IN
CURRENCY -- (0.0%)
*Australian Dollar (Cost $1).......................... $ 1
------------
TOTAL -- AUSTRALIA
(Cost $24,568,607)................................... 22,592,513
------------
NETHERLANDS -- (1.5%)
BONDS -- (1.5%)
Netherlands (Kingdom of)
5.750%, 09/15/02 (Cost $5,331,157)................. 10,000 5,609,521
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $56)....................... 54
------------
TOTAL -- NETHERLANDS
(Cost $5,331,213).................................... 5,609,575
------------
CANADA -- (1.1%)
BONDS -- (1.1%)
Toyota Credit Canada, Inc.
7.375%, 12/31/01 (Cost $4,335,834)................. 5,603 3,872,096
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Canadian Dollars (Cost $2)........................... 2
------------
TOTAL -- CANADA
(Cost $4,335,836).................................... 3,872,098
------------
UNITED KINGDOM -- (0.0%)
INVESTMENT IN
CURRENCY -- (0.0%)
*British Pound Sterling (Cost $73).................... 73
------------
TEMPORARY CASH
INVESTMENTS -- (0.8%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.125%, 12/31/01, valued at $2,971,350) to be
repurchased at $2,922,402. (Cost $2,922,000)........ 2,922 2,922,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $361,847,124)++................................ $364,430,929
------------
------------
- --------------------
+ 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.
43
<PAGE>
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
AGENCY OBLIGATIONS -- (59.8%)
Farm Credit System Financial Assistance Corp.
9.375%, 07/21/03................................... $ 2,000 $ 2,347,500
8.800%, 06/10/05................................... 1,000 1,208,750
Federal Farm Credit Bank
7.030%, 06/24/03................................... 2,000 2,161,222
6.400%, 10/09/07................................... 2,500 2,675,745
6.000%, 01/07/08................................... 5,000 5,205,846
6.450%, 10/07/09................................... 2,000 2,163,728
7.160%, 05/19/10................................... 3,000 3,435,859
6.135%, 12/13/10................................... 4,000 4,244,790
6.740%, 04/11/11................................... 1,000 1,115,000
6.260%, 12/02/11................................... 2,000 2,151,446
6.280%, 11/26/12................................... 1,000 1,081,511
6.060%, 05/28/13................................... 3,600 3,821,778
Federal Home Loan Bank
5.930%, 03/07/03................................... 4,085 4,224,232
5.440%, 10/15/03................................... 8,550 8,699,273
7.445%, 03/29/05................................... 3,000 3,362,338
5.935%, 04/22/05................................... 2,000 2,081,151
6.010%, 05/20/05................................... 11,000 11,496,246
5.265%, 11/25/05................................... 6,000 6,033,582
6.440%, 11/28/05................................... 1,350 1,448,707
6.900%, 02/07/07................................... 5,000 5,518,129
6.370%, 09/26/07................................... 7,425 7,945,876
6.200%, 10/10/07................................... 2,000 2,117,087
5.895%, 01/14/08................................... 2,100 2,175,466
6.030%, 01/30/08................................... 2,000 2,091,436
6.185%, 05/06/08................................... 1,000 1,058,127
6.045%, 05/22/08................................... 1,000 1,048,086
5.945%, 07/28/08................................... 6,000 6,247,672
5.550%, 11/17/08................................... 5,000 5,088,040
Federal Home Loan Mortgage Corp.
7.350%, 03/22/05................................... 2,000 2,230,808
6.130%, 02/27/06................................... 1,000 1,047,430
7.100%, 04/10/07................................... 2,000 2,233,228
6.480%, 12/05/11................................... 2,000 2,192,149
Federal National Mortgage Association
6.710%, 05/21/03................................... 2,000 2,133,035
6.050%, 06/30/03................................... 3,000 3,123,658
5.450%, 10/10/03................................... 2,000 2,035,673
6.480%, 06/28/04................................... 2,000 2,135,366
7.400%, 07/01/04................................... 1,000 1,109,962
7.875%, 02/24/05................................... 2,000 2,289,392
7.375%, 03/28/05................................... 1,000 1,117,000
6.220%, 03/13/06................................... 3,070 3,232,844
6.890%, 04/25/06................................... 1,525 1,668,808
6.570%, 08/22/07................................... 2,000 2,162,343
6.470%, 09/25/12................................... 3,410 3,749,539
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
Student Loan Marketing Association
5.850%, 06/01/07................................... $ 1,000 $ 1,031,039
Tennessee Valley Authority
6.375%, 06/15/05................................... 5,000 5,300,000
------------
TOTAL AGENCY OBLIGATIONS
(Cost $135,655,284).................................. 141,040,897
------------
U.S. TREASURY OBLIGATIONS -- (38.6%)
U.S. Treasury Bonds
10.750%, 05/15/03.................................. 8,000 9,898,274
11.125%, 08/15/03.................................. 2,000 2,529,576
11.875%, 11/15/03.................................. 3,000 3,928,897
12.375%, 05/15/04.................................. 6,000 8,158,303
13.750%, 08/15/04.................................. 6,000 8,648,011
11.625%, 11/15/04.................................. 5,000 6,752,411
12.000%, 05/15/05.................................. 7,000 9,764,818
10.750%, 08/15/05.................................. 8,000 10,695,794
9.375%, 02/15/06................................... 11,000 14,027,117
U.S. Treasury Notes
7.250%, 05/15/04................................... 3,000 3,362,419
7.000%, 07/15/06................................... 5,000 5,684,926
6.625%, 05/15/07................................... 2,000 2,245,489
6.125%, 08/15/07................................... 5,000 5,448,504
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $87,030,716)................................... 91,144,539
------------
TEMPORARY CASH INVESTMENTS -- (1.6%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.25%, 08/31/02, valued at $3,859,013) to be
repurchased at $3,797,522.
(Cost $3,797,000)................................... 3,797 3,797,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $226,483,000)++................................ $235,982,436
------------
------------
- --------------------
+ See Note B to Financial Statements.
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
44
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
THE U.S. THE ENHANCED THE U.S.
LARGE U.S. LARGE LARGE THE U.S.
COMPANY COMPANY CAP VALUE 6-10 VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ -------------- ------------ -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value........................................ $ 549,974 $ 61,523 $ 1,080,593 $ 2,350,682
Receivables
Investment Securities Sold.............................. 451 -- -- 1,177
Fund Shares Sold........................................ 25 4 284 355
Prepaid Expenses and Other Assets........................... -- 23 27 31
------------ -------------- ------------ -------------
Total Assets........................................ 550,450 61,550 1,080,904 2,352,245
------------ -------------- ------------ -------------
LIABILITIES:
Payable for Investment Securities Purchased................. 113 4 112 --
Payable for Fund Shares Redeemed............................ 338 -- 172 1,532
Accrued Expenses and Other Liabilities...................... 37 10 150 619
------------ -------------- ------------ -------------
Total Liabilities................................... 488 14 434 2,151
------------ -------------- ------------ -------------
NET ASSETS.................................................. $ 549,962 $ 61,536 $ 1,080,470 $ 2,350,094
------------ -------------- ------------ -------------
------------ -------------- ------------ -------------
SHARES OUTSTANDING $.01 PAR VALUE........................... 15,888,034 4,312,555 53,451,003 123,137,987
------------ -------------- ------------ -------------
------------ -------------- ------------ -------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE.............. $ 34.61 $ 14.27 $ 20.21 $ 19.09
------------ -------------- ------------ -------------
------------ -------------- ------------ -------------
PUBLIC OFFERING PRICE PER SHARE............................. $ 34.61 $ 14.27 $ 20.21 $ 19.09
------------ -------------- ------------ -------------
------------ -------------- ------------ -------------
Investments at Cost......................................... $ 344,475 $ 51,341 $ 805,589 $ 2,075,505
------------ -------------- ------------ -------------
------------ -------------- ------------ -------------
</TABLE>
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE DFA
6-10 SMALL 9-10 SMALL REAL ESTATE
COMPANY COMPANY SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------- -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE
AMOUNTS)
<S> <C> <C> <C>
ASSETS:
Investments at Value..................................................... $ 324,695 $ 1,339,425 $ 106,399
Collateral for Securities Loaned......................................... -- -- 39
Receivables
Dividends and Interest............................................... -- -- 193
Investment Securities Sold........................................... 122 89 --
Fund Shares Sold..................................................... 168 418 12
Prepaid Expenses and Other Assets........................................ 11 25 5
------------ ------------- -------------
Total Assets..................................................... 324,996 1,339,957 106,648
------------ ------------- -------------
LIABILITIES:
Payable for Securities Loaned............................................ -- -- 39
Payable for Fund Shares Redeemed......................................... 290 507 20
Accrued Expenses and Other Liabilities................................... 116 940 45
------------ ------------- -------------
Total Liabilities................................................ 406 1,447 104
------------ ------------- -------------
NET ASSETS............................................................... $ 324,590 $ 1,338,510 $ 106,544
------------ ------------- -------------
------------ ------------- -------------
SHARES OUTSTANDING $.01 PAR VALUE........................................ 23,571,573 125,735,879 8,194,130
------------ ------------- -------------
------------ ------------- -------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE........................... $ 13.77 $ 10.65 $ 13.00
------------ ------------- -------------
------------ ------------- -------------
PUBLIC OFFERING PRICE PER SHARE.......................................... $ 13.77 $ 10.65 $ 13.00
------------ ------------- -------------
------------ ------------- -------------
Investments at Cost...................................................... $ 275,335 $ 1,111,510 $ 109,314
------------ ------------- -------------
------------ ------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
45
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
THE
THE LARGE CAP INTERNATIONAL THE JAPANESE THE PACIFIC RIM
INTERNATIONAL SMALL COMPANY SMALL COMPANY SMALL COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ------------- -------------- ----------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value.................................. $ 115,126 $ 274,030 $ 119,760 $ 89,360
Collateral for Securities Loaned...................... 3,090 -- -- --
Cash.................................................. 15 15 -- --
Receivables
Dividends, Interest and Tax Reclaims.............. 300 -- -- --
Investment Securities Sold........................ -- 1 55 114
Fund Shares Sold.................................. 27 56 4 --
Prepaid Expenses and Other Assets..................... 18 29 6 7
--------------- ------------- -------------- ----------------
Total Assets.................................. 118,576 274,131 119,825 89,481
--------------- ------------- -------------- ----------------
LIABILITIES:
Payable for Securities Loaned......................... 3,090 -- -- --
Payable for Investment Securities Purchased........... 810 -- -- --
Payable for Fund Shares Redeemed...................... 31 50 59 113
Accrued Expenses and Other Liabilities................ 52 89 52 38
--------------- ------------- -------------- ----------------
Total Liabilities............................. 3,983 139 111 151
--------------- ------------- -------------- ----------------
NET ASSETS............................................ $ 114,593 $ 273,992 $ 119,714 $ 89,330
--------------- ------------- -------------- ----------------
--------------- ------------- -------------- ----------------
SHARES OUTSTANDING $.01 PAR VALUE..................... 7,037,221 35,028,832 13,151,636 13,627,762
--------------- ------------- -------------- ----------------
--------------- ------------- -------------- ----------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE........ $ 16.28 $ 7.82 $ 9.10 $ 6.55
--------------- ------------- -------------- ----------------
--------------- ------------- -------------- ----------------
PUBLIC OFFERING PRICE PER SHARE....................... $ 16.28 $ 7.87 $ 9.15 $ 6.62
--------------- ------------- -------------- ----------------
--------------- ------------- -------------- ----------------
Investments at Cost................................... $ 80,220 $ 338,486 $ 283,672 $ 169,437
--------------- ------------- -------------- ----------------
--------------- ------------- -------------- ----------------
</TABLE>
<TABLE>
<CAPTION>
THE DFA
THE UNITED INTERNATIONAL
KINGDOM SMALL THE CONTINENTAL SMALL CAP THE EMERGING
COMPANY SMALL COMPANY VALUE MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ---------------- ------------- ------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value................................... $ 79,258 $ 199,911 $ 446,992 $ 225,306
Collateral for Securities Loaned....................... -- -- 19,916 --
Cash................................................... -- -- 15 --
Receivables
Dividends, Interest and Tax Reclaims............... -- -- 1,589 --
Investment Securities Sold......................... 15 -- 3,355 237
Fund Shares Sold................................... -- 405 28 31
Prepaid Expenses and Other Assets...................... 7 9 13 3
--------------- ---------------- ------------- ------------
Total Assets................................... 79,280 200,325 471,908 225,577
--------------- ---------------- ------------- ------------
LIABILITIES:
Payable for Securities Loaned.......................... -- -- 19,916 --
Payable for Investment Securities Purchased............ -- 365 613 --
Payable for Fund Shares Redeemed....................... 16 40 238 268
Accrued Expenses and Other Liabilities................. 33 82 340 82
--------------- ---------------- ------------- ------------
Total Liabilities.............................. 49 487 21,107 350
--------------- ---------------- ------------- ------------
NET ASSETS............................................. $ 79,231 $ 199,838 $ 450,801 $ 225,227
--------------- ---------------- ------------- ------------
--------------- ---------------- ------------- ------------
SHARES OUTSTANDING $.01 PAR VALUE...................... 3,663,691 11,469,251 59,810,954 27,608,051
--------------- ---------------- ------------- ------------
--------------- ---------------- ------------- ------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE......... $ 21.63 $ 17.42 $ 7.54 $ 8.16
--------------- ---------------- ------------- ------------
--------------- ---------------- ------------- ------------
PUBLIC OFFERING PRICE PER SHARE........................ $ 21.63 $ 17.59 $ 7.59 $ 8.20
--------------- ---------------- ------------- ------------
--------------- ---------------- ------------- ------------
Investments at Cost.................................... $ 76,226 $ 134,890 $ 605,043 $ 288,775
--------------- ---------------- ------------- ------------
--------------- ---------------- ------------- ------------
</TABLE>
See accompanying Notes to Financial Statements.
46
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
THE DFA
THE DFA TWO-YEAR THE DFA
THE EMERGING ONE-YEAR FIXED GLOBAL FIXED FIVE-YEAR
MARKETS SMALL INCOME INCOME GOVERNMENT
CAP PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- -------------- ------------- -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value........................................... $ 4,975 $ 752,582 $ 440,903 $ 211,467
Receivables
Investment Securities Sold................................. -- -- 1,191 --
Fund Shares Sold........................................... 1 828 63 19
Prepaid Expenses and Other Assets.............................. 54 16 26 12
--------------- -------------- ------------- -------------
Total Assets........................................... 5,030 753,426 442,183 211,498
--------------- -------------- ------------- -------------
LIABILITIES:
Payable for Investment Securities Purchased.................... 1 62 -- --
Payable for Fund Shares Redeemed............................... -- 766 1,254 455
Accrued Expenses and Other Liabilities......................... 8 88 44 57
--------------- -------------- ------------- -------------
Total Liabilities...................................... 9 916 1,298 512
--------------- -------------- ------------- -------------
NET ASSETS..................................................... $ 5,021 $ 752,510 $ 440,885 $ 210,986
--------------- -------------- ------------- -------------
--------------- -------------- ------------- -------------
SHARES OUTSTANDING $.01 PAR VALUE.............................. 552,099 73,596,549 43,183,343 20,385,623
--------------- -------------- ------------- -------------
--------------- -------------- ------------- -------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE................. $ 9.09 $ 10.22 $ 10.21 $ 10.35
--------------- -------------- ------------- -------------
--------------- -------------- ------------- -------------
PUBLIC OFFERING PRICE PER SHARE................................ $ 9.18 $ 10.22 $ 10.21 $ 10.35
--------------- -------------- ------------- -------------
--------------- -------------- ------------- -------------
Investments at Cost............................................ $ 5,304 $ 745,278 $ 433,353 $ 211,461
--------------- -------------- ------------- -------------
--------------- -------------- ------------- -------------
</TABLE>
<TABLE>
<CAPTION>
THE DFA
THE DFA INTERMEDIATE
GLOBAL FIXED GOVERNMENT
INCOME FIXED INCOME
PORTFOLIO PORTFOLIO
------------ ------------
(AMOUNTS IN THOUSANDS,
EXCEPT SHARE AMOUNTS)
<S> <C> <C>
ASSETS:
Investments at Value.......................................................................... $ 364,431 $ 235,982
Cash.......................................................................................... 15 --
Receivables
Dividends and Interest.................................................................... 7,615 3,083
Fund Shares Sold.......................................................................... 281 30
Prepaid Expenses and Other Assets............................................................. 11 9
------------ ------------
Total Assets.......................................................................... 372,353 239,104
------------ ------------
LIABILITIES:
Payable for Fund Shares Redeemed.............................................................. 132 14
Accrued Expenses and Other Liabilities........................................................ 130 55
Unrealized Loss on Forward Currency Contracts................................................. 472 --
------------ ------------
Total Liabilities..................................................................... 734 69
------------ ------------
NET ASSETS.................................................................................... $ 371,619 $ 239,035
------------ ------------
------------ ------------
SHARES OUTSTANDING $.01 PAR VALUE............................................................. 34,896,674 20,296,976
------------ ------------
------------ ------------
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE................................................ $ 10.65 $ 11.78
------------ ------------
------------ ------------
PUBLIC OFFERING PRICE PER SHARE............................................................... $ 10.65 $ 11.78
------------ ------------
------------ ------------
Investments at Cost........................................................................... $ 361,847 $ 226,483
------------ ------------
------------ ------------
</TABLE>
See accompanying Notes to Financial Statements.
47
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE ENHANCED THE U.S.
THE U.S. LARGE U.S. LARGE LARGE CAP THE U.S.
COMPANY COMPANY VALUE 6-10 VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- -------------- ----------- ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Income Distributions Received from The DFA
Investment Trust Company......................... -- $ 2,512 $ 17,189 $ 20,050
Net Investment Income from The DFA Investment Trust
Company.......................................... $ 6,607 -- -- --
--------------- -------------- ----------- ------------
Total Investment Income...................... 6,607 2,512 17,189 20,050
--------------- -------------- ----------- ------------
EXPENSES
Administrative Services............................ 963 79 1,486 6,775
Accounting & Transfer Agent Fees................... 121 19 27 24
Legal Fees......................................... 7 2 13 40
Audit Fees......................................... 1 -- 2 5
Filing Fees........................................ 64 18 85 166
Shareholders' Reports.............................. 16 2 37 87
Directors' Fees and Expenses....................... 5 2 12 27
Other.............................................. 1 8 3 7
--------------- -------------- ----------- ------------
Total Expenses............................... 1,178 130 1,665 7,131
Less: Expenses Waived.............................. (789) (3) -- --
--------------- -------------- ----------- ------------
Net Expenses....................................... 389 127 1,665 7,131
--------------- -------------- ----------- ------------
NET INVESTMENT INCOME.............................. 6,218 2,385 15,524 12,919
--------------- -------------- ----------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Capital Gain Distributions Received from The DFA
Investment Trust Company......................... -- 5,923 46,822 189,783
Net Realized Gain (Loss) on Investment
Securities....................................... 616 (734) (4,583) (5,236)
Change in Unrealized Appreciation (Depreciation) of
Investment Securities............................ 85,494 3,627 39,784 (427,856)
--------------- -------------- ----------- ------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES......... 86,110 8,816 82,023 (243,309)
--------------- -------------- ----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS.................................. $ 92,328 $ 11,201 $ 97,547 $ (230,390)
--------------- -------------- ----------- ------------
--------------- -------------- ----------- ------------
</TABLE>
See accompanying Notes to Financial Statements.
48
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE DFA
6-10 SMALL 9-10 SMALL REAL ESTATE THE LARGE CAP
COMPANY COMPANY SECURITIES INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ----------- -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0, $0, $0
and $156, respectively)............................... -- -- $ 6,548 $ 1,835
Interest................................................ -- -- 116 155
Income from Securities Lending.......................... -- -- 34 94
Income Distributions Received from The DFA Investment
Trust Company......................................... $ 2,816 $ 8,876 -- --
----------- ------------ ----------- -------------
Total Investment Income........................... 2,816 8,876 6,698 2,084
----------- ------------ ----------- -------------
EXPENSES
Investment Advisory Services............................ -- -- 313 248
Administrative Services................................. 1,111 5,831 -- --
Accounting & Transfer Agent Fees........................ 22 19 109 129
Custodian's Fee......................................... -- -- 12 40
Legal Fees.............................................. 5 150 2 7
Audit Fees.............................................. 1 4 12 11
Filing Fees............................................. 31 73 26 20
Shareholders' Reports................................... 15 135 4 7
Directors' Fees and Expenses............................ 5 19 1 1
Other................................................... 1 6 5 7
----------- ------------ ----------- -------------
Total Expenses.................................... 1,191 6,237 484 470
----------- ------------ ----------- -------------
NET INVESTMENT INCOME................................... 1,625 2,639 6,214 1,614
----------- ------------ ----------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from The DFA
Investment Trust Company.............................. 25,514 -- -- --
Net Realized Gain (Loss) on Investment Securities....... (2,676) (28,940) (391) 75
Net Realized Gain on Foreign Currency Transactions...... -- -- -- 12
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency............ (53,552) (148,754) (19,644) 13,019
Translation of Foreign Currency Denominated Amounts... -- -- -- 32
----------- ------------ ----------- -------------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY............................................ (30,714) (177,694) (20,035) 13,138
----------- ------------ ----------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................... $ (29,089) $ (175,055) $ (13,821) $ 14,752
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
49
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE
THE JAPANESE THE PACIFIC THE UNITED
INTERNATIONAL SMALL RIM SMALL KINGDOM SMALL
SMALL COMPANY COMPANY COMPANY COMPANY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- ----------- ----------- ---------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest.............................................. $ 129 -- -- --
Net Investment Income from The DFA Investment Trust
Company............................................. 6,078 $ 1,495 $ 3,635 $ 3,607
------------- ----------- ----------- ---------------
Total Investment Income......................... 6,207 1,495 3,635 3,607
------------- ----------- ----------- ---------------
EXPENSES
Administrative Services............................... 1,058 459 366 433
Accounting & Transfer Agent Fees...................... 31 38 38 38
Legal Fees............................................ 5 2 2 2
Audit Fees............................................ 1 -- -- 1
Filing Fees........................................... 87 15 13 14
Shareholders' Reports................................. 10 5 4 5
Directors' Fees and Expenses.......................... 3 2 1 1
Other................................................. 9 2 2 3
------------- ----------- ----------- ---------------
Total Expenses.................................. 1,204 523 426 497
Less: Expenses Waived................................. (14) -- -- --
------------- ----------- ----------- ---------------
Net Expenses.......................................... 1,190 523 426 497
------------- ----------- ----------- ---------------
NET INVESTMENT INCOME................................. 5,017 972 3,209 3,110
------------- ----------- ----------- ---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain (Loss) on Investment Securities..... 101 (8,019) (950) 10,986
Net Realized Loss on Foreign Currency Transactions.... (177) (151) (133) (95)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......... (4,354) 4,531 (28,633) (24,506)
Translation of Foreign Currency Denominated
Amounts........................................... 95 67 (1) (6)
------------- ----------- ----------- ---------------
NET LOSS ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY.......................................... (4,335) (3,572) (29,717) (13,621)
------------- ----------- ----------- ---------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................. $ 682 $ (2,600) $ (26,508) $ (10,511)
------------- ----------- ----------- ---------------
------------- ----------- ----------- ---------------
</TABLE>
See accompanying Notes to Financial Statements.
50
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE THE DFA
CONTINENTAL INTERNATIONAL THE THE EMERGING
SMALL SMALL CAP EMERGING MARKETS SMALL
COMPANY VALUE MARKETS CAP
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO(1)
------------ ------------- ---------- ---------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0,
$1,473, $0 and $0, respectively).................... -- $ 11,873 -- --
Interest.............................................. -- 763 -- --
Income from Securities Lending........................ -- 328 -- --
Net Investment Income from The DFA Investment Trust
Company............................................. $ 3,983 -- $ 3,520 $ 43
------------ ------------- ---------- ------
Total Investment Income......................... 3,983 12,964 3,520 43
------------ ------------- ---------- ------
EXPENSES
Investment Advisory Services.......................... -- 3,104 -- --
Administrative Services............................... 911 -- 847 8
Accounting & Transfer Agent Fees...................... 38 485 51 28
Custodian's Fee....................................... -- 230 -- --
Legal Fees............................................ 4 26 4 --
Audit Fees............................................ 1 52 1 1
Filing Fees........................................... 14 114 65 2
Shareholders' Reports................................. 9 54 16 3
Directors' Fees and Expenses.......................... 3 6 3 --
Other................................................. 4 36 7 6
------------ ------------- ---------- ------
Total Expenses.................................. 984 4,107 994 48
------------ ------------- ---------- ------
NET INVESTMENT INCOME (LOSS).......................... 2,999 8,857 2,526 (5)
------------ ------------- ---------- ------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY...................................
Net Realized Gain (Loss) on Investment Securities..... 20,674 9,582 (22,594) 181
Net Realized Loss on Foreign Currency Transactions.... (99 ) (303 ) (354) (6)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.......... 20,213 (21,770 ) (8,906) (329)
Translation of Foreign Currency Denominated
Amounts........................................... 186 78 9 --
------------ ------------- ---------- ------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY............................................ 40,974 (12,413 ) (31,845) (154)
------------ ------------- ---------- ------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................. $ 43,973 $ (3,556 ) $ (29,319) $ (159)
------------ ------------- ---------- ------
------------ ------------- ---------- ------
</TABLE>
- --------------
(1) For the period March 5, (commencement of operations) to November 30, 1998.
See accompanying Notes to Financial Statements.
51
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
THE DFA TWO-YEAR
ONE-YEAR GLOBAL FIXED
FIXED INCOME INCOME
PORTFOLIO PORTFOLIO
------------- -------------
<S> <C> <C>
INVESTMENT INCOME
Income Distributions Received from The DFA Investment Trust Company.................... $ 43,117 $ 25,765
------------- -------------
Total Investment Income.......................................................... 43,117 25,765
------------- -------------
EXPENSES
Administrative Services................................................................ 766 427
Accounting & Transfer Agent Fees....................................................... 24 19
Legal Fees............................................................................. 13 6
Audit Fees............................................................................. 2 1
Filing Fees............................................................................ 51 64
Shareholders' Reports.................................................................. 30 17
Directors' Fees and Expenses........................................................... 10 6
Other.................................................................................. 2 8
------------- -------------
Total Expenses................................................................... 898 548
------------- -------------
NET INVESTMENT INCOME.................................................................. 42,219 25,217
------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received from The DFA Investment Trust Company.............. -- 897
Net Realized Gain (Loss) on Investment Securities...................................... 354 (1,915)
Change in Unrealized Appreciation of
Investment Securities................................................................ 77 2,141
------------- -------------
NET GAIN ON INVESTMENT SECURITIES...................................................... 431 1,123
------------- -------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................................... $ 42,650 $ 26,340
------------- -------------
------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
52
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
THE DFA THE DFA INTERMEDIATE
FIVE-YEAR GLOBAL FIXED GOVERNMENT
GOVERNMENT INCOME FIXED INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------- -------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest............................................................. $ 11,544 $ 12,922 $ 9,623
------------ ------------- -------------
Total Investment Income........................................ 11,544 12,922 9,623
------------ ------------- -------------
EXPENSES
Investment Advisory Services......................................... 422 755 240
Accounting & Transfer Agent Fees..................................... 92 313 77
Custodian's Fee...................................................... 20 45 15
Legal Fees........................................................... 3 13 2
Audit Fees........................................................... 24 30 16
Filing Fees.......................................................... 30 58 20
Shareholders' Reports................................................ 9 11 6
Directors' Fees and Expenses......................................... 3 3 3
Other................................................................ 3 2 4
------------ ------------- -------------
Total Expenses................................................. 606 1,230 383
------------ ------------- -------------
NET INVESTMENT INCOME................................................ 10,938 11,692 9,240
------------ ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net Realized Gain on Investment Securities........................... 259 2,462 1,592
Net Realized Gain on Foreign Currency Transactions................... -- 7,244 --
Change in Unrealized Appreciation of:
Investment Securities and Foreign Currency......................... 96 8,878 6,122
Translation of Foreign Currency Denominated Amounts................ -- (5,046) --
------------ ------------- -------------
NET GAIN ON INVESTMENT SECURITIES AND FOREIGN CURRENCY............... 355 13,538 7,714
------------ ------------- -------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $ 11,293 $ 25,230 $ 16,954
------------ ------------- -------------
------------ ------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
53
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE ENHANCED U.S. THE U.S.
THE U.S. LARGE LARGE COMPANY LARGE CAP
COMPANY PORTFOLIO PORTFOLIO VALUE PORTFOLIO THE U.S. 6-10 VALUE
-------------------- -------------------- ---------------------- PORTFOLIO
YEAR YEAR YEAR YEAR YEAR ------------------------
ENDED ENDED ENDED ENDED YEAR ENDED ENDED YEAR ENDED YEAR ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1998 1997 1998 1997 1998 1997
--------- --------- --------- --------- ----------- --------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income......... $ 6,218 $ 4,429 $ 2,385 $ 1,501 $ 15,524 $ 11,814 $ 12,919 $ 6,176
Capital Gain Distributions
Received from The DFA
Investment Trust Company.... -- -- 5,923 3,438 46,822 28,840 189,783 55,250
Net Realized Gain (Loss) on
Investment Securities....... 616 386 (734) (223) (4,583) (374) (5,236) (793)
Change in Unrealized
Appreciation (Depreciation)
of Investment Securities.... 85,494 61,568 3,627 2,464 39,784 112,833 (427,856) 429,999
--------- --------- --------- --------- ----------- --------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting
from Operations......... 92,328 66,383 11,201 7,180 97,547 153,113 (230,390) 490,632
--------- --------- --------- --------- ----------- --------- ----------- -----------
Distributions From:
Net Investment Income......... (5,855) (4,238) (2,692) (1,430) (14,645) (11,318) (9,211) (7,821)
Net Realized Gains............ (834) (1,083) (4,915) (1,462) (36,941) (11,813) (87,388) (26,324)
--------- --------- --------- --------- ----------- --------- ----------- -----------
Total Distributions....... (6,689) (5,321) (7,607) (2,892) (51,586) (23,131) (96,599) (34,145)
--------- --------- --------- --------- ----------- --------- ----------- -----------
Capital Share Transactions (1):
Shares Issued................. 215,482 129,228 20,928 30,747 332,100 244,279 817,555 644,816
Shares Issued in Lieu of Cash
Distributions............... 5,414 4,190 5,780 796 40,279 17,570 82,593 28,379
Shares Redeemed............... (100,110) (38,700) (16,408) (17,425) (177,873) (92,977) (321,719) (238,326)
--------- --------- --------- --------- ----------- --------- ----------- -----------
Net Increase From Capital
Shares Transactions..... 120,786 94,718 10,300 14,118 194,506 168,872 578,429 434,869
--------- --------- --------- --------- ----------- --------- ----------- -----------
Total Increase............ 206,425 155,780 13,894 18,406 240,467 298,854 251,440 891,356
NET ASSETS
Beginning of Period........... 343,537 187,757 47,642 29,236 840,003 541,149 2,098,654 1,207,298
--------- --------- --------- --------- ----------- --------- ----------- -----------
End of Period................. $ 549,962 $ 343,537 $ 61,536 $ 47,642 $ 1,080,470 $ 840,003 $ 2,350,094 $ 2,098,654
--------- --------- --------- --------- ----------- --------- ----------- -----------
--------- --------- --------- --------- ----------- --------- ----------- -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................ 6,823 5,125 1,587 2,448 16,676 14,060 39,986 34,268
Shares Issued in Lieu of Cash
Distributions.............. 180 173 479 68 2,190 1,083 4,021 1,683
Shares Redeemed.............. (3,176) (1,498) (1,253) (1,488) (9,117) (5,299) (15,865) (11,957)
--------- --------- --------- --------- ----------- --------- ----------- -----------
3,827 3,800 813 1,028 9,749 9,844 28,142 23,994
--------- --------- --------- --------- ----------- --------- ----------- -----------
--------- --------- --------- --------- ----------- --------- ----------- -----------
</TABLE>
See accompanying Notes to Financial Statements.
54
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA THE LARGE CAP
REAL ESTATE INTERNATIONAL
THE U.S. 6-10 SMALL THE U.S. 9-10 SMALL SECURITIES PORTFOLIO PORTFOLIO
COMPANY PORTFOLIO COMPANY PORTFOLIO -------------------- --------------------
---------------------- ------------------------ YEAR YEAR YEAR YEAR
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1998 1997 1998 1997 1998 1997
---------- ---------- ----------- ----------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income......... $ 1,625 $ 1,369 $ 2,639 $ 2,784 $ 6,214 $ 5,413 $ 1,614 $ 1,425
Capital Gain Distributions
Received from The DFA
Investment Trust Company.... 25,514 25,830 -- -- -- -- -- --
Net Realized Gain (Loss) on
Investment Securities....... (2,676) 3,502 (28,940) 203,572 (391) 9,447 75 (71)
Net Realized Gain (Loss) on
Foreign Currency
Transactions................ -- -- -- -- -- -- 12 (12)
Change in Unrealized
Appreciation (Depreciation)
of:
Investment Securities and
Foreign Currency............ (53,552) 34,002 (148,754) 117,414 (19,644) 8,112 13,019 1,055
Translation of Foreign
Currency Denominated
Amounts..................... -- -- -- -- -- -- 32 (6)
---------- ---------- ----------- ----------- --------- --------- --------- ---------
Net Increase (Decrease) in
Net Assets Resulting
from Operations......... (29,089) 64,703 (175,055) 323,770 (13,821) 22,972 14,752 2,391
---------- ---------- ----------- ----------- --------- --------- --------- ---------
Distributions From:
Net Investment Income......... (1,600) (1,724) (2,802) (2,613) (4,644) (3,559) (1,509) (1,189)
Net Realized Gains............ (30,255) (14,685) (203,659) (112,075) -- -- -- (464)
---------- ---------- ----------- ----------- --------- --------- --------- ---------
Total Distributions....... (31,855) (16,409) (206,461) (114,688) (4,644) (3,559) (1,509) (1,653)
---------- ---------- ----------- ----------- --------- --------- --------- ---------
Capital Share Transactions (1):
Shares Issued................. 136,597 150,640 353,806 280,065 46,933 44,305 35,615 29,793
Shares Issued in Lieu of Cash
Distributions............... 29,641 14,417 177,758 102,836 3,540 2,916 (1,509) 1,653
Shares Redeemed............... (118,696) (109,553) (320,965) (264,360) (20,536) (35,952) (22,997) (24,283)
---------- ---------- ----------- ----------- --------- --------- --------- ---------
Net Increase From Capital
Shares Transactions..... 47,542 55,504 210,599 118,541 29,937 11,269 14,127 7,163
---------- ---------- ----------- ----------- --------- --------- --------- ---------
Total Increase
(Decrease).............. (13,402) 103,798 (170,917) 327,623 11,472 30,682 27,370 7,901
NET ASSETS
Beginning of Period........... 337,992 234,194 1,509,427 1,181,804 95,072 64,390 87,223 79,322
---------- ---------- ----------- ----------- --------- --------- --------- ---------
End of Period................. $ 324,590 $ 337,992 $ 1,338,510 $ 1,509,427 $ 106,544 $ 95,072 $ 114,593 $ 87,223
---------- ---------- ----------- ----------- --------- --------- --------- ---------
---------- ---------- ----------- ----------- --------- --------- --------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................ 9,329 10,399 30,328 22,996 3,339 3,193 2,321 2,101
Shares Issued in Lieu of Cash
Distributions.............. 2,014 1,066 15,525 9,206 242 222 109 122
Shares Redeemed.............. (7,783) (7,570) (27,978) (21,719) (1,509) (2,384) (1,506) (1,703)
---------- ---------- ----------- ----------- --------- --------- --------- ---------
3,560 3,895 17,875 10,483 2,072 1,031 924 520
---------- ---------- ----------- ----------- --------- --------- --------- ---------
---------- ---------- ----------- ----------- --------- --------- --------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
55
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE INTERNATIONAL
SMALL COMPANY THE JAPANESE SMALL THE PACIFIC RIM SMALL
PORTFOLIO COMPANY PORTFOLIO COMPANY PORTFOLIO
-------------------- --------------------- ---------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED YEAR ENDED ENDED YEAR ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1998 1997 1998 1997
--------- --------- --------- ---------- --------- ----------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.................................. $ 5,017 $ 2,742 $ 972 $ 1,001 $ 3,209 $ 3,827
Net Realized Gain (Loss) on Investment Securities...... 101 (813) (8,019) (1,544) (950) 5,758
Net Realized Gain (Loss) on Foreign Currency
Transactions......................................... (177) (109) (151) 62 (133) (370)
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency........... (4,354) (59,544) 4,531 (134,974) (28,633) (81,707)
Translation of Foreign Currency Denominated
Amounts............................................ 95 (70) 67 (17) (1) (10)
--------- --------- --------- ---------- --------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Operations.................................. 682 (57,794) (2,600) (135,472) (26,508) (72,502)
--------- --------- --------- ---------- --------- ----------
Distributions From:
Net Investment Income.................................. (2,942) (200) (1,284) (778) (3,671) (4,235)
Net Realized Gains..................................... -- -- -- (16,082) (5,808) (11,345)
--------- --------- --------- ---------- --------- ----------
Total Distributions................................ (2,942) (200) (1,284) (16,860) (9,479) (15,580)
--------- --------- --------- ---------- --------- ----------
Capital Share Transactions (1):
Shares Issued.......................................... 127,735 211,077 34,679 47,734 26,870 11,716
Shares Issued in Lieu of Cash Distributions............ 2,942 200 1,284 16,860 9,479 15,580
Shares Redeemed........................................ (84,894) (26,932) (26,382) (92,365) (22,352) (43,436)
--------- --------- --------- ---------- --------- ----------
Net Increase (Decrease) From Capital Shares
Transactions..................................... 45,783 184,345 9,581 (27,771) 13,997 (16,140)
--------- --------- --------- ---------- --------- ----------
Total Increase (Decrease).......................... 43,523 126,351 5,697 (180,103) (21,990) (104,222)
NET ASSETS
Beginning of Period.................................... 230,469 104,118 114,017 294,120 111,320 215,542
--------- --------- --------- ---------- --------- ----------
End of Period.......................................... $ 273,992 $ 230,469 $ 119,714 $ 114,017 $ 89,330 $ 111,320
--------- --------- --------- ---------- --------- ----------
--------- --------- --------- ---------- --------- ----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued......................................... 16,168 21,979 3,866 3,244 3,947 789
Shares Issued in Lieu of Cash Distributions........... 410 21 169 978 1,218 1,051
Shares Redeemed....................................... (11,004) (2,995) (2,950) (6,140) (3,228) (3,110)
--------- --------- --------- ---------- --------- ----------
5,574 19,005 1,085 (1,918) 1,937 (1,270)
--------- --------- --------- ---------- --------- ----------
--------- --------- --------- ---------- --------- ----------
</TABLE>
See accompanying Notes to Financial Statements.
56
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE UNITED KINGDOM
SMALL COMPANY THE CONTINENTAL SMALL THE DFA INTERNATIONAL THE EMERGING MARKETS
PORTFOLIO COMPANY PORTFOLIO SMALL CAP VALUE PORTFOLIO
-------------------- --------------------- PORTFOLIO --------------------
YEAR YEAR YEAR ---------------------- YEAR YEAR
ENDED ENDED ENDED YEAR ENDED YEAR ENDED YEAR ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1998 1997 1998 1997 1998 1997
--------- --------- --------- ---------- ---------- ---------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income........... $ 3,110 $ 3,635 $ 2,999 $ 4,007 $ 8,857 $ 6,288 $ 2,526 $ 2,651
Net Realized Gain (Loss) on
Investment Securities......... 10,986 12,752 20,674 16,008 9,582 15,347 (22,594) 151
Net Realized Gain (Loss) on
Foreign Currency
Transactions.................. (95) 117 (99) (405) (303) (18) (354) 698
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency.............. (24,506) (4,795) 20,213 16,460 (21,770) (126,164) (8,906) (58,004)
Translation of Foreign Currency
Denominated Amounts........... (6) (1) 186 (144) 78 (8) 9 (18)
--------- --------- --------- ---------- ---------- ---------- --------- ---------
Net Increase (Decrease) in
Net Assets Resulting from
Operations................ (10,511) 11,708 43,973 35,926 (3,556) (104,555) (29,319) (54,522)
--------- --------- --------- ---------- ---------- ---------- --------- ---------
Distributions From:
Net Investment Income........... (3,815) (4,223) (3,596) (5,597) (6,364) (4,587) (5,275) (1,330)
Net Realized Gains.............. (12,752) (7,613) (16,007) (16,811) (14,868) (10,863) (40) --
--------- --------- --------- ---------- ---------- ---------- --------- ---------
Total Distributions......... (16,567) (11,836) (19,603) (22,408) (21,232) (15,450) (5,315) (1,330)
--------- --------- --------- ---------- ---------- ---------- --------- ---------
Capital Share Transactions (1):
Shares Issued................... 2,757 9,340 8,192 11,783 157,631 221,239 126,740 146,704
Shares Issued in Lieu of Cash
Distributions................. 16,567 11,836 19,603 22,408 21,232 15,450 5,315 1,330
Shares Redeemed................. (43,906) (56,946) (85,071) (114,290) (134,531) (60,915) (84,242) (42,159)
--------- --------- --------- ---------- ---------- ---------- --------- ---------
Net Increase (Decrease) From
Capital Shares
Transactions.............. (24,582) (35,770) (57,276) (80,099) 44,332 175,774 47,813 105,875
--------- --------- --------- ---------- ---------- ---------- --------- ---------
Total Increase (Decrease)... (51,660) (35,898) (32,906) (66,581) 19,544 55,769 13,179 50,023
NET ASSETS
Beginning of Period............. 130,891 166,789 232,744 299,325 431,257 375,488 212,048 162,025
--------- --------- --------- ---------- ---------- ---------- --------- ---------
End of Period................... $ 79,231 $ 130,891 $ 199,838 $ 232,744 $ 450,801 $ 431,257 $ 225,227 $ 212,048
--------- --------- --------- ---------- ---------- ---------- --------- ---------
--------- --------- --------- ---------- ---------- ---------- --------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................. 108 337 469 775 20,265 23,265 14,812 11,652
Shares Issued in Lieu of Cash
Distributions................ 663 440 1,342 1,582 3,002 1,604 599 114
Shares Redeemed................ (1,669) (2,073) (4,942) (7,367) (17,729) (6,517) (9,868) (3,541)
--------- --------- --------- ---------- ---------- ---------- --------- ---------
(898) (1,296) (3,131) (5,010) 5,538 18,352 5,543 8,225
--------- --------- --------- ---------- ---------- ---------- --------- ---------
--------- --------- --------- ---------- ---------- ---------- --------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
57
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE EMERGING THE DFA ONE-YEAR THE DFA TWO-YEAR
MARKETS SMALL FIXED INCOME GLOBAL FIXED INCOME
CAP PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ---------------------- ---------------------
MARCH 5 YEAR YEAR YEAR YEAR
TO ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1998 1997 1998 1997
--------------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income (Loss)................................. $ (5) $ 42,219 $ 44,469 $ 25,217 $ 24,784
Capital Gain Distributions Received from The DFA Investment
Trust Company.............................................. -- -- -- 897 251
Net Realized Gain (Loss) on Investment Securities............ 181 354 (153) (1,915) (257)
Net Realized Loss on Foreign Currency Transactions........... (6) -- -- -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency................... (329) 77 (1,625) 2,141 (4,154)
------- ---------- ---------- ---------- ---------
Net Increase (Decrease) in Net Assets Resulting from
Operations............................................. (159) 42,650 42,691 26,340 20,624
------- ---------- ---------- ---------- ---------
Distributions From:
Net Investment Income........................................ -- (42,291) (44,616) (32,465) (18,076)
Net Realized Gains........................................... -- (380) (81) (816) (251)
------- ---------- ---------- ---------- ---------
Total Distributions...................................... -- (42,671) (44,697) (33,281) (18,327)
------- ---------- ---------- ---------- ---------
Capital Share Transactions (1):
Shares Issued................................................ 5,624 352,543 430,934 141,638 155,724
Shares Issued in Lieu of Cash Distributions.................. -- 32,442 36,040 16,434 8,378
Shares Redeemed.............................................. (444) (384,691) (567,252) (129,151) (66,837)
------- ---------- ---------- ---------- ---------
Net Increase (Decrease) From Capital Shares
Transactions........................................... 5,180 294 (100,278) 28,921 97,265
------- ---------- ---------- ---------- ---------
Total Increase (Decrease)................................ 5,021 273 (102,284) 21,980 99,562
NET ASSETS
Beginning of Period.......................................... -- 752,237 854,521 418,905 319,343
------- ---------- ---------- ---------- ---------
End of Period................................................ $ 5,021 $ 752,510 $ 752,237 $ 440,885 $ 418,905
------- ---------- ---------- ---------- ---------
------- ---------- ---------- ---------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued............................................... 615 34,520 42,250 14,058 15,130
Shares Issued in Lieu of Cash Distributions................. -- 3,187 3,541 1,653 820
Shares Redeemed............................................. (63) (37,674) (55,639) (12,799) (6,488)
------- ---------- ---------- ---------- ---------
552 33 (9,848) 2,912 9,462
------- ---------- ---------- ---------- ---------
------- ---------- ---------- ---------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
58
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE DFA
INTERMEDIATE
THE DFA FIVE-YEAR THE DFA GLOBAL GOVERNMENT FIXED
GOVERNMENT FIXED INCOME INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------- -------------------- --------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1998 1997 1998 1997
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS OPERATIONS:
Net Investment Income................................... $ 10,938 $ 11,373 $ 11,692 $ 9,339 $ 9,240 $ 7,613
Net Realized Gain on Investment Securities.............. 259 2,329 2,462 1,496 1,592 604
Net Realized Gain on Foreign Currency Transactions...... -- -- 7,244 10,999 -- --
Change in Unrealized Appreciation (Depreciation) of:
Investment Securities and Foreign Currency.............. 96 (3,322) 8,878 (9,751) 6,122 281
Translation of Foreign Currency Denominated Amounts..... -- -- (5,046) 3,858 -- --
--------- --------- --------- --------- --------- ---------
Net Increase in Net Assets Resulting from
Operations........................................ 11,293 10,380 25,230 15,941 16,954 8,498
--------- --------- --------- --------- --------- ---------
Distributions From:
Net Investment Income................................... (11,268) (10,523) (25,763) (14,771) (8,667) (7,137)
Net Realized Gains...................................... -- -- (1,482) (1,383) (583) --
--------- --------- --------- --------- --------- ---------
Total Distributions................................. (11,268) (10,523) (27,245) (16,154) (9,250) (7,137)
--------- --------- --------- --------- --------- ---------
Capital Share Transactions (1):
Shares Issued........................................... 75,970 79,939 148,062 106,837 110,800 42,284
Shares Issued in Lieu of Cash Distributions............. 8,763 8,591 17,181 8,538 1,503 1,171
Shares Redeemed......................................... (78,149) (58,396) (41,687) (30,856) (17,527) (16,205)
--------- --------- --------- --------- --------- ---------
Net Increase From Capital Shares Transactions....... 6,584 30,134 123,556 84,519 94,776 27,250
--------- --------- --------- --------- --------- ---------
Total Increase...................................... 6,609 29,991 121,541 84,306 102,480 28,611
NET ASSETS
Beginning of Period..................................... 204,377 174,386 250,078 165,772 136,555 107,944
--------- --------- --------- --------- --------- ---------
End of Period........................................... $ 210,986 $ 204,377 $ 371,619 $ 250,078 $ 239,035 $ 136,555
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued........................................... 7,436 7,877 14,232 9,896 9,587 3,872
Shares Issued in Lieu of Cash Distributions............. 870 857 1,691 956 134 108
Shares Redeemed......................................... (7,639) (5,752) (4,002) (2,889) (1,535) (1,487)
--------- --------- --------- --------- --------- ---------
667 2,982 11,921 7,963 8,186 2,493
--------- --------- --------- --------- --------- ---------
--------- --------- --------- --------- --------- ---------
</TABLE>
See accompanying Notes to Financial Statements.
59
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE COMPANY PORTFOLIO
------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 28.48 $ 22.73 $ 18.12 $ 13.58 $ 13.91
------------ ------------ ------------ ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.43 0.42 0.41 0.35 0.37
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 6.20 5.89 4.52 4.57 (0.22)
------------ ------------ ------------ ----------- -----------
Total From Investment Operations.... 6.63 6.31 4.93 4.92 0.15
- --------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.43) (0.43) (0.31) (0.36) (0.37)
Net Realized Gains.................... (0.07) (0.13) (0.01) (0.02) (0.11)
------------ ------------ ------------ ----------- -----------
Total Distributions................. (0.50) (0.56) (0.32) (0.38) (0.48)
- --------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 34.61 $ 28.48 $ 22.73 $ 18.12 $ 13.58
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Total Return............................ 23.56% 28.26% 27.49% 36.54% 1.04%
- --------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 549,962 $ 343,537 $ 187,757 $97,111 $48,638
Ratio of Expenses to Average Net
Assets**.............................. 0.15%(a) 0.15%(a) 0.21%(a) 0.24%(a) 0.24%(a)
Ratio of Net Investment Income to
Average Net Assets.................... 1.39%(a) 1.66%(a) 2.10%(a) 2.29%(a) 2.75%(a)
Portfolio Turnover Rate................. N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ 9.31% 4.28% 14.09% 2.38% 8.52%
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE ENHANCED U.S. LARGE COMPANY PORTFOLIO
-------------------------------------------
YEAR YEAR JULY 3
ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996
- ---------------------------------------- -------------------------------------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 13.61 $ 11.83 $ 10.00
----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.63 0.54 0.12
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 2.15 2.40 1.71
----------- ----------- -----------
Total From Investment Operations.... 2.78 2.94 1.83
- ---------------------------------------- -------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.72) (0.55) --
Net Realized Gains.................... (1.40) (0.61) --
----------- ----------- -----------
Total Distributions................. (2.12) (1.16) --
- ---------------------------------------- -------------------------------------------
Net Asset Value, End of Period.......... $ 14.27 $ 13.61 $ 11.83
- ---------------------------------------- -------------------------------------------
- ---------------------------------------- -------------------------------------------
Total Return............................ 23.73% 27.22% 18.30%#
- ---------------------------------------- -------------------------------------------
Net Assets, End of Period (thousands)... $61,536 $47,642 $29,236
Ratio of Expenses to Average Net
Assets**.............................. 0.45%(b) 0.52%(b) 0.65%*
Ratio of Net Investment Income to
Average Net Assets.................... 4.54%(b) 4.51%(b) 3.44%*
Portfolio Turnover Rate................. N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ 86.98% 193.78% 211.07%*
- ---------------------------------------- -------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series.
(a) Had certain waivers and assumptions of expenses not been in effect the ratios of expenses to average net assets for the
years ended November 30, 1998 through 1994 would have been 0.32%, 0.35%, 0.45%, 0.46%, and 0.66%, respectively, and the
ratios of net investment income to average net assets for the years ended November 30, 1998 through 1994 would have been
1.21%, 1.46%, 1.85%, 2.23%, and 2.64%, respectively.
(b) Had certain waivers and assumption of expenses not been in effect, the ratio of expenses to average net assets for the
years ended November 30, 1998 and 1997 would have been 0.46% and 0.54%, respectively, and the ratio of net investments
income to average net assets for the years ended November 30, 1998 and 1997 would have been 4.53% and 4.49%,
respectively.
</TABLE>
See accompanying Notes to Financial Statements.
60
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE CAP VALUE PORTFOLIO
------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period......... $ 19.22 $ 15.98 $ 13.29 $ 9.91 $ 10.60
-------------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income...................... 0.31 0.29 0.30 0.29 0.32
Net Gains (Losses) on Securities (Realized
and Unrealized).......................... 1.83 3.60 2.62 3.55 (0.68)
-------------- ---------- ---------- ---------- ----------
Total From Investment Operations......... 2.14 3.89 2.92 3.84 (0.36)
- ---------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income...................... (0.31) (0.30) (0.23) (0.29) (0.33)
Net Realized Gains......................... (0.84) (0.35) -- (0.17) --
-------------- ---------- ---------- ---------- ----------
Total Distributions...................... (1.15) (0.65) (0.23) (0.46) (0.33)
- ---------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period............... $ 20.21 $ 19.22 $ 15.98 $ 13.29 $ 9.91
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Total Return................................. 11.69% 25.10% 22.20% 39.13% (3.27)%
- ---------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)........ $ 1,080,470 $ 840,003 $ 541,149 $ 280,915 $ 197,566
Ratio of Expenses to Average Net Assets**.... 0.33% 0.35% 0.36% 0.42% 0.44%
Ratio of Net Investment Income to Average Net
Assets..................................... 1.57% 1.70% 2.17% 2.49% 3.50%
Portfolio Turnover Rate...................... N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series..................................... 24.70% 17.71% 20.12% 29.41% 39.33%
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. 6-10 VALUE PORTFOLIO
--------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- --------------------------------------------- --------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period......... $ 22.09 $ 17.00 $ 14.03 $ 11.13 $ 11.04
-------------- -------------- -------------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income...................... 0.12 0.07 0.11 0.10 0.14
Net Gains (Losses) on Securities (Realized
and Unrealized).......................... (2.10) 5.49 2.93 3.06 0.10
-------------- -------------- -------------- ---------- ----------
Total From Investment Operations......... (1.98) 5.56 3.04 3.16 0.24
- --------------------------------------------- --------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income...................... (0.10) (0.11) (0.02) (0.10) (0.15)
Net Realized Gains......................... (0.92) (0.36) (0.05) (0.16) --
-------------- -------------- -------------- ---------- ----------
Total Distributions...................... (1.02) (0.47) (0.07) (0.26) (0.15)
- --------------------------------------------- --------------------------------------------------------------------------
Net Asset Value, End of Period............... $ 19.09 $ 22.09 $ 17.00 $ 14.03 $ 11.13
- --------------------------------------------- --------------------------------------------------------------------------
- --------------------------------------------- --------------------------------------------------------------------------
Total Return................................. (9.32)% 33.57% 21.70% 28.41% 2.19%
- --------------------------------------------- --------------------------------------------------------------------------
Net Assets, End of Period (thousands)........ $ 2,350,094 $ 2,098,654 $ 1,207,298 $ 609,950 $ 344,148
Ratio of Expenses to Average Net Assets**.... 0.58% 0.60% 0.61% 0.64% 0.66%
Ratio of Net Investment Income to Average Net
Assets..................................... 0.57% 0.37% 0.78% 0.85% 1.69%
Portfolio Turnover Rate...................... N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series..................................... 22.51% 25.47% 14.91% 20.62% 8.22%
- --------------------------------------------- --------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series.
</TABLE>
See accompanying Notes to Financial Statements.
61
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 6-10 SMALL COMPANY PORTFOLIO
-----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 16.89 $ 14.53 $ 12.64 $ 11.08 $ 11.43
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.08 0.09 0.11 0.09 0.09
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (1.55) 3.42 2.20 2.81 (0.07)
----------- ----------- ----------- ----------- -----------
Total From Investment
Operations.............. (1.47) 3.51 2.31 2.90 0.02
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.08) (0.12) (0.02) (0.14) (0.09)
Net Realized Gains.......... (1.57) (1.03) (0.40) (1.20) (0.28)
----------- ----------- ----------- ----------- -----------
Total Distributions....... (1.65) (1.15) (0.42) (1.34) (0.37)
- -----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period.................... $ 13.77 $ 16.89 $ 14.53 $ 12.64 $ 11.08
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
Total Return.................. (9.27)% 26.12% 18.73% 28.75% 0.22%
- -----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 324,590 $ 337,992 $ 234,194 $ 186,644 $ 112,137
Ratio of Expenses to Average
Net Assets.................. 0.43%** 0.45%** 0.48%** 0.49%** 0.53%**
Ratio of Net Investment Income
to Average Net Assets....... 0.47% 0.48% 0.75% 0.83% 0.72%
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 29.15% 30.04% 32.38% 21.16% 27.65%
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. 9-10 SMALL COMPANY PORTFOLIO
-----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- ------------------------------ -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 13.99 $ 12.14 $ 11.03 $ 8.49 $ 8.69
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.02 0.03 0.03 0.05 0.01
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (1.44) 3.01 1.85 2.61 0.40
----------- ----------- ----------- ----------- -----------
Total From Investment
Operations.............. (1.42) 3.04 1.88 2.66 0.41
- ------------------------------ -----------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.03) (0.03) (0.01) (0.04) (0.03)
Net Realized Gains.......... (1.89) (1.16) (0.76) (0.08) (0.58)
----------- ----------- ----------- ----------- -----------
Total Distributions....... (1.92) (1.19) (0.77) (0.12) (0.61)
- ------------------------------ -----------------------------------------------------------------------------------
Net Asset Value, End of
Period.................... $ 10.65 $ 13.99 $ 12.14 $ 11.03 $ 8.49
- ------------------------------ -----------------------------------------------------------------------------------
- ------------------------------ -----------------------------------------------------------------------------------
Total Return.................. (11.14)% 27.46% 18.05% 31.37% 5.06%
- ------------------------------ -----------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 1,338,510 $ 1,509,427 $ 1,181,804 $ 925,474 $ 659,221
Ratio of Expenses to Average
Net Assets.................. 0.59%*** 0.60% 0.61% 0.62% 0.65%
Ratio of Net Investment Income
to Average Net Assets....... 0.18% 0.21% 0.22% 0.45% 0.16%
Portfolio Turnover Rate....... N/A 27.81% 23.68% 24.65% 16.56%
Portfolio Turnover Rate of
Master Fund Series.......... 26.44% N/A N/A N/A N/A
- ------------------------------ -----------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
** Represents the combined ratio for the portfolio and its pro-rata share of its Master Fund Series.
*** Represents the combined ratio for the portfolio and its respective pro-rata share of its Master Fund Series for the year
ended November 30, 1998.
</TABLE>
See accompanying Notes to Financial Statements.
62
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA REAL ESTATE SECURITIES PORTFOLIO
----------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 15.53 $ 12.65 $ 10.00 $ 9.28 $ 10.92
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.74 0.88 0.71 0.61 0.37
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (2.52) 2.68 2.08 0.68 (1.65)
-------------- -------------- -------------- -------------- --------------
Total From Investment
Operations.............. (1.78) 3.56 2.79 1.29 (1.28)
- ---------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.75) (0.68) (0.14) (0.46) (0.28)
Net Realized Gains.......... -- -- -- -- --
Tax Return of Capital....... -- -- -- (0.11) (0.08)
-------------- -------------- -------------- -------------- --------------
Total Distributions....... (0.75) (0.68) (0.14) (0.57) (0.36)
- ---------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 13.00 $ 15.53 $ 12.65 $ 10.00 $ 9.28
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
Total Return.................. (12.01)% 29.13% 28.24% 14.00% (11.76)%
- ---------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 106,544 $ 95,072 $ 64,390 $ 43,435 $ 30,456
Ratio of Expenses to Average
Net Assets.................. 0.46% 0.48% 0.71% 0.82% 0.90%
Ratio of Net Investment Income
to Average Net Assets....... 5.95% 5.73% 7.08% 6.76% 3.90%
Portfolio Turnover Rate....... 2.55% 30.73% 11.25% 0.66% 28.87%
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE LARGE CAP INTERNATIONAL PORTFOLIO
----------------------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- ------------------------------ ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 14.27 $ 14.18 $ 12.60 $ 11.91 $ 11.26
-------------- -------------- -------------- -------------- --------------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.23 0.23 0.21 0.15 0.09
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 2.03 0.15 1.39 0.95 1.11
-------------- -------------- -------------- -------------- --------------
Total From Investment
Operations.............. 2.26 0.38 1.60 1.10 1.20
- ------------------------------ ----------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.25) (0.21) (0.02) (0.18) (0.09)
Net Realized Gains.......... -- (0.08) -- (0.23) (0.46)
Tax Return of Capital....... -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
Total Distributions....... (0.25) (0.29) (0.02) (0.41) (0.55)
- ------------------------------ ----------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 16.28 $ 14.27 $ 14.18 $ 12.60 $ 11.91
- ------------------------------ ----------------------------------------------------------------------------------------------
- ------------------------------ ----------------------------------------------------------------------------------------------
Total Return.................. 16.13% 2.80% 12.68% 9.37% 10.74%
- ------------------------------ ----------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 114,593 $ 87,223 $ 79,322 $ 67,940 $ 55,635
Ratio of Expenses to Average
Net Assets.................. 0.47% 0.47% 0.58% 0.57% 0.66%
Ratio of Net Investment Income
to Average Net Assets....... 1.63% 1.69% 1.57% 1.84% 1.18%
Portfolio Turnover Rate....... 4.36% 2.31% 17.65% 24.44% 33.15%
- ------------------------------ ----------------------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
63
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE INTERNATIONAL
SMALL COMPANY
PORTFOLIO THE JAPANESE SMALL COMPANY PORTFOLIO
---------------------------------- ---------------------------------------------------------------
YEAR YEAR OCT. 1, YEAR YEAR YEAR
ENDED ENDED TO ENDED YEAR ENDED YEAR ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1998 1997 1996 1995 1994
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period... $ 7.82 $ 9.96 $ 10.00 $ 9.45 $ 21.03 $ 22.78 $ 25.06 $ 19.96
--------- -------- -------- -------- ---------- ----------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment
Income.............. 0.15 0.10 0.01 0.07 0.09 0.07 0.06 0.05
Net Gains (Losses) on
Securities (Realized
and Unrealized)..... (0.04) (2.22) (0.05) (0.31) (10.45) (1.45) (1.65) 5.76
--------- -------- -------- -------- ---------- ----------- -------- --------
Total From
Investment
Operations........ 0.11 (2.12) (0.04) (0.24) (10.36) (1.38) (1.59) 5.81
- ----------------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment
Income.............. (0.11) (0.02) -- (0.11) (0.06) (0.01) (0.06) (0.04)
Net Realized Gains.... -- -- -- -- (1.16) (0.36) (0.63) (0.67)
--------- -------- -------- -------- ---------- ----------- -------- --------
Total
Distributions..... (0.11) (0.02) -- (0.11) (1.22) (0.37) (0.69) (0.71)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................ $ 7.82 $ 7.82 $ 9.96 $ 9.10 $ 9.45 $ 21.03 $ 22.78 $ 25.06
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
Total Return............ 1.49% (21.35)% (0.40)%# (2.37)% (51.90)% (6.28)% (6.54)% 29.59%
- ----------------------------------------------------------------------------------------------------------------------------------
Net Assets, End of
Period (thousands).... $ 273,992 $230,469 $104,118 $119,714 $114,017 $ 294,120 $371,113 $330,674
Ratio of Expenses to
Average Net
Assets**.............. 0.73% 0.75% 0.70%*(a) 0.74% 0.73% 0.72% 0.74% 0.76%
Ratio of Net Investment
Income to Average Net
Assets................ 1.62% 1.46% 0.54%*(a) 0.85% 0.50% 0.24% 0.25% 0.10%
Portfolio Turnover
Rate.................. N/A*** N/A*** N/A*** N/A N/A 18.52%*(b) 7.79% 10.51%
Portfolio Turnover Rate
of Master Fund
Series................ N/A N/A N/A 8.14% 13.17% 1.67%*(c) N/A N/A
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for the respective portfolio and its respective pro-rata share of its Master Fund Series
for the period ended November 30, 1996 and subsequent years.
*** Refer to the respective Master Fund Series.
(a) Had certain waivers and assumptions of expenses not been in effect, the ratio of expenses to average net assets, for the
period ended November 30, 1996 would have been 0.79%, and the ratio of net investment income to average net assets for
the period ended November 30, 1996 would have been 0.45%.
(b) Portfolio turnover calculated for the period December 1, 1995 to August 9, 1996 (through the date on which the portfolio
transferred its investable assets to its corresponding Master Fund series in a tax-free exchange).
(c) Calculated for the period August 9 to November 30, 1996.
</TABLE>
See accompanying Notes to Financial Statements.
64
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE PACIFIC RIM SMALL COMPANY PORTFOLIO
----------------------------------------------------------------
YEAR YEAR YEAR
YEAR ENDED ENDED ENDED ENDED YEAR ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 9.52 $ 16.63 $ 14.38 $ 15.98 $ 16.45
---------- -------- -------- -------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss).......... 0.25 0.32 0.27 0.34 0.23
Net Gains (Losses) on Securities
(Realized and Unrealized)........... (2.40) (6.22) 2.40 (1.33) 0.47
---------- -------- -------- -------- -----------
Total From Investment Operations.... (2.15) (5.90) 2.67 (0.99) 0.70
- ---------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.32) (0.33) (0.02) (0.34) (0.23)
Net Realized Gains.................... (0.50) (0.88) (0.40) (0.27) (0.94)
---------- -------- -------- -------- -----------
Total Distributions................. (0.82) (1.21) (0.42) (0.61) (1.17)
- ---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 6.55 $ 9.52 $ 16.63 $ 14.38 $ 15.98
- ---------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------
Total Return............................ (23.98)% (38.07)% 19.06% (6.27)% 4.26%
- ---------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $89,330 $111,320 $215,542 $193,137 $ 212,953
Ratio of Expenses to Average Net
Assets**.............................. 0.84% 0.84% 0.84% 0.83% 0.95%
Ratio of Net Investment Income to
Average Net Assets.................... 3.51% 1.95% 1.70% 2.22% 1.47%
Portfolio Turnover Rate................. N/A N/A 7.05%*(a) 5.95% 26.05%
Portfolio Turnover Rate of Master Fund
Series................................ 25.84% 24.00% 8.04%*(b) N/A N/A
- ---------------------------------------------------------------------------------------------------------------
<CAPTION>
THE UNITED KINGDOM SMALL COMPANY PORTFOLIO
-------------------------------------------------------------------------
YEAR YEAR YEAR
YEAR ENDED ENDED ENDED ENDED YEAR ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- ---------------------------------------- -------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 28.69 $ 28.47 $ 24.09 $ 23.20 $ 21.22
------------- --------- --------- --------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss).......... 0.87 0.81 0.72 0.84 0.48
Net Gains (Losses) on Securities
(Realized and Unrealized)........... (4.27) 1.46 5.31 1.12 2.03
------------- --------- --------- --------- -----------
Total From Investment Operations.... (3.40) 2.27 6.03 1.96 2.51
- ---------------------------------------- -------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.84) (0.73) (0.06) (0.76) (0.53)
Net Realized Gains.................... (2.82) (1.32) (1.59) (0.31) --
------------- --------- --------- --------- -----------
Total Distributions................. (3.66) (2.05) (1.65) (1.07) (0.53)
- ---------------------------------------- -------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 21.63 $ 28.69 $ 28.47 $ 24.09 $ 23.20
- ---------------------------------------- -------------------------------------------------------------------------
- ---------------------------------------- -------------------------------------------------------------------------
Total Return............................ (13.56)% 8.45% 26.76% 8.39% 11.85%
- ---------------------------------------- -------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $79,231 $ 130,891 $ 166,789 $ 167,730 $ 214,113
Ratio of Expenses to Average Net
Assets**.............................. 0.72% 0.70% 0.73% 0.72% 0.74%
Ratio of Net Investment Income to
Average Net Assets.................... 2.87% 2.40% 2.49% 2.51% 1.95%
Portfolio Turnover Rate................. N/A N/A 3.72%*(a) 7.82% 10.75%
Portfolio Turnover Rate of Master Fund
Series................................ 11.26% 4.26% 4.55%*(b) N/A N/A
- ---------------------------------------- -------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
** Represents the combined ratios for the portfolio and its pro-rata share of its Master Fund Series for the period ended
November 30, 1996 and subsequent periods.
(a) Portfolio turnover calculated for the period December 1, 1995 to August 9, 1996
(through the date on which the portfolio transferred its investable assets to its corresponding Master Fund Series in a
tax-free exchange).
(b) Calculated for the period August 9 to November 30, 1996.
</TABLE>
See accompanying Notes to Financial Statements.
65
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE CONTINENTAL SMALL COMPANY PORTFOLIO
-----------------------------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 15.94 $ 15.26 $ 14.13 $ 14.63 $ 12.62
----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS..................
Net Investment Income....... 0.28 0.29 0.30 0.29 0.18
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 2.55 1.55 1.58 (0.48) 2.10
----------- ----------- ----------- ----------- -----------
Total From Investment
Operations.............. 2.83 1.84 1.88 (0.19) 2.28
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.25) (0.29) (0.02) (0.29) (0.19)
Net Realized Gains.......... (1.10) (0.87) (0.73) (0.02) (0.07)
Tax Return of Capital....... -- -- -- -- (0.01)
----------- ----------- ----------- ----------- -----------
Total Distributions....... (1.35) (1.16) (0.75) (0.31) (0.27)
- -----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 17.42 $ 15.94 $ 15.26 $ 14.13 $ 14.63
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
Total Return.................. 19.42% 13.02% 13.96% (1.33)% 18.19%
- -----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 199,838 $ 232,744 $ 299,325 $ 314,116 $ 340,992
Ratio of Expenses to Average
Net Assets**................ 0.70% 0.72% 0.73% 0.74% 0.77%
Ratio of Net Investment Income
to Average Net Assets....... 1.32% 1.41% 1.81% 1.69% 1.21%
Portfolio Turnover Rate....... N/A N/A 3.67%*(a) 9.79% 10.22%
Portfolio Turnover Rate of
Master Fund Series.......... 0.74% 3.46% 6.69%*(b) N/A N/A
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA INTERNATIONAL
SMALL CAP VALUE PORTFOLIO
-----------------------------------------------------------------
YEAR YEAR YEAR DEC. 30,
ENDED ENDED ENDED 1994 TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995
- ------------------------------ -----------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 7.95 $ 10.45 $ 9.68 $ 10.00
----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS..................
Net Investment Income....... 0.15 0.12 0.11 0.05
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (0.16) (2.19) 0.66 (0.32)
----------- ----------- ----------- -----------
Total From Investment
Operations.............. (0.01) (2.07) 0.77 (0.27)
- ------------------------------ -----------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.12) (0.13) -- (0.04)
Net Realized Gains.......... (0.28) (0.30) -- (0.01)
Tax Return of Capital....... -- -- -- --
----------- ----------- ----------- -----------
Total Distributions....... (0.40) (0.43) -- (0.05)
- ------------------------------ -----------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 7.54 $ 7.95 $ 10.45 $ 9.68
- ------------------------------ -----------------------------------------------------------------
- ------------------------------ -----------------------------------------------------------------
Total Return.................. 0.17% (20.60)% 8.01% (2.73)%#
- ------------------------------ -----------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 450,801 $ 431,257 $ 375,488 $ 147,125
Ratio of Expenses to Average
Net Assets**................ 0.86% 0.90% 0.99% 1.23%*
Ratio of Net Investment Income
to Average Net Assets....... 1.85% 1.47% 1.38% 1.43%*
Portfolio Turnover Rate....... 18.71% 13.63% 14.52% 1.62%*
Portfolio Turnover Rate of
Master Fund Series.......... N/A N/A N/A N/A
- ------------------------------ -----------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for The Continental Small Company Portfolio and its pro-rata share of its Master Fund
Series for the period ended November 30, 1996 and subsequent periods.
(a) Portfolio turnover calculated for the period December 1, 1995 to August 9, 1996, (through the date on which the portfolio
transferred its investable assets to its corresponding Master Fund Series in a tax-free exchange).
(b) Items calculated for the period August 9 to November 30, 1996.
</TABLE>
See accompanying Notes to Financial Statements.
66
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE EMERGING
MARKETS SMALL
THE EMERGING MARKETS PORTFOLIO CAP PORTFOLIO
--------------------------------------------------------- ----------------
YEAR YEAR YEAR YEAR APRIL 25 MARCH 5,
ENDED ENDED ENDED ENDED TO TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1998
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 9.61 $ 11.71 $ 10.35 $ 11.30 $ 10.00 $ 10.00
--------- --------- --------- --------- --------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.13 0.12 0.09 0.06 (0.02) (0.01)
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... (1.32) (2.13) 1.27 (0.96) 1.32 (0.90)
--------- --------- --------- --------- --------- -------
Total From Investment
Operations.............. (1.19) (2.01) 1.36 (0.90) 1.30 (0.91)
- ------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.26) (0.09) -- (0.05) -- --
Net Realized Gains.......... -- -- -- -- -- --
--------- --------- --------- --------- --------- -------
Total Distributions....... (0.26) (0.09) -- (0.05) -- --
- ------------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 8.16 $ 9.61 $ 11.71 $ 10.35 $ 11.30 $ 9.09
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
Total Return.................. (12.57)% (17.27)% 13.18% (7.96)% 13.00%# (9.10)%#
- ------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 225,227 $ 212,048 $ 162,025 $ 49,337 $ 15,731 $ 5,021
Ratio of Expenses to Average
Net Assets**................ 1.00% 0.99% 1.15% 1.58% 2.43%* 2.36%*(a)
Ratio of Net Investment Income
to Average Net Assets....... 1.19% 1.19% 1.14% 0.98% (0.44)%* (0.29)%*(a)
Portfolio Turnover Rate....... N/A N/A N/A N/A N/A N/A
Portfolio Turnover Rate of
Master Fund Series.......... 9.76% 0.54% 0.37% 8.17% 1.28%* 13.41%
- ------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
** Represents the combined ratios for respective portfolios and their respective pro-rata share of their Master Fund Series
for the period ended November 30, 1996 and subsequent periods.
(a) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily
indicative of future ratios.
</TABLE>
See accompanying Notes to Financial Statements.
67
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA ONE-YEAR FIXED INCOME PORTFOLIO (1)
--------------------------------------------------------------
YEAR YEAR YEAR
YEAR ENDED ENDED ENDED ENDED YEAR ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 10.23 $ 10.24 $ 10.21 $ 10.05 $ 10.28
----------- -------- -------- -------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.57 0.59 0.56 0.60 0.46
Net Gain (Losses) on Securities
(Realized and Unrealized)........... -- (0.01) 0.03 0.17 (0.21)
----------- -------- -------- -------- ----------
Total From Investment Operations.... 0.57 0.58 0.59 0.77 0.25
- -------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. 0.57) (0.59) (0.56) (0.60) (0.46)
Net Realized Gain..................... (0.01) -- -- (0.01) (0.02)
----------- -------- -------- -------- ----------
Total Distributions................. (0.58) (0.59) (0.56) (0.61) (0.48)
- -------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 10.22 $ 10.23 $ 10.24 $ 10.21 $ 10.05
- -------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------
Total Return............................ 5.74% 5.84% 5.94% 7.80% 2.48%
- -------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 752,510 $752,237 $854,521 $704,950 $592,226
Ratio of Expenses to Average Net
Assets**.............................. 0.21% 0.22% 0.21% 0.20% 0.21%
Ratio of Net Investment Income to
Average Net Assets.................... 5.51% 5.79% 5.39% 5.86% 4.47%
Portfolio Turnover Rate................. N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ 23.62% 82.84% 95.84% 81.31% 140.82%
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA TWO-YEAR
GLOBAL FIXED INCOME
PORTFOLIO
---------------------------------------
YEAR FEB. 9
YEAR ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996
- ---------------------------------------- ---------------------------------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 10.40 $ 10.37 $ 10.00
------------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.61 0.69 0.24
Net Gain (Losses) on Securities
(Realized and Unrealized)........... 0.01 (0.12) 0.35
------------- -------- --------
Total From Investment Operations.... 0.62 0.57 0.59
- ---------------------------------------- ---------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.79) (0.53) (0.22)
Net Realized Gain..................... (0.02) (0.01) --
------------- -------- --------
Total Distributions................. (0.81) (0.54) (0.22)
- ---------------------------------------- ---------------------------------------
Net Asset Value, End of Period.......... $ 10.21 $ 10.40 $ 10.37
- ---------------------------------------- ---------------------------------------
- ---------------------------------------- ---------------------------------------
Total Return............................ 6.39% 5.66% 6.01%#
- ---------------------------------------- ---------------------------------------
Net Assets, End of Period (thousands)... $ 440,885 $418,905 $319,343
Ratio of Expenses to Average Net
Assets**.............................. 0.29% 0.34% 0.33%*
Ratio of Net Investment Income to
Average Net Assets.................... 5.90% 6.70% 3.10%*
Portfolio Turnover Rate................. N/A N/A N/A
Portfolio Turnover Rate of Master Fund
Series................................ 112.93% 119.27% 87.07%*
- ---------------------------------------- ---------------------------------------
</TABLE>
<TABLE>
<C> <S>
(1) Restated to reflect a 900% stock dividend as of January 2, 1996.
* Annualized
# Non-annualized.
** Represents the combined ratio for the portfolio and its pro-rata share of its Master Fund Series.
</TABLE>
See accompanying Notes to Financial Statements.
68
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA FIVE-YEAR GOVERNMENT PORTFOLIO
---------------------------------------------------------------
YEAR YEAR YEAR
YEAR ENDED ENDED ENDED ENDED YEAR ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 10.36 $ 10.42 $ 10.05 $ 9.75 $ 10.55
----------- -------- -------- -------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.54 0.59 0.65 0.59 0.48
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 0.01 (0.06) 0.09 0.30 (0.80)
----------- -------- -------- -------- -----------
Total From Investment Operations.... 0.55 0.53 0.74 0.89 (0.32)
- --------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.56) (0.59) (0.37) (0.59) (0.48)
Net Realized Gains.................... -- -- -- -- --
----------- -------- -------- -------- -----------
Total Distributions................. (0.56) (0.59) (0.37) (0.59) (0.48)
- --------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 10.35 $ 10.36 $ 10.42 $ 10.05 $ 9.75
- --------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------
Total Return............................ 5.50% 5.39% 7.51% 9.35% (3.13)%
- --------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 210,986 $204,377 $174,386 $300,921 $ 235,554
Ratio of Expenses to Average Net
Assets................................ 0.29% 0.29% 0.30% 0.28% 0.31%
Ratio of Net Investment Income to
Average Net Assets.................... 5.18% 5.95% 5.63% 6.14% 5.08%
Portfolio Turnover Rate................. 6.93% 27.78% 211.97% 398.09% 52.39%
- --------------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA GLOBAL FIXED INCOME PORTFOLIO
------------------------------------------------------------------------
YEAR YEAR YEAR
YEAR ENDED ENDED ENDED ENDED YEAR ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- ---------------------------------------- ------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 10.88 $ 11.04 $ 10.51 $ 9.81 $ 10.56
-------------- --------- --------- --------- -----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.45 0.48 0.50 0.39 0.35
Net Gains (Losses) on Securities
(Realized and Unrealized)........... 0.42 0.33 0.61 1.08 (0.65)
-------------- --------- --------- --------- -----------
Total From Investment Operations.... 0.87 0.81 1.11 1.47 (0.30)
- ---------------------------------------- ------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (1.04) (0.88) (0.58) (0.77) (0.44)
Net Realized Gains.................... (0.06) (0.09) -- -- (0.01)
-------------- --------- --------- --------- -----------
Total Distributions................. (1.10) (0.97) (0.58) (0.77) (0.45)
- ---------------------------------------- ------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 10.65 $ 10.88 $ 11.04 $ 10.51 $ 9.81
- ---------------------------------------- ------------------------------------------------------------------------
- ---------------------------------------- ------------------------------------------------------------------------
Total Return............................ 8.78% 7.87% 11.13% 15.23% (2.91)%
- ---------------------------------------- ------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 371,619 $ 250,078 $ 165,772 $ 208,166 $ 135,529
Ratio of Expenses to Average Net
Assets................................ 0.41% 0.42% 0.46% 0.46% 0.49%
Ratio of Net Investment Income to
Average Net Assets.................... 3.87% 4.50% 4.88% 5.80% 5.75%
Portfolio Turnover Rate................. 74.36% 95.12% 97.78% 130.41% 113.55%
- ---------------------------------------- ------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
Restated to reflect a 900% stock dividend as of January 2, 1996.
</TABLE>
See accompanying Notes to Financial Statements.
69
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA INTERMEDIATE GOVERNMENT FIXED INCOME PORTFOLIO
---------------------------------------------------------------
YEAR YEAR YEAR
YEAR ENDED ENDED ENDED ENDED YEAR ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 11.28 $ 11.22 $ 11.24 $ 10.22 $ 11.59
----------- -------- -------- -------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........................... 0.61 0.66 0.65 0.70 0.69
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 0.59 0.06 (0.13) 1.11 (1.22)
----------- -------- -------- -------- ----------
Total From Investment Operations.............. 1.20 0.72 0.52 1.81 (0.53)
- ------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income........................... (0.65) (0.66) (0.50) (0.70) (0.68)
Net Realized Gains.............................. (0.05) -- (0.04) (0.09) (0.16)
----------- -------- -------- -------- ----------
Total Distributions........................... (0.70) (0.66) (0.54) (0.79) (0.84)
- ------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 11.78 $ 11.28 $ 11.22 $ 11.24 $ 10.22
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
Total Return...................................... 11.07% 6.75% 4.98% 18.04% (4.72)%
- ------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $ 239,035 $136,555 $107,944 $ 78,087 $60,827
Ratio of Expenses to Average Net Assets........... 0.24% 0.25% 0.26% 0.27% 0.29%
Ratio of Net Investment Income to Average Net
Assets.......................................... 5.77% 6.20% 6.22% 6.44% 6.45%
Portfolio Turnover Rate........................... 23.79% 24.06% 30.84% 40.79% 27.15%
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
Restated to reflect a 900% stock dividend as of January 2, 1996.
</TABLE>
See accompanying Notes to Financial Statements.
70
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company whose shares are offered, without a sales charge, generally
to institutional investors and clients of registered investment advisors.
Twenty-one of the Fund's thirty portfolios (the "Portfolios") are included in
this report. Of the remaining nine portfolios, six portfolios are only available
through a select group of insurance products and are presented in a separate
report, two are reported in separate reports and the remaining portfolio has not
yet commenced operations.
Effective August 1, 1997, The U.S. Small Cap Value Portfolio changed its
name to The U.S. 6-10 Value Portfolio.
On December 1, 1997, The U.S. 9-10 Small Company Portfolio transferred its
investable assets for shares with an equal value of The U.S. 9-10 Small Company
Series of The DFA Investment Trust Company. This portfolio invests solely in
this series.
The following Portfolios (the "Feeder Funds") invest in a corresponding
series of The DFA Investment Trust Company (the "Master Funds"):
<TABLE>
<CAPTION>
PERCENTAGE
OWNERSHIP
PORTFOLIOS (FEEDER FUNDS) CORRESPONDING SERIES (MASTER FUNDS) AT 11/30/98
- ------------------------------------------------------- ------------------------------------------------------- -------------
<S> <C> <C>
The U.S. Large Company Portfolio The U.S. Large Company Series 35%
The Enhanced U.S. Large Company Portfolio The Enhanced U.S. Large Company Series 100%
The U.S. Large Cap Value Portfolio The U.S. Large Cap Value Series 61%
The U.S. 6-10 Value Portfolio The U.S. 6-10 Value Series 96%
The U.S. 6-10 Small Company Portfolio The U.S. 6-10 Small Company Series 59%
The U.S. 9-10 Small Company Portfolio The U.S. 9-10 Small Company Series 100%
The International Small Company Portfolio The Japanese Small Company Series 37%
The Pacific Rim Small Company Series 36%
The United Kingdom Small Company Series 38%
The Continental Small Company Series 34%
The Japanese Small Company Portfolio The Japanese Small Company Series 63%
The Pacific Rim Small Company Portfolio The Pacific Rim Small Company Series 64%
The United Kingdom Small Company Portfolio The United Kingdom Small Company Series 62%
The Continental Small Company Portfolio The Continental Small Company Series 66%
The Emerging Markets Portfolio The Emerging Markets Series 97%
The Emerging Markets Small Cap Portfolio The Emerging Markets Small Cap Series 23%
The DFA One-Year Fixed Income Portfolio The DFA One-Year Fixed Income Series 87%
The DFA Two-Year Global Fixed Income Portfolio The DFA Two-Year Global Fixed Income Series 100%
</TABLE>
Each Feeder Fund, with the exception of The International Small Company
Portfolio, invests solely in a corresponding Master Fund. The International
Small Company Portfolio also invests in short term temporary cash investments
from time to time.
71
<PAGE>
The financial statements of the Master Funds are included elsewhere in this
report and should be read in conjunction with the financial statements of the
Feeder Funds.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by The DFA Real Estate Securities
Portfolio which are listed on a securities exchange and for which market
quotations are readily available are valued at the last quoted sale price of the
day, or if there is no such reported sale, at the mean between the most recent
bid and asked prices. Securities held by The Large Cap International Portfolio
and The DFA International Small Cap Value Portfolio (the "International Equity
Portfolios") which are listed on a securities exchange are valued at the last
quoted sale price. Price information on listed securities is taken from the
exchange where the security is primarily traded. Unlisted securities for which
market quotations are readily available are valued at the mean between the most
recent bid and asked prices. Securities for which quotations are not readily
available are valued in good faith at fair value using methods determined by the
Board of Directors.
Securities held by The DFA Intermediate Government Fixed Income Portfolio,
The DFA Five-Year Government Portfolio and The DFA Global Fixed Income Portfolio
(the "Fixed Income Portfolios"), are valued on the basis of prices provided by a
pricing service when such prices are believed to reflect the fair market value
of such securities. Securities for which quotations are not readily available
are valued in good faith at fair value using methods determined by the Board of
Directors.
Master Fund shares held by the Feeder Funds are valued at their respective
daily net asset values or for The U.S. Large Company Portfolio, The Japanese
Small Company Portfolio, The Pacific Rim Small Company Portfolio, The United
Kingdom Small Company Portfolio, The Continental Small Company Portfolio, The
International Small Company Portfolio, The Emerging Markets Portfolio and The
Emerging Markets Small Cap Portfolio, their investment reflects their
proportionate interest in the net assets of the corresponding Master Fund.
2. FOREIGN CURRENCY: Securities, other assets and liabilities of the
International Equity Portfolios and The DFA Global Fixed Income Portfolio whose
values are initially expressed in foreign currencies are translated to U.S.
dollars at the mean price of such currency against U.S. dollars last quoted by a
major bank. Dividend and interest income and certain expenses are translated to
U.S. dollars at the rate of exchange on their respective accrual dates.
Receivables and payables denominated in foreign currencies are marked to market
daily based on daily exchange rates and exchange gains or losses are realized
upon ultimate receipt or disbursement. The DFA Global Fixed Income Portfolio
also enters into forward foreign currency contracts solely for the purpose of
hedging against fluctuations in currency exchange rates.
The International Equity Portfolios do not isolate the effect of fluctuation
in foreign exchange rates from the effect of fluctuations in the market prices
of securities whether realized or unrealized. However, The DFA Global Fixed
Income Portfolio does isolate the effect of fluctuations in foreign currency
rates when determining the realized gain or loss upon the sale or maturity of
foreign currency denominated debt obligations pursuant to U.S. Federal income
tax regulations; such amounts are categorized as foreign exchange gain or loss
for both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and The DFA Global Fixed Income Portfolio and
the U.S. dollar equivalent amounts actually received or paid.
72
<PAGE>
3. FEDERAL INCOME TAXES: It is each Portfolio's intention to qualify as a
regulated investment company and distribute all of its taxable income.
Accordingly, no provision for federal taxes is required in the financial
statements.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on an accrual basis. Discount and
premium on debt securities purchased are amortized over the lives of the
respective securities. Expenses directly attributable to a Portfolio are
directly charged. Common expenses are allocated using methods determined by the
Board of Directors.
The U.S. Large Company Portfolio, The Japanese Small Company Portfolio, The
Pacific Rim Small Company Portfolio, The United Kingdom Small Company Portfolio,
The Continental Small Company Portfolio, The International Small Company
Portfolio, The Emerging Markets Portfolio and The Emerging Markets Small Cap
Portfolio each accrue their respective share of income, net of expenses daily on
their investment in their corresponding Master Fund, which are treated as
partnerships for federal income tax purposes. All of the net investment income
and realized and unrealized gains and losses from the security transactions and
foreign currency of the Master Funds are allocated pro rata among its investors
at the time of such determination.
C. INVESTMENT ADVISOR AND ADMINISTRATOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to all Portfolios except the Feeder Funds. The Advisor
provides administrative services to the Feeder Funds, including supervision of
services provided by others, providing information to shareholders and the Board
of Directors, and other administrative services.
For the year ended November 30, 1998, the Portfolios' advisory fees were
computed daily and paid monthly to the Advisor based on the following effective
annual rates:
<TABLE>
<S> <C> <C>
The DFA Real Estate Securities Portfolio.................. .30 of 1% (a)
The Large Cap International Portfolio..................... .25 of 1%
The DFA International Small Cap Value Portfolio........... .65 of 1%
The DFA Five-Year Government Portfolio.................... .20 of 1%
The DFA Global Fixed Income Portfolio..................... .25 of 1%
The DFA Intermediate Government Fixed Income Portfolio.... .15 of 1%
</TABLE>
(a) Effective December 11, 1996, the sub-advisory agreement between The DFA/AEW
Real Estate Securities Portfolio and Aldrich, Eastman & Waltch L.P.
terminated. Effective December 20, 1996, the advisory fee for The DFA/AEW Real
Estate Securities Portfolio was reduced from .325% to .30% and the name of the
portfolio was changed to The DFA Real Estate Securities Portfolio.
73
<PAGE>
For the year ended November 30, 1998, the Feeder Funds computed daily and
paid monthly to the Advisor an administrative fee based on the following
effective annual rates:
<TABLE>
<S> <C> <C>
The U.S. Large Company Portfolio.......................... .215 of 1%
The Enhanced U.S. Large Company Portfolio................. .15 of 1%
The U.S. Large Cap Value Portfolio........................ .15 of 1%
The U.S. 6-10 Value Portfolio............................. .30 of 1%
The U.S. 6-10 Small Company Portfolio..................... .32 of 1%
The U.S. 9-10 Small Company Portfolio..................... .40 of 1%
The International Small Company Portfolio................. .40 of 1%
The Japanese Small Company Portfolio...................... .40 of 1%
The Pacific Rim Small Company Portfolio................... .40 of 1%
The United Kingdom Small Company Portfolio................ .40 of 1%
The Continental Small Company Portfolio................... .40 of 1%
The Emerging Markets Portfolio............................ .40 of 1%
The Emerging Markets Small Cap Portfolio.................. .45 of 1%
The DFA One-Year Fixed Income Portfolio................... .10 of 1%
The DFA Two-Year Global Fixed Income Portfolio............ .10 of 1%
</TABLE>
Effective August 9, 1996, the Advisor agreed to waive its administrative
service fee and/or assume the direct and indirect expenses of The U.S. Large
Company Portfolio to the extent necessary to keep the annual combined expenses
of the Portfolio and its respective Master Fund to not more than 0.15% of the
average daily net assets of the Portfolio. Prior to that date, the Advisor
agreed to waive its fees and reimburse the Portfolio to the extent necessary to
keep the annual combined expenses to not more than 0.24% of average daily net
assets. At November 30, 1998, approximately $789,000 of previously waived fees
are subject to future reimbursement to the Advisor over various periods not
exceeding November 30, 1999.
Effective August 9, 1996, the Advisor agreed to waive its administrative
service fee and/or assume the direct expenses of The Japanese Small Company
Portfolio, The Pacific Rim Small Company Portfolio, The United Kingdom Small
Company Portfolio and The Continental Small Company Portfolio to the extent
necessary to keep the direct annual expenses of each Portfolio to not more than
0.47% of the average daily net assets of the Portfolio.
The Advisor has agreed to waive its administrative service fee and/or assume
the direct expenses of The International Small Company Portfolio to the extent
necessary to keep the direct annual expenses of the Portfolio to not more than
0.45% of the average daily net assets of the Portfolio. At November 30, 1998,
approximately $14,000 of previously waived fees are subject to future
reimbursement to the Advisor over various periods not exceeding November 30,
1999.
Effective August 1, 1997, the Advisor agreed to waive its administrative
service fee and/or assume the direct and indirect expenses of The Enhanced U.S.
Large Company Portfolio to the extent necessary to keep the annual combined
expenses of the portfolio and its respective Master Fund to not more than 0.45%
of the average daily net assets of the portfolio. At November 30, 1998
approximately $3,400 of previously waived fees are subject to future
reimbursement to the Advisor over various periods not exceeding November 30,
1999.
Certain officers of the Portfolios are also officers, directors and
shareholders of the Advisor.
74
<PAGE>
D. PURCHASES AND SALES OF SECURITIES:
For the year ended November 30, 1998, the Portfolios made the following
purchases and sales of investment securities:
<TABLE>
<CAPTION>
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
-------------------- --------------------
PURCHASES SALES PURCHASES SALES
--------- --------- --------- ---------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
The DFA Real Estate Securities Portfolio................. -- -- $ 34,158 $ 2,604
The Large Cap International Portfolio.................... -- -- 16,854 4,179
The DFA International Small Cap Value Portfolio.......... -- -- 126,437 85,694
The DFA Five-Year Government Portfolio................... $ 5,009 $ 157,945 -- --
The DFA Global Fixed Income Portfolio.................... -- 998 245,116 194,348
The DFA Intermediate Government Fixed Income Portfolio... 128,990 37,236 -- --
</TABLE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1998, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities and foreign currencies for
each Portfolio were as follows:
<TABLE>
<CAPTION>
GROSS GROSS
UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION NET
-------------- -------------- ---------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. Large Company Portfolio........................... $ 208,056 $ (5,965) $ 202,091
The Enhanced U.S. Large Company Portfolio.................. 9,310 -- 9,310
The U.S. Large Cap Value Portfolio......................... 268,549 -- 268,549
The U.S. 6-10 Value Portfolio.............................. 267,287 -- 267,287
The U.S. 6-10 Small Company Portfolio...................... 43,030 -- 43,030
The U.S. 9-10 Small Company Portfolio...................... 200,862 -- 200,862
The DFA Real Estate Securities Portfolio................... 9,463 (10,548) (1,085)
The Large Cap International Portfolio...................... 43,571 (8,971) 34,600
The International Small Company Portfolio.................. 10,237 (75,069) (64,832)
The Japanese Small Company Portfolio....................... 6,771 (173,772) (167,001)
The Pacific Rim Small Company Portfolio.................... 16,180 (98,158) (81,978)
The United Kingdom Small Company Portfolio................. 24,995 (21,971) 3,024
The Continental Small Company Portfolio.................... 101,905 (37,291) 64,614
The DFA International Small Cap Value Portfolio............ 51,814 (210,041) (158,227)
The Emerging Markets Portfolio............................. 35,117 (103,224) (68,107)
The Emerging Markets Small Cap Portfolio................... -- (369) (369)
The DFA One-Year Fixed Income Portfolio.................... 2,901 -- 2,901
The DFA Two-Year Global Fixed Income Portfolio............. 5,432 -- 5,432
The DFA Five-Year Government Portfolio..................... 7 (1) 6
The DFA Global Fixed Income Portfolio...................... 3,816 (1,232) 2,584
The DFA Intermediate Government Fixed Income Portfolio..... 9,619 (120) 9,499
</TABLE>
75
<PAGE>
At November 30, 1998, the following Portfolios had capital loss carryovers
for federal income tax purposes:
<TABLE>
<CAPTION>
EXPIRES ON NOVEMBER 30
-----------------------------------------------------
(AMOUNTS IN THOUSANDS)
2002 2003 2004 2005 2006 TOTAL
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
The U.S. 9-10 Small Company Portfolio............ -- -- -- -- $ 2,841 $ 2,841
The DFA Real Estate Securities Portfolio......... $ 134 -- $ 381 -- 273 788
The International Small Company Portfolio........ -- -- -- $ 696 -- 696
The Japanese Small Company Portfolio............. -- -- -- 1,532 7,918 9,450
The Pacific Rim Small Company Portfolio.......... -- -- -- -- 924 924
The Emerging Markets Portfolio................... -- -- -- -- 19,586 19,586
The DFA Five-Year Government Portfolio........... -- $ 7,871 887 -- -- 8,758
The DFA Two-Year Global Fixed Income Portfolio... -- -- -- 5 -- 5
</TABLE>
F. COMPONENTS OF NET ASSETS AND SHARES AUTHORIZED:
<TABLE>
<CAPTION>
AT NOVEMBER 30, 1998 NET ASSETS CONSIST OF:
-----------------------------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
UNREALIZED
UNDISTRIBUTED UNDISTRIBUTED APPRECIATION
NET NET REALIZED (DEPRECIATION) OF UNREALIZED
INVESTMENT UNDISTRIBUTED FOREIGN INVESTMENT NET FOREIGN
PAID-IN INCOME NET REALIZED EXCHANGE SECURITIES AND EXCHANGE
CAPITAL (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY GAIN (LOSS)
------------- ------------ -------------- -------------- -------------------- -------------
<S> <C> <C> <C> <C> <C> <C>
The U.S. Large Company
Portfolio................ $ 343,506 $ 1,386 $ (429) -- $ 205,499 --
The Enhanced U.S. Large
Company Portfolio........ 49,262 64 2,028 -- 10,182 --
The U.S. Large Cap Value
Portfolio................ 774,266 3,761 27,439 -- 275,004 --
The U.S. 6-10 Value
Portfolio................ 1,927,944 8,581 138,392 -- 275,177 --
The U.S. 6-10 Small
Company Portfolio........ 257,973 1,136 16,121 -- 49,360 --
The U.S. 9-10 Small
Company Portfolio........ 1,138,373 7,054 (34,832) -- 227,915 --
The DFA Real Estate
Securities Portfolio..... 105,181 5,601 (1,323) -- (2,915) --
The Large Cap
International
Portfolio................ 78,793 1,441 (585) $ 12 34,906 $ 26
The International Small
Company Portfolio........ 334,790 4,604 (787) (177) (64,456) 18
The Japanese Small Company
Portfolio................ 294,777 949 (11,986) (151) (163,912) 37
The Pacific Rim Small
Company Portfolio........ 167,954 2,086 (497) (133) (80,077) (3)
The United Kingdom Small
Company Portfolio........ 57,697 3,105 15,491 (95) 3,032 1
The Continental Small
Company Portfolio........ 110,196 3,797 20,908 (99) 65,021 15
The DFA International
Small Cap Value
Portfolio................ 590,924 8,154 10,033 (303) (158,051) 44
The Emerging Markets
Portfolio................ 311,220 443 (22,610) (354) (63,469) (3)
The Emerging Markets Small
Cap Portfolio............ 5,180 (5) 181 (6) (329) --
The DFA One-Year Fixed
Income Portfolio......... 749,222 (154) (3,862) -- 7,304 --
The DFA Two-Year Global
Fixed Income Portfolio... 435,367 83 (2,115) -- 7,550 --
The DFA Five-Year
Government Portfolio..... 214,225 5,511 (8,756) -- 6 --
The DFA Global Fixed
Income Portfolio......... 361,280 (1,572) 2,463 7,244 2,584 (380)
The DFA Intermediate
Government Fixed Income
Portfolio................ 225,356 2,595 1,585 -- 9,499 --
<CAPTION>
NUMBER OF
TOTAL NET SHARES
ASSETS AUTHORIZED
------------- -------------
<S> <C> <C>
The U.S. Large Company
Portfolio................ $ 549,962 200,000,000
The Enhanced U.S. Large
Company Portfolio........ 61,536 100,000,000
The U.S. Large Cap Value
Portfolio................ 1,080,470 100,000,000
The U.S. 6-10 Value
Portfolio................ 2,350,094 200,000,000
The U.S. 6-10 Small
Company Portfolio........ 324,590 100,000,000
The U.S. 9-10 Small
Company Portfolio........ 1,338,510 300,000,000
The DFA Real Estate
Securities Portfolio..... 106,544 100,000,000
The Large Cap
International
Portfolio................ 114,593 150,000,000
The International Small
Company Portfolio........ 273,992 100,000,000
The Japanese Small Company
Portfolio................ 119,714 50,000,000
The Pacific Rim Small
Company Portfolio........ 89,330 50,000,000
The United Kingdom Small
Company Portfolio........ 79,231 20,000,000
The Continental Small
Company Portfolio........ 199,838 50,000,000
The DFA International
Small Cap Value
Portfolio................ 450,801 100,000,000
The Emerging Markets
Portfolio................ 225,227 100,000,000
The Emerging Markets Small
Cap Portfolio............ 5,021 100,000,000
The DFA One-Year Fixed
Income Portfolio......... 752,510 140,000,000
The DFA Two-Year Global
Fixed Income Portfolio... 440,885 100,000,000
The DFA Five-Year
Government Portfolio..... 210,986 100,000,000
The DFA Global Fixed
Income Portfolio......... 371,619 100,000,000
The DFA Intermediate
Government Fixed Income
Portfolio................ 230,035 100,000,000
</TABLE>
76
<PAGE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Portfolios' Investment Objectives and Policies, the
Portfolios may invest, either directly or through its investment in a
corresponding Master Fund, in certain financial instruments that have
off-balance sheet risk and concentrations of credit risk. These instruments and
their significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Portfolios may purchase money market
instruments subject to the seller's agreement to repurchase them at an agreed
upon date and price. The seller will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Fund's custodian or a third party sub-custodian. All open repurchase
agreements were entered into on November 30, 1998.
2. FORWARD CURRENCY CONTRACTS: The DFA Global Fixed Income Portfolio may
enter into forward foreign currency contracts to hedge against adverse changes
in the relationship of the U.S. dollar to foreign currencies. At November 30,
1998, The DFA Global Fixed Income Portfolio had entered into the following
contracts and the related net unrealized foreign exchange loss is reflected in
the accompanying financial statements:
<TABLE>
<CAPTION>
UNREALIZED
VALUE AT FOREIGN
EXPIRATION NOVEMBER 30, EXCHANGE
DATE CURRENCY SOLD CONTRACT AMOUNT 1998 GAIN (LOSS)
- ---------- ---------------- ---------------- ---------------- -------------
<S> <C> <C> <C> <C> <C>
12/16/98.. 8,985,270,949 Japanese Yen $ 72,645,938 $ 73,098,509 $ (452,571)
12/21/98.. 196,177,800 Swedish Krona 24,439,104 24,182,163 256,941
12/23/98.. 6,326,107 Canadian Dollars 4,094,550 4,136,062 (41,512)
12/24/98.. 10,884,125 Netherlands Guilders 5,714,672 5,708,717 5,955
12/28/98.. 123,625,890 German Marks 73,111,053 73,117,668 (6,615)
12/29/98.. 36,962,850 Australian Dollars 23,767,261 23,242,252 525,009
12/30/98.. 451,444,538 French Francs 78,843,611 79,602,860 (759,249)
---------------- ---------------- -------------
$ 282,616,189 $ 283,088,231 $ (472,042)
---------------- ---------------- -------------
---------------- ---------------- -------------
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. The DFA Global Fixed Income Portfolio will enter into forward contracts
only for hedging purposes.
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
H. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. For the year ended November 30, 1998, borrowings
under the line were as follows:
77
<PAGE>
<TABLE>
<CAPTION>
MAXIMUM
WEIGHTED AMOUNT
AVERAGE WEIGHTED NUMBER OF INTEREST BORROWED
INTEREST AVERAGE LOAN DAYS EXPENSE DURING THE
RATE BALANCE OUTSTANDING INCURRED PERIOD
------- ------------- ------------- --------- -----------
<S> <C> <C> <C> <C> <C>
The DFA Real Estate Securities
Portfolio.............................. 5.45% $ 550,455 6 $ 916 $1,216,500
The United Kingdom Small Company
Portfolio.............................. 6.05% 665,000 2 223 1,000,000
The Continental Small Company
Portfolio.............................. 6.03% 1,360,000 15 3,642 2,500,000
The Emerging Markets Portfolio.......... 5.92% 1,125,000 2 370 1,500,000
</TABLE>
There were no outstanding borrowings at November 30, 1998.
I. REIMBURSEMENT FEES:
Shares of The Japanese Small Company Portfolio, The Pacific Rim Small
Company Portfolio, The Continental Small Company Portfolio, The International
Small Company Portfolio, The Emerging Markets Portfolio, The Emerging Markets
Small Cap Portfolio and The DFA International Small Cap Value Portfolio are sold
at a public offering price which is equal to the current net asset value of such
shares plus a reimbursement fee. Reimbursement fees are recorded as an addition
to paid in capital and are used to defray the costs associated with investing
proceeds of the sale of shares to investors.
The reimbursement fees for The Japanese Small Company Portfolio and The
Emerging Markets Portfolio are .50% of the net asset value of their shares. The
reimbursement fees for The Pacific Rim Small Company Portfolio, The Continental
Small Company Portfolio and The Emerging Markets Small Cap Portfolio 1.00% of
the net asset value of their shares. The reimbursement fee for The DFA
International Small Cap Value Portfolio and The International Small Company
Portfolio is .675% of the net asset value of its shares.
J. SECURITIES LENDING:
Loans of domestic security are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Portfolio or, at the option of
the lending agent, replace the loaned securities. Such cash collateral for
November 30, 1998 was reinvested into overnight repurchase agreements with
Warburg Dillon Reed and 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 COLLATERAL AND REPURCHASE
OF SECURITIES INDEMNIFICATION AGREEMENTS
-------------- --------------- --------------
<S> <C> <C> <C>
DOMESTIC EQUITY PORTFOLIOS
- ------------------------------------------------------------
The DFA Real Estate Securities Portfolio.................... $ 34,400 $ 38,700 $ 39,792
INTERNATIONAL EQUITY PORTFOLIOS
- ------------------------------------------------------------
The Large Cap International Portfolio....................... 2,923,936 3,089,508 3,093,171
The DFA International Small Cap Value Portfolio............. 18,704,198 19,915,566 19,916,900
</TABLE>
K. SUBSEQUENT EVENT:
On December 8, 1998, The DFA Global Fixed Income Portfolio changed its name
to the DFA Five-Year Global Fixed Income Portfolio.
78
<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.
comprising, respectively, The U.S. Large Company Portfolio, The Enhanced U.S.
Large Company Portfolio, The U.S. Large Cap Value Portfolio, The U.S. 6-10 Value
Portfolio, The U.S. 6-10 Small Company Portfolio, The U.S. 9-10 Small Company
Portfolio, The DFA Real Estate Securities Portfolio, The Large Cap International
Portfolio, The International Small Company Portfolio, The Japanese Small Company
Portfolio, The Pacific Rim Small Company Portfolio, The United Kingdom Small
Company Portfolio, The Continental Small Company Portfolio, The DFA
International Small Cap Value Portfolio, The Emerging Markets Portfolio, The
Emerging Markets Small Cap Portfolio, The DFA One-Year Fixed Income Portfolio,
The DFA Two-Year Global Fixed Income Portfolio, The DFA Five-Year Government
Portfolio, The DFA Global Fixed Income Portfolio and The DFA Intermediate
Government Fixed Income Portfolio (the "Fund"), 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. comprising, respectively, The U.S. Large Company
Portfolio, The Enhanced U.S. Large Company Portfolio, The U.S. Large Cap Value
Portfolio, The U.S. 6-10 Value Portfolio, The U.S. 6-10 Small Company Portfolio,
The U.S. 9-10 Small Company Portfolio, The DFA Real Estate Securities Portfolio,
The Large Cap International Portfolio, The International Small Company
Portfolio, The Japanese Small Company Portfolio, The Pacific Rim Small Company
Portfolio, The United Kingdom Small Company Portfolio, The Continental Small
Company Portfolio, The DFA International Small Cap Value Portfolio, The Emerging
Markets Portfolio, The Emerging Markets Small Cap Portfolio, The DFA One-Year
Fixed Income Portfolio, The DFA Two-Year Global Fixed Income Portfolio, The DFA
Five-Year Government Portfolio, The DFA Global Fixed Income Portfolio and The
DFA Intermediate Government Fixed Income 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
79
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
PERFORMANCE CHART
- --------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE PORTFOLIO VS.
EAFE INDEX (NET DIVIDENDS)
MARCH 1994-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 DFA INTERNATIONAL VALUE PORTFOLIO EAFE INDEX (NET DIVIDENDS) EAFE INDEX (GROSS DIVIDENDS)
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Mar-94 $9,733 $9,569 $9,570
Apr-94 $10,060 $9,975 $9,982
May-94 $10,119 $9,918 $9,922
Jun-94 $10,234 $10,058 $10,061
Jul-94 $10,433 $10,155 $10,161
Aug-94 $10,593 $10,396 $10,405
Sep-94 $10,220 $10,068 $10,082
Oct-94 $10,649 $10,404 $10,425
Nov-94 $10,086 $9,903 $9,925
Dec-94 $10,144 $9,966 $9,984
Jan-95 $9,743 $9,583 $9,605
Feb-95 $9,722 $9,556 $9,576
Mar-95 $10,292 $10,152 $10,179
Apr-95 $10,613 $10,533 $10,566
May-95 $10,543 $10,408 $10,439
Jun-95 $10,439 $10,225 $10,262
Jul-95 $11,026 $10,862 $10,909
Aug-95 $10,642 $10,448 $10,494
Sep-95 $10,708 $10,652 $10,704
Oct-95 $10,504 $10,365 $10,415
Nov-95 $10,787 $10,653 $10,706
Dec-95 $11,310 $11,083 $11,145
Jan-96 $11,423 $11,128 $11,190
Feb-96 $11,485 $11,166 $11,235
Mar-96 $11,651 $11,404 $11,471
Apr-96 $12,102 $11,736 $11,803
May-96 $11,989 $11,520 $11,591
Jun-96 $12,027 $11,584 $11,660
Jul-96 $11,707 $11,246 $11,322
Aug-96 $11,748 $11,271 $11,345
Sep-96 $11,951 $11,570 $11,651
Oct-96 $11,836 $11,452 $11,535
Nov-96 $12,365 $11,908 $11,996
Dec-96 $12,193 $11,755 $11,840
Jan-97 $11,787 $11,343 $11,426
Feb-97 $11,895 $11,529 $11,620
Mar-97 $11,934 $11,571 $11,667
Apr-97 $11,869 $11,632 $11,737
May-97 $12,768 $12,389 $12,499
Jun-97 $13,313 $13,072 $13,187
Jul-97 $13,497 $13,284 $13,398
Aug-97 $12,613 $12,291 $12,406
Sep-97 $13,069 $12,980 $13,101
Oct-97 $12,387 $11,983 $12,092
Nov-97 $11,856 $11,861 $11,971
Dec-97 $11,811 $11,964 $12,079
Jan-98 $12,518 $12,511 $12,635
Feb-98 $13,337 $13,314 $13,443
Mar-98 $13,926 $13,724 $13,860
Apr-98 $13,971 $13,832 $13,971
May-98 $14,092 $13,764 $13,901
Jun-98 $13,957 $13,869 $14,012
Jul-98 $14,113 $14,009 $14,153
Aug-98 $12,263 $12,273 $12,398
Sep-98 $11,600 $11,898 $12,026
Oct-98 $12,754 $13,138 $13,288
Nov-98 $13,314 $13,810 $13,966
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED
TOTAL RETURN ONE FROM
(%) YEAR MARCH 1994
- ---------------------------------------
<S> <C> <C>
12.30 6.21
</TABLE>
- - THE PORTFOLIO INVESTS IN THE DFA INTERNATIONAL VALUE SERIES OF THE DFA
INVESTMENT TRUST COMPANY WHICH IN TURN INVESTS IN COMPANIES WITH MARKET
CAPITALIZATION OF AT LEAST $800 MILLION AND BOOK-TO-MARKET RATIOS IN THE UPPER
30% OF LARGE PUBLICLY TRADED NON-U.S. COMPANIES. COUNTRY WEIGHTINGS REFLECT
THE EAFE INDEX MARKET CAPITALIZATION WEIGHT, WITH JAPAN LIMITED TO 38%.
- - THE PORTFOLIO'S RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF LARGE,
NON-U.S. COMPANIES WITH HIGH BOOK-TO-MARKET RATIOS.
- - 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.
- --------------------------------------------------------------------------------
80
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<S> <C>
ASSETS:
Investment in The DFA International Value Series of The DFA Investment Trust Company
(36,456,651 Shares, Cost $387,226)++ at Value......................................... $ 435,657
Receivable for Investment Securities Sold............................................... 115
Receivable for Fund Shares Sold......................................................... 33
Prepaid Expenses and Other Assets....................................................... 24
------------
Total Assets........................................................................ 435,829
------------
LIABILITIES:
Payable for Fund Shares Redeemed........................................................ 148
Accrued Expenses........................................................................ 94
------------
Total Liabilities................................................................... 242
------------
NET ASSETS.............................................................................. $ 435,587
------------
------------
SHARES OUTSTANDING, $.01 PAR VALUE
(Authorized 100,000,000).............................................................. 36,677,032
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE................................ $ 11.88
------------
------------
NET ASSETS CONSIST OF:
Paid-In Capital......................................................................... $ 386,462
Undistributed Net Investment Income..................................................... 1,002
Accumulated Net Realized Loss........................................................... (308)
Unrealized Appreciation of Investment Securities........................................ 48,431
------------
Total Net Assets.................................................................... $ 435,587
------------
------------
</TABLE>
- --------------
++ The cost for federal income tax purposes is $392,531.
See accompanying Notes to Financial Statements.
81
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<S> <C>
INVESTMENT INCOME
Income Distributions Received From The DFA Investment Trust Company................. $ 9,421
---------
EXPENSES
Administrative Services............................................................. 828
Accounting & Transfer Agent Fees.................................................... 24
Legal Fees.......................................................................... 24
Audit Fees.......................................................................... 3
Filing Fees......................................................................... 62
Shareholders' Reports............................................................... 25
Directors' Fees and Expenses........................................................ 9
Organization Costs.................................................................. 10
Other............................................................................... 2
---------
Total Expenses.................................................................. 987
---------
NET INVESTMENT INCOME............................................................... 8,434
---------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Capital Gain Distributions Received From The DFA Investment Trust Company............... 974
Net Realized Loss on Investment Securities.............................................. (2,087)
Change in Unrealized Appreciation of Investment Securities.............................. 38,017
---------
NET GAIN ON INVESTMENT SECURITIES................................................... 36,904
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS.................................... $ 45,338
---------
---------
</TABLE>
See accompanying Notes to Financial Statements.
82
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
YEAR
ENDED YEAR ENDED
NOV. 30, NOV. 30,
1998 1997
------------ -----------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.................................................................. $ 8,434 $ 6,325
Capital Gain Distributions Received from The Investment Trust Company.................. 974 6,429
Net Realized Loss on Investment Securities............................................. (2,087) (1,343)
Change in Unrealized Appreciation (Depreciation) of Investment Securities.............. 38,017 (26,881)
------------ -----------
Net Increase (Decrease) in Net Assets Resulting from Operations.................... 45,338 (15,470)
------------ -----------
Distributions From:
Net Investment Income.................................................................. (8,141) (6,494)
Net Realized Gains..................................................................... (4,616) (7,928)
------------ -----------
Total Distributions................................................................ (12,757) (14,422)
------------ -----------
Capital Share Transactions (1):
Shares Issued.......................................................................... 131,742 147,909
Shares Issued in Lieu of Cash Distributions............................................ 12,746 14,418
Shares Redeemed........................................................................ (111,599) (79,026)
------------ -----------
Net Increase From Capital Share Transactions....................................... 32,889 83,301
------------ -----------
Total Increase..................................................................... 65,470 53,409
NET ASSETS
Beginning of Period.................................................................... 370,117 316,708
------------ -----------
End of Period.......................................................................... $ 435,587 $ 370,117
------------ -----------
------------ -----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.......................................................................... 11,225 12,760
Shares Issued in Lieu of Cash Distributions............................................ 1,149 1,249
Shares Redeemed........................................................................ (9,535) (6,779)
------------ -----------
2,839 7,230
------------ -----------
------------ -----------
</TABLE>
See accompanying Notes to Financial Statements.
83
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
THE DFA INTERNATIONAL VALUE PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR FEB. 16
ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................... $ 10.94 $ 11.90 $ 10.55 $ 10.06 $ 10.00
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ 0.24 0.19 0.21 0.19 0.13
Net Gains (Losses) on Securities
(Realized and Unrealized)...... 1.08 (0.65) 1.31 0.51 0.06
---------- ---------- ---------- ---------- ----------
Total from Investment
Operations..................... 1.32 (0.46) 1.52 0.70 0.19
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income............ (0.24) (0.21) (0.17) (0.19) (0.13)
Net Realized Gains............... (0.14) (0.29) -- (0.02) --
---------- ---------- ---------- ---------- ----------
Total Distributions.............. (0.38) (0.50) (0.17) (0.21) (0.13)
---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period..... $ 11.88 $ 10.94 $ 11.90 $ 10.55 $ 10.06
---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ----------
Total Return....................... 12.29% (4.04)% 14.54% 6.95% 1.85%#
Net Assets, End of Period
(thousands)...................... $ 435,587 $ 370,117 $ 316,708 $ 245,243 $ 227,795
Ratio of Expenses to Average Net
Assets (1)....................... 0.53% 0.56% 0.56%(a) 0.65%(a) 0.65%*(a)
Ratio of Net Investment Income to
Average Net Assets............... 2.04% 1.72% 2.22%(a) 1.79%(a) 1.80%*(a)
Portfolio Turnover Rate............ N/A N/A N/A N/A N/A
Portfolio Turnover Rate of Master
Fund Series...................... 15.41% 22.55% 12.23% 9.75% 1.90%*
</TABLE>
- --------------
* Annualized
# Non-Annualized
(1) Represents the combined ratio for the Portfolio and its respective pro-rata
share of its Master Fund Series.
(a) Had certain waivers and assumptions of expenses not been in effect, the
ratios of expenses to average net assets for the periods ended November 30,
1996, 1995 and 1994 would have been 0.57%, 0.72% and 0.72%, respectively
and the ratios of net investment income to average net assets for the
periods ended November 30, 1996, 1995 and 1994 would have been 2.21%, 1.71%
and 1.75%, respectively.
N/A Refer to the respective Master Fund Series.
See accompanying Notes to Financial Statements.
84
<PAGE>
DIMENSIONAL INVESTMENT GROUP INC.
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
Dimensional Investment Group Inc. (the "Fund") is an open-end management
investment company registered under the Investment Company Act of 1940, whose
shares are offered to institutional investors, retirement plans and clients of
registered investment advisors. The Fund currently offers thirteen portfolios,
of which The DFA International Value Portfolio (the "Portfolio") is presented in
this report.
The Portfolio invests all of its assets in The DFA International Value
Series (the "Series") a corresponding series of The DFA Investment Trust
Company. At November 30, 1998, the Portfolio owned 25% of the outstanding shares
of the Series. The financial statements of the Series are included elsewhere in
this report and should be read in conjunction with the financial statements of
the Portfolio.
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: The shares of the Series held by the Portfolio are
valued at its respective daily net asset value.
2. FEDERAL INCOME TAXES: It is the Portfolio's intention to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for Federal income tax is required in the
financial statements.
3. 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. Expenses directly attributable to the Portfolio or to the
Series are directly charged. Common expenses are allocated using methods
determined by the Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides
administrative services to the Portfolio, including supervision of services
provided by others, providing information to the shareholders and to the Board
of Directors, and other administrative services. The Advisor provides investment
advisory services to the Series. For the year ended November 30, 1998, the
Portfolio's administrative fees were computed daily and paid monthly to the
Advisor based on an effective annual rate of 0.20 of 1% of average daily net
assets.
Certain officers of the Portfolio are also officers, directors and
shareholders of the Advisor.
The Advisor has agreed to waive its fees and assume the expenses of the
Portfolio through March 28, 1996 to the extent necessary to keep the annual
combined expenses of the Portfolio and its respective Master Fund to not more
than 0.65% of average daily net assets.
85
<PAGE>
D. INVESTMENTS:
At November 30, 1998, gross unrealized appreciation and depreciation for
federal income tax purposes of investment securities was as follows (amounts in
thousands):
<TABLE>
<S> <C>
Gross Unrealized Appreciation........................... $ 43,126
Gross Unrealized Depreciation........................... --
---------
Net..................................................... $ 43,126
---------
---------
</TABLE>
E. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. There were no borrowings under the line of credit
by the Portfolio during the year ended November 30, 1998.
86
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
DIMENSIONAL INVESTMENT GROUP INC.:
In our opinion, the accompanying statement of assets and liabilities of
Dimensional Investment Group Inc., The DFA International Value Portfolio, and
the related statement of operations, and of changes in net assets and the
financial highlights present fairly, in all material respects, the financial
position of Dimensional Investment Group Inc., The DFA International Value
Portfolio at November 30, 1998, the results of its operations, changes in its
net assets and its 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 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
87
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
- ------------------------------------------------------------
U.S. LARGE COMPANY SERIES VS.
S&P 500 INDEX
MARCH 1993-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 U.S. LARGE COMPANY SERIES S&P 500 INDEX
<S> <C> <C>
$10,000 $10,000
Mar-93 $10,212 $10,215
Apr-93 $9,959 $9,965
May-93 $10,222 $10,234
Jun-93 $10,243 $10,268
Jul-93 $10,202 $10,219
Aug-93 $10,580 $10,609
Sep-93 $10,509 $10,530
Oct-93 $10,724 $10,744
Nov-93 $10,621 $10,643
Dec-93 $10,756 $10,774
Jan-94 $11,109 $11,135
Feb-94 $10,808 $10,834
Mar-94 $10,350 $10,363
Apr-94 $10,485 $10,498
May-94 $10,652 $10,669
Jun-94 $10,401 $10,405
Jul-94 $10,736 $10,750
Aug-94 $11,177 $11,187
Sep-94 $10,913 $10,917
Oct-94 $11,155 $11,167
Nov-94 $10,759 $10,758
Dec-94 $10,918 $10,915
Jan-95 $11,197 $11,198
Feb-95 $11,636 $11,633
Mar-95 $11,978 $11,977
Apr-95 $12,322 $12,326
May-95 $12,816 $12,813
Jun-95 $13,118 $13,114
Jul-95 $13,551 $13,550
Aug-95 $13,584 $13,587
Sep-95 $14,158 $14,156
Oct-95 $14,104 $14,107
Nov-95 $14,714 $14,728
Dec-95 $14,996 $15,000
Jan-96 $15,512 $15,516
Feb-96 $15,644 $15,665
Mar-96 $15,797 $15,815
Apr-96 $16,028 $16,048
May-96 $16,420 $16,462
Jun-96 $16,488 $16,529
Jul-96 $15,767 $15,794
Aug-96 $16,089 $16,129
Sep-96 $16,988 $17,035
Oct-96 $17,454 $17,502
Nov-96 $18,775 $18,830
Dec-96 $18,398 $18,461
Jan-97 $19,551 $19,608
Feb-97 $19,696 $19,766
Mar-97 $18,886 $18,944
Apr-97 $20,006 $20,075
May-97 $21,227 $21,308
Jun-97 $22,169 $22,258
Jul-97 $23,934 $24,025
Aug-97 $22,603 $22,689
Sep-97 $23,835 $23,933
Oct-97 $23,046 $23,133
Nov-97 $24,099 $24,205
Dec-97 $24,509 $24,621
Jan-98 $24,786 $24,894
Feb-98 $26,573 $26,689
Mar-98 $27,925 $28,056
Apr-98 $28,202 $28,339
May-98 $27,714 $27,851
Jun-98 $28,845 $28,982
Jul-98 $28,533 $28,675
Aug-98 $24,427 $24,529
Sep-98 $25,981 $26,101
Oct-98 $28,067 $28,223
Nov-98 $29,788 $29,933
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS MARCH 1993
- ---------------------------------------------------
<S> <C> <C> <C>
23.60 22.91 20.90
</TABLE>
- - THE SERIES INTENDS TO INVEST IN ALL OF THE STOCKS THAT COMPRISE THE S&P 500
INDEX IN APPROXIMATELY THE SAME PROPORTIONS AS THEY ARE REPRESENTED IN THE
INDEX.
- - THE SERIES' RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF THE S&P 500
INDEX.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ENHANCED U.S. LARGE COMPANY SERIES VS.
S&P 500 INDEX
AUGUST 1996-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 ENHANCED U.S. LARGE COMPANY SERIES S&P 500 INDEX
<S> <C> <C>
$10,000 $10,000
Aug-96 $10,202 $10,212
Sep-96 $10,809 $10,786
Oct-96 $11,183 $11,081
Nov-96 $12,027 $11,923
Dec-96 $11,730 $11,689
Jan-97 $12,474 $12,415
Feb-97 $12,580 $12,515
Mar-97 $11,972 $11,995
Apr-97 $12,734 $12,711
May-97 $13,567 $13,491
Jun-97 $14,149 $14,093
Jul-97 $15,303 $15,212
Aug-97 $14,461 $14,366
Sep-97 $15,215 $15,153
Oct-97 $14,790 $14,647
Nov-97 $15,349 $15,325
Dec-97 $15,617 $15,589
Jan-98 $15,888 $15,762
Feb-98 $16,972 $16,898
Mar-98 $17,826 $17,764
Apr-98 $18,027 $17,943
May-98 $17,668 $17,634
Jun-98 $18,414 $18,350
Jul-98 $18,182 $18,156
Aug-98 $15,540 $15,531
Sep-98 $16,626 $16,526
Oct-98 $18,006 $17,870
Nov-98 $19,033 $18,953
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR AUGUST 1996
- -----------------------------------------
<S> <C> <C>
24.00 31.76
</TABLE>
- - THE SERIES SEEKS TO CAPTURE RETURN PREMIUMS BY INVESTING IN AN ENHANCED CASH
PORTFOLIO IN COMBINATION WITH THE S&P 500 INDEX FUTURES AND SWAPS.
- - THE SERIES' RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF ITS STRATEGY.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
U.S. LARGE CAP VALUE SERIES VS.
RUSSELL 1000 VALUE INDEX
MARCH 1993-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 U.S. LARGE CAP VALUE SERIES RUSSELL 1000 VALUE INDEX FAMA-FRENCH LARGE CAP VALUE INDEX
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Mar-93 $10,109 $10,295 $10,302
Apr-93 $10,080 $10,163 $10,247
May-93 $10,189 $10,368 $10,333
Jun-93 $10,406 $10,596 $10,501
Jul-93 $10,553 $10,714 $10,623
Aug-93 $10,810 $11,101 $10,980
Sep-93 $10,622 $11,119 $10,869
Oct-93 $10,750 $11,111 $10,907
Nov-93 $10,650 $10,882 $10,742
Dec-93 $10,906 $11,089 $11,018
Jan-94 $11,219 $11,508 $11,242
Feb-94 $10,714 $11,114 $10,748
Mar-94 $10,280 $10,701 $10,273
Apr-94 $10,441 $10,906 $10,418
May-94 $10,370 $11,032 $10,291
Jun-94 $10,155 $10,768 $10,097
Jul-94 $10,605 $11,103 $10,542
Aug-94 $10,911 $11,422 $10,821
Sep-94 $10,592 $11,043 $10,423
Oct-94 $10,799 $11,196 $10,621
Nov-94 $10,315 $10,744 $10,137
Dec-94 $10,440 $10,867 $10,178
Jan-95 $10,680 $11,202 $10,445
Feb-95 $11,285 $11,645 $11,127
Mar-95 $11,457 $11,900 $11,299
Apr-95 $11,877 $12,276 $11,695
May-95 $12,495 $12,792 $12,249
Jun-95 $12,769 $12,966 $12,564
Jul-95 $13,328 $13,418 $13,146
Aug-95 $13,730 $13,607 $13,451
Sep-95 $14,205 $14,099 $13,854
Oct-95 $13,621 $13,960 $13,274
Nov-95 $14,366 $14,667 $13,963
Dec-95 $14,469 $15,036 $14,118
Jan-96 $14,880 $15,505 $14,462
Feb-96 $15,102 $15,623 $14,675
Mar-96 $15,627 $15,888 $15,108
Apr-96 $15,884 $15,949 $15,432
May-96 $16,152 $16,148 $15,672
Jun-96 $15,682 $16,161 $15,272
Jul-96 $14,986 $15,550 $14,479
Aug-96 $15,581 $15,995 $15,011
Sep-96 $15,892 $16,631 $15,386
Oct-96 $16,412 $17,275 $15,811
Nov-96 $17,595 $18,527 $16,965
Dec-96 $17,423 $18,290 $16,878
Jan-97 $18,047 $19,177 $17,440
Feb-97 $18,406 $19,459 $17,850
Mar-97 $17,563 $18,759 $17,026
Apr-97 $18,141 $19,546 $17,644
May-97 $19,548 $20,639 $19,023
Jun-97 $20,150 $21,525 $19,634
Jul-97 $22,170 $23,143 $21,485
Aug-97 $21,844 $22,319 $21,198
Sep-97 $22,995 $23,667 $22,306
Oct-97 $21,818 $23,007 $21,637
Nov-97 $22,049 $24,024 $22,191
Dec-97 $22,357 $24,725 $22,684
Jan-98 $22,655 $24,377 $22,874
Feb-98 $24,635 $26,017 $24,793
Mar-98 $26,017 $27,610 $26,276
Apr-98 $26,160 $27,795 $26,617
May-98 $25,940 $27,383 $26,684
Jun-98 $25,878 $27,734 $26,700
Jul-98 $24,980 $27,246 $25,779
Aug-98 $20,434 $23,192 $21,520
Sep-98 $21,470 $24,523 $22,837
Oct-98 $23,224 $26,423 $24,890
Nov-98 $24,677 $27,655 $26,147
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS MARCH 1993
- ---------------------------------------------------
<S> <C> <C> <C>
11.92 18.30 17.01
</TABLE>
- - THE SERIES SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS AND MARKET CAPITALIZATION BY INVESTING IN U.S. LARGE
COMPANIES ON A MARKET CAP-WEIGHTED BASIS. THE SERIES INVESTS IN COMPANIES THAT
HAVE AVERAGE WEIGHTED MARKETS CAPITALIZATIONS OF APPROXIMATELY $18.7 BILLION
AND BOOK-TO-MARKET RATIOS IN THE UPPER 30% OF PUBLICLY TRADED U.S. COMPANIES.
- - THE SERIES' RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF LARGE CAP HIGH
BOOK-TO-MARKET U.S. COMPANIES.
- - 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.
- --------------------------------------------------------------------------------
88
<PAGE>
DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
- ------------------------------------------------------------
U.S. 4-10 VALUE SERIES VS.
RUSSELL 2000 VALUE INDEX
MARCH 1998-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 U.S. 4-10 VALUE SERIES RUSSELL 2000 VALUE INDEX
<S> <C> <C>
$10,000 $10,000
Mar-98 $10,428 $10,406
Apr-98 $10,545 $10,457
May-98 $10,058 $10,087
Jun-98 $9,804 $10,029
Jul-98 $8,977 $9,244
Aug-98 $7,419 $7,796
Sep-98 $7,634 $8,237
Oct-98 $8,247 $8,482
Nov-98 $8,446 $8,711
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED FROM
TOTAL RETURN (%) MARCH 1998
- -----------------------------
<S> <C>
-15.54
</TABLE>
- - THE SERIES SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS BY INVESTING ON A MARKET CAP-WEIGHTED BASIS. THE SERIES
INVESTS IN COMPANIES THAT HAVE AVERAGE WEIGHTED MARKET CAPITALIZATIONS OF
APPROXIMATELY $1.1 BILLION AND BOOK-TO-MARKET RATIOS IN THE UPPER 30% OF
PUBLICLY TRADED U.S. COMPANIES.
- - THIS WAS A NEW SERIES AND ITS YEAR-TO-DATE RETURNS IN FISCAL 1998 REFLECT THE
PERFORMANCE OF ITS STRATEGY.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
U.S. 6-10 VALUE SERIES VS.
RUSSELL 2000 VALUE INDEX
APRIL 1993-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 U.S. 6-10 VALUE SERIES RUSSELL 2000 VALUE INDEX FAMA-FRENCH SMALL CAP VALUE INDEX
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Apr-93 $9,788 $9,760 $9,687
May-93 $10,050 $10,067 $10,081
Jun-93 $10,060 $10,162 $10,069
Jul-93 $10,363 $10,337 $10,209
Aug-93 $10,706 $10,741 $10,536
Sep-93 $11,079 $10,999 $10,727
Oct-93 $11,452 $11,251 $11,156
Nov-93 $11,260 $10,964 $10,978
Dec-93 $11,486 $11,286 $11,257
Jan-94 $12,079 $11,688 $11,791
Feb-94 $12,049 $11,654 $11,720
Mar-94 $11,650 $11,133 $11,235
Apr-94 $11,731 $11,242 $11,317
May-94 $11,772 $11,226 $11,279
Jun-94 $11,558 $10,936 $11,047
Jul-94 $11,752 $11,138 $11,320
Aug-94 $12,161 $11,576 $11,726
Sep-94 $12,120 $11,453 $11,676
Oct-94 $11,947 $11,243 $11,477
Nov-94 $11,545 $10,789 $11,096
Dec-94 $11,664 $11,113 $11,188
Jan-95 $11,789 $11,060 $11,370
Feb-95 $12,205 $11,469 $11,831
Mar-95 $12,350 $11,525 $11,968
Apr-95 $12,787 $11,867 $12,344
May-95 $13,152 $12,121 $12,607
Jun-95 $13,673 $12,536 $13,023
Jul-95 $14,422 $12,993 $13,547
Aug-95 $14,879 $13,379 $13,982
Sep-95 $15,067 $13,579 $14,215
Oct-95 $14,339 $13,037 $13,581
Nov-95 $14,872 $13,554 $13,963
Dec-95 $15,133 $13,974 $14,182
Jan-96 $15,089 $14,067 $14,382
Feb-96 $15,415 $14,288 $14,606
Mar-96 $15,849 $14,588 $15,099
Apr-96 $16,675 $14,986 $15,619
May-96 $17,327 $15,365 $16,233
Jun-96 $16,968 $15,184 $15,975
Jul-96 $15,915 $14,376 $15,124
Aug-96 $16,644 $15,000 $15,750
Sep-96 $17,209 $15,409 $16,151
Oct-96 $17,340 $15,588 $16,105
Nov-96 $18,166 $16,427 $16,842
Dec-96 $18,569 $16,961 $17,081
Jan-97 $19,052 $17,222 $17,686
Feb-97 $19,052 $17,385 $17,774
Mar-97 $18,558 $16,919 $17,307
Apr-97 $18,478 $17,168 $17,184
May-97 $20,234 $18,535 $18,815
Jun-97 $21,509 $19,473 $19,808
Jul-97 $22,795 $20,290 $20,842
Aug-97 $23,611 $20,613 $21,618
Sep-97 $25,436 $21,984 $23,189
Oct-97 $24,541 $21,386 $22,716
Nov-97 $24,335 $21,621 $22,575
Dec-97 $24,359 $22,354 $23,029
Jan-98 $24,067 $21,949 $22,921
Feb-98 $25,888 $23,277 $24,408
Mar-98 $26,945 $24,222 $25,417
Apr-98 $27,481 $24,341 $25,856
May-98 $26,437 $23,479 $24,840
Jun-98 $25,913 $23,346 $24,187
Jul-98 $24,014 $21,518 $22,392
Aug-98 $19,593 $18,148 $18,462
Sep-98 $20,153 $19,173 $18,918
Oct-98 $21,020 $19,743 $19,966
Nov-98 $22,132 $20,278 $20,801
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS APRIL 1993
- --------------------------------------------------
<S> <C> <C> <C>
-9.05 14.47 15.05
</TABLE>
- - THE SERIES SEEKS TO CAPTURE RETURN PREMIUMS ASSOCIATED WITH HIGH
BOOK-TO-MARKET RATIOS BY INVESTING IN U.S. SMALL COMPANIES ON A MARKET
CAP-WEIGHTED BASIS. THE SERIES INVESTS IN COMPANIES THAT HAVE AVERAGE WEIGHTED
MARKET CAPITALIZATIONS OF APPROXIMATELY $300 MILLION AND BOOK-TO-MARKET RATIOS
IN THE UPPER 30% OF PUBLICLY TRADED U.S. COMPANIES.
- - THE SERIES' RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF 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.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
U.S. 6-10 SMALL COMPANY SERIES VS.
RUSSELL 2000 INDEX
MARCH 1993-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 U.S. 6-10 SMALL COMPANY SERIES RUSSELL 2000 INDEX CRSP 6-10 INDEX
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Mar-93 $10,237 $10,324 $10,313
Apr-93 $9,928 $10,040 $10,002
May-93 $10,330 $10,484 $10,458
Jun-93 $10,289 $10,549 $10,497
Jul-93 $10,371 $10,694 $10,622
Aug-93 $10,721 $11,156 $11,112
Sep-93 $11,010 $11,471 $11,432
Oct-93 $11,248 $11,767 $11,785
Nov-93 $10,974 $11,383 $11,422
Dec-93 $11,289 $11,773 $11,768
Jan-94 $11,639 $12,141 $12,174
Feb-94 $11,548 $12,097 $12,103
Mar-94 $10,995 $11,460 $11,443
Apr-94 $11,018 $11,528 $11,397
May-94 $10,962 $11,398 $11,295
Jun-94 $10,647 $11,014 $11,002
Jul-94 $10,804 $11,195 $11,192
Aug-94 $11,323 $11,819 $11,833
Sep-94 $11,379 $11,778 $11,875
Oct-94 $11,425 $11,731 $11,863
Nov-94 $11,039 $11,257 $11,404
Dec-94 $11,178 $11,559 $11,554
Jan-95 $11,252 $11,413 $11,573
Feb-95 $11,621 $11,888 $12,000
Mar-95 $11,841 $12,091 $12,257
Apr-95 $12,234 $12,360 $12,577
May-95 $12,480 $12,572 $12,806
Jun-95 $13,119 $13,225 $13,512
Jul-95 $13,931 $13,987 $14,374
Aug-95 $14,337 $14,276 $14,746
Sep-95 $14,595 $14,532 $15,061
Oct-95 $13,845 $13,882 $14,293
Nov-95 $14,259 $14,465 $14,791
Dec-95 $14,598 $14,847 $15,156
Jan-96 $14,639 $14,831 $15,256
Feb-96 $15,135 $15,294 $15,773
Mar-96 $15,470 $15,610 $16,142
Apr-96 $16,502 $16,445 $17,356
May-96 $17,360 $17,093 $18,201
Jun-96 $16,568 $16,391 $17,370
Jul-96 $15,188 $14,960 $15,765
Aug-96 $16,086 $15,829 $16,703
Sep-96 $16,595 $16,448 $17,391
Oct-96 $16,355 $16,195 $17,060
Nov-96 $16,993 $16,862 $17,579
Dec-96 $17,248 $17,304 $17,932
Jan-97 $17,820 $17,650 $18,580
Feb-97 $17,449 $17,222 $18,136
Mar-97 $16,631 $16,410 $17,149
Apr-97 $16,445 $16,456 $16,864
May-97 $18,315 $18,287 $19,010
Jun-97 $19,258 $19,072 $20,177
Jul-97 $20,402 $19,958 $21,280
Aug-97 $21,159 $20,415 $22,023
Sep-97 $22,796 $21,910 $23,875
Oct-97 $21,807 $20,948 $22,942
Nov-97 $21,491 $20,812 $22,554
Dec-97 $21,491 $21,176 $22,671
Jan-98 $21,254 $20,841 $22,567
Feb-98 $22,814 $22,382 $24,255
Mar-98 $23,763 $23,304 $25,431
Apr-98 $24,103 $23,432 $25,823
May-98 $22,850 $22,169 $24,392
Jun-98 $22,544 $22,215 $24,146
Jul-98 $20,815 $20,416 $22,417
Aug-98 $16,543 $16,451 $17,833
Sep-98 $17,577 $17,739 $18,905
Oct-98 $18,358 $18,463 $19,755
Nov-98 $19,564 $19,431 $21,073
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FIVE FROM
TOTAL RETURN (%) YEAR YEARS MARCH 1993
- ---------------------------------------------------
<S> <C> <C> <C>
-8.97 12.26 12.38
</TABLE>
- - THE SERIES SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED
BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED U.S. SMALL COMPANIES THAT
HAVE AVERAGE WEIGHTED MARKET CAPITALIZATION OF APPROXIMATELY $450 MILLION.
- - THE SERIES' RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF DECILE 6-10
COMPANIES IN THE U.S.
- - THE RUSSELL 2000 INDEX IS A MORE WIDELY RECOGNIZED AND MORE BROADLY BASED
SECURITIES INDEX THAN THE CRSP 6-10 INDEX, AND IS REPLACING THE LATTER FOR
COMPARISON PURPOSES.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
89
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
- ------------------------------------------------------------
U.S. 9-10 SMALL COMPANY SERIES VS.
CRSP 9-10 INDEX
DECEMBER 1997-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 U.S. 9-10 SMALL COMPANY SERIES CRSP 9-10 INDEX
<S> <C> <C>
$10,000 $10,000
Dec-97 $9,826 $9,858
Jan-98 $9,776 $9,841
Feb-98 $10,416 $10,475
Mar-98 $10,916 $11,003
Apr-98 $11,106 $11,293
May-98 $10,556 $10,704
Jun-98 $10,346 $10,310
Jul-98 $9,656 $9,672
Aug-98 $7,715 $7,611
Sep-98 $8,005 $7,884
Oct-98 $8,295 $8,181
Nov-98 $8,919 $8,892
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED FROM
TOTAL RETURN (%) DECEMBER 1997
- ---------------------------------
<S> <C>
-10.81
</TABLE>
- - THE SERIES SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED
BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED U.S. SMALL COMPANIES WITH
AVERAGE WEIGHTED MARKET CAPITALIZATIONS OF APPROXIMATELY $150 MILLION.
- - THE SERIES' RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF DECILE 9-10
COMPANIES IN THE U.S.
Past performance is not predictive of future performance.
CRSP 9-10 Index courtesy of the Center for Research in Security Prices,
University of Chicago.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DFA INTERNATIONAL VALUE SERIES VS.
EAFE INDEX (NET DIVIDENDS)
MARCH 1994-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 DFA INTERNATIONAL VALUE SERIES EAFE INDEX (NET DIVIDENDS) EAFE INDEX (GROSS DIVIDENDS)
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Mar-94 $9,733 $9,569 $9,570
Apr-94 $10,060 $9,975 $9,982
May-94 $10,119 $9,918 $9,922
Jun-94 $10,239 $10,058 $10,061
Jul-94 $10,438 $10,155 $10,161
Aug-94 $10,598 $10,396 $10,405
Sep-94 $10,228 $10,068 $10,082
Oct-94 $10,658 $10,404 $10,425
Nov-94 $10,099 $9,903 $9,925
Dec-94 $10,159 $9,966 $9,984
Jan-95 $9,757 $9,583 $9,605
Feb-95 $9,736 $9,556 $9,576
Mar-95 $10,312 $10,152 $10,179
Apr-95 $10,633 $10,533 $10,566
May-95 $10,573 $10,408 $10,439
Jun-95 $10,463 $10,225 $10,262
Jul-95 $11,052 $10,862 $10,909
Aug-95 $10,676 $10,448 $10,494
Sep-95 $10,740 $10,652 $10,704
Oct-95 $10,536 $10,365 $10,415
Nov-95 $10,826 $10,653 $10,706
Dec-95 $11,351 $11,083 $11,145
Jan-96 $11,464 $11,128 $11,190
Feb-96 $11,537 $11,166 $11,235
Mar-96 $11,698 $11,404 $11,471
Apr-96 $12,154 $11,736 $11,803
May-96 $12,040 $11,520 $11,591
Jun-96 $12,083 $11,584 $11,660
Jul-96 $11,760 $11,246 $11,322
Aug-96 $11,811 $11,271 $11,345
Sep-96 $12,019 $11,570 $11,651
Oct-96 $11,904 $11,452 $11,535
Nov-96 $12,434 $11,908 $11,996
Dec-96 $12,271 $11,755 $11,840
Jan-97 $11,861 $11,343 $11,426
Feb-97 $11,969 $11,529 $11,620
Mar-97 $12,013 $11,571 $11,667
Apr-97 $11,948 $11,632 $11,737
May-97 $12,855 $12,389 $12,499
Jun-97 $13,413 $13,072 $13,187
Jul-97 $13,598 $13,284 $13,398
Aug-97 $12,706 $12,291 $12,406
Sep-97 $13,174 $12,980 $13,101
Oct-97 $12,483 $11,983 $12,092
Nov-97 $11,955 $11,861 $11,971
Dec-97 $11,907 $11,964 $12,079
Jan-98 $12,627 $12,511 $12,635
Feb-98 $13,456 $13,314 $13,443
Mar-98 $14,051 $13,724 $13,860
Apr-98 $14,095 $13,832 $13,971
May-98 $14,227 $13,764 $13,901
Jun-98 $14,089 $13,869 $14,012
Jul-98 $14,245 $14,009 $14,153
Aug-98 $12,382 $12,273 $12,398
Sep-98 $11,716 $11,898 $12,026
Oct-98 $12,883 $13,138 $13,288
Nov-98 $13,448 $13,810 $13,966
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR MARCH 1994
- ----------------------------------------
<S> <C> <C>
12.49 6.44
</TABLE>
- - THE SERIES INVESTS IN COMPANIES WITH MARKET CAPITALIZATION OF AT LEAST $800
MILLION AND BOOK-TO-MARKET RATIOS IN THE UPPER 30% OF LARGE PUBLICLY TRADED
NON-U.S. COMPANIES. COUNTRY WEIGHTINGS REFLECT THE EAFE INDEX MARKET
CAPITALIZATION WEIGHT, WITH JAPAN LIMITED TO 38%.
- - THE SERIES' RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF LARGE,
NON-U.S. COMPANIES WITH HIGH BOOK-TO-MARKET RATIOS.
- - 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.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
JAPANESE SMALL COMPANY SERIES VS.
JAPANESE LARGE COMPANY STOCKS
SEPTEMBER 1996-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 JAPANESE SMALL COMPANY SERIES JAPANESE LARGE COMPANY STOCKS
<S> <C> <C>
$9,950 $10,000
Sep-96 $10,000 $10,339
Oct-96 $9,298 $9,658
Nov-96 $9,011 $9,846
Dec-96 $7,905 $9,188
Jan-97 $7,134 $8,175
Feb-97 $7,085 $8,360
Mar-97 $6,571 $8,104
Apr-97 $6,463 $8,383
May-97 $7,540 $9,322
Jun-97 $7,659 $10,007
Jul-97 $6,789 $9,698
Aug-97 $6,058 $8,835
Sep-97 $5,139 $8,735
Oct-97 $5,277 $7,926
Nov-97 $4,358 $7,436
Dec-97 $3,587 $7,030
Jan-98 $4,585 $7,639
Feb-98 $4,950 $7,682
Mar-98 $4,506 $7,161
Apr-98 $4,279 $7,133
May-98 $4,091 $6,741
Jun-98 $4,190 $6,838
Jul-98 $4,151 $6,750
Aug-98 $3,706 $5,985
Sep-98 $3,498 $5,823
Oct-98 $3,943 $6,803
Nov-98 $4,269 $7,113
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR SEPTEMBER 1996
- ---------------------------------------------
<S> <C> <C>
-2.53 -31.50
</TABLE>
- - THE SERIES SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED
BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL COMPANIES LISTED ON
THE LOWER HALF OF COMPANIES ON THE FIRST SECTION OF TOKYO STOCK EXCHANGE.
- - THE SERIES' RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF SMALL
COMPANIES IN JAPAN.
Past performance is not predictive of future performance.
Japanese Large Company Stocks courtesy of Morgan Stanley Capital International
Index.
- --------------------------------------------------------------------------------
90
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
- ------------------------------------------------------------
PACIFIC RIM SMALL COMPANY SERIES VS.
PACIFIC RIM LARGE COMPANY STOCKS
SEPTEMBER 1996-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 PACIFIC RIM SMALL COMPANY SERIES PACIFIC RIM LARGE COMPANY STOCKS
<S> <C> <C>
$9,900 $10,000
Sep-96 $10,056 $10,260
Oct-96 $10,164 $10,537
Nov-96 $10,477 $11,106
Dec-96 $10,232 $11,128
Jan-97 $10,448 $10,995
Feb-97 $11,035 $11,149
Mar-97 $10,545 $10,636
Apr-97 $10,300 $10,423
May-97 $10,683 $11,069
Jun-97 $10,781 $11,313
Jul-97 $10,732 $11,290
Aug-97 $10,134 $9,721
Sep-97 $9,685 $10,051
Oct-97 $7,334 $7,920
Nov-97 $6,521 $7,675
Dec-97 $5,944 $7,698
Jan-98 $5,327 $7,228
Feb-98 $6,776 $8,342
Mar-98 $6,551 $8,250
Apr-98 $5,944 $7,672
May-98 $5,180 $6,813
Jun-98 $4,436 $6,404
Jul-98 $4,142 $6,186
Aug-98 $3,496 $5,351
Sep-98 $3,731 $5,844
Oct-98 $4,387 $6,977
Nov-98 $4,985 $7,305
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR SEPTEMBER 1996
- ---------------------------------------------
<S> <C> <C>
-24.33 -26.61
</TABLE>
- - THE SERIES SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED
BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL COMPANIES LISTED ON
THE MAJOR EXCHANGES OF AUSTRALIA, HONG KONG, MALAYSIA, NEW ZEALAND, AND
SINGAPORE.
- - THE SERIES' RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF SMALL
COMPANIES IN THE PACIFIC RIM.
Past performance is not predictive of future performance.
Pacific Rim Large Company Stocks courtesy of Morgan Stanley Capital
International Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
UNITED KINGDOM SMALL COMPANY SERIES VS.
UNITED KINGDOM LARGE COMPANY STOCKS
SEPTEMBER 1996-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 UNITED KINGDOM SMALL COMPANY SERIES UNITED KINGDOM LARGE COMPANY STOCKS
<S> <C> <C>
$10,000 $10,000
Sep-96 $10,078 $10,188
Oct-96 $10,566 $10,704
Nov-96 $10,869 $11,232
Dec-96 $11,279 $11,651
Jan-97 $11,142 $11,284
Feb-97 $11,523 $11,620
Mar-97 $11,602 $11,770
Apr-97 $11,416 $11,863
May-97 $11,358 $12,331
Jun-97 $11,241 $12,516
Jul-97 $10,880 $12,958
Aug-97 $11,163 $12,764
Sep-97 $11,564 $13,764
Oct-97 $11,974 $13,343
Nov-97 $11,847 $13,401
Dec-97 $11,730 $13,816
Jan-98 $11,798 $14,452
Feb-98 $12,248 $15,418
Mar-98 $13,263 $16,349
Apr-98 $13,312 $16,400
May-98 $13,810 $16,096
Jun-98 $13,311 $16,159
Jul-98 $12,334 $15,807
Aug-98 $11,103 $14,500
Sep-98 $10,596 $14,171
Oct-98 $10,362 $14,940
Nov-98 $10,284 $15,469
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR SEPTEMBER 1996
- ---------------------------------------------
<S> <C> <C>
-13.20 1.25
</TABLE>
- - THE SERIES SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED
BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL COMPANIES IN THE
LOWER HALF BY MARKET CAPITALIZATION OF COMPANIES TRADED ON THE INTERNATIONAL
STOCK EXCHANGE OF THE UNITED KINGDOM.
- - THE SERIES' RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF SMALL
COMPANIES IN THE UNITED KINGDOM.
Past performance is not predictive of future performance.
United Kingdom Large Company Stocks courtesy of Financial Times--Actuaries All
Share Index.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
CONTINENTAL SMALL COMPANY SERIES VS.
CONTINENTAL LARGE COMPANY STOCKS
SEPTEMBER 1996-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 CONTINENTAL SMALL COMPANY SERIES CONTINENTAL LARGE COMPANY STOCKS
<S> <C> <C>
$9,900 $10,000
Sep-96 $9,761 $10,200
Oct-96 $9,940 $10,322
Nov-96 $10,128 $10,818
Dec-96 $10,326 $10,948
Jan-97 $10,584 $11,167
Feb-97 $10,604 $11,222
Mar-97 $10,980 $11,716
Apr-97 $10,683 $11,529
May-97 $11,118 $12,013
Jun-97 $11,504 $12,830
Jul-97 $11,474 $13,433
Aug-97 $11,296 $12,412
Sep-97 $12,098 $13,678
Oct-97 $11,752 $12,939
Nov-97 $11,495 $13,211
Dec-97 $11,585 $13,687
Jan-98 $12,011 $14,221
Feb-98 $12,912 $15,401
Mar-98 $14,140 $16,633
Apr-98 $14,704 $17,082
May-98 $15,486 $17,851
Jun-98 $15,080 $18,011
Jul-98 $15,139 $18,678
Aug-98 $13,565 $15,932
Sep-98 $12,922 $15,167
Oct-98 $13,298 $16,517
Nov-98 $13,783 $17,459
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR SEPTEMBER 1996
- ---------------------------------------------
<S> <C> <C>
18.71 15.33
</TABLE>
- - THE SERIES SEEKS TO CAPTURE PREMIUM RETURNS AND DIVERSIFICATION BENEFITS BY
INVESTING IN A BROAD CROSS-SECTION OF SMALL COMPANIES ON A MARKET CAP-WEIGHTED
BASIS. THE SERIES PROVIDES ACCESS TO PUBLICLY TRADED SMALL COMPANIES LISTED ON
THE MAJOR EXCHANGES OF BELGIUM, DENMARK, FRANCE, GERMANY, ITALY, THE
NETHERLANDS, SPAIN, SWEDEN, AND SWITZERLAND.
- - THE SERIES' RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF SMALL
COMPANIES IN CONTINENTAL EUROPE.
Past performance is not predictive of future performance.
Continental Large Company Stocks courtesy of Morgan Stanley Capital
International Index.
- --------------------------------------------------------------------------------
91
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
- ------------------------------------------------------------
EMERGING MARKETS SERIES VS.
MSCI EMERGING MARKETS FREE INDEX
MAY 1994-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MSCI EMERGING MARKETS MSCI EMERGING MARKETS FREE
GROWTH OF $10,000 EMERGING MARKETS SERIES FREE INDEX EQUAL-WEIGHTED INDEX
<S> <C> <C> <C>
$9,850 $10,000 $10,000
May-94 $10,175 $10,320 $10,456
Jun-94 $10,057 $10,018 $10,170
Jul-94 $10,805 $10,635 $10,928
Aug-94 $11,780 $11,942 $12,247
Sep-94 $11,908 $12,066 $12,316
Oct-94 $11,564 $11,832 $12,126
Nov-94 $11,200 $11,204 $11,594
Dec-94 $10,392 $10,296 $10,722
Jan-95 $9,427 $9,194 $9,530
Feb-95 $9,378 $8,950 $9,352
Mar-95 $9,791 $8,985 $9,719
Apr-95 $10,274 $9,371 $10,340
May-95 $11,003 $9,844 $11,054
Jun-95 $11,072 $9,853 $11,012
Jul-95 $11,515 $10,059 $11,368
Aug-95 $11,082 $9,809 $10,815
Sep-95 $10,875 $9,749 $10,637
Oct-95 $10,510 $9,367 $10,226
Nov-95 $10,466 $9,191 $10,090
Dec-95 $10,783 $9,581 $10,517
Jan-96 $11,947 $10,253 $11,591
Feb-96 $11,698 $10,073 $11,438
Mar-96 $11,798 $10,133 $11,510
Apr-96 $12,136 $10,502 $11,845
May-96 $12,136 $10,429 $11,941
Jun-96 $12,236 $10,472 $12,105
Jul-96 $11,191 $9,738 $11,107
Aug-96 $11,509 $9,973 $11,456
Sep-96 $11,757 $10,045 $11,746
Oct-96 $11,499 $9,770 $11,436
Nov-96 $11,907 $9,922 $11,940
Dec-96 $12,066 $9,954 $12,123
Jan-97 $13,300 $10,624 $13,532
Feb-97 $13,469 $11,072 $13,705
Mar-97 $13,090 $10,754 $13,339
Apr-97 $12,582 $10,735 $12,812
May-97 $13,209 $11,014 $13,408
Jun-97 $13,756 $11,580 $13,750
Jul-97 $13,775 $11,729 $13,777
Aug-97 $11,766 $10,223 $11,545
Sep-97 $12,254 $10,490 $12,084
Oct-97 $10,444 $8,760 $10,151
Nov-97 $9,897 $8,435 $9,601
Dec-97 $9,817 $8,619 $9,116
Jan-98 $9,639 $7,936 $9,233
Feb-98 $10,583 $8,760 $10,403
Mar-98 $10,952 $9,111 $10,791
Apr-98 $10,783 $8,994 $10,552
May-98 $9,540 $7,734 $8,997
Jun-98 $8,694 $6,907 $8,056
Jul-98 $9,053 $7,101 $8,536
Aug-98 $6,765 $5,022 $6,275
Sep-98 $6,775 $5,326 $6,381
Oct-98 $7,880 $5,880 $7,553
Nov-98 $8,675 $6,363 $8,627
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED
TOTAL RETURN ONE FROM
(%) YEAR MAY 1994
- -------------------------------------
<S> <C> <C>
-12.78 -3.05
</TABLE>
- - THE SERIES PROVIDES ACCESS TO NON-U.S. LARGE COMPANIES IN "EMERGING MARKET"
COUNTRIES INCLUDING ARGENTINA, BRAZIL, CHILE, GREECE, INDONESIA, ISRAEL,
MALAYSIA, MEXICO, PHILIPPINES, PORTUGAL, SOUTH KOREA, THAILAND, AND TURKEY.
- - THE SERIES' RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF AN
EQUALLY-WEIGHTED EMERGING MARKETS COUNTRY PORTFOLIO.
- - THE MSCI EMERGING MARKETS FREE INDEX IS A MORE WIDELY RECOGNIZED AND MORE
BROADLY BASED SECURITIES INDEX THAN THE MSCI EMERGING MARKETS FREE
EQUAL-WEIGHTED INDEX, AND IS REPLACING THE LATTER FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
EMERGING MARKETS SMALL CAP SERIES VS.
MSCI EMERGING MARKETS FREE INDEX
JANUARY 1997-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
EMERGING MARKETS MSCI EMERGING MARKETS MSCI EMERGING MARKETS
GROWTH OF $10,000 SMALL CAP SERIES FREE INDEX FREE EQUAL-WEIGHTED INDEX
<S> <C> <C> <C>
$9,900 $10,000 $10,000
Jan-97 $10,902 $10,673 $11,162
Feb-97 $11,160 $11,122 $11,305
Mar-97 $10,714 $10,803 $11,003
Apr-97 $10,109 $10,785 $10,568
May-97 $10,267 $11,064 $11,060
Jun-97 $10,674 $11,633 $11,342
Jul-97 $10,713 $11,783 $11,365
Aug-97 $9,314 $10,270 $9,523
Sep-97 $9,502 $10,538 $9,968
Oct-97 $8,441 $8,800 $8,373
Nov-97 $7,865 $8,474 $7,919
Dec-97 $7,627 $8,658 $7,520
Jan-98 $6,923 $7,973 $7,616
Feb-98 $7,230 $8,800 $8,581
Mar-98 $7,577 $9,152 $8,902
Apr-98 $7,805 $9,035 $8,704
May-98 $7,359 $7,769 $7,422
Jun-98 $6,883 $6,939 $6,646
Jul-98 $7,071 $7,134 $7,041
Aug-98 $5,415 $5,045 $5,176
Sep-98 $5,197 $5,350 $5,263
Oct-98 $5,862 $5,907 $6,230
Nov-98 $6,636 $6,392 $7,116
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED
TOTAL RETURN ONE FROM
(%) YEAR JANUARY 1997
- -----------------------------------------
<S> <C> <C>
-16.48 -19.26
</TABLE>
- - THE SERIES PROVIDES ACCESS TO NON-U.S. SMALL COMPANIES IN "EMERGING MARKET"
COUNTRIES INCLUDING ARGENTINA, BRAZIL, GREECE, INDONESIA, ISRAEL, MALAYSIA,
MEXICO, PHILIPPINES, SOUTH KOREA, THAILAND, AND TURKEY.
- - THE SERIES' RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF AN EQUALLY
WEIGHTED EMERGING MARKETS COUNTRY PORTFOLIO.
- - THE MSCI EMERGING MARKETS FREE INDEX IS A MORE WIDELY RECOGNIZED AND MORE
BROADLY BASED SECURITIES INDEX THAN THE MSCI EMERGING MARKETS FREE
EQUAL-WEIGHTED INDEX, AND IS REPLACING THE LATTER FOR COMPARISON PURPOSES.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DFA ONE-YEAR FIXED INCOME SERIES VS.
THREE-MONTH U.S. TREASURY BILL INDEX
MARCH 1993-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 DFA ONE-YEAR FIXED INCOME SERIES THREE-MONTH U.S. TREASURY BILL INDEX ONE-MONTH CD'S
<S> <C> <C> <C>
$10,000 $10,000 $10,000
Mar-93 $10,048 $10,025 $10,024
Apr-93 $10,097 $10,050 $10,046
May-93 $10,104 $10,072 $10,066
Jun-93 $10,149 $10,102 $10,088
Jul-93 $10,180 $10,129 $10,110
Aug-93 $10,229 $10,157 $10,134
Sep-93 $10,268 $10,184 $10,155
Oct-93 $10,290 $10,208 $10,175
Nov-93 $10,308 $10,233 $10,199
Dec-93 $10,343 $10,264 $10,221
Jan-94 $10,395 $10,294 $10,244
Feb-94 $10,376 $10,313 $10,264
Mar-94 $10,373 $10,343 $10,289
Apr-94 $10,368 $10,369 $10,313
May-94 $10,390 $10,400 $10,344
Jun-94 $10,425 $10,443 $10,376
Jul-94 $10,486 $10,481 $10,409
Aug-94 $10,527 $10,517 $10,444
Sep-94 $10,545 $10,556 $10,479
Oct-94 $10,580 $10,602 $10,517
Nov-94 $10,575 $10,644 $10,555
Dec-94 $10,607 $10,697 $10,598
Jan-95 $10,708 $10,751 $10,646
Feb-95 $10,810 $10,802 $10,690
Mar-95 $10,877 $10,857 $10,739
Apr-95 $10,949 $10,908 $10,783
May-95 $11,066 $10,965 $10,835
Jun-95 $11,129 $11,021 $10,882
Jul-95 $11,188 $11,074 $10,931
Aug-95 $11,245 $11,129 $10,979
Sep-95 $11,296 $11,178 $11,024
Oct-95 $11,356 $11,231 $11,075
Nov-95 $11,410 $11,281 $11,123
Dec-95 $11,465 $11,343 $11,168
Jan-96 $11,518 $11,396 $11,220
Feb-96 $11,564 $11,441 $11,264
Mar-96 $11,616 $11,483 $11,306
Apr-96 $11,656 $11,533 $11,353
May-96 $11,696 $11,584 $11,397
Jun-96 $11,759 $11,631 $11,438
Jul-96 $11,814 $11,683 $11,488
Aug-96 $11,872 $11,736 $11,534
Sep-96 $11,943 $11,791 $11,580
Oct-96 $12,031 $11,842 $11,628
Nov-96 $12,103 $11,893 $11,672
Dec-96 $12,142 $11,945 $11,721
Jan-97 $12,202 $12,000 $11,770
Feb-97 $12,254 $12,047 $11,815
Mar-97 $12,274 $12,097 $11,866
Apr-97 $12,357 $12,155 $11,918
May-97 $12,417 $12,217 $11,971
Jun-97 $12,492 $12,263 $12,024
Jul-97 $12,578 $12,318 $12,078
Aug-97 $12,616 $12,371 $12,129
Sep-97 $12,691 $12,428 $12,185
Oct-97 $12,766 $12,481 $12,240
Nov-97 $12,806 $12,530 $12,290
Dec-97 $12,876 $12,584 $12,349
Jan-98 $12,953 $12,643 $12,403
Feb-98 $13,007 $12,688 $12,453
Mar-98 $13,075 $12,748 $12,510
Apr-98 $13,125 $12,805 $12,565
May-98 $13,199 $12,859 $12,618
Jun-98 $13,250 $12,913 $12,676
Jul-98 $13,327 $12,970 $12,733
Aug-98 $13,388 $13,030 $12,790
Sep-98 $13,451 $13,096 $12,845
Oct-98 $13,501 $13,147 $12,899
Nov-98 $13,562 $13,191 $12,952
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED
TOTAL RETURN ONE FIVE FROM
(%) YEAR YEARS MARCH 1993
- --------------------------------------------------
<S> <C> <C> <C>
5.90 5.64 5.44
</TABLE>
- - THE SERIES MAXIMIZES EXPECTED RETURNS BY SHIFTING MATURITIES BASED ON CHANGES
IN THE YIELD CURVE. USING CURRENT PRICES, THE STRATEGY CREATES A MATRIX OF
EXPECTED RETURNS FROM DIFFERENT BUY AND SELL STRATEGIES AND IDENTIFIES THE
OPTIMAL MATURITY RANGE FOR THE HIGHEST EXPECTED RETURNS. ISSUES WHICH MEET
MATURITY AND QUALITY LEVELS ARE FURTHER EVALUATED FOR BUSINESS RISK.
MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN BE DOCUMENTED. INVESTMENTS
ARE MADE IN HIGH QUALITY OBLIGATIONS, INCLUDING BA'S, CD'S, CORPORATE DEBT
OBLIGATIONS AND COMMERCIAL PAPER OF U.S. AS WELL AS NON-U.S. ISSUERS
(YANKEES). AVERAGE MATURITY IS MAINTAINED UNDER ONE YEAR WITH NO INDIVIDUAL
ISSUE LONGER THAN TWO YEARS.
- - THE SERIES' 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.
- --------------------------------------------------------------------------------
92
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
PERFORMANCE CHARTS
- ------------------------------------------------------------
DFA TWO-YEAR GLOBAL FIXED INCOME SERIES VS.
MERRILL LYNCH 1-3 YEAR GOVERNMENT
MARCH 1996-NOVEMBER 1998
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF $10,000 DFA TWO-YEAR GLOBAL FIXED INCOME SERIES MERRILL LYNCH 1-3 YEAR GOVERNMENT
<S> <C> <C>
$10,000 $10,000
Mar-96 $10,047 $9,991
Apr-96 $10,097 $9,999
May-96 $10,148 $10,020
Jun-96 $10,188 $10,092
Jul-96 $10,260 $10,131
Aug-96 $10,361 $10,166
Sep-96 $10,439 $10,258
Oct-96 $10,531 $10,374
Nov-96 $10,602 $10,454
Dec-96 $10,647 $10,454
Jan-97 $10,720 $10,503
Feb-97 $10,762 $10,528
Mar-97 $10,766 $10,523
Apr-97 $10,830 $10,610
May-97 $10,904 $10,682
Jun-97 $10,982 $10,755
Jul-97 $11,036 $10,874
Aug-97 $11,079 $10,884
Sep-97 $11,149 $10,966
Oct-97 $11,192 $11,047
Nov-97 $11,236 $11,074
Dec-97 $11,287 $11,149
Jan-98 $11,378 $11,257
Feb-98 $11,423 $11,268
Mar-98 $11,490 $11,314
Apr-98 $11,524 $11,367
May-98 $11,593 $11,427
Jun-98 $11,645 $11,487
Jul-98 $11,704 $11,541
Aug-98 $11,784 $11,686
Sep-98 $11,854 $11,841
Oct-98 $11,912 $11,899
Nov-98 $11,964 $11,889
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED ONE FROM
TOTAL RETURN (%) YEAR MARCH 1996
- ----------------------------------------
<S> <C> <C>
6.48 6.74
</TABLE>
- - THE SERIES SEEKS TO MAXIMIZE EXPECTED RETURNS BY SHIFTING MATURITIES BASED ON
CHANGES IN THE YIELD CURVE. USING CURRENT PRICES, THE STRATEGY CREATES A
MATRIX OF EXPECTED RETURNS FROM DIFFERENT BUY AND SELL STRATEGIES AND
IDENTIFIES THE OPTIMAL MATURITY RANGE FOR THE HIGHEST EXPECTED RETURNS.
MATURITIES ARE SHIFTED IF SUFFICIENT PREMIUMS CAN BE DOCUMENTED. INVESTMENTS
ARE MADE IN U.S. GOVERNMENT SECURITIES, HIGH-QUALITY CORPORATE SECURITIES AND
CURRENCY HEDGED GLOBAL BONDS WITH A MAXIMUM MATURITY OF TWO YEARS.
- - THE SERIES' RETURNS IN FISCAL 1998 REFLECTED THE PERFORMANCE OF ITS STRATEGY.
Past performance is not predictive of future performance.
- --------------------------------------------------------------------------------
93
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
COMMON STOCKS -- (99.6%)
*3COM Corp........................................... 59,100 $ 2,288,278
*AES Corp............................................ 28,900 1,322,175
AMP, Inc............................................. 36,204 1,751,368
*AMR Corp............................................ 30,000 1,978,125
AON Corp............................................. 27,800 1,601,975
AT & T Corp.......................................... 297,939 18,565,324
Abbott Laboratories.................................. 254,000 12,192,000
Adobe Systems, Inc................................... 11,100 498,112
*Advanced Micro Devices, Inc......................... 23,700 656,194
Aeroquip Vickers, Inc................................ 4,700 170,962
Aetna, Inc........................................... 23,737 1,835,167
Air Products & Chemicals, Inc........................ 38,200 1,456,375
*Airtouch Communications, Inc........................ 94,560 5,407,650
Alberto-Culver Co. Class B........................... 9,100 233,187
Albertson's Inc...................................... 40,700 2,322,444
Alcan Aluminum, Ltd.................................. 37,600 1,001,100
Allegheny Teledyne, Inc.............................. 32,535 669,001
Allergan, Inc........................................ 10,800 657,450
AlliedSignal, Inc.................................... 92,500 4,070,000
Allstate Corp........................................ 136,800 5,574,600
Alltel Corp.......................................... 45,200 2,395,600
Aluminium Co. of America............................. 30,700 2,275,637
*Alza Corp........................................... 14,300 747,175
Amerada Hess Corp.................................... 15,000 832,500
Ameren Corp.......................................... 22,700 934,956
American Electric Power Co., Inc..................... 31,600 1,465,450
American Express Co.................................. 75,100 7,514,694
American General Corp................................ 41,700 2,937,244
American Greetings Corp. Class A..................... 11,700 495,056
American Home Products Corp.......................... 217,200 11,565,900
American International Group, Inc.................... 173,289 16,289,166
American Stores Co................................... 45,200 1,517,025
Ameritech Corp....................................... 182,200 9,861,575
*Amgen, Inc.......................................... 41,900 3,150,356
Amoco Corp........................................... 157,400 9,276,762
Anadarko Petroleum Corp.............................. 19,800 558,112
*Andrew Corp......................................... 14,193 229,749
Anheuser-Busch Companies, Inc........................ 79,600 4,825,750
Apache Corp.......................................... 16,300 374,900
*#Apple Computer, Inc................................ 22,300 712,903
*Applied Materials, Inc.............................. 60,300 2,338,509
Archer-Daniels Midland Co............................ 98,905 1,817,379
Armstrong World Industries, Inc...................... 6,600 439,725
Asarco, Inc.......................................... 6,550 126,906
*Ascend Communications, Inc.......................... 35,800 2,010,394
Ashland, Inc......................................... 12,700 617,537
Associates First Capital Corp. Class A............... 57,255 4,458,733
Atlantic Richfield Co................................ 53,100 3,531,150
Autodesk, Inc........................................ 7,800 284,212
Automatic Data Processing, Inc....................... 49,500 3,811,500
*Autozone, Inc....................................... 25,300 762,162
Avery Dennison Corp.................................. 19,300 925,194
Avon Products, Inc................................... 43,300 1,759,062
B B & T Corp......................................... 47,400 1,750,837
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*BMC Software, Inc................................... 33,900 $ 1,729,959
Baker Hughes, Inc.................................... 52,410 959,758
Ball Corp............................................ 5,000 213,750
Baltimore Gas & Electric Co.......................... 24,450 750,309
Bank of New York Co., Inc............................ 123,500 4,229,875
Bank One Corp........................................ 193,330 9,920,246
BankAmerica Corp..................................... 286,864 18,699,947
BankBoston Corp...................................... 48,400 2,014,650
Bankers Trust New York Corp.......................... 16,000 1,392,000
Bard (C.R.), Inc..................................... 9,300 426,056
#Barrick Gold Corp................................... 61,600 1,232,000
Battle Mountain Gold Co.............................. 37,900 177,656
Bausch & Lomb, Inc................................... 9,200 510,600
Baxter International, Inc............................ 47,300 3,006,506
Bear Stearns Companies, Inc.......................... 18,800 789,600
Becton Dickinson & Co................................ 41,000 1,742,500
Bell Atlantic Corp................................... 256,438 14,264,364
Bellsouth Corp....................................... 162,300 14,160,675
Bemis Co., Inc....................................... 8,800 332,750
Bestfoods, Inc....................................... 47,600 2,766,750
*Bethlehem Steel Corp................................ 21,400 176,550
Biomet, Inc.......................................... 18,500 707,047
Black & Decker Corp.................................. 15,300 829,069
Block (H.&R.), Inc................................... 16,600 745,962
Boeing Co............................................ 166,606 6,768,369
Boise Cascade Corp................................... 9,300 294,694
*Boston Scientific Corp.............................. 32,400 1,603,800
Briggs & Stratton Corp............................... 4,000 201,750
Bristol Myers Squibb Co.............................. 164,300 20,137,019
Brown-Forman Corp. Class B........................... 11,400 829,350
Browning-Ferris Industries, Inc...................... 28,600 843,700
Brunswick Corp....................................... 16,400 360,800
Burlington Northern Santa Fe Corp.................... 77,911 2,648,974
Burlington Resources, Inc............................ 29,400 1,047,375
CBS Corp............................................. 118,200 3,523,837
CIGNA Corp........................................... 35,100 2,731,219
CSX Corp............................................. 36,100 1,504,919
CVS Corp............................................. 64,416 3,180,540
*Cabletron Systems, Inc.............................. 27,100 379,400
Campbell Soup Co..................................... 73,900 4,221,537
Capital One Financial Corp........................... 11,000 1,210,000
Cardinal Health, Inc................................. 33,000 2,264,625
Carolina Power & Light Co............................ 25,000 1,159,375
*Case Corp........................................... 12,300 298,275
Caterpillar, Inc..................................... 60,200 2,976,137
*Cendant Corp........................................ 141,800 2,694,200
Centex Corp.......................................... 9,800 349,737
Central & South West Corp............................ 35,000 962,500
*Ceridian Corp....................................... 12,053 784,198
Champion International Corp.......................... 15,700 652,531
Chase Manhattan Corp................................. 141,292 8,963,211
Chevron Corp......................................... 108,000 9,031,500
Chubb Corp........................................... 27,400 1,919,712
Cincinnati Financial Corp............................ 27,600 1,077,262
Cinergy Corp......................................... 26,093 901,839
</TABLE>
94
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Circuit City Stores, Inc. (Circuit City Group)....... 16,600 $ 600,712
*Cisco Sytems, Inc................................... 256,900 19,371,866
Citigroup, Inc....................................... 377,368 18,939,156
*Clear Channel Communications, Inc................... 41,166 1,924,510
Clorox Co............................................ 17,300 1,921,381
Coastal Corp......................................... 35,200 1,227,600
Coca-Cola Co......................................... 407,100 28,522,444
*Coca-Cola Enterprises, Inc.......................... 66,800 2,525,875
Colgate-Palmolive Co................................. 48,700 4,169,937
Columbia Gas System, Inc............................. 13,800 783,150
Columbia/HCA Healthcare Corp......................... 106,482 2,622,119
Comcast Corp. Class A Special........................ 60,900 2,955,553
Comerica, Inc........................................ 25,750 1,660,875
Compaq Computer Corp................................. 276,024 8,970,780
Computer Associates International, Inc............... 92,800 4,106,400
Computer Sciences Corp............................... 26,100 1,490,962
Conagra, Inc......................................... 80,700 2,537,006
Conseco, Inc......................................... 51,688 1,712,165
Consolidated Edison, Inc............................. 38,500 1,956,281
Consolidated Natural Gas Co.......................... 15,800 858,137
*Consolidated Stores Corp............................ 18,100 389,150
Cooper Industries, Inc............................... 19,200 943,200
Cooper Tire & Rubber Co.............................. 12,800 250,400
Coors (Adolph) Co. Class B........................... 6,000 298,687
Corning, Inc......................................... 38,300 1,536,787
*Costco Companies, Inc............................... 35,903 2,254,035
Countrywide Credit Industries, Inc................... 18,300 905,850
Crane Co............................................. 11,400 368,362
Crown Cork & Seal Co., Inc........................... 20,500 691,875
Cummins Engine Co., Inc.............................. 6,400 237,600
Cyprus Amax Minerals Co., Inc........................ 15,450 175,744
DTE Energy Co........................................ 24,000 1,047,000
Dana Corp............................................ 27,342 1,066,338
Danaher Corp......................................... 22,100 1,008,312
Darden Restaurants, Inc.............................. 23,000 363,687
*Data General Corp................................... 8,200 148,625
Dayton-Hudson Corp................................... 72,400 3,258,000
Deere & Co........................................... 40,300 1,407,981
*Dell Computer Corp.................................. 208,900 12,697,203
Delta Air Lines, Inc................................. 24,900 1,336,819
Deluxe Corp.......................................... 13,300 462,175
Dillards, Inc. Class A............................... 18,200 625,625
Disney (Walt) Co..................................... 338,300 10,889,031
Dollar General Corp.................................. 30,575 728,067
Dominion Resources, Inc. VA.......................... 32,300 1,491,856
Donnelley (R.R.) & Sons Co........................... 23,100 980,306
Dover Corp........................................... 36,900 1,314,562
Dow Chemical Co...................................... 36,900 3,593,137
Dow Jones & Co., Inc................................. 15,500 741,094
DuPont (E.I.) de Nemours & Co........................ 186,600 10,962,750
Duke Power Co........................................ 59,741 3,737,546
Dun & Bradstreet..................................... 28,300 854,306
E G & G, Inc......................................... 7,600 212,325
*EMC Corp. MA........................................ 82,400 5,974,000
Eastern Enterprises.................................. 3,700 150,081
Eastman Chemical Co.................................. 13,150 761,878
Eastman Kodak Co..................................... 53,500 3,882,094
Eaton Corp........................................... 11,800 806,087
Ecolab, Inc.......................................... 21,400 662,062
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Edison International................................. 58,500 $ 1,608,750
Electronic Data Systems Corp......................... 81,200 3,166,800
Emerson Electric Co.................................. 72,500 4,712,500
Engelhard Corp....................................... 23,874 461,067
Enron Corp........................................... 54,500 2,864,656
Entergy Corp......................................... 40,600 1,190,087
Equifax, Inc......................................... 24,300 1,008,450
Exxon Corp........................................... 402,600 30,220,162
*FDX Corp............................................ 24,300 1,576,462
*FMC Corp............................................ 5,700 331,312
FPL Group, Inc....................................... 30,000 1,837,500
Fannie Mae........................................... 171,300 12,462,075
Federal Home Loan Mortgage Corp...................... 112,100 6,782,050
*Federated Department Stores, Inc.................... 34,900 1,454,894
Fifth Third Bancorp.................................. 44,100 2,931,272
First Data Corp...................................... 73,700 1,966,869
First Union Corp..................................... 160,164 9,729,963
FirstEnergy Corp..................................... 39,100 1,209,656
Fleet Financial Group, Inc........................... 93,628 3,903,117
Fleetwood Enterprises, Inc........................... 5,700 192,019
Fluor Corp........................................... 13,000 556,562
Ford Motor Co........................................ 199,800 11,038,950
Fort James Corp...................................... 36,400 1,424,150
Fortune Brands, Inc.................................. 28,600 974,187
*Foster Wheeler Corp................................. 6,750 115,594
Franklin Resources, Inc.............................. 41,700 1,782,675
Freeport McMoran Copper & Gold, Inc. Class B......... 29,700 387,956
Frontier Corp........................................ 28,300 852,537
*Fruit of The Loom, Inc. Class A..................... 11,900 175,525
GPU, Inc............................................. 21,200 928,825
GTE Corp............................................. 158,900 9,851,800
Gannett Co., Inc..................................... 47,000 3,034,437
Gap, Inc............................................. 64,800 4,766,850
*#Gateway 2000, Inc.................................. 25,600 1,436,800
General Dynamics Corp................................ 21,000 1,219,312
General Electric Co.................................. 537,300 48,625,650
*General Instrument Corp............................. 24,880 699,750
General Mills, Inc................................... 25,600 1,932,800
General Motors Corp.................................. 107,800 7,546,000
General RE Corp...................................... 12,400 2,895,400
Genuine Parts Co..................................... 29,375 967,539
Georgia-Pacific Corp................................. 15,300 868,275
Gillette Co.......................................... 185,600 8,526,000
Golden West Financial Corp........................... 9,600 909,000
Goodrich (B.F.) Co................................... 12,200 462,837
Goodyear Tire & Rubber Co............................ 26,000 1,475,500
Grainger (W.W.), Inc................................. 16,200 684,450
Great Atlantic & Pacific Tea Co., Inc................ 6,300 172,069
Great Lakes Chemical Corp............................ 9,800 391,387
Guidant Corp......................................... 24,700 2,119,569
HBO & Co............................................. 71,300 1,775,816
*HCR Manor Care, Inc................................. 18,000 571,500
Halliburton Co....................................... 72,600 2,132,625
Harcourt General, Inc................................ 11,623 601,490
*Harnischfeger Industries, Inc....................... 7,876 78,760
*Harrahs Entertainment, Inc.......................... 16,700 259,894
Harris Corp.......................................... 13,300 504,569
Hartford Financial Services Group, Inc............... 38,400 2,119,200
Hasbro, Inc.......................................... 21,799 764,327
</TABLE>
95
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Healthsouth Corp.................................... 69,700 $ 936,594
Heinz (H.J.) Co...................................... 59,800 3,487,087
Helmerich & Payne, Inc............................... 8,300 143,175
Hercules, Inc........................................ 15,600 512,850
Hershey Foods Corp................................... 23,600 1,587,100
Hewlett-Packard Co................................... 171,700 10,774,175
Hilton Hotels Corp................................... 43,100 937,425
Home Depot, Inc...................................... 242,344 12,056,614
Homestake Mining Co.................................. 34,900 375,175
Honeywell, Inc....................................... 20,800 1,662,700
Household International, Inc......................... 81,412 3,185,244
Houston Industries, Inc.............................. 48,724 1,540,896
*Humana, Inc......................................... 27,600 546,825
Huntington Bancshares, Inc........................... 34,930 1,035,893
IMS Health, Inc...................................... 27,600 1,831,950
ITT Industries, Inc.................................. 19,600 705,600
Ikon Office Solutions, Inc........................... 22,400 218,400
Illinois Tool Works, Inc............................. 41,400 2,631,487
Inco, Ltd............................................ 27,400 316,812
Ingersoll-Rand Co.................................... 27,400 1,282,662
Intel Corp........................................... 277,100 29,814,228
International Business Machines Corp................. 153,800 25,377,000
International Flavors & Fragrances, Inc.............. 17,700 741,187
International Paper Co............................... 50,600 2,197,937
Interpublic Group of Companies, Inc.................. 22,350 1,536,563
Jefferson-Pilot Corp................................. 17,575 1,199,494
Johnson & Johnson.................................... 222,100 18,045,625
Johnson Controls, Inc................................ 14,000 810,250
Jostens, Inc......................................... 6,100 142,969
*K Mart Corp......................................... 81,300 1,239,825
*KLA-Tencor Corp..................................... 14,400 490,050
Kaufman & Broad Home Corp............................ 6,600 166,238
Kellogg Co........................................... 67,200 2,461,200
Kerr-McGee Corp...................................... 7,900 312,050
Keycorp.............................................. 72,600 2,227,913
Kimberly Clark Corp.................................. 90,404 4,757,511
*King World Productions, Inc......................... 12,100 329,725
Knight Ridder, Inc................................... 13,052 671,362
*Kohls Corp.......................................... 26,000 1,278,875
*Kroger Co........................................... 42,200 2,239,238
*LSI Logic Corp...................................... 23,300 361,150
Laidlaw, Inc......................................... 54,500 541,594
Lehman Brothers Holdings, Inc........................ 19,600 978,775
Lilly (Eli) & Co..................................... 181,900 16,314,156
Limited, Inc......................................... 37,700 1,090,944
Lincoln National Corp................................ 16,700 1,397,581
Liz Claiborne, Inc................................... 10,900 369,238
Lockheed Martin Corp................................. 32,257 3,346,664
Loews Corp........................................... 19,100 1,910,000
Longs Drug Stores Corp............................... 6,400 228,000
Louisiana-Pacific Corp............................... 18,100 307,700
Lowe's Companies, Inc................................ 58,000 2,450,500
Lucent Technologies, Inc............................. 217,200 18,692,775
MBIA, Inc............................................ 16,500 1,068,375
MBNA Corp............................................ 124,145 2,816,540
*MCI Worldcom, Inc................................... 293,401 17,301,490
MGIC Investment Corp................................. 18,800 826,025
Mallinckrodt, Inc.................................... 12,100 390,981
Marriott International, Inc. Class A................. 41,200 1,210,250
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Marsh & McLennan Companies, Inc...................... 42,400 $ 2,467,150
Masco Corp........................................... 56,000 1,617,000
Mattel, Inc.......................................... 48,352 1,671,166
May Department Stores Co............................. 38,300 2,309,969
Maytag Corp.......................................... 15,100 817,288
McDermott International, Inc......................... 9,800 262,763
McDonalds Corp....................................... 112,800 7,903,050
McGraw-Hill Companies, Inc........................... 16,300 1,458,850
Mead Corp............................................ 17,200 521,375
*Mediaone Group...................................... 100,700 4,078,350
Medtronic, Inc....................................... 77,500 5,245,781
Mellon Bank Corp..................................... 43,000 2,706,313
Mercantile Bancorporation, Inc....................... 25,100 1,105,969
Merck & Co., Inc..................................... 196,500 30,432,938
Meredith Corp........................................ 8,700 337,669
Merrill Lynch & Co., Inc............................. 57,500 4,312,500
*Meyer (Fred), Inc................................... 25,400 1,292,225
*Micron Technology, Inc.............................. 35,300 1,458,331
*Microsoft Corp...................................... 456,600 55,719,469
Milacron, Inc........................................ 6,500 131,625
Millipore Corp....................................... 7,200 202,500
Minnesota Mining & Manufacturing Co.................. 66,500 5,340,781
*Mirage Resorts, Inc................................. 29,700 441,788
Mobil Corp........................................... 129,200 11,135,425
Monsanto Co.......................................... 99,200 4,495,000
#Moore Corp., Ltd.................................... 14,600 159,688
Morgan (J.P.) & Co., Inc............................. 29,000 3,099,375
Morgan Stanley Dean Witter Discover & Co............. 96,509 6,731,503
Morton International, Inc............................ 21,600 635,850
Motorola, Inc........................................ 98,800 6,125,600
Nacco Industries, Inc. Class A....................... 1,300 113,181
Nalco Chemical Co.................................... 10,900 364,469
National City Corp................................... 54,267 3,649,456
*National Semiconductor Corp......................... 27,100 389,563
National Service Industries, Inc..................... 6,800 262,650
*Navistar International Corp......................... 11,100 287,213
*New Century Energies, Inc........................... 18,400 884,350
New York Times Class A............................... 31,300 972,256
#Newell Co........................................... 26,700 1,181,475
Newmont Mining Corp.................................. 27,658 549,703
*Nextel Communications Corp. Class A................. 47,052 1,013,088
*Niagara Mohawk Power Corp........................... 30,900 475,088
Nicor, Inc........................................... 7,900 332,294
Nike, Inc. Class B................................... 47,500 1,900,000
Nordstrom, Inc....................................... 24,600 917,119
Norfolk Southern Corp................................ 62,500 1,898,438
Northern States Power Co. MN......................... 25,000 679,688
Northern Telecom, Ltd................................ 107,660 5,026,376
Northern Trust Corp.................................. 18,300 1,478,869
Northrop Grumman Corp................................ 11,300 918,125
*Novell, Inc......................................... 58,400 965,425
Nucor Corp........................................... 14,600 613,200
Occidental Petroleum Corp............................ 58,400 1,182,600
Omnicom Group, Inc................................... 27,900 1,490,906
Oneok, Inc........................................... 5,200 181,025
*Oracle Systems Corp................................. 160,662 5,507,694
*Oryx Energy Co...................................... 17,500 241,719
Owens Corning........................................ 8,900 332,081
</TABLE>
96
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Owens-Illinois, Inc................................. 25,700 $ 825,613
PECO Energy Co....................................... 36,700 1,472,588
PG&E Corp. (Holding Co.)............................. 63,200 1,955,250
PNC Bank Corp........................................ 49,950 2,575,547
PP&L Resources, Inc.................................. 25,000 682,813
PPG Industries, Inc.................................. 29,200 1,786,675
Paccar, Inc.......................................... 12,920 588,668
PacifiCorp........................................... 49,000 918,750
Pall Corp............................................ 20,500 476,625
*Parametric Technology Corp.......................... 44,900 764,703
Parker-Hannifin Corp................................. 18,325 636,794
Paychex, Inc......................................... 27,000 1,344,094
Penney (J.C.) Co., Inc............................... 41,700 2,293,500
Pennzoil Co.......................................... 7,900 293,288
Peoples Energy Corp.................................. 5,800 218,588
*Peoplesoft, Inc..................................... 38,100 784,622
Pep Boys - Manny, Moe & Jack......................... 10,500 148,313
Pepsico, Inc......................................... 243,000 9,401,063
Perkin Elmer Corp.................................... 8,200 764,650
Pfizer, Inc.......................................... 215,700 24,077,513
Pharmacia & Upjohn, Inc.............................. 84,080 4,377,415
Phelps Dodge Corp.................................... 9,700 549,869
Philip Morris Companies, Inc......................... 401,500 22,458,906
Phillips Petroleum Co................................ 42,800 1,797,600
Pioneer Hi-Bred International, Inc................... 39,901 1,194,536
Pitney Bowes, Inc.................................... 45,400 2,542,400
Placer Dome, Inc..................................... 41,200 599,975
Polaroid Corp........................................ 7,300 155,125
Potlatch Corp........................................ 4,800 181,500
Praxair, Inc......................................... 26,000 992,875
Procter & Gamble Co.................................. 221,332 19,394,217
Progressive Corp..................................... 11,800 1,750,825
*Provident Companies, Inc............................ 22,400 861,000
Providian Financial Corp............................. 15,800 1,450,638
Public Service Enterprise Group, Inc................. 38,400 1,497,600
Pulte Corp........................................... 7,100 180,606
Quaker Oats Co....................................... 22,600 1,387,075
RJR Nabisco Holdings Corp............................ 53,700 1,547,231
Ralston Purina Group................................. 51,600 1,796,325
Raychem Corp......................................... 13,800 470,063
Raytheon Co. Class B................................. 56,000 3,101,000
*Reebok International, Ltd........................... 9,300 148,219
Regions Financial Corp............................... 35,300 1,368,978
Republic New York Corp............................... 17,800 832,150
Reynolds Metals Co................................... 11,800 647,525
Rite Aid Corp........................................ 42,600 1,975,575
Rockwell International Corp.......................... 31,700 1,551,319
Rohm & Haas Co....................................... 29,500 1,030,656
*Rowan Companies, Inc................................ 14,100 138,356
Royal Dutch Petroleum Co. Den Haag (N.Y. Registry)... 353,700 16,623,900
Rubbermaid, Inc...................................... 24,800 819,950
Russell Corp......................................... 6,000 142,875
Ryder System, Inc.................................... 12,100 345,606
SBC Communications, Inc.............................. 323,108 15,488,990
SLM Holdings Corp.................................... 27,500 1,210,000
Safeco Corp.......................................... 23,400 1,005,469
*Safeway, Inc........................................ 80,500 4,251,406
*Saint Jude Medical, Inc............................. 13,850 402,516
Saint Paul Companies, Inc............................ 39,042 1,376,231
Sara Lee Corp........................................ 77,000 4,494,875
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Schering-Plough Corp................................. 121,000 $ 12,871,375
Schlumberger, Ltd.................................... 89,900 4,017,406
Schwab (Charles) Corp................................ 44,150 2,488,956
Scientific-Atlanta, Inc.............................. 12,900 249,938
*Seagate Technology, Inc............................. 40,100 1,182,950
#Seagram Co., Ltd.................................... 57,200 1,962,675
*Sealed Air Corp..................................... 13,792 608,572
Sears, Roebuck & Co.................................. 64,800 3,073,950
Sempra Energy........................................ 39,645 993,603
Service Corp. International.......................... 42,600 1,592,175
Shared Medical Systems Corp.......................... 4,400 230,450
Sherwin-Williams Co.................................. 28,600 811,525
Sigma-Aldrich Corp................................... 16,600 533,794
*Silicon Graphics, Inc............................... 31,200 382,200
Snap-On, Inc......................................... 9,800 333,200
Sonat, Inc........................................... 18,100 537,344
Southern Co.......................................... 115,300 3,401,350
Southwest Airlines Co................................ 55,500 1,193,250
Springs Industries, Inc. Class A..................... 3,050 118,759
Sprint Corp.......................................... 70,900 5,157,975
*#Sprint Corp. (PCS Group)........................... 94,100 1,505,600
Stanley Works........................................ 14,700 449,269
*Staples, Inc........................................ 47,500 1,656,563
State Street Corp.................................... 26,600 1,825,425
Summit Bancorp....................................... 28,700 1,200,019
*Sun Microsystems.................................... 62,740 4,642,760
Sunamerica, Inc...................................... 34,350 2,722,238
Sunoco, Inc.......................................... 15,400 521,675
Suntrust Banks, Inc.................................. 34,500 2,408,531
Supervalu, Inc....................................... 20,000 516,250
Synovus Financial Corp............................... 43,550 960,822
Sysco Corp........................................... 55,800 1,503,113
TJX Companies, Inc................................... 52,300 1,340,188
TRW, Inc............................................. 20,000 1,101,250
Tandy Corp........................................... 16,530 744,883
*Tektronix, Inc...................................... 7,850 210,478
*Tele-Communications, Inc. Class A (TCI Group)....... 86,500 3,651,922
*Tellabs, Inc........................................ 32,100 1,734,403
Temple-Inland, Inc................................... 9,100 488,556
*Tenet Healthcare Corp............................... 51,000 1,507,688
Tenneco, Inc......................................... 28,100 1,001,063
Texaco, Inc.......................................... 88,600 5,100,038
Texas Instruments, Inc............................... 64,300 4,910,913
Texas Utilities Co................................... 45,997 2,049,741
Textron, Inc......................................... 27,000 2,097,563
*Thermo-Electron Corp................................ 27,400 462,375
Thomas & Betts Corp.................................. 9,400 407,138
Time Warner, Inc..................................... 98,900 10,458,675
Times Mirror Co. Class A............................. 14,300 838,338
Timken Co............................................ 10,300 198,275
Torchmark Corp....................................... 23,100 877,800
*Toys R Us, Inc...................................... 43,200 853,200
Transamerica Corp.................................... 10,200 1,083,750
Tribune Co........................................... 20,000 1,282,500
*Tricon Global Restaurants, Inc...................... 25,260 1,150,909
Tupperware Corp...................................... 9,500 165,656
Tyco International, Ltd.............................. 106,185 6,988,300
U.S. Bancorp......................................... 122,400 4,505,850
U.S. West, Inc....................................... 82,981 5,165,567
UNUM Corp............................................ 22,700 1,222,963
</TABLE>
97
<PAGE>
THE U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*USAir Group, Inc.................................... 15,400 $ 800,800
UST, Inc............................................. 30,700 1,066,825
USX-Marathon Group, Inc.............................. 50,800 1,441,450
USX-US Steel Group................................... 14,520 354,833
Unicom Corp., Inc.................................... 35,700 1,345,444
Unilever NV.......................................... 105,800 8,179,663
Union Camp Corp...................................... 11,400 737,438
Union Carbide Corp................................... 22,400 1,002,400
Union Pacific Corp................................... 40,700 1,979,038
Union Pacific Resources Group, Inc................... 41,476 464,013
Union Planters Corp.................................. 20,900 995,363
*Unisys Corp......................................... 42,100 1,199,850
United Healthcare Corp............................... 32,100 1,448,513
United Technologies Corp............................. 37,400 4,008,813
Unocal Corp.......................................... 39,700 1,344,838
VF Corp.............................................. 20,000 981,250
*Venator Group, Inc.................................. 22,300 175,613
*Viacom, Inc. Class B................................ 59,334 3,949,419
*WR Grace & Co....................................... 12,500 206,250
Wachovia Corp........................................ 34,000 2,968,625
Walgreen Co.......................................... 82,100 4,407,744
Wal-Mart Stores, Inc................................. 369,100 27,797,844
Warner-Lambert Co.................................... 135,300 10,215,150
Washington Mutual, Inc............................... 98,090 3,804,053
Waste Management, Inc................................ 94,547 4,053,703
Wells Fargo Company.................................. 267,100 9,615,600
Wendy's International, Inc........................... 21,000 420,000
Westvaco Corp........................................ 16,750 471,094
Weyerhaeuser Co...................................... 32,900 1,649,113
Whirlpool Corp....................................... 12,500 700,000
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Willamette Industries, Inc........................... 18,300 $ 639,356
Williams Companies, Inc.............................. 70,097 2,019,670
Winn-Dixie Stores, Inc............................... 24,500 987,656
Worthington Industries, Inc.......................... 15,975 196,193
Wrigley (Wm.) Jr. Co................................. 19,100 1,683,188
Xerox Corp........................................... 54,100 5,815,750
--------------
TOTAL COMMON STOCKS
(Cost $995,063,600).................................. 1,555,425,299
--------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH
INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.25%, 08/31/02, valued at $6,581,138) to be
repurchased at $6,476,890. (Cost $6,476,000)....... $ 6,476 6,476,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,001,539,600)++.............................. $1,561,901,299
--------------
--------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $1,008,917,865.
</TABLE>
See accompanying Notes to Financial Statements.
98
<PAGE>
THE ENHANCED U.S. LARGE COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
UNITED STATES -- (44.5%)
COMMERCIAL PAPER -- (30.2%)
BP America C.P.
5.100%, 12/11/98................................... 800 $ 798,904
Barton Capital Corp. C.P.
5.220%, 12/11/98................................... 400 399,452
5.370%, 01/14/99................................... 1,400 1,391,051
5.400%, 02/09/99................................... 600 594,062
CC (USA), Inc. C.P.
5.200%, 02/22/99................................... 1,000 988,265
Ciesco L.P. C.P.
5.150%, 12/11/98................................... 1,000 998,630
Corporate Asset Funding Corp. C.P.
5.380%, 01/27/99................................... 2,000 1,983,597
Dresdner U.S. Finance C.P.
5.120%, 01/25/99................................... 1,000 992,086
Eksportfinans C.P.
5.120%, 12/01/98................................... 2,000 2,000,000
Enterprise Funding Corp. C.P.
5.050%, 12/10/98................................... 1,000 998,760
Equipment Intermediate C.P.
5.350%, 12/07/98................................... 2,000 1,998,357
Gannett Co. C.P.
5.030%, 01/15/99................................... 1,700 1,688,823
Govco, Inc. C.P.
5.380%, 01/15/99................................... 2,200 2,185,480
Nestle Capital C.P.
5.100%, 12/01/98................................... 1,700 1,700,000
------------
TOTAL COMMERCIAL PAPER
(Cost $18,715,990)................................... 18,717,467
------------
VARIABLE RATE OBLIGATIONS -- (9.7%)
Chase Manhattan Corp.
***5.500%, 02/24/99................................ 1,000 1,000,000
Citicorp
***5.442%, 02/16/99................................ 1,000 1,000,500
First USA Bank
***5.550%, 01/21/99................................ 1,000 1,002,600
Key Bank N.A.
***5.469%, 02/02/99................................ 2,000 1,999,405
NationsBank Corporation
***5.567%, 02/09/99................................ 1,000 1,002,500
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $6,006,875).................................... 6,005,005
------------
AGENCY OBLIGATIONS -- (4.3%)
Federal National Mortgage Association
**5.110%, 01/19/99
(Cost $2,681,221)................................ 2,700 2,681,551
------------
COMMON STOCKS -- (0.3%)
Standard & Poors Depository Receipts (Cost
$172,288)........................................... 1,500 174,188
------------
TOTAL -- UNITED STATES
(Cost $28,115,374)................................... 27,578,211
------------
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
FRANCE -- (20.7%)
BONDS -- (20.2%)
African Development Bank
9.375%, 11/15/99................................... 10,000 $ 1,858,510
Credit d'Equipement des Petites et Moyennes Entreprises
9.000%, 08/19/99................................... 7,000 1,280,344
Credit Local de France
8.900%, 05/28/00................................... 13,000 2,464,659
Eurofima Societe Europeene pour le Financement de
Material Ferrovaire, Bale
8.625%, 09/01/99................................... 9,000 1,645,363
European Investment Bank
6.250%, 07/28/99................................... 7,000 1,255,781
France (Republic of)
7.750%, 04/12/00................................... 8,000 1,491,463
Regie Autonome des Transports Parisiens SA
7.250%, 09/19/99................................... 6,000 1,088,551
World Bank
8.125%, 11/24/99................................... 8,000 1,472,702
------------
TOTAL BONDS
(Cost $11,764,417)................................... 12,557,373
------------
INVESTMENT IN CURRENCY -- (0.5%)
*French Francs (Cost $281,617)........................ 280,098
------------
TOTAL -- FRANCE
(Cost $12,046,034)................................... 12,837,471
------------
GERMANY -- (19.3%)
BONDS -- (19.3%)
Autobahnen und Schnellstrassenfinanzierungs AG Asfinag
7.125%, 12/22/99................................... 3,000 1,847,964
Baden-Wuerttemberg L-Finance NV
7.000%, 03/08/00................................... 3,000 1,847,076
Bank Nederlandse Gemeenten
6.250%, 08/10/00................................... 3,000 1,847,431
Denmark Kingdom
6.125%, 07/06/00................................... 2,000 1,230,201
European Economic Community
6.500%, 03/10/00................................... 2,000 1,224,878
German Government Bond
5.875%, 05/15/00................................... 2,000 1,227,836
KFW International Finance, Inc.
7.500%, 01/24/00................................... 3,000 1,852,577
Landesbank Capital Markets P.L.C.
7.000%, 03/31/00................................... 1,500 925,313
------------
TOTAL BONDS
(Cost $11,098,305)................................... 12,003,276
------------
</TABLE>
99
<PAGE>
THE ENHANCED U.S. LARGE COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*German Marks (Cost $3)............................... $ 3
------------
TOTAL -- GERMANY
(Cost $11,098,308)................................... 12,003,279
------------
NETHERLANDS -- (9.7%)
BONDS -- (9.7%)
ABN-AMRO Bank NV
6.625%, 04/05/00................................... 2,000 1,089,910
Baden-Wuerttemberg L-Finance NV
6.625%, 05/11/00................................... 2,000 1,092,532
Dutch Government Bond
8.750%, 05/01/00................................... 3,000 1,686,790
Helaba International Finance P.L.C.
6.125%, 06/30/00................................... 4,000 2,177,721
------------
TOTAL BONDS
(Cost $5,607,833).................................... 6,046,953
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $1)........................ 1
------------
TOTAL -- NETHERLANDS
(Cost $5,607,834).................................... 6,046,954
------------
SWEDEN -- (3.9%)
BONDS -- (3.9%)
Swedish Government Bond
(Cost $2,432,570) 10.250%, 05/05/00................ 18,000 2,416,271
------------
AUSTRALIA -- (1.0%)
BONDS -- (1.0%)
ABN-AMRO Australia, Ltd.
7.500%, 03/08/00 (Cost $688,817)................... 1,000 648,922
------------
INVESTMENT IN CURRENCY -- (0.0%)
Australian Dollar (Cost $1)........................... 1
------------
TOTAL -- AUSTRALIA
(Cost $688,818)...................................... 648,923
------------
FACE
AMOUNT VALUE+
------------ ------------
(000)
CANADA -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
Canadian Dollars (Cost $154).......................... $ 156
------------
JAPAN -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $19).............................. 19
------------
TEMPORARY CASH INVESTMENTS -- (0.9%)
*Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.25%, 08/31/02, valued at $549,763) to be
repurchased at $539,074.
(Cost $539,000)..................................... $ 539 539,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $59,989,112)++................................. $ 62,070,284
------------
------------
- --------------------
+ See Note B to Financial Statements.
*** Rates shown are the rates as of November 30, 1998, and maturities shown
are the next interest readjustment date.
* Non-Income Producing Securities
** Face amount of securities pledged as margin requirement for open futures
contracts.
++ Approximates cost for federal income tax purposes.
@ Denominated in local currency.
</TABLE>
See accompanying Notes to Financial Statements.
100
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
COMMON STOCKS -- (99.0%)
AK Steel Holding Corp................................. 156,800 $ 3,008,600
*AMR Corp............................................. 453,000 29,869,687
AVX Corp.............................................. 177,100 3,442,381
*Adaptec, Inc......................................... 50,800 828,675
*Advanced Micro Devices, Inc.......................... 485,900 13,453,356
Aetna, Inc............................................ 544,726 42,114,129
*Airgas, Inc.......................................... 28,800 291,600
*Alaska Air Group, Inc................................ 21,200 793,675
Albemarle Corp........................................ 97,500 1,815,937
Alexander & Baldwin, Inc.............................. 109,700 2,509,387
*Alleghany Corp....................................... 8,432 1,621,052
Aluminium Co. of America.............................. 69,271 5,134,713
Ambac, Inc............................................ 150,200 9,162,200
Amerada Hess Corp..................................... 179,900 9,984,450
*America West Holdings Corp. Class B.................. 85,700 1,210,512
American Financial Group, Inc. (New).................. 75,000 2,948,437
American General Corp................................. 440,707 31,042,299
American Greetings Corp. Class A...................... 19,400 820,862
American National Insurance Co........................ 21,900 1,828,650
Amerus Life Holdings, Inc. Class A.................... 28,000 617,750
Apache Corp........................................... 186,600 4,291,800
Arch Coal, Inc........................................ 12,600 241,762
Archer-Daniels Midland Co............................. 1,299,935 23,886,306
*Arrow Electronics, Inc............................... 287,600 6,255,300
Asarco, Inc........................................... 104,900 2,032,437
*Associated Group, Inc. Class A....................... 6,500 243,344
Astoria Financial Corp................................ 23,800 1,071,744
Atlantic Richfield Co................................. 221,200 14,709,800
*Atmel Corp........................................... 131,200 1,594,900
Avnet, Inc............................................ 115,600 6,726,475
*BJ Services, Co...................................... 228,200 3,152,012
Baker Hughes, Inc..................................... 75,400 1,380,762
Ball Corp............................................. 112,500 4,809,375
Bancwest Corp......................................... 98,600 4,264,450
Bankers Trust New York Corp........................... 211,700 18,417,900
Bear Stearns Companies, Inc........................... 249,637 10,484,754
Berkley (W.R.) Corp................................... 47,400 1,589,381
*Bethlehem Steel Corp................................. 285,500 2,355,375
*Beverly Enterprises.................................. 296,100 1,702,575
Black & Decker Corp................................... 168,800 9,146,850
Block Drug Co., Inc. Class A.......................... 37,588 1,426,026
Boise Cascade Corp.................................... 162,100 5,136,544
Borg Warner Automotive, Inc........................... 46,300 2,309,212
Bowater, Inc.......................................... 141,300 5,581,350
*Brinker International, Inc........................... 18,700 475,681
Brunswick Corp........................................ 273,500 6,017,000
Burlington Coat Factory Warehouse Corp................ 10,000 145,000
Burlington Northern Santa Fe Corp..................... 940,100 31,963,400
CIGNA Corp............................................ 294,324 22,902,086
*CNA Financial Corp................................... 422,500 18,061,875
CSX Corp.............................................. 484,500 20,197,594
*Cabletron Systems, Inc............................... 438,500 6,139,000
Capital Re Corp....................................... 26,600 525,350
Carpenter Technology Corp............................. 21,900 773,344
*Case Corp............................................ 166,300 4,032,775
#Champion International Corp.......................... 206,000 8,561,875
Chesapeake Corp....................................... 15,100 523,781
Chicago Title Corp.................................... 14,996 701,063
Chiquita Brands International, Inc.................... 111,200 1,251,000
*Chris-Craft Industries, Inc.......................... 68,808 3,182,370
Cincinnati Financial Corp............................. 333,380 13,012,238
*Circus Circus Enterprises, Inc....................... 271,300 3,136,906
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Citizens Corp......................................... 94,700 $ 3,131,019
Commerce Group, Inc................................... 54,700 1,873,475
Comsat Corp. Series 1................................. 96,600 3,441,375
Consolidated Papers, Inc.............................. 101,000 2,581,812
Cooper Tire & Rubber Co............................... 95,100 1,860,394
Coors (Adolph) Co. Class B............................ 80,500 4,007,391
*Corporate Express, Inc............................... 33,200 192,975
Countrywide Credit Industries, Inc.................... 258,600 12,800,700
Crown Cork & Seal Co., Inc............................ 393,100 13,267,125
Cummins Engine Co., Inc............................... 108,800 4,039,200
*Cypress Semiconductor Corp........................... 184,700 1,881,631
Cyprus Amax Minerals Co., Inc......................... 238,900 2,717,487
*Daimlerchrysler...................................... 881,271 80,801,535
Dana Corp............................................. 27,414 1,069,146
Darden Restaurants, Inc............................... 356,000 5,629,250
*Delphi Financial Group, Inc. Class A................. 816 38,097
#Devon Energy Corp.................................... 26,100 859,669
Dillards, Inc. Class A................................ 321,700 11,058,437
*EEX Corp............................................. 434,154 1,546,674
ENSCO International, Inc.............................. 236,600 2,262,487
#Enhance Financial Services Group, Inc................ 26,400 775,500
Enron Corp............................................ 7,800 409,987
Enron Oil & Gas Corp.................................. 217,800 3,267,000
*Everest Reinsurance Holdings, Inc.................... 22,800 856,425
*Extended Stay America, Inc........................... 140,300 1,403,000
*Federated Department Stores, Inc..................... 606,300 25,275,131
Financial Security Assurance Holdings, Ltd............ 41,800 2,293,775
First Citizens Bancshares, Inc. NC.................... 10,100 872,072
Florida East Coast Industries, Inc.................... 54,600 1,870,050
Ford Motor Co......................................... 2,655,700 146,727,425
*Fruit of The Loom, Inc. Class A...................... 120,600 1,778,850
GATX Corp............................................. 84,400 3,191,375
General Motors Corp................................... 1,528,500 106,995,000
General Motors Corp. Class H.......................... 217,546 8,266,748
Georgia-Pacific Corp.................................. 191,500 10,867,625
Georgia-Pacific Corp. Timber Group.................... 50,200 1,154,600
*Golden State Bancorp, Inc............................ 144,900 2,789,325
Golden West Financial Corp............................ 90,800 8,597,625
Goodrich (B.F.) Co.................................... 95,400 3,619,237
Great Atlantic & Pacific Tea Co., Inc................. 126,700 3,460,494
Great Lakes Chemical Corp............................. 23,900 954,506
Greenpoint Financial Corp............................. 127,600 4,856,775
Harris Corp........................................... 13,300 504,569
Helmerich & Payne, Inc................................ 104,300 1,799,175
Hilton Hotels Corp.................................... 545,500 11,864,625
Hollinger International, Inc. Class A................. 147,100 1,903,106
IBP, Inc.............................................. 288,400 7,318,150
IMC Global, Inc....................................... 257,400 5,888,025
*IVAX Corp............................................ 361,000 3,429,500
Ikon Office Solutions, Inc............................ 247,900 2,417,025
Inland Steel Industries, Inc.......................... 64,592 1,182,841
Integrated Health Services, Inc....................... 87,100 974,431
International Paper Co................................ 687,800 29,876,312
*International Speciality Products, Inc............... 252,000 3,307,500
*K Mart Corp.......................................... 1,417,400 21,615,350
Kerr-McGee Corp....................................... 58,300 2,302,850
*LSI Logic Corp....................................... 458,000 7,099,000
LTV Corp.............................................. 225,900 1,242,450
Lafarge Corp.......................................... 136,700 5,066,444
*Lam Research Corp.................................... 113,900 2,032,403
Lehman Brothers Holdings, Inc......................... 297,600 14,861,400
Lennar Corp........................................... 1,900 42,275
Liberty Corp.......................................... 35,900 1,741,150
</TABLE>
101
<PAGE>
THE U.S. LARGE CAP VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Liberty Financial Companies, Inc...................... 121,500 $ 3,531,094
Lincoln National Corp................................. 223,050 18,666,497
Loews Corp............................................ 235,300 23,530,000
Longs Drug Stores Corp................................ 53,000 1,888,125
Louisiana-Pacific Corp................................ 298,100 5,067,700
*Lubrizol Corp........................................ 182,000 4,936,750
#*MGM Grand, Inc...................................... 52,928 1,359,588
Mallinckrodt, Inc..................................... 205,200 6,630,525
Mark IV Industries, Inc............................... 45,300 764,437
Mead Corp............................................. 281,000 8,517,812
Media General, Inc. Class A........................... 16,900 801,694
Metris Companies, Inc................................. 33,999 1,138,966
*Micron Technology, Inc............................... 499,900 20,652,119
*Millennium Chemicals, Inc............................ 10,500 250,687
Mitchell Energy & Development Corp. Class A........... 68,500 890,500
Mitchell Energy & Development Corp. Class B........... 41,600 551,200
Morgan (J.P.) & Co., Inc.............................. 292,700 31,282,312
Morton International, Inc............................. 11,000 323,812
Murphy Oil Corp....................................... 31,700 1,264,037
NAC RE Corp........................................... 26,000 1,241,500
Nabisco Holdings Corp................................. 71,900 2,867,012
*National Semiconductor Corp.......................... 458,600 6,592,375
*Navistar International Corp.......................... 216,700 5,607,112
*Nextel Communications Corp. Class A.................. 162,515 3,499,151
Noble Affiliates, Inc................................. 108,000 2,733,750
Norfolk Southern Corp................................. 749,500 22,766,062
*Novell, Inc.......................................... 883,000 14,597,094
Occidental Petroleum Corp............................. 650,800 13,178,700
*Officemax, Inc....................................... 367,200 3,901,500
Ogden Corp............................................ 151,696 4,029,425
#Ohio Casualty Corp................................... 106,900 4,342,812
Old Republic International Corp....................... 373,275 7,955,423
Olsten Corp........................................... 13,300 99,750
Orion Capital Corp.................................... 10,000 361,250
Overseas Shipholding Group, Inc....................... 37,500 592,969
Pacific Century Financial Corp........................ 124,500 2,661,187
*Pacificare Health Systems, Inc. Class A.............. 12,040 837,532
*Pacificare Health Systems, Inc. Class B.............. 39,256 2,962,601
Pennzoil Co........................................... 55,600 2,064,150
Pep Boys - Manny, Moe & Jack.......................... 151,100 2,134,288
Phelps Dodge Corp..................................... 122,900 6,966,894
Pioneer Natural Resources Co.......................... 333,000 4,412,250
Potlatch Corp......................................... 94,600 3,577,063
Provident Companies, Inc.............................. 550,808 21,171,683
Pulte Corp............................................ 71,400 1,816,238
*Quantum Corp......................................... 311,100 6,892,809
Questar Corp.......................................... 36,500 700,344
RJR Nabisco Holdings Corp............................. 640,380 18,450,949
Rayonier, Inc......................................... 83,000 3,527,500
Reynolds Metals Co.................................... 140,300 7,698,963
*Rowan Companies, Inc................................. 64,500 632,906
Russell Corp.......................................... 137,400 3,271,838
Ryder System, Inc..................................... 195,800 5,592,538
Safeco Corp........................................... 334,200 14,360,156
Saint Paul Companies, Inc............................. 583,026 20,551,667
*Seagate Technology, Inc.............................. 603,100 17,791,450
*Silicon Graphics, Inc................................ 456,700 5,594,575
*Smurfit-Stone Container Corp......................... 235,026 3,327,087
Springs Industries, Inc. Class A...................... 5,000 194,688
#*Sprint Corp. (PCS Group)............................ 5,850 93,600
St. Joe Corp.......................................... 78,400 1,847,300
TIG Holdings, Inc..................................... 185,700 2,611,406
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Tecumseh Products Co. Class A......................... 58,300 $ 2,893,138
Tecumseh Products Co. Class B......................... 5,700 288,563
*Tektronix, Inc....................................... 26,800 718,575
*Tele-Communications Liberty Media Group Class A...... 19,952 804,939
Telephone & Data Systems, Inc......................... 152,900 6,536,475
Temple-Inland, Inc.................................... 138,200 7,419,613
Tenneco, Inc.......................................... 324,700 11,567,438
Terra Industries, Inc................................. 61,400 333,863
*Thermo-Electron Corp................................. 28,300 477,563
Tidewater, Inc........................................ 63,700 1,469,081
Timken Co............................................. 167,800 3,230,150
*Toys R Us, Inc....................................... 613,800 12,122,550
Transamerica Corp..................................... 231,400 24,586,250
Travelers Property Casualty Corp...................... 171,000 5,888,813
Tyson Foods, Inc. Class A............................. 13,000 268,938
UMB Financial Corp.................................... 34,000 1,530,000
USX-Marathon Group, Inc............................... 448,450 12,724,769
USX-US Steel Group.................................... 314,400 7,683,150
Ultramar Diamond Shamrock Corp........................ 62,100 1,599,075
Union Camp Corp....................................... 152,600 9,871,313
Union Pacific Corp.................................... 585,300 28,460,213
Union Pacific Resources Group, Inc.................... 394,600 4,414,588
Unionbancal Corp...................................... 48,600 4,850,888
*United States Cellular Corp.......................... 141,300 5,325,244
Unitrin, Inc.......................................... 111,900 7,930,913
Valero Energy Corp.................................... 133,300 2,799,300
Valhi, Inc............................................ 85,600 941,600
*Venator Group, Inc................................... 494,500 3,894,188
*Viacom, Inc. Class A................................. 122,400 8,040,150
*Viacom, Inc. Class B................................. 805,200 53,596,125
*Vishay Intertechnology, Inc.......................... 127,564 1,809,814
Wallace Computer Services, Inc........................ 31,000 695,563
Weis Markets, Inc..................................... 20,800 793,000
Wesco Financial Corp.................................. 8,500 2,992,000
#*Western Digital Corp................................ 28,100 367,056
Westvaco Corp......................................... 211,250 5,941,406
Weyerhaeuser Co....................................... 442,100 22,160,263
Whirlpool Corp........................................ 69,000 3,864,000
Willamette Industries, Inc............................ 298,600 10,432,338
Worthington Industries, Inc........................... 126,900 1,558,491
Xtra Corp............................................. 6,200 294,888
*Zale Corp............................................ 27,100 775,738
--------------
TOTAL COMMON STOCKS
(Cost $1,399,206,000)................................ 1,730,831,533
--------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.0%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.25%, 08/31/02, valued at $18,136,825) to be
repurchased at $17,866,456.
(Cost $17,864,000)................................... $ 17,864 17,864,000
--------------
TOTAL INVESTMENTS -- (100.0%) (Cost
$1,417,070,000)++.................................... $1,748,695,533
--------------
--------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
102
<PAGE>
THE U.S. 4-10 VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (98.8%)
*ACX Technologies, Inc................................ 20,300 $ 258,825
AK Steel Holding Corp................................. 75,600 1,450,575
AVX Corp.............................................. 31,000 602,562
Aames Financial Corp.................................. 13,000 24,375
*Acceptance Insurance Companies, Inc.................. 12,200 240,187
*Adaptec, Inc......................................... 61,700 1,006,481
*Advanced Micro Devices, Inc.......................... 30,000 830,625
Advanta Corp. Class A................................. 7,887 82,074
*Advanta Corp. Class B Non-Voting..................... 29,227 227,879
*Agco Corp............................................ 40,700 333,231
*Airgas, Inc.......................................... 24,900 252,112
*Alaska Air Group, Inc................................ 17,100 640,181
Albank Financial Corp................................. 4,500 304,312
Albany International Corp. Class A.................... 5,929 112,651
Albemarle Corp........................................ 9,200 171,350
Alexander & Baldwin, Inc.............................. 35,600 814,350
Alfa Corp............................................. 4,400 95,975
*Alleghany Corp....................................... 3,700 711,325
*Allen Telecom, Inc................................... 12,800 88,800
Alliance Bancorp...................................... 600 11,719
*Alliance Semiconductor Corp.......................... 18,700 73,339
Alpharma, Inc. Class A................................ 6,200 223,200
*Amerco............................................... 3,900 91,162
*America West Holdings Corp. Class B.................. 52,500 741,562
American Annuity Group, Inc........................... 15,900 365,700
American Business Products, Inc....................... 6,300 140,175
American Financial Group, Inc. (New).................. 6,900 271,256
*American Freightways Corp............................ 44,200 395,037
*American Homepatient, Inc............................ 7,000 15,094
American Medical Security Group, Inc.................. 5,900 84,444
*American Oncology Resources, Inc..................... 23,400 261,056
*Amerin Corp.......................................... 10,700 262,819
Amerus Life Holdings, Inc. Class A.................... 21,000 463,312
*Amresco, Inc......................................... 8,800 64,487
*Anixter International, Inc........................... 18,200 300,300
*Ann Taylor Stores Corp............................... 10,000 329,375
*Antec Corp........................................... 2,100 38,981
Applied Industrial Technologies, Inc.................. 18,500 259,000
*Applied Magnetics Corp............................... 11,300 84,044
*Apria Healthcare Group, Inc.......................... 24,200 169,400
*Arcadia Financial, Ltd............................... 21,900 78,019
Arch Coal, Inc........................................ 6,100 117,044
Arctic Cat, Inc....................................... 10,100 105,419
Argonaut Group, Inc................................... 20,900 518,581
Arnold Industries, Inc................................ 25,100 359,244
*Arrow Electronics, Inc............................... 61,200 1,331,100
Arvin Industries, Inc................................. 8,900 373,800
Asarco, Inc........................................... 44,300 858,312
*Ascent Entertainment Group, Inc...................... 17,900 146,556
*Associated Group, Inc. Class A....................... 12,700 475,456
Astoria Financial Corp................................ 10,600 477,331
*Atmel Corp........................................... 97,900 1,190,097
Avado Brands, Inc..................................... 5,000 38,281
*Avid Technology, Inc................................. 2,100 50,072
Avnet, Inc............................................ 37,500 2,182,031
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Avondale Industries, Inc............................. 9,800 $ 269,500
*Aztar Corp........................................... 25,200 127,575
*BJ Services, Co...................................... 95,100 1,313,569
*BRC Holdings, Inc.................................... 8,700 165,300
Ball Corp............................................. 14,100 602,775
*BancTec, Inc......................................... 17,800 234,737
Bancwest Corp......................................... 14,900 644,425
Bandag, Inc........................................... 3,800 134,425
Bandag, Inc........................................... 4,700 151,281
*Bank United Financial Corp. Class A.................. 100 856
BankAtlantic Bancorp, Inc. Class B.................... 5,600 44,450
*Banner Aerospace, Inc................................ 10,000 88,750
Bassett Furniture Industries, Inc..................... 10,700 270,175
Battle Mountain Gold Co............................... 79,400 372,187
Bay View Capital Corp................................. 7,700 161,219
*Belco Oil & Gas Corp................................. 6,700 37,687
*Benton Oil & Gas Co.................................. 13,800 51,750
Berkley (W.R.) Corp................................... 25,600 858,400
*Berlitz International, Inc........................... 5,100 151,087
*Bethlehem Steel Corp................................. 120,100 990,825
*Beverly Enterprises.................................. 81,400 468,050
Bindley Western Industries, Inc....................... 3,200 123,600
*Bio-Rad Laboratories, Inc. Class A................... 5,000 106,250
Birmingham Steel Corp................................. 37,300 181,837
Blair Corp............................................ 4,900 86,362
Block Drug Co., Inc. Class A.......................... 6,489 246,176
Bob Evans Farms, Inc.................................. 13,600 330,225
Boise Cascade Corp.................................... 40,700 1,289,681
*Boise Cascade Office Products Corp................... 15,400 171,325
*Bombay Co., Inc...................................... 12,300 60,731
Borg Warner Automotive, Inc........................... 14,700 733,162
*Boston Chicken, Inc.................................. 33,500 22,508
Bowater, Inc.......................................... 14,500 572,750
Bowne & Co., Inc...................................... 3,100 51,925
*Boyd Gaming Corp..................................... 18,400 66,700
*Brown (Tom), Inc..................................... 21,600 217,350
Brown Group, Inc...................................... 13,400 240,362
Brunswick Corp........................................ 66,800 1,469,600
Brush Wellman, Inc.................................... 20,300 327,337
*Budget Group, Inc.................................... 14,400 180,000
*Buffets, Inc......................................... 3,000 35,062
Burlington Coat Factory Warehouse Corp................ 17,000 246,500
*Burlington Industries, Inc........................... 48,500 506,219
Butler Manufacturing Co............................... 3,600 83,700
*CSS Industries, Inc.................................. 4,000 118,250
*Cabletron Systems, Inc............................... 46,000 644,000
Calgon Carbon Corp.................................... 18,600 134,850
Calmat Co............................................. 17,500 538,125
*Canandaigua Wine Co., Inc. Class A................... 4,900 242,856
*Canandaigua Wine Co., Inc. Class B................... 600 29,287
Capital Re Corp....................................... 26,300 519,425
Capitol Transamerica Corp............................. 100 1,762
*Caribiner International, Inc......................... 2,900 27,006
*Carmike Cinemas, Inc. Class A........................ 4,000 80,000
Carpenter Technology Corp............................. 19,900 702,719
Carter-Wallace, Inc................................... 17,700 314,175
*Case Corp............................................ 24,800 601,400
*Castle & Cooke, Inc.................................. 10,000 156,250
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*Central Garden & Pet Co.............................. 16,500 $ 265,547
Century Aluminum Co................................... 7,500 63,867
*Charming Shoppes, Inc................................ 77,100 322,856
Chartwell Re Corp..................................... 7,100 196,137
*Checkpoint System, Inc............................... 12,100 162,594
Chemed Corp........................................... 5,000 169,375
Chemical Financial Corp............................... 100 4,300
Chesapeake Corp....................................... 5,500 190,781
Chesapeake Energy Corp................................ 44,000 60,500
Chiquita Brands International, Inc.................... 58,300 655,875
*Chris-Craft Industries, Inc.......................... 20,571 951,409
Circle International, Inc............................. 4,300 71,756
*Circus Circus Enterprises, Inc....................... 82,400 952,750
*Cirrus Logic, Inc.................................... 46,200 570,281
*Citation Corp........................................ 5,800 81,200
Citizens Corp......................................... 35,300 1,167,106
Cleveland Cliffs, Inc................................. 11,400 433,912
*Coeur d'Alene Mines Corp. ID......................... 10,300 52,144
*Coherent, Inc........................................ 7,700 96,731
Columbus McKinnon Corp................................ 1,200 21,750
Commerce Group, Inc................................... 9,700 332,225
Commercial Metals Co.................................. 16,400 415,125
Commonwealth Bancorp, Inc............................. 20,900 321,991
Commonwealth Industries, Inc.......................... 7,500 71,719
Community Trust Bancorp, Inc.......................... 3,000 69,937
*Compucom Systems, Inc................................ 17,900 68,244
Comsat Corp. Series 1................................. 5,100 181,687
*Conmed Corp.......................................... 3,600 98,100
*Consolidated Freightways Corp........................ 18,000 226,125
*ContiFinancial Corp.................................. 46,800 260,325
Cooper Tire & Rubber Co............................... 74,300 1,453,494
Coors (Adolph) Co. Class B............................ 11,700 582,441
*Corporate Express, Inc............................... 82,500 479,531
Corus Bankshares, Inc................................. 2,500 91,406
*Credit Acceptance Corp............................... 29,100 197,334
Cubic Corp............................................ 1,800 36,900
Cummins Engine Co., Inc............................... 50,200 1,863,675
Curtiss-Wright Corp................................... 3,500 130,812
*Cypress Semiconductor Corp........................... 42,600 433,987
Cyprus Amax Minerals Co., Inc......................... 76,200 866,775
DT Industries, Inc.................................... 3,100 57,931
Dain Rauscher Corp.................................... 3,500 130,375
Darden Restaurants, Inc............................... 48,700 770,069
*Data General Corp.................................... 19,200 348,000
*Delphi Financial Group, Inc. Class A................. 7,446 347,635
Deltic Timber Corp.................................... 1,700 34,000
*Detroit Diesel Corp.................................. 14,400 297,900
Devon Energy Corp..................................... 24,800 816,850
*Digital Microwave Corp............................... 700 4,069
Dime Community Bancorp, Inc........................... 9,000 241,875
Dimon, Inc............................................ 28,400 232,525
*Discount Auto Parts, Inc............................. 16,200 403,987
*Dollar Thrifty Automotive Group, Inc................. 1,000 12,500
*Dress Barn, Inc...................................... 4,700 69,472
*EEX Corp............................................. 59,500 211,969
ENSCO International, Inc.............................. 82,000 784,125
*Eagle Hardware & Garden, Inc......................... 28,700 810,775
*Electric Lightwave, Inc.............................. 3,000 18,328
*Electroglas, Inc..................................... 13,000 186,062
Energen Corp.......................................... 11,400 205,200
Enhance Financial Services Group, Inc................. 13,500 396,562
<CAPTION>
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*Equity Corp. International........................... 15,400 $ 398,475
Ethyl Corp............................................ 36,200 210,412
*Evans & Sutherland Computer Corp..................... 4,300 83,044
*Everest Reinsurance Holdings, Inc.................... 8,800 330,550
Exide Corp............................................ 25,120 438,030
*Extended Stay America, Inc........................... 77,200 772,000
FBL Financial Group, Inc. Class A..................... 13,000 318,500
*FSI International, Inc............................... 10,600 81,487
*Fairchild Corp. Class A.............................. 16,900 271,456
Farmer Brothers Co.................................... 1,000 210,500
Financial Security Assurance Holdings, Ltd............ 14,200 779,225
Fingerhut Companies, Inc.............................. 31,700 352,662
*Finish Line, Inc. Class A............................ 9,400 84,600
First Citizens Bancshares, Inc. NC.................... 3,300 284,934
*First Republic Bank.................................. 3,100 80,019
First Washington Bancorp, Inc......................... 5,170 106,954
*Fisher Scientific, International, Inc................ 13,000 240,500
Fleming Companies, Inc................................ 49,300 496,081
Florida East Coast Industries, Inc.................... 24,100 825,425
*Florida Panthers Holdings, Inc. Class A.............. 14,700 164,456
Florida Rock Industries, Inc.......................... 12,800 375,200
*Forest Oil Corp...................................... 8,500 72,250
*Foster Wheeler Corp.................................. 54,800 938,450
*Franklin Covey Co.................................... 6,500 121,875
*Friedmans, Inc. Class A.............................. 6,100 60,047
*Fritz Companies, Inc................................. 16,400 157,850
Frontier Insurance Group, Inc......................... 17,200 244,025
Fund American Enterprises Holdings, Inc............... 2,400 340,200
GATX Corp............................................. 8,100 306,281
*GC Companies, Inc.................................... 2,500 100,625
*General Cigar Holdings, Inc. Class A................. 3,100 30,419
*General Communications, Inc. Class A................. 15,900 65,587
*General Semiconductor, Inc........................... 8,500 86,062
*Genesis Health Ventures, Inc......................... 23,600 225,675
Geon Co............................................... 10,900 242,525
Gerber Scientific, Inc................................ 1,000 25,312
*Gibraltar Steel Corp................................. 4,400 86,900
*Gibson Greetings, Inc................................ 20,700 228,347
Glatfelter (P.H.) Co.................................. 27,200 350,200
Gleason Corp.......................................... 3,400 65,025
*Glenayre Technologies, Inc........................... 50,700 315,291
*Global Industrial Technologies, Inc.................. 19,600 164,150
*Golden State Bancorp, Inc............................ 36,900 710,325
*Grand Casinos, Inc................................... 33,900 322,050
Granite Construction, Inc............................. 22,800 736,725
Great Atlantic & Pacific Tea Co., Inc................. 34,900 953,206
*Grey Wolf, Inc....................................... 38,000 38,000
*Griffon Corp......................................... 7,100 68,337
Guarantee Life Companies, Inc......................... 3,600 67,275
Guilford Mills, Inc................................... 17,050 246,159
*HS Resources, Inc.................................... 7,700 66,894
*Hadco Corp........................................... 6,300 220,894
*Handleman Co......................................... 40,500 486,000
Hardinge Brothers, Inc................................ 1,600 30,450
Harleysville Group, Inc............................... 28,700 608,081
Harman International Industries, Inc.................. 17,300 738,494
*Harnischfeger Industries, Inc........................ 48,000 480,000
*Hartmarx Corp........................................ 47,500 279,062
</TABLE>
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Heilig-Meyers Co...................................... 47,400 $ 331,800
Helmerich & Payne, Inc................................ 56,800 979,800
*Highlands Insurance Group, Inc....................... 6,100 77,775
Hollinger International, Inc. Class A................. 13,000 168,187
*Hollywood Entertainment Corp......................... 34,800 834,112
*Hollywood Park, Inc.................................. 15,900 152,044
*Homebase, Inc........................................ 30,200 173,650
*Homestead Village, Inc............................... 13,300 87,281
*Houston Exploration Co............................... 6,800 119,000
*Hovnanian Enterprises, Inc. Class A.................. 800 6,500
Hughes Supply, Inc.................................... 14,000 388,500
Hunt (J.B.) Transport Services, Inc................... 13,100 247,672
*Hutchinson Technology, Inc........................... 9,700 300,397
*Hypercom Corp........................................ 1,000 11,750
IBP, Inc.............................................. 43,400 1,101,275
*IMC Mortgage Co...................................... 7,300 4,562
IMCO Recycling, Inc................................... 2,800 41,825
*IVAX Corp............................................ 57,000 541,500
Ikon Office Solutions, Inc............................ 60,000 585,000
*Imation Corp......................................... 55,600 903,500
*Imperial Credit Industries, Inc...................... 13,600 138,550
Imperial Holly Corp................................... 7,700 66,412
*Inacom Corp.......................................... 12,900 267,675
*Information Resources, Inc........................... 30,200 252,925
Ingles Market, Inc. Class A........................... 6,600 79,612
Inland Steel Industries, Inc.......................... 4,218 77,242
*Input/Output, Inc.................................... 18,600 152,287
*Integrated Device Technology, Inc.................... 76,600 452,419
Integrated Health Services, Inc....................... 37,200 416,175
Interface, Inc. Class A............................... 6,000 74,812
*Intergraph Corp...................................... 68,600 443,756
International Multifoods Corp......................... 14,300 363,756
*International Rectifier Corp......................... 39,100 366,562
*International Speciality Products, Inc............... 61,000 800,625
Interpool, Inc........................................ 22,700 329,150
*Ionics, Inc.......................................... 7,000 220,062
J & L Specialty Steel, Inc............................ 24,300 151,875
JSB Financial, Inc.................................... 6,500 342,875
*Just for Feet, Inc................................... 6,000 136,500
Justin Industries, Inc................................ 14,000 178,500
K2, Inc............................................... 7,800 88,725
KCS Energy, Inc....................................... 13,800 55,200
*Kaiser Aluminum Corp................................. 69,200 454,125
Kaman Corp. Class A................................... 9,300 149,091
Kellwood Co........................................... 11,900 321,300
*Kemet Corp........................................... 17,400 244,687
*Kennametal, Inc...................................... 8,600 183,287
*Kent Electronics Corp................................ 17,200 244,025
Kerr-McGee Corp....................................... 8,300 327,850
Kimball International, Inc. Class B................... 15,800 300,200
*Kinross Gold Corp.................................... 21,370 53,425
*Kirby Corp........................................... 9,100 180,862
*Komag, Inc........................................... 27,100 195,628
*Kulicke & Soffa Industries, Inc...................... 19,100 324,700
LNR Property Corp..................................... 2,200 42,900
*LSI Logic Corp....................................... 79,500 1,232,250
*LTV Corp............................................. 140,900 774,950
*Laboratory Corp. of America Holdings, Inc............ 28,700 37,669
Lafarge Corp.......................................... 24,400 904,325
*Lam Research Corp.................................... 35,800 638,806
Landamerica Financial Group, Inc...................... 4,000 245,250
<CAPTION>
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*Landrys Seafood Restaurants, Inc..................... 9,600 $ 78,600
*Lattice Semiconductor Corp........................... 10,500 387,516
Lawson Products, Inc.................................. 6,000 137,625
Lennar Corp........................................... 2,200 48,950
Liberty Corp.......................................... 15,600 756,600
Liberty Financial Companies, Inc...................... 45,100 1,310,719
Life USA Holdings, Inc................................ 29,100 374,662
*Lincoln Electric Holdings............................ 2,600 60,856
*Lone Star Steakhouse Saloon.......................... 31,400 240,406
*Lone Star Technologies, Inc.......................... 6,000 58,500
Longs Drug Stores Corp................................ 13,300 473,813
Longview Fibre Co..................................... 33,200 375,575
*Louis Dreyfus Natural Gas Corp....................... 25,100 324,731
Louisiana-Pacific Corp................................ 40,700 691,900
*Lubrizol Corp........................................ 28,300 767,638
Luby's Cafeterias, Inc................................ 20,500 325,438
M.A. Hanna Co......................................... 27,900 392,344
MDC Holdings, Inc..................................... 9,400 172,725
*MEMC Electronic Materials, Inc....................... 13,700 129,294
*MGM Grand, Inc....................................... 37,696 968,316
MMI Companies, Inc.................................... 13,200 215,325
*MRV Communications, Inc.............................. 2,000 13,188
*MS Carriers, Inc..................................... 8,800 217,800
Mallinckrodt, Inc..................................... 48,600 1,570,388
Marcus Corp........................................... 10,700 161,838
*Marine Transport Corp................................ 2,020 4,229
*Mariner Post-Acute Network, Inc...................... 13,800 59,513
Mark IV Industries, Inc............................... 35,300 595,688
*Marshall Industries.................................. 15,900 413,400
*Maxxam, Inc.......................................... 4,700 229,419
*Maxxim Medical, Inc.................................. 2,700 73,575
McClatchey Newspapers, Inc. Class A................... 5,400 177,525
*Medaphis Corp........................................ 56,300 162,742
Media General, Inc. Class A........................... 4,200 199,238
*Mesa Air Group, Inc.................................. 13,300 105,984
*Metal Management, Inc................................ 11,000 34,031
Metris Companies, Inc................................. 3,438 115,173
*Metrocall, Inc....................................... 19,000 84,313
*Metromedia International Group, Inc.................. 47,400 210,338
*Michaels Stores, Inc................................. 100 1,800
*Micro Warehouse, Inc................................. 16,200 443,475
*Microage, Inc........................................ 9,800 172,113
*Mid Atlantic Medical Services, Inc................... 37,300 331,038
Midland Co............................................ 5,000 124,375
Mikasa, Inc........................................... 11,300 122,888
Milacron, Inc......................................... 17,600 356,400
*Millennium Chemicals, Inc............................ 16,500 393,938
*Miller Industries, Inc............................... 11,400 54,863
Mine Safety Appliances Co............................. 2,200 143,825
Mississippi Chemical Corp............................. 29,640 466,830
Mitchell Energy & Development Corp. Class A........... 14,300 185,900
Mitchell Energy & Development Corp. Class B........... 15,500 205,375
*Mondavi (Robert) Corp. Class A....................... 1,400 51,188
*Morrison Knudsen Corp................................ 16,400 157,850
Movado Group, Inc..................................... 1,500 29,719
Murphy Oil Corp....................................... 12,000 478,500
*N & F Worldwide Corp................................. 8,100 76,950
NAC RE Corp........................................... 11,900 568,225
NCH Corp.............................................. 4,300 240,800
</TABLE>
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*NCS Healthcare, Inc.................................. 9,100 $ 187,403
*NS Group, Inc........................................ 8,700 47,306
National Presto Industries, Inc....................... 4,800 198,300
*National Processing, Inc............................. 10,700 64,869
*National Semiconductor Corp.......................... 97,800 1,405,875
National Steel Corp. Class B.......................... 30,375 222,117
*Network Equipment Technologies, Inc.................. 21,200 235,850
New Jersey Resources Corp............................. 3,900 151,856
*Nine West Group...................................... 22,800 285,000
Noble Affiliates, Inc................................. 16,500 417,656
*Nortek, Inc.......................................... 1,800 49,163
*Novacare, Inc........................................ 53,600 167,500
*Nuevo Energy Co...................................... 20,400 302,175
*OMI Corp............................................. 42,500 132,813
*Oak Technology, Inc.................................. 21,700 85,783
Ocean Financial Corp.................................. 10,900 170,994
*Officemax, Inc....................................... 153,700 1,633,063
*Offshore Logistics, Inc.............................. 17,200 210,163
Ogden Corp............................................ 21,000 557,813
Ohio Casualty Corp.................................... 43,300 1,759,063
*Olin Corp............................................ 8,300 253,669
Olsten Corp........................................... 54,100 405,750
*On Command Corp...................................... 9,300 76,144
Oregon Steel Mills, Inc............................... 20,100 255,019
Orion Capital Corp.................................... 14,600 527,425
Oshkosh Truck Corp. Class B........................... 2,200 65,175
Overseas Shipholding Group, Inc....................... 21,100 333,644
*Oxford Health Plans, Inc............................. 31,900 353,891
Oxford Industries, Inc................................ 3,100 89,513
PXRE Corp............................................. 10,200 226,313
Pacific Century Financial Corp........................ 99,700 2,131,088
*Pacificare Health Systems, Inc. Class A.............. 4,800 333,900
*Pacificare Health Systems, Inc. Class B.............. 3,700 279,234
Park Electrochemical Corp............................. 3,700 70,994
*Parker Drilling Co................................... 73,500 275,625
*Patterson Energy, Inc................................ 5,800 27,006
*Paxson Communications Corp........................... 18,300 132,675
*Paymentech, Inc...................................... 19,400 307,975
Penn Virginia Corp.................................... 2,400 52,050
Penncorp Financial Group, Inc......................... 13,700 15,413
Pennzoil Co........................................... 21,500 798,188
Pep Boys - Manny, Moe & Jack.......................... 53,500 755,688
*Perrigo Co........................................... 48,400 408,375
*Petco Animal Supplies, Inc........................... 500 4,984
*Pharmerica, Inc...................................... 26,400 107,663
Phillips-Van Heusen Corp.............................. 22,900 160,300
Phoenix Investment Partners, Ltd...................... 32,900 279,650
*Phycor, Inc.......................................... 84,700 521,434
*Phymatrix Corp....................................... 7,100 18,194
*Physician Reliance Network, Inc...................... 20,200 187,481
*Picturetel Corp...................................... 49,700 351,006
Pilgrim Pride Corp.................................... 3,900 94,575
Pillowtex Corp........................................ 1,800 60,750
Pioneer Natural Resources Co.......................... 71,300 944,725
Pioneer Standard Electronics, Inc..................... 14,500 155,875
Pittston Co. Burlington Group......................... 9,600 83,400
*Planet Hollywood, Inc................................ 40,300 120,900
*Polymer Group, Inc................................... 26,200 278,375
*Pool Energy Services Co.............................. 19,200 215,400
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Potlatch Corp......................................... 14,400 $ 544,500
Premark International, Inc............................ 10,800 362,475
Presidential Life Corp................................ 21,000 379,313
Price Enterprises, Inc................................ 3,996 21,728
*Pride International, Inc............................. 17,000 128,563
*Primadonna Resorts, Inc.............................. 11,000 80,438
*Primark Corp......................................... 21,700 542,500
*Prime Hospitality Corp............................... 34,000 297,500
Pulte Corp............................................ 38,200 971,713
Quaker State Corp..................................... 16,500 236,156
Quanex Corp........................................... 7,800 139,913
*Quest Diagnostics, Inc............................... 22,000 393,250
Questar Corp.......................................... 3,000 57,563
RLI Corp.............................................. 9,350 338,353
*Rainforest Cafe, Inc................................. 10,000 69,688
Range Resources Corp.................................. 9,600 40,200
Rayonier, Inc......................................... 28,100 1,194,250
*Read-Rite Corp....................................... 48,000 646,500
*Red Roof Inns, Inc................................... 4,200 71,400
Resource Bancshares Mortgage Group, Inc............... 8,500 117,938
Riggs National Corp................................... 26,700 558,197
*Rio Hotel & Casino, Inc.............................. 10,100 157,181
Rock-Tenn Co. Class A................................. 13,200 215,325
Rollins Truck Leasing Corp............................ 15,350 184,200
Rouge Industries, Inc. Class A........................ 6,750 55,688
*Rowan Companies, Inc................................. 43,200 423,900
Ruddick Corp.......................................... 1,000 19,563
Russ Berrie & Co., Inc................................ 3,200 72,400
Russell Corp.......................................... 30,200 719,138
*Ryans Family Steak Houses, Inc....................... 19,200 216,600
Ryder System, Inc..................................... 20,900 596,956
Ryland Group, Inc..................................... 14,500 385,156
*S3, Inc.............................................. 23,600 125,375
*SCPIE Holdings, Inc.................................. 2,700 82,688
*Sandisk Corp......................................... 800 9,425
Schnitzer Steel Industries, Inc. Class A.............. 1,000 18,438
*Scholastic Corp...................................... 5,000 237,813
Schulman (A.), Inc.................................... 12,700 271,859
Scotsman Industries, Inc.............................. 500 10,281
Seaboard Corp......................................... 450 193,500
*Seacor Smit, Inc..................................... 7,400 353,350
*Seitel, Inc.......................................... 12,000 160,500
Selective Insurance Group, Inc........................ 26,100 494,269
*Sensormatic Electronics Corp......................... 73,900 600,438
*Sequa Corp. Class A.................................. 5,100 324,488
*Sequa Corp. Class B.................................. 1,000 74,500
*Sequent Computer Systems, Inc........................ 54,200 687,663
*Servico, Inc......................................... 8,600 55,900
*Shiloh Industries, Inc............................... 4,500 65,531
*Shopko Stores, Inc................................... 12,100 390,225
*Silicon Graphics, Inc................................ 108,900 1,334,025
*Silicon Valley Group, Inc............................ 30,200 371,838
Skyline Corp.......................................... 3,200 104,000
Smart & Final Food, Inc............................... 6,100 64,813
Smith (A.O.) Corp..................................... 10,450 259,944
Smith (A.O.) Corp. Convertible Class A................ 1,500 36,750
*Smurfit-Stone Container Corp......................... 46,134 653,084
*Sola International, Inc.............................. 15,400 244,475
South Jersey Industries, Inc.......................... 5,200 134,225
</TABLE>
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*Southern Pacific Funding Corp........................ 3,600 $ 198
Southwestern Energy Co................................ 17,800 133,500
*Speedfam International, Inc.......................... 3,300 49,809
*Spiegel, Inc. Class A Non-Voting..................... 14,500 57,320
*Sports Authority, Inc................................ 14,800 96,200
Springs Industries, Inc. Class A...................... 10,100 393,269
St. Joe Corp.......................................... 5,500 129,594
Standard Motor Products, Inc. Class A................. 4,800 109,500
Standard Pacific Corp. DE............................. 15,700 153,075
Standard Products Co.................................. 13,400 249,575
Starrett (L.S.) Co. Class A........................... 3,000 91,875
Stepan Co............................................. 4,000 111,750
Stewart & Stevenson Services, Inc..................... 26,600 261,844
Stewart Information Services Corp..................... 1,100 54,381
Stone & Webster, Inc.................................. 9,500 323,000
Stride Rite Corp...................................... 6,000 53,250
*Sun Healthcare Group, Inc............................ 52,400 275,100
*Sunrise Medical, Inc................................. 20,000 255,000
*Swift Energy Corp.................................... 5,700 53,081
*Sybase, Inc.......................................... 44,400 319,125
*Syms Corp............................................ 4,100 39,975
TIG Holdings, Inc..................................... 73,400 1,032,188
TJ International, Inc................................. 5,800 136,119
Talbots, Inc.......................................... 15,400 392,700
Tecumseh Products Co. Class A......................... 18,500 918,063
Tecumseh Products Co. Class B......................... 4,400 222,750
*Tektronix, Inc....................................... 24,200 648,863
*Tele-Communications Liberty Media Group Class A...... 16,762 676,242
Terra Industries, Inc................................. 103,100 560,606
*Tesoro Petroleum Corp................................ 49,100 653,644
Texas Industries, Inc................................. 5,000 144,688
The Dexter Corp....................................... 4,000 128,250
*Thermedics, Inc...................................... 17,400 181,613
*Thermo Ecotek Corp................................... 4,300 45,150
*Thermo Optek Corp.................................... 2,200 23,925
*ThermoQuest Corp..................................... 2,500 25,469
Tidewater, Inc........................................ 41,900 966,319
Timken Co............................................. 51,600 993,300
Titan International, Inc.............................. 7,500 74,531
*Titanium Metals Corp................................. 15,300 152,044
Toro Co............................................... 14,200 376,300
Tremont Corp. DE...................................... 5,200 186,550
*Trump Hotels & Casino Resorts, Inc................... 4,500 22,781
*Tuboscope Vetco International, Inc................... 20,000 166,250
U.S. Freightways Corp................................. 9,000 241,594
*U.S. Office Products, Co............................. 8,900 48,533
*UICI................................................. 13,100 259,134
UMB Financial Corp.................................... 14,800 666,000
USX-US Steel Group.................................... 15,100 369,006
*Ultratech Stepper, Inc............................... 25,800 478,913
Unifirst Corp......................................... 5,600 123,200
*Unisource Worldwide, Inc............................. 50,100 394,538
United Companies Financial Corp....................... 35,500 144,219
*United States Home Corp.............................. 12,800 408,000
*United Wisconsin Services, Inc....................... 5,900 43,881
*Unitrode Corp........................................ 7,500 127,031
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*VLSI Technology, Inc................................. 38,600 $ 437,869
*VWR Scientific Products Corp......................... 3,300 102,094
Valero Energy Corp.................................... 39,400 827,400
Valhi, Inc............................................ 33,500 368,500
Valmont Industries, Inc............................... 2,000 32,125
*Value City Department Stores, Inc.................... 16,400 168,100
*Venator Group, Inc................................... 169,000 1,330,875
Vermont Financial Services Corp....................... 4,700 108,981
*Veterinary Centers of America, Inc................... 4,000 73,000
Vintage Petroleum, Inc................................ 16,700 172,219
*Vishay Intertechnology, Inc.......................... 49,625 704,055
*WFS Financial, Inc................................... 13,100 82,694
*WHX Corp............................................. 7,200 76,050
Wallace Computer Services, Inc........................ 7,500 168,281
Washington Federal, Inc............................... 9,100 232,619
Watts Industries, Inc. Class A........................ 7,700 145,819
Webb (Del) Corp....................................... 23,200 614,800
Weis Markets, Inc..................................... 3,400 129,625
Wellman, Inc.......................................... 46,400 562,600
Werner Enterprises, Inc............................... 44,200 721,013
Wesco Financial Corp.................................. 1,400 492,800
West, Inc............................................. 7,700 233,888
Westcorp, Inc......................................... 15,300 131,006
*Western Digital Corp................................. 2,600 33,963
*Wolverine Tube, Inc.................................. 6,500 145,844
Worthington Industries, Inc........................... 48,700 598,097
Xtra Corp............................................. 7,200 342,450
Yankee Energy Systems, Inc............................ 6,250 182,031
*Yellow Corp.......................................... 23,200 375,550
*Zale Corp............................................ 15,200 435,100
Zenith National Insurance Corp........................ 8,100 196,603
------------
TOTAL COMMON STOCKS
(Cost $195,240,358).................................. 177,833,494
------------
PREFERRED STOCKS -- (0.2%)
Price Enterprises, Inc. Series A (Cost $287,107)...... 19,400 262,506
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH
INVESTMENTS -- (1.0%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.25%, 08/31/02, valued at $1,910,826) to be
repurchased at $1,878,258.
(Cost $1,878,000)................................... $ 1,878 1,878,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $197,405,465)++................................ $179,974,000
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
107
<PAGE>
THE U.S. 6-10 VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
COMMON STOCKS -- (98.4%)
*3-D Systems Corp.................................... 129,900 $ 917,419
*3D0 Co.............................................. 117,800 334,994
*ABC Rail Products Corp.............................. 29,700 373,106
*ABT Building Products Corp.......................... 115,300 1,196,237
*ACT Manufacturing, Inc.............................. 800 7,900
*ACT Networks, Inc................................... 145,700 1,470,659
*ACX Technologies, Inc............................... 304,300 3,879,825
*ADE Corp............................................ 66,000 853,875
*AEP Industries, Inc................................. 70,150 1,492,880
*AG Associates, Inc.................................. 67,800 324,169
*AG Services America, Inc............................ 2,900 42,050
*#ARV Assisted Living, Inc........................... 227,900 1,367,400
ASB Financial Corp................................... 9,800 106,575
Aames Financial Corp................................. 361,000 676,875
*Aasche Transportation Services, Inc................. 48,800 245,525
Abington Bancorp, Inc................................ 41,600 663,000
Abrams Industries, Inc............................... 10,000 67,500
*Abraxas Petroleum Corp.............................. 88,200 457,537
*Accell International Corp........................... 80,600 251,875
*Acceptance Insurance Companies, Inc................. 168,100 3,309,469
*Acclaim Entertainment, Inc.......................... 77,700 743,006
Aceto Corp........................................... 81,660 1,046,269
*Acme Electric Corp.................................. 46,300 237,287
*Acme United Corp.................................... 8,700 21,206
*Active Voice Corp................................... 49,900 352,419
*Adam Software, Inc.................................. 6,500 27,219
*Adept Technology, Inc............................... 125,400 924,825
*Adflex Solutions, Inc............................... 165,000 1,124,062
*#Advanced Aerodynamics & Structures, Inc............ 5,000 14,141
*Advanced Digital Information Corp................... 67,100 960,369
*#Advanced Health Corp............................... 163,900 261,216
*Advanced Magnetics, Inc............................. 76,100 675,387
Advanced Marketing Services, Inc..................... 61,500 1,082,016
*Advanced Neuromodulation Systems, Inc............... 91,360 539,595
Advanta Corp. Class A................................ 94,813 986,648
*Advanta Corp. Class B Non-Voting.................... 144,725 1,128,403
Advest Group, Inc.................................... 80,200 1,869,662
*Advocat, Inc........................................ 66,000 391,875
*Aehr Test Systems................................... 57,000 247,594
*Aerovox, Inc........................................ 60,800 157,700
*Agco Corp........................................... 642,700 5,262,106
*Air Methods Corp.................................... 91,700 266,503
*Airtran Holdings, Inc............................... 14,600 58,856
Alamo Group, Inc..................................... 67,000 845,875
Albank Financial Corp................................ 118,880 8,039,260
Alba-Waldensian, Inc................................. 7,050 170,962
*Aldila, Inc......................................... 178,100 578,825
Alfa Corp............................................ 135,300 2,951,231
Alico, Inc........................................... 79,100 1,366,947
*Align-Rite International, Inc....................... 36,000 435,375
*Alkermes, Inc....................................... 51,800 959,919
*All American Semiconductor, Inc..................... 39,300 41,142
Allen Organ Co. Class B.............................. 5,000 187,500
*Allen Telecom, Inc.................................. 164,500 1,141,219
Alliance Bancorp..................................... 125,420 2,449,609
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Alliance Pharmaceuticals Corp....................... 12,900 $ 50,391
*Alliance Semiconductor Corp......................... 439,900 1,725,233
*Allied Healthcare Products, Inc..................... 128,000 344,000
*Allied Holdings, Inc................................ 94,600 1,442,650
Allied Products Corp................................. 183,300 1,351,837
*Allied Research Corp................................ 57,800 433,500
*Allin Communications Corp........................... 90,000 360,000
*#Allou Health & Beauty Care, Inc. Class A........... 61,900 661,556
*Allstars Systems, Inc............................... 68,500 141,281
*Allstate Financial Corp............................. 20,900 71,844
*Alpha Beta Technology, Inc.......................... 60,000 66,562
*Alpha Industries, Inc............................... 34,200 750,262
*Alpha Microsystems, Inc............................. 28,500 138,047
*Alpha Technologies Group, Inc....................... 74,400 132,525
Alpharma, Inc. Class A............................... 86,000 3,096,000
*Altron, Inc......................................... 133,200 2,980,350
Ambanc Holding Co., Inc.............................. 40,600 654,675
Amcast Industrial Corp............................... 112,800 1,981,050
Amcore Financial, Inc................................ 19,650 464,231
*America West Holdings Corp. Class B................. 177,400 2,505,775
American Bank of Connecticut......................... 46,600 1,036,850
*#American Banknote Corp............................. 212,500 411,719
American Biltrite, Inc............................... 40,100 949,869
American Business Products, Inc...................... 195,000 4,338,750
*American Classic Voyages Co......................... 1,100 16,294
*American Ecology Corp............................... 51,900 71,362
*American Freightways Corp........................... 602,000 5,380,375
*American Healthcorp, Inc............................ 2,500 25,469
American Heritage Life Investment Corp............... 185,200 4,548,975
*American Homepatient, Inc........................... 163,700 352,978
*American Indemnity Financial Corp................... 14,200 160,637
*American Medical Electronics, Inc. (Escrow-Bonus)... 20,800 0
*American Medical Electronics, Inc.
(Escrow-Earnings).................................. 20,800 0
American Medical Security Group, Inc................. 244,800 3,503,700
*American Mobile Satellite Corp...................... 217,200 984,187
*American Oncology Resources, Inc.................... 278,000 3,101,437
*American Pacific Corp............................... 90,400 627,150
*#American Pad & Paper Co............................ 310,500 485,156
*American Physicians Services Group, Inc............. 44,400 210,900
*#American Residential Services, Inc................. 71,000 248,500
*American Software, Inc. Class A..................... 198,800 534,275
*American Technical Ceramics Corp.................... 43,200 334,800
American Vanguard Corp............................... 7,040 46,640
American Woodmark Corp............................... 35,010 1,076,557
Americana Bancorp, Inc............................... 23,300 448,525
*Amerihost Properties, Inc........................... 70,000 284,375
*Amerin Corp......................................... 17,800 437,212
*Ameripath, Inc...................................... 231,500 1,048,984
*Ameristar Casinos, Inc.............................. 145,500 431,953
Ameron, Inc.......................................... 44,900 1,650,075
Amerus Life Holdings, Inc. Class A................... 86,321 1,904,457
*Ames Department Stores, Inc......................... 177,000 4,214,812
</TABLE>
108
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
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------------ --------------
<S> <C> <C>
*Amistar Corp........................................ 42,300 $ 93,853
Ampco-Pittsburgh Corp................................ 133,100 1,605,519
*Amrep Corp.......................................... 87,192 643,041
*Amresco, Inc........................................ 104,500 765,789
*Amtran, Inc......................................... 118,000 2,573,875
Amwest Insurance Group, Inc.......................... 30,855 431,970
*Anadigics, Inc...................................... 137,100 1,718,034
Analogic Corp........................................ 79,500 2,832,187
Analysis & Technology, Inc........................... 28,800 464,400
*Anaren Microwave, Inc............................... 38,300 670,250
Anchor Bancorp Wisconsin, Inc........................ 118,700 2,396,256
Andover Bancorp, Inc. DE............................. 71,825 2,302,889
Angelica Corp........................................ 163,400 2,971,837
*Ann Taylor Stores Corp.............................. 395,900 13,039,956
*Ansaldo Signal N.V.................................. 50,100 208,228
*Antec Corp.......................................... 301,000 5,587,312
*Applied Digital Access, Inc......................... 31,800 77,512
*Applied Extrusion Technologies, Inc................. 117,700 926,887
Applied Industrial Technologies, Inc................. 470,000 6,580,000
*#Applied Magnetics Corp............................. 265,400 1,973,912
*Applied Microsystems Corp........................... 77,200 299,150
*Applied Signal Technologies, Inc.................... 90,500 1,097,312
*Applix, Inc......................................... 37,500 158,203
*Apria Healthcare Group, Inc......................... 134,800 943,600
*Aquila Biopharmaceuticals, Inc...................... 100,000 287,500
*#Arcadia Financial, Ltd............................. 560,700 1,997,494
Arch Coal, Inc....................................... 53,400 1,024,612
*Arch Communications Group, Inc...................... 287,400 341,287
Arctic Cat, Inc...................................... 228,600 2,386,012
Argonaut Group, Inc.................................. 70,300 1,744,319
*Argosy Gaming Corp.................................. 355,800 867,262
*Arkansas Best Corp.................................. 219,000 1,293,469
*Armco, Inc.......................................... 80,000 315,000
Arnold Industries, Inc............................... 225,300 3,224,606
*Aronex Pharmaceuticals, Inc......................... 2,500 7,266
*Arqule, Inc......................................... 86,000 518,687
*Arrow Automotive Industries, Inc.................... 21,600 29,700
Arrow Financial Corp................................. 6,044 159,033
*Artisoft, Inc....................................... 157,400 477,119
*Asahi/Amer, Inc..................................... 14,500 67,062
*Asante Technologies, Inc............................ 94,200 209,006
*Ascent Entertainment Group, Inc..................... 325,396 2,664,180
*Ashworth, Inc....................................... 162,100 932,075
*Associated Group, Inc. Class A...................... 1,800 67,387
*Astec Industries, Inc............................... 94,800 4,894,050
Astro-Med, Inc....................................... 49,675 267,003
*Astronics Corp...................................... 22,687 243,885
*Asyst Technologies, Inc............................. 132,700 2,699,616
Atalanta Sosnoff Capital Corp........................ 66,100 590,769
*Atchison Casting Corp............................... 151,300 1,418,437
*Athey Products Corp................................. 17,140 55,705
*Atlantic American Corp.............................. 18,500 76,312
*Atlantis Plastics, Inc.............................. 60,000 480,000
Atrion Corp.......................................... 37,750 323,234
*Au Bon Pain, Inc. Class A........................... 200,500 1,246,859
*Audiovox Corp. Class A.............................. 257,000 1,654,437
*Ault, Inc........................................... 46,700 313,766
*#Aura Systems, Inc.................................. 40,000 53,750
*Auspex Systems, Inc................................. 322,800 1,210,500
*Autoimmune, Inc..................................... 199,400 386,337
*Autologic Information International, Inc............ 7,100 29,287
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Avado Brands, Inc.................................... 180,000 $ 1,378,125
*Avalon Holding Corp. Class A........................ 25,112 196,187
*Avatar Holdings, Inc................................ 35,300 569,212
*#Avatex Corp........................................ 189,340 142,005
*Avecor Cardiovascular, Inc.......................... 56,000 682,500
*Aviall, Inc......................................... 117,500 1,424,687
*Avid Technology, Inc................................ 23,400 557,944
*Avigen, Inc......................................... 119,500 407,047
*Avondale Financial Corp............................. 28,200 384,225
*Avondale Industries, Inc............................ 152,000 4,180,000
*Avteam, Inc. Class A................................ 140,000 770,000
*Axsys Technologies, Inc............................. 49,800 695,644
*Aydin Corp.......................................... 54,300 526,031
*Aztar Corp.......................................... 559,700 2,833,481
Aztec Manufacturing Co............................... 500 4,969
*BCT International, Inc.............................. 7,800 17,794
*BEI Electronics, Inc................................ 86,000 150,500
BEI Technologies, Inc................................ 86,000 1,053,500
*BF Enterprises, Inc................................. 2,300 18,687
*BFX Hospitality Group, Inc.......................... 89,400 145,275
*BI, Inc............................................. 107,300 791,337
BMC Industries, Inc.................................. 222,000 1,373,625
*#BRC Holdings, Inc.................................. 145,400 2,762,600
BSB Bancorp, Inc..................................... 104,700 3,023,212
BT Financial Corp.................................... 57,824 1,597,388
*BTG, Inc............................................ 33,000 218,625
*BTU International, Inc.............................. 75,800 267,669
*BWAY Corp........................................... 76,200 1,243,012
*Back Bay Restaurant Group, Inc...................... 37,200 330,150
Badger Meter, Inc.................................... 21,200 768,500
*Badger Paper Mills, Inc............................. 10,400 83,200
Bairnco Corp......................................... 93,200 664,050
Baker (J.), Inc...................................... 155,818 764,482
*Baker (Michael) Corp................................ 62,500 578,125
Baldwin & Lyons, Inc. Class B........................ 1,600 33,400
Baldwin Piano & Organ Co............................. 27,000 270,000
*Baldwin Technology, Inc. Class A.................... 172,600 992,450
*Baltek Corp......................................... 4,500 47,250
*Bancinsurance Corp.................................. 57,400 312,112
Bancorp Connecticut, Inc............................. 47,400 844,312
*BancTec, Inc........................................ 82,000 1,081,375
Bandag, Inc.......................................... 49,600 1,754,600
Bandag, Inc.......................................... 22,000 708,125
*Bank Plus Corp...................................... 215,900 904,081
*Bank United Financial Corp. Class A................. 92,900 795,456
BankAtlantic Bancorp, Inc. Class A................... 129,220 872,235
BankAtlantic Bancorp, Inc. Class B................... 123,031 976,559
BankNorth Group, Inc. DE............................. 54,400 1,808,800
*Banner Aerospace, Inc............................... 310,500 2,755,687
*Banyan System, Inc.................................. 153,000 1,195,312
*Barry (R.G.) Corp................................... 18,000 213,750
*Basin Exploration, Inc.............................. 122,600 1,417,562
Bassett Furniture Industries, Inc.................... 135,350 3,417,587
Battle Mountain Gold Co.............................. 400,400 1,876,875
Bay View Capital Corp................................ 145,100 3,038,031
*Baycorp Holdings, Ltd............................... 48,000 228,000
*Bayou Steel Corp. Class A........................... 121,300 561,012
*Beard Co............................................ 30,000 133,125
*#Beazer Homes USA, Inc.............................. 111,200 2,654,900
*Bel Fuse, Inc. Class A.............................. 28,900 807,394
*Bel Fuse, Inc. Class B.............................. 28,900 684,569
*Belco Oil & Gas Corp................................ 153,300 862,312
</TABLE>
109
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Bell Industries, Inc................................ 101,022 $ 1,054,417
*Bell Microproducts, Inc............................. 99,900 920,953
*Bellwether Exploration Co........................... 175,600 976,775
*Ben & Jerry's Homemade, Inc. Class A................ 70,700 1,411,791
*Benton Oil & Gas Co................................. 321,300 1,204,875
*Berlitz International, Inc.......................... 79,100 2,343,337
*Big 4 Ranch, Inc.................................... 73,300 0
Bindley Western Industries, Inc...................... 134,466 5,193,749
Binks Sames Corp..................................... 30,918 463,770
*Bio Vascular, Inc................................... 14,900 62,394
*Bio-Rad Laboratories, Inc. Class A.................. 107,800 2,290,750
*Biosite Diagnostics, Inc............................ 125,000 1,031,250
*Biosource International, Inc........................ 140,000 422,187
Birmingham Steel Corp................................ 401,500 1,957,312
*Black Hawk Gaming & Development, Inc................ 34,100 283,456
Blair Corp........................................... 127,100 2,240,137
Blimpie International................................ 2,700 5,906
*Bluegreen Corp...................................... 213,798 1,469,861
Bob Evans Farms, Inc................................. 246,100 5,975,616
*Boca Research, Inc.................................. 98,700 209,737
*Boise Cascade Office Products Corp.................. 25,000 278,125
*Bombay Co., Inc..................................... 431,000 2,128,062
*Bon-Ton Stores, Inc................................. 131,900 1,022,225
*#Books-a-Million, Inc............................... 199,000 5,858,062
*Boston Biomedical, Inc.............................. 57,400 161,437
*#Boston Chicken, Inc................................ 310,900 208,886
*Boston Communications Group, Inc.................... 117,000 1,173,656
Bostonfed Bancorp, Inc............................... 27,500 508,750
Bowl America, Inc. Class A........................... 45,000 315,000
Bowne & Co., Inc..................................... 91,332 1,529,811
*Boyd Gaming Corp.................................... 436,000 1,580,500
*Brauns Fashions Corp................................ 22,200 180,375
*Brazos Sportswear, Inc.............................. 4,190 2,619
*Brite Voice Systems, Inc............................ 19,300 154,400
*Britesmile, Inc..................................... 41,000 48,687
*Broadway & Seymour, Inc............................. 180,800 531,100
*Brooks Automation, Inc.............................. 77,800 1,230,212
*Brookstone, Inc..................................... 111,300 1,676,456
*Brothers Gourmet Coffees, Inc....................... 103,461 4,138
*Brown & Sharpe Manufacturing Co. Class A............ 203,500 1,348,187
*Brown (Tom), Inc.................................... 253,400 2,549,837
Brown Group, Inc..................................... 297,200 5,331,025
*Brunswick Technologies, Inc......................... 75,000 393,750
Brush Wellman, Inc................................... 186,500 3,007,312
*Buckhead America Corp............................... 15,700 84,387
*Budget Group, Inc................................... 66,000 825,000
*Buffets, Inc........................................ 246,200 2,877,462
*#Builders Transport, Inc............................ 61,600 385
*Building Materials Holding Corp..................... 197,000 2,444,031
*Bull Run Corp. GA................................... 84,500 282,547
Burlington Coat Factory Warehouse Corp............... 232,940 3,377,630
*Burlington Industries, Inc.......................... 499,000 5,208,312
*Business Resource Group............................. 57,200 164,450
*Butler International, Inc........................... 23,200 498,800
Butler Manufacturing Co.............................. 84,200 1,957,650
*CATS Software, Inc.................................. 77,100 334,903
*C-COR Electronics, Inc.............................. 12,000 171,750
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*C.P. Clare Corp..................................... 143,000 $ 1,036,750
*CCA Industries, Inc................................. 40,800 58,650
*CEM Corp............................................ 23,600 244,850
*CFM Technologies, Inc............................... 76,700 673,522
*CMC Industries, Inc................................. 88,100 558,884
*CNA Surety Corp..................................... 35,600 522,875
*CNS Income.......................................... 204,200 969,950
*CPAC, Inc........................................... 74,100 699,319
CPB, Inc............................................. 107,000 1,852,437
CPI Corp............................................. 112,400 2,402,550
*CSP, Inc............................................ 35,332 278,239
*CSS Industries, Inc................................. 23,200 685,850
*CTB International Corp.............................. 38,000 323,000
CTS Corp............................................. 111,200 3,919,800
Cabot Oil & Gas Corp. Class A........................ 40,000 617,500
Cadmus Communications Corp........................... 94,100 1,540,887
*Caere Corp.......................................... 33,900 454,472
*Calcomp Technology, Inc............................. 94,600 138,944
Calgon Carbon Corp................................... 144,700 1,049,075
*California Amplifier, Inc........................... 73,100 203,309
*California Micro Devices Corp....................... 5,100 13,706
*California Microwave, Inc........................... 215,700 2,642,325
*Callon Petroleum Co................................. 137,000 1,755,312
Cal-Maine Foods, Inc................................. 24,600 122,231
Calmat Co............................................ 272,500 8,379,375
*Calumet Bancorp, Inc................................ 27,000 747,562
*Cameron Ashley Building Products, Inc............... 108,800 1,387,200
Cameron Financial Corp............................... 32,700 537,506
*Canandaigua Wine Co., Inc. Class A.................. 93,100 4,614,269
*Canisco Resources, Inc.............................. 5,700 12,469
*Cannon Express, Inc. Class A........................ 6,900 39,675
*Cannondale Corp..................................... 115,100 1,147,403
Cape Cod Bank & Trust Co............................. 22,400 446,600
*Capital Pacific Holdings, Inc....................... 152,300 447,381
Capital Re Corp...................................... 60,000 1,185,000
#Capitol Bancorp, Ltd................................ 34,727 892,050
Capitol Transamerica Corp............................ 88,800 1,565,100
*Carbide/Graphite Group, Inc......................... 77,800 991,950
*Cardiotech International, Inc....................... 15,572 20,438
*Cardiovascular Dynamics, Inc........................ 122,400 504,900
*Caretenders Healthcorp.............................. 13,700 38,531
*Caribiner International, Inc........................ 137,500 1,280,469
*Carleton Corporation................................ 16,180 33,371
*Carmike Cinemas, Inc. Class A....................... 120,100 2,402,000
Carolina First Corp.................................. 74,990 1,863,033
*Carr-Gottstein Foods Co............................. 100,657 1,138,682
*Carrington Laboratories, Inc........................ 57,700 155,970
*Carson, Inc......................................... 20,500 58,937
Carter-Wallace, Inc.................................. 325,500 5,777,625
Cascade Corp......................................... 104,400 1,461,600
Cash America International, Inc...................... 239,200 4,036,500
*Casino Data Systems................................. 206,300 406,153
*Castle & Cooke, Inc................................. 258,800 4,043,750
Castle (A.M.) & Co................................... 200 3,850
Castle Energy Corp................................... 45,800 875,925
*Catalina Lighting, Inc.............................. 85,700 187,469
*Catherines Stores Corp.............................. 114,400 1,194,050
Cato Corp. Class A................................... 371,700 5,029,566
Cavalier Homes, Inc.................................. 47,600 514,675
*Celadon Group, Inc.................................. 100,000 1,315,625
*Celebrity, Inc...................................... 105,300 78,975
</TABLE>
110
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Celeritek, Inc...................................... 37,400 $ 112,200
*Cell Genesys, Inc................................... 35,500 171,953
*#Cell Pathways, Inc................................. 65,400 778,669
Cenit Bancorp, Inc................................... 54,900 1,032,806
*Centennial Cellular Corp. Class A................... 166,800 6,687,637
*Centigram Communications Corp....................... 86,800 645,575
Central Co-Operative Bank Somerville, MA............. 24,100 423,256
*Central Garden & Pet Co............................. 149,600 2,407,625
*Central Reserve Life Corp........................... 26,600 237,737
*Central Sprinkler Corp.............................. 47,100 423,900
Centris Group, Inc................................... 144,800 1,484,200
Century Aluminum Co.................................. 235,000 2,001,172
*Cephalon, Inc....................................... 48,600 369,056
*Ceradyne, Inc....................................... 71,600 290,875
*Cerion Technologies, Inc............................ 81,500 24,195
*Charming Shoppes, Inc............................... 1,250,900 5,238,144
*Chart House Enterprises, Inc........................ 130,100 650,500
Chartwell Re Corp.................................... 106,100 2,931,012
*Chase Industries, Inc............................... 117,250 1,370,359
*Check Technology Corp............................... 70,700 220,937
*Checkpoint System, Inc.............................. 360,500 4,844,219
Chemed Corp.......................................... 104,500 3,539,937
*Chemfab Corp........................................ 16,050 361,125
Chemfirst, Inc....................................... 72,500 1,368,437
*Cherry Corp. Class A................................ 48,700 715,281
*Cherry Corp. Class B................................ 32,500 485,469
Chesapeake Corp...................................... 13,600 471,750
#Chesapeake Energy Corp.............................. 1,312,800 1,805,100
Chester Valley Bancorp............................... 833 23,767
Chic by His, Inc..................................... 125,700 573,506
Chicago Rivet & Machine Co........................... 11,800 342,200
*Children's Comprehensive Services, Inc.............. 151,600 1,890,262
*Childtime Learning Centers, Inc..................... 38,300 540,987
Chiquita Brands International, Inc................... 65,589 737,876
*Chock Full O' Nuts Corp............................. 125,323 830,265
*Christiana Companies, Inc........................... 60,000 1,250,625
*Chrysalis International Corp........................ 87,700 34,258
*Cidco, Inc.......................................... 207,200 592,462
*Ciprico, Inc........................................ 55,300 409,566
Circle International, Inc............................ 1,500 25,031
*Circon Corp......................................... 26,500 387,562
*Circuit City Stores, Inc. -- Carmax Group........... 272,500 1,464,687
*Circuit Systems, Inc................................ 53,000 196,266
*Cirrus Logic, Inc................................... 300,500 3,709,297
*Citadel Holding Corp................................ 73,300 270,294
*Citation Computer System, Inc....................... 11,200 25,900
*Citation Corp....................................... 194,700 2,725,800
Citizens Banking Corp................................ 90,350 2,950,492
*Citizens, Inc. Class A.............................. 70,800 411,525
*Civic Bancorp....................................... 37,695 541,866
*Clean Harbors, Inc.................................. 117,500 201,953
Cleveland Cliffs, Inc................................ 131,300 4,997,606
*Clintrials Research, Inc............................ 286,300 993,103
*Coast Dental Services, Inc.......................... 53,900 618,166
*Coast Distribution System........................... 85,100 170,200
Coastal Bancorp, Inc................................. 86,900 1,661,962
*Coastcast Corp...................................... 96,100 756,787
*Cobra Electronic Corp............................... 66,100 289,187
*Code-Alarm, Inc..................................... 23,200 18,125
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*#Coeur d'Alene Mines Corp. ID....................... 252,800 $ 1,279,800
*Coffee People, Inc.................................. 52,000 107,250
*Coherent, Inc....................................... 175,500 2,204,719
*Cohesion Technologies, Inc.......................... 117,300 461,869
*Coho Energy, Inc.................................... 284,900 1,255,341
*Cohr, Inc........................................... 72,500 215,234
*#Coinmach Laundry Corp.............................. 159,500 2,611,812
*Cold Metal Products, Inc............................ 40,000 112,500
*Collaborative Clinical Research, Inc................ 34,000 100,937
Collagen Corp........................................ 117,300 1,129,012
Collins Industries, Inc.............................. 28,200 120,731
*Columbia Banking System, Inc........................ 49,045 970,171
*Columbus Energy Corp................................ 50,932 331,058
Columbus McKinnon Corp............................... 200 3,625
*Comdial Corp........................................ 91,800 829,069
*Command Systems, Inc................................ 15,000 39,609
Commercial Bancshares, Inc........................... 25,247 590,149
Commercial Bank of New York.......................... 26,400 377,850
Commercial Intertech Corp............................ 25,700 406,381
Commercial Metals Co................................. 164,900 4,174,031
Commercial National Financial Corp................... 9,000 361,125
Commonwealth Bancorp, Inc............................ 162,100 2,497,353
Commonwealth Industries, Inc......................... 226,000 2,161,125
Community Bank System, Inc........................... 58,000 1,689,250
Community Trust Bancorp, Inc......................... 43,370 1,011,063
*Compdent Corp....................................... 165,600 1,723,275
*Compucom Systems, Inc............................... 471,600 1,797,975
*Computer Motion, Inc................................ 54,000 501,187
*Computer Network Technology Corp.................... 282,000 1,982,812
*Computer Outsourcing Services, Inc.................. 42,800 422,650
*Comshare, Inc....................................... 44,850 193,416
*Comstock Resources, Inc............................. 361,700 1,333,769
*Comtech Telecommunications Corp..................... 26,900 240,419
*Concord Camera Corp................................. 101,200 553,437
*Concord Fabrics, Inc. Class A....................... 16,400 102,500
*Cone Mills Corp. NC................................. 323,900 1,477,794
*Congoleum Corp. Class A............................. 6,200 55,412
*Conmed Corp......................................... 198,561 5,410,787
*Conso Products Co................................... 95,600 558,662
*Consolidated Freightways Corp....................... 224,200 2,816,512
*#Consumer Portfolio Services, Inc................... 79,900 344,569
*#ContiFinancial Corp................................ 705,900 3,926,569
*Continental Materials Corp.......................... 2,300 71,875
Cooker Restaurant Corp............................... 150,000 862,500
*Cooperative Bankshares, Inc......................... 20,800 309,400
*Copart, Inc......................................... 134,700 3,182,287
*Copley Pharmaceutical, Inc.......................... 199,700 1,610,081
*Coram Healthcare Corp............................... 346,900 650,437
*Core, Inc........................................... 7,400 45,325
*Cornell Corrections, Inc............................ 54,500 974,187
*Corporate Express, Inc.............................. 835,000 4,853,437
*Corrpro Companies, Inc.............................. 85,375 1,035,172
*Cosmetic Centers, Inc. Class C...................... 8,646 11,078
Courier Corp......................................... 23,400 649,350
*Covenant Transport, Inc. Class A.................... 232,200 4,056,244
*Cover-All Technologies, Inc......................... 31,901 63,802
Covest Bancshares, Inc............................... 48,825 688,127
*Craig Corp.......................................... 43,100 374,431
*Creative Computers, Inc............................. 34,200 1,292,119
*Credit Acceptance Corp.............................. 271,900 1,843,822
*Criticare Systems, Inc.............................. 91,000 201,906
Cross (A.T.) Co. Class A............................. 185,300 1,320,262
</TABLE>
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*Cross-Continent Auto Retailers, Inc................. 136,800 $ 1,350,900
*Crowley, Milner & Co................................ 18,000 84,375
*Crown Central Petroleum Corp. Class A............... 71,000 652,312
*#Crown Central Petroleum Corp. Class B.............. 59,400 549,450
Crown Crafts, Inc.................................... 97,500 603,281
*Crown Vantage, Inc.................................. 128,820 384,447
*Crown-Andersen, Inc................................. 20,000 92,500
Cubic Corp........................................... 107,650 2,206,825
Culp, Inc............................................ 73,100 639,625
Curtiss-Wright Corp.................................. 94,900 3,546,887
*CustomTracks Corp................................... 232,900 2,045,153
*Cyberoptics Corp.................................... 53,600 864,300
*Cybex International, Inc............................ 90,600 436,012
*Cyrk, Inc........................................... 193,500 1,687,078
*Cytrx Corp.......................................... 13,000 9,344
D&N Financial Corp................................... 54,670 1,259,118
*DII Group, Inc...................................... 22,400 466,900
*DM Management Co.................................... 48,450 708,581
*#DRS Technologies, Inc.............................. 60,600 556,762
*DSP Technology, Inc................................. 20,100 158,916
DT Industries, Inc................................... 119,700 2,236,894
*DVI, Inc............................................ 101,800 1,800,587
*Dailey International, Inc........................... 80,000 78,750
Dain Rauscher Corp................................... 106,000 3,948,500
*Dairy Mart Convenience Stores, Inc. Class A......... 9,000 39,375
*Damark International, Inc. Class A.................. 95,800 661,619
Dames & Moore, Inc................................... 220,300 2,822,594
*Dan River, Inc. (GA) Class A........................ 195,000 1,584,375
Daniel Industries, Inc............................... 145,700 1,593,594
*Danielson Holding Corp.............................. 10,000 36,250
*Data Broadcasting Corp.............................. 254,670 2,689,952
*Data General Corp................................... 5,500 99,687
*Data I/O Corp....................................... 84,400 137,150
*#Data Race, Inc..................................... 29,800 88,934
*Data Systems & Software, Inc........................ 86,800 265,825
*Data Systems Network Corp........................... 3,228 4,035
*Datakey, Inc........................................ 19,100 59,687
*Dataram Corp........................................ 31,160 662,150
*Datascope Corp...................................... 24,000 525,000
*Dataware Technologies, Inc.......................... 81,300 307,416
*Datron Systems, Inc................................. 30,000 187,500
*Datum, Inc.......................................... 87,500 664,453
*Daw Technologies, Inc............................... 116,900 82,195
*Dawson Geophysical Co............................... 60,000 551,250
*Daxor Corp.......................................... 52,000 685,750
*DeGeorge Financial Corp............................. 19,900 20,596
Deb Shops, Inc....................................... 142,000 1,526,500
*Deckers Outdoor Corp................................ 100,100 206,456
Decorator Industries, Inc............................ 20,832 177,072
Defiance, Inc........................................ 73,100 488,856
*Del Global Technologies Corp........................ 85,877 853,403
*#Delta Financial Corp............................... 139,200 765,600
Delta Natural Gas Co., Inc........................... 26,100 482,850
Delta Woodside Industries, Inc....................... 293,500 1,467,500
Deltic Timber Corp................................... 93,400 1,868,000
*Denamerica Corp..................................... 36,100 36,100
*Depotech Corp....................................... 53,800 131,137
*Designs, Inc........................................ 178,800 117,337
*Detection Systems, Inc.............................. 69,300 658,350
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*Detrex Corp......................................... 12,800 $ 80,000
*Detroit Diesel Corp................................. 318,400 6,586,900
*Devcon International Corp........................... 50,800 107,156
*Diagnostic Health Services, Inc..................... 50,000 128,906
*Diamond Home Services, Inc.......................... 140,000 450,625
*Diamond Multimedia Systems, Inc..................... 368,600 2,407,419
*Dianon Systems, Inc................................. 40,300 321,141
*Digi International, Inc............................. 124,000 1,592,625
*Digital Link Corp................................... 43,000 231,797
*Digital Microwave Corp.............................. 121,600 706,800
Dime Community Bancorp, Inc.......................... 135,000 3,628,125
Dimon, Inc........................................... 400,000 3,275,000
*Diodes, Inc......................................... 49,700 279,562
*Discount Auto Parts, Inc............................ 172,100 4,291,744
*Diversified Corporate Resources, Inc................ 2,700 15,525
Dixie Group, Inc..................................... 122,400 858,712
*Dixon Ticonderoga Co................................ 27,250 241,844
*Dollar Thrifty Automotive Group, Inc................ 35,000 437,500
*Dominion Homes, Inc................................. 70,100 630,900
Donegal Group, Inc................................... 70,444 959,800
Donnelly Corp. Class A............................... 78,250 1,183,531
*Donnkenny, Inc...................................... 157,300 172,047
*Dotronix, Inc....................................... 1,000 1,062
Downey Financial Corp................................ 271,613 7,061,938
*Dress Barn, Inc..................................... 221,823 3,278,821
*Drug Emporium, Inc.................................. 188,400 841,912
*Drypers Corp........................................ 49,400 139,709
*Duckwall-Alco Stores, Inc........................... 58,000 764,875
*Durakon Industries, Inc............................. 107,400 1,141,125
Dyersburg Corp....................................... 161,500 534,969
*Dynamics Research Corp.............................. 85,636 561,986
*E-Z-Em, Inc. Class A................................ 43,200 291,600
*E-Z-Em, Inc. Class B................................ 3,843 21,617
*EA Engineering Science & Technology, Inc............ 72,025 88,906
*ECC International Corp.............................. 90,500 260,187
*EFTC Corp........................................... 125,100 471,080
*EIS International, Inc.............................. 132,800 236,550
*ELXSI Corp.......................................... 27,900 287,719
EMC Insurance Group, Inc............................. 70,500 876,844
*ESCO Electronics Corp. Trust Receipts............... 193,400 1,909,825
Eagle Bancshares, Inc................................ 64,600 1,178,950
*Eagle Food Centers, Inc............................. 116,700 371,981
*Eagle Geophysical, Inc.............................. 141,400 795,375
*Eagle Hardware & Garden, Inc........................ 290,100 8,195,325
*Eagle Point Software Corp........................... 80,000 770,000
Easco, Inc........................................... 160,200 1,351,687
*East/West Communications, Inc....................... 2,300 3,019
Eastern Co........................................... 19,600 507,150
Eaton Vance Corp..................................... 1,892 45,999
Ecology & Environment, Inc. Class A.................. 23,800 240,975
*Edelbrock Corp...................................... 85,000 1,439,687
Edo Corp............................................. 31,500 271,687
*Educational Insights, Inc........................... 49,300 95,519
*#Egghead, Inc....................................... 109,925 2,816,828
*#Einstein/Noah Bagel Corp........................... 72,400 153,850
*Ekco Group, Inc..................................... 229,300 845,544
*El Paso Electric Co................................. 386,700 3,576,975
*Elantec Semiconductor, Inc.......................... 88,400 325,975
*Elcom International, Inc............................ 40,300 71,784
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*Electric Fuel Corp.................................. 3,700 $ 11,678
*Electric Lightwave, Inc............................. 132,000 806,437
*Electro Rent Corp................................... 68,600 788,900
*Electro Scientific Industries, Inc.................. 49,500 1,485,000
*Electroglas, Inc.................................... 265,200 3,795,675
*Electromagnetic Sciences, Inc....................... 94,550 1,282,334
Ellett Brothers, Inc................................. 61,500 269,062
*Emcee Broadcast Products, Inc....................... 50,000 87,500
*Emcon............................................... 102,000 312,375
*Emulex Corp......................................... 47,150 1,327,567
Energen Corp......................................... 232,400 4,183,200
Engineered Support Systems, Inc...................... 36,750 597,187
Engle Homes, Inc..................................... 126,700 1,718,369
Ennis Business Forms, Inc............................ 6,000 63,000
*Enstar, Inc......................................... 20,866 168,232
*Enterprise Software, Inc............................ 17,000 116,344
*Environmental Elements Corp......................... 14,500 58,906
*Environmental Technologies Corp..................... 58,500 59,414
*Equinox Systems, Inc................................ 53,100 567,506
*Equitex, Inc........................................ 9,400 68,737
*Equitrac Corp....................................... 26,500 445,531
*Equity Oil Co....................................... 142,900 169,694
Eskimo Pie Corp...................................... 41,400 461,869
*Espey Manufacturing & Electronics Corp.............. 3,500 45,281
*Esterline Technologies Corp......................... 127,200 2,655,300
Ethyl Corp........................................... 342,600 1,991,362
*Evans & Sutherland Computer Corp.................... 119,800 2,313,637
*Evans Systems, Inc.................................. 23,585 268,279
*Evans, Inc.......................................... 68,700 38,644
Evergreen Bancorp, Inc. DE........................... 63,100 1,857,506
*Evergreen Resources, Inc............................ 34,000 641,750
*Exabyte Corp........................................ 253,000 1,873,781
*Exar Corp........................................... 101,500 1,776,250
Excel Industries, Inc................................ 177,600 3,152,400
*Executone Information Systems, Inc.................. 351,700 653,942
#Exide Corp.......................................... 250,100 4,361,119
*Exponent, Inc....................................... 69,500 423,516
Ezcorp, Inc. Class A Non-Voting...................... 139,100 1,056,291
FCB Financial Corp................................... 35,600 1,101,375
FDP Corp............................................. 10,500 113,531
*FEI Co.............................................. 111,500 926,844
FFLC Bancorp......................................... 50,833 835,567
FFY Financial Corp................................... 42,300 1,377,394
FNB Rochester Corp................................... 30,300 632,512
*FSI International, Inc.............................. 243,400 1,871,137
Fab Industries, Inc.................................. 67,081 1,329,042
*Factory Card Outlet Corp............................ 88,100 206,484
*Fairchild Corp. Class A............................. 198,900 3,194,831
Falcon Products, Inc................................. 81,700 934,444
*Fansteel, Inc....................................... 74,700 452,869
Farmer Brothers Co................................... 84 17,682
*Farr Co............................................. 52,200 544,837
Farrel Corp.......................................... 62,200 138,006
Federal Screw Works.................................. 2,000 97,875
*Ferrofluidics Corp.................................. 32,500 95,469
*Fibermark, Inc...................................... 88,950 1,150,791
*Fiberstars, Inc..................................... 12,700 50,006
Fidelity Bancorp, Inc. Delaware...................... 32,700 765,384
Fidelity Federal Bancorp............................. 20,000 75,000
*Filenes Basement Corp............................... 246,200 500,094
Financial Bancorp., Inc.............................. 25,000 959,375
<CAPTION>
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Fingerhut Companies, Inc............................. 183,400 $ 2,040,325
*Finish Line, Inc. Class A........................... 84,100 756,900
*Finishmaster, Inc................................... 120,000 750,000
*Finlay Enterprises, Inc............................. 47,500 387,422
First Albany Companies, Inc.......................... 31,824 352,053
First Bell Bancorp, Inc.............................. 59,600 927,525
*First Cash, Inc..................................... 69,700 781,947
First Citizens Bancshares, Inc. NC................... 6,600 569,869
First Coastal Bankshares, Inc........................ 51,950 1,134,783
First Defiance Financial Corp........................ 126,600 1,879,219
First Essex Bancorp.................................. 86,400 1,582,200
First Federal Bancshares of Arkansas, Inc............ 54,100 1,142,862
First Federal Capital Corp........................... 131,220 2,144,627
First Federal Savings & Loan Association of East
Hartford, CT....................................... 31,000 850,562
First Financial Holdings, Inc........................ 100,600 1,936,550
First Indiana Corp................................... 92,306 1,782,660
*First Investors Financial Services Group, Inc....... 48,800 251,625
First Keystone Financial, Inc........................ 21,800 332,450
First Liberty Financial Corp......................... 71,775 1,554,377
First Midwest Financial, Inc......................... 18,800 327,825
First Mutual Bancorp, Inc............................ 11,900 211,969
First Northern Capital Corp.......................... 98,700 1,295,437
First Oak Brook Bancshares, Inc. Class A............. 29,000 576,375
*First Republic Bank................................. 112,703 2,909,146
First Savings Bancorp, Inc. North Carolina........... 48,000 1,077,000
*#First Team Sports, Inc............................. 85,600 127,062
First Washington Bancorp, Inc........................ 118,580 2,453,124
First Western Bancorp, Inc........................... 19,200 600,000
*FirstFed Financial Corp. DE......................... 194,400 3,450,600
*Firstwave Technologies, Inc......................... 45,700 174,231
*Fischer Imaging Corp................................ 100,600 248,356
*Fisher Scientific, International, Inc............... 22,400 414,400
Flag Financial Corp.................................. 10,350 113,527
*Flander Corp........................................ 283,000 1,140,844
Fleming Companies, Inc............................... 433,697 4,364,076
Flexsteel Industries, Inc............................ 78,400 994,700
*Florida Panthers Holdings, Inc. Class A............. 54,000 604,125
Florida Rock Industries, Inc......................... 194,700 5,707,144
*Florsheim Group, Inc................................ 88,700 476,762
*Fluor Daniel/GTI, Inc............................... 15,822 129,543
Flushing Financial Corp.............................. 128,550 2,032,697
*Foilmark, Inc....................................... 45,800 87,306
*Foodarama Supermarkets, Inc......................... 12,400 399,900
*Foothill Independent Bancorp........................ 45,818 644,316
*Forcenergy, Inc..................................... 80,500 327,031
*Forest Oil Corp..................................... 74,500 633,250
*Forward Air Corp., Inc.............................. 16,200 262,237
*Foster (L.B.) Co. Class A........................... 128,300 617,444
*Foster Wheeler Corp................................. 119,300 2,043,012
*Four Kids Entertainment, Inc........................ 21,800 265,687
*Four Media Co....................................... 106,800 710,887
Frankfort First Bancorp, Inc......................... 25,650 400,781
Franklin Bank National Associaton Southfield, MI..... 38,283 406,757
*Franklin Covey Co................................... 101,000 1,893,750
*Franklin Electronic Publishers, Inc................. 86,100 855,619
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Freds, Inc. Class A.................................. 136,750 $ 1,923,047
Frequency Electronics, Inc........................... 85,300 938,300
*Fresh Choice, Inc................................... 64,900 103,434
*Fresh Foods, Inc.................................... 2,000 16,750
*#Friedman Billings Ramsey Group, Inc. Class A....... 165,000 990,000
Friedman Industries, Inc............................. 69,737 339,968
*Friedmans, Inc. Class A............................. 149,300 1,469,672
Frisch's Restaurants, Inc............................ 77,405 870,806
*Fritz Companies, Inc................................ 153,900 1,481,287
Frontier Insurance Group, Inc........................ 272,000 3,859,000
Frozen Food Express Industries, Inc.................. 299,100 2,318,025
*Funco, Inc.......................................... 34,300 555,231
*G-III Apparel Group, Ltd............................ 73,200 134,962
GA Financial, Inc.................................... 65,500 1,039,812
GBC Bancorp.......................................... 96,400 2,391,925
*GC Companies, Inc................................... 131,300 5,284,825
*GP Strategies Corp.................................. 119,615 1,719,466
*GZA Geoenvironmental Technologies, Inc.............. 36,500 159,687
*Gadzooks, Inc....................................... 122,000 907,375
Gainsco, Inc......................................... 316,400 2,096,150
*Galey & Lord, Inc................................... 138,500 1,497,531
*Galileo Corp........................................ 94,100 320,528
*Gantos, Inc......................................... 84,350 76,442
Garan, Inc........................................... 58,000 1,575,062
*Garden Fresh Restaurant Corp........................ 45,900 717,187
*Gart Sports Co...................................... 16,137 154,310
*Gasonics International, Inc......................... 134,000 1,042,687
*#Geerling & Wade, Inc............................... 27,500 179,180
*Gehl Co............................................. 68,600 956,112
*General Cigar Holdings, Inc. Class A................ 112,600 1,104,887
*General Communications, Inc. Class A................ 841,800 3,472,425
*#General Datacomm Industries, Inc................... 219,000 793,875
General Housewares Corp.............................. 50,700 560,869
*General Microwave Corp.............................. 400 7,200
*General Semiconductor, Inc.......................... 83,000 840,375
*General Surgical Innovations, Inc................... 145,000 444,062
*#Genesis Health Ventures, Inc....................... 178,400 1,705,950
*#Geneva Steel Co. Class A........................... 93,000 69,750
*Genicom Corp........................................ 133,500 387,984
*Genlyte Group, Inc.................................. 85,500 1,632,516
*Gensym Corp......................................... 71,200 214,712
*Genzyme Corp. Tissue Repair......................... 51,900 160,566
Geon Co.............................................. 211,500 4,705,875
*Geoscience Corp..................................... 50,000 531,250
Gerber Scientific, Inc............................... 292,000 7,391,250
*Getty Petroleum Marketing, Inc...................... 198,300 694,050
*Giant Group, Ltd.................................... 50,600 357,362
Giant Industries, Inc................................ 154,900 1,849,119
*Gibraltar Packaging Group, Inc...................... 67,200 48,300
*Gibraltar Steel Corp................................ 41,300 815,675
*Gibson Greetings, Inc............................... 185,000 2,040,781
*Giga-Tronics, Inc................................... 19,900 54,725
*Gish Biomedical, Inc................................ 42,300 132,187
Glatfelter (P.H.) Co................................. 219,400 2,824,775
Gleason Corp......................................... 93,800 1,793,925
*Glenayre Technologies, Inc.......................... 495,100 3,078,903
*Global Industrial Technologies, Inc................. 240,900 2,017,537
*Global Motorsport Group, Inc........................ 62,500 1,201,172
*Globe Business Resources, Inc....................... 38,700 458,353
<CAPTION>
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*#Golden Books Family Entertainment, Inc............. 90,800 $ 58,169
*Good Guys, Inc...................................... 218,300 1,282,512
Gorman-Rupp Co....................................... 36,500 595,406
*Gottschalks, Inc.................................... 157,300 1,179,750
*Government Technology Services, Inc................. 81,700 390,628
*Gradco Systems, Inc................................. 78,000 236,437
*Graham Corp......................................... 25,950 207,600
*Graham-Field Health Products, Inc................... 342,480 1,070,250
*Grand Casinos, Inc.................................. 460,900 4,378,550
Grand Premier Financial, Inc......................... 65,897 842,255
Granite Construction, Inc............................ 141,725 4,579,489
Granite State Bankshares, Inc........................ 22,800 464,550
*Greenbriar Corp..................................... 7,000 25,375
Greenbrier Companies, Inc............................ 219,800 3,077,200
*Grey Wolf, Inc...................................... 111,200 111,200
*Greyhound Lines, Inc................................ 254,000 1,524,000
*Griffon Corp........................................ 12,000 115,500
*Group 1 Software, Inc............................... 16,900 148,931
*Gryphon Holdings, Inc............................... 106,800 1,975,800
Guarantee Life Companies, Inc........................ 104,500 1,952,844
*Guest Supply, Inc................................... 72,900 760,894
Guilford Mills, Inc.................................. 272,900 3,939,994
*Gulfmark Offshore, Inc.............................. 29,100 471,966
*Gundle/SLT Environmental, Inc....................... 267,900 1,004,625
*HCIA, Inc........................................... 175,500 847,336
*HEI, Inc............................................ 10,200 52,912
HF Financial Corp.................................... 51,950 756,522
*HMI Industries, Inc................................. 27,800 45,609
HMN Financial, Inc................................... 66,600 907,425
*HPSC, Inc........................................... 42,000 385,875
*HS Resources, Inc................................... 221,300 1,922,544
HUBCO, Inc........................................... 59,530 1,609,170
*Hadco Corp.......................................... 85,700 3,004,856
*Haemonetics Corp.................................... 78,300 1,766,644
Haggar Corp.......................................... 96,700 1,226,881
*Hahn Automotive Warehouse, Inc...................... 38,746 121,081
Halifax Corp......................................... 24,000 174,000
*Hallmark Capital Corp............................... 25,300 324,156
*Hampshire Group, Ltd................................ 19,100 230,394
*Hampton Industries, Inc............................. 62,359 413,128
*Handleman Co........................................ 484,436 5,813,232
*Harding Lawson Associates Group, Inc................ 51,700 355,437
Hardinge Brothers, Inc............................... 111,400 2,120,081
Harleysville Group, Inc.............................. 305,600 6,474,900
Harman International Industries, Inc................. 81,400 3,474,762
*Harnischfeger Industries, Inc....................... 201,400 2,014,000
*#Harry's Farmers Market, Inc. Class A............... 46,100 79,234
*Hartmarx Corp....................................... 664,800 3,905,700
*Harvey Entertainment Co............................. 51,100 411,994
Harvey's Casino Resorts.............................. 112,100 2,998,675
Haskel International, Inc............................ 53,900 609,744
Hastings Manufacturing Co............................ 1,700 31,025
*Hathaway Corp....................................... 45,300 48,839
*Hauser, Inc......................................... 116,700 528,797
Haven Bancorp, Inc................................... 100,100 1,667,291
Haverty Furniture Co., Inc........................... 140,100 2,731,950
*#Hawaiian Airlines, Inc............................. 72,400 226,250
*Hawthorne Financial Corp............................ 31,900 526,350
*#Hayes Corp......................................... 10,133 1,317
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*Health Management Systems, Inc...................... 85,400 $ 587,125
*Health Risk Management, Inc......................... 49,600 534,750
*Healthcare Services Group, Inc...................... 138,300 1,270,631
*Healthcor Holdings.................................. 65,300 17,345
Healthplan Services Corp............................. 154,500 1,545,000
*#Hector Communications Corp......................... 8,500 69,062
Heilig-Meyers Co..................................... 697,250 4,880,750
*Heist (C.H.) Corp................................... 16,800 109,200
*Hello Direct, Inc................................... 84,100 688,569
*Herley Industries, Inc.............................. 20,533 222,655
*Hf Bancorp, Inc..................................... 51,400 820,794
*Hi-Shear Industries, Inc............................ 53,500 138,766
*Hi-Tech Pharmacal, Inc.............................. 48,700 237,412
*High Plains Corp.................................... 177,300 326,897
*Highlands Insurance Group, Inc...................... 192,310 2,451,952
*Hirsch International Corp. Class A.................. 90,000 298,125
*Hoenig Group, Inc................................... 104,700 811,425
*Holiday RV Superstores, Inc......................... 70,200 146,981
Holly Corp........................................... 88,500 1,438,125
*Hollywood Casino Corp. Class A...................... 32,900 44,723
*Hollywood Entertainment Corp........................ 154,000 3,691,187
*Hollywood Park, Inc................................. 252,700 2,416,444
*Hologic, Inc........................................ 70,000 899,062
*Holopak Technologies, Inc........................... 27,800 85,137
Home Bancorp......................................... 13,800 382,950
Home Federal Bancorp................................. 34,875 924,187
Home Port Bancorp, Inc............................... 14,500 328,062
*Home Products International, Inc.................... 76,000 688,750
*#Homebase, Inc...................................... 468,150 2,691,862
*#Homegold Financial, Inc............................ 50,000 46,094
*Homestead Village, Inc.............................. 102,400 672,000
Horizon Financial Corp............................... 82,265 1,115,719
*Houston Exploration Co.............................. 61,400 1,074,500
*Hovnanian Enterprises, Inc. Class A................. 211,784 1,720,745
#Howell Corp......................................... 104,200 377,725
*Hub Group, Inc. Class A............................. 103,000 1,937,687
Hudson General Corp.................................. 32,900 1,899,975
*Hudson Hotels Corp.................................. 14,300 29,047
*Hudson Technologies, Inc............................ 61,600 155,925
Huffy Corp........................................... 136,900 1,985,050
Hughes Supply, Inc................................... 184,400 5,117,100
Hunt (J.B.) Transport Services, Inc.................. 365,500 6,910,234
Huntco, Inc. Class A................................. 84,500 433,062
*Hurco Companies, Inc................................ 73,000 451,687
*#Hutchinson Technology, Inc......................... 183,400 5,679,669
*Hvide Marine, Inc. Class A.......................... 110,500 663,000
*Hycor Biomedical, Inc............................... 77,700 97,125
*Hypercom Corp....................................... 89,500 1,051,625
*Hyseq, Inc.......................................... 41,200 196,987
*ICF Kaiser International, Inc....................... 123,000 207,562
*ICT Group, Inc...................................... 36,000 88,875
*ICU Medical, Inc.................................... 79,400 1,471,381
*IEC Electronics Corp................................ 118,600 711,600
IFR Systems, Inc..................................... 124,200 714,150
*IHOP Corp........................................... 33,900 1,342,228
*II-VI, Inc.......................................... 139,600 1,134,250
*IMC Mortgage Co..................................... 315,000 196,875
IMCO Recycling, Inc.................................. 185,000 2,763,437
ISB Financial Corp. LA............................... 70,300 1,790,453
*ITC Learning Corp................................... 49,200 154,519
*ITEQ, Inc........................................... 303,759 730,920
*ITI Technologies, Inc............................... 5,600 148,575
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*ITLA Capital Corp................................... 84,200 $ 1,484,025
*IVI Checkmate Corp.................................. 79,205 452,954
Ico, Inc............................................. 241,800 615,834
*Ikos Systems, Inc................................... 144,100 472,828
*Imation Corp........................................ 148,500 2,413,125
*Immucor, Inc........................................ 61,100 542,262
*Immulogic Pharmaceutical Corp....................... 280,100 428,903
*Imperial Credit Industries, Inc..................... 184,700 1,881,631
Imperial Holly Corp.................................. 267,300 2,305,462
*In Focus Systems, Inc............................... 285,300 2,389,387
*#Inacom Corp........................................ 189,000 3,921,750
*Inco Homes Corp..................................... 156 405
Independence Holding Co.............................. 52,600 703,525
Independent Bank Corp. MA............................ 61,200 971,550
Independent Bank East................................ 21,877 473,090
Industrial Bancorp, Inc.............................. 29,200 573,050
*Industrial Distribution Group, Inc.................. 155,000 1,075,312
*Inference Corp. Class A............................. 115,000 898,437
*Infonautics Corp. Class A........................... 64,100 368,575
*Information Resources, Inc.......................... 378,700 3,171,612
*Information Storage Devices, Inc.................... 161,000 1,172,281
Ingles Market, Inc. Class A.......................... 129,700 1,564,506
*Innodata Corp....................................... 3,866 23,438
*Innoserv Technologies, Inc. (Escrow Shares)......... 13,700 0
*#Innovative Gaming Corp. of America................. 6,600 8,766
*Inprise Corp........................................ 58,700 324,684
*Input Software, Inc................................. 86,400 594,000
*Input/Output, Inc................................... 82,000 671,375
*Insilco Holding Co.................................. 432 10,314
*Insituform East, Inc................................ 31,200 45,825
*Insituform Technologies, Inc. Class A............... 256,300 3,347,919
*Inso Corp........................................... 85,000 2,287,031
Insteel Industries, Inc.............................. 93,400 525,375
Instron Corp......................................... 63,500 833,437
*Insurance Auto Auctions, Inc........................ 141,500 1,609,562
*Integra, Inc........................................ 104,800 209,600
*Integrated Device Technology, Inc................... 474,400 2,801,925
*Integrated Measurement System, Inc.................. 82,800 884,925
*Integrated Process Equipment Corp................... 135,700 1,420,609
*Integrated Silicon Solution, Inc.................... 213,300 699,891
*#Intellicall, Inc................................... 29,500 51,625
*Intelligent Systems Corp............................ 52,375 101,477
Intercargo Corp...................................... 90,800 959,075
*Interface Systems, Inc.............................. 49,600 212,350
Interface, Inc. Class A.............................. 306,100 3,816,684
*Intergraph Corp..................................... 652,500 4,220,859
*Interlink Computer Sciences, Inc.................... 95,600 376,425
*Interlink Electronics............................... 55,000 132,344
*Interlinq Software Corp............................. 62,200 458,725
*Intermagnetics General Corp......................... 131,480 846,402
International Aluminum Corp.......................... 48,900 1,454,775
International Multifoods Corp........................ 275,400 7,005,487
*International Rectifier Corp........................ 709,600 6,652,500
*International Remote Imaging Systems, Inc........... 6,200 5,812
International Shipholding Corp....................... 71,475 1,116,797
*International Technology Corp....................... 338,626 3,449,752
*International Thoroughbred Breeders, Inc............ 110,000 22,000
*International Total Services, Inc................... 74,900 351,094
</TABLE>
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*Interphase Corp..................................... 65,100 $ 526,903
Interpool, Inc....................................... 428,400 6,211,800
Interstate Johnson Lane, Inc......................... 43,900 1,358,156
*Intertan, Inc....................................... 190,200 1,271,962
*Intervisual Books, Inc. Class A..................... 9,900 13,303
*Intervoice, Inc..................................... 67,400 1,733,444
Interwest Bancorp.................................... 26,400 644,325
Investors Title Co................................... 18,200 409,500
*Ionics, Inc......................................... 132,500 4,165,469
*Iridex Corp......................................... 74,300 297,200
Isco, Inc............................................ 60,400 309,550
*Isle of Capri Casinos, Inc.......................... 323,400 1,045,997
*Isolyser Co., Inc................................... 597,600 849,712
*Iwerks Entertainment, Inc........................... 191,700 218,658
*J & J Snack Foods Corp.............................. 100,100 2,045,794
J & L Specialty Steel, Inc........................... 545,800 3,411,250
*J. Alexander's Corp................................. 63,500 226,219
*JLK Direct Distribution, Inc. Class A............... 20,000 218,750
JSB Financial, Inc................................... 105,400 5,559,850
*Jackpot Enterprises, Inc............................ 100,600 974,562
*Jaclyn, Inc......................................... 26,900 101,716
*Jaco Electronics, Inc............................... 45,446 208,768
*Jacobson Stores, Inc................................ 62,650 522,736
*Jan Bell Marketing, Inc............................. 298,100 1,378,712
*Jason, Inc.......................................... 217,500 1,767,187
*Jean Philippe Fragrances, Inc....................... 103,200 625,650
Jefferson Savings Bancorp, Inc....................... 60,000 847,500
*Jo-Ann Stores Inc Cl A.............................. 35,700 562,275
*Jo-Ann Stores, Inc. Class B......................... 35,700 568,969
*Johnson Worldwide Associates, Inc. Class A.......... 122,100 1,156,134
*Johnston Industries, Inc............................ 117,525 462,755
*Johnstown American Industries, Inc.................. 117,900 1,801,659
*Jones Intercable, Inc............................... 48,900 1,534,237
*Jones Intercable, Inc. Class A...................... 335,100 10,471,875
*Jos. A. Bank Clothiers, Inc......................... 117,300 854,091
*Jps Packaging Company............................... 59,650 234,872
*Jumbosports, Inc.................................... 40,700 13,991
Juno Lighting, Inc................................... 12,000 283,500
*Just for Feet, Inc.................................. 40,400 919,100
*Just Toys, Inc...................................... 7,000 4,375
Justin Industries, Inc............................... 345,400 4,403,850
K Swiss, Inc. Class A................................ 37,000 1,045,250
*K-Tron International, Inc........................... 6,300 120,487
K2, Inc.............................................. 200,000 2,275,000
*KBK Capital Corp.................................... 65,000 560,625
KCS Energy, Inc...................................... 325,000 1,300,000
*KLLM Transport Services, Inc........................ 52,099 442,841
*KVH Industries, Inc................................. 56,700 86,822
*Kaiser Aluminum Corp................................ 331,415 2,174,911
*Kaiser Ventures, Inc................................ 121,400 1,168,475
Kaman Corp. Class A.................................. 245,800 3,940,481
Katy Industries, Inc................................. 135,800 2,665,075
Kaye Group, Inc...................................... 40,000 275,000
Keithley Instruments, Inc............................ 9,500 66,500
Kellwood Co.......................................... 231,918 6,261,786
*Kemet Corp.......................................... 290,500 4,085,156
Kenan Transport Co................................... 200 6,700
*Kennametal, Inc..................................... 20,000 426,250
*Kent Electronics Corp............................... 43,000 610,062
*Kentucky Electric Steel, Inc........................ 32,600 107,987
Kentucky First Bancorp, Inc.......................... 11,700 157,950
<CAPTION>
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Kewaunee Scientific Corp............................. 30,800 $ 334,950
*Key Production Co., Inc............................. 125,612 973,493
*Key Technology, Inc................................. 49,100 313,012
*Key Tronic Corp..................................... 138,600 623,700
*Keystone Automotive Industries, Inc................. 31,840 611,925
*Keystone Consolidated Industries, Inc............... 100,586 697,815
Kimball International, Inc. Class B.................. 350,400 6,657,600
*Kimmins Corp........................................ 44,000 115,500
*Kinark Corp......................................... 73,400 188,087
*Kinnard Investment, Inc............................. 71,100 328,837
*Kinross Gold Corp................................... 31,215 78,037
*Kit Manufacturing Co................................ 11,100 58,275
Klamath First Bancorp, Inc........................... 131,900 2,349,469
Knape & Vogt Manufacturing Co........................ 46,531 878,273
*Komag, Inc.......................................... 541,300 3,907,509
*Koss Corp........................................... 45,700 519,837
*Krug International Corp............................. 65,400 134,887
*Kulicke & Soffa Industries, Inc..................... 254,900 4,333,300
*#LCA-Vision, Inc.................................... 3,450 4,690
LCS Industries, Inc.................................. 79,300 1,045,769
LNR Property Corp.................................... 119,300 2,326,350
LSB Industries, Inc.................................. 99,500 342,031
LSI Industries, Inc.................................. 13,230 282,791
*LTV Corp............................................ 410,000 2,255,000
*LTX Corp............................................ 382,900 1,256,391
*La Jolla Pharmceutical Co........................... 135,000 438,750
LaCrosse Footwear, Inc............................... 10,600 102,025
Lab Holdings, Inc.................................... 61,300 1,015,281
*Laboratory Corp. of America Holdings, Inc........... 424,700 557,419
*Laclede Steel Co.................................... 44,100 13,781
*Ladd Furniture, Inc................................. 87,327 1,550,054
*Lam Research Corp................................... 273,500 4,880,266
*Lamson & Sessions Co................................ 154,700 870,187
*Landair Corp........................................ 16,200 79,987
Landamerica Financial Group, Inc..................... 99,412 6,095,198
*Landrys Seafood Restaurants, Inc.................... 335,000 2,742,813
*Larscom, Inc........................................ 63,000 135,844
*#LaserSight Corporation............................. 120,300 656,011
*Lattice Semiconductor Corp.......................... 22,300 823,009
Lawson Products, Inc................................. 250,000 5,734,375
*Layne Christensen Co................................ 84,500 887,250
*Lazare Kaplan International, Inc.................... 67,500 523,125
*#Leap Group, Inc.................................... 81,400 353,581
*Learning Co., Inc................................... 46,500 1,351,406
*#Leasing Solutions, Inc............................. 91,100 358,706
*Lechters, Inc....................................... 226,400 682,738
Lesco, Inc........................................... 52,900 800,113
Lexford Residential Trust............................ 57,000 1,111,500
Life USA Holdings, Inc............................... 423,800 5,456,425
*Lifeline Systems, Inc............................... 19,500 504,563
Lifetime Hoan Corp................................... 104,200 1,142,944
Lillian Vernon Corp.................................. 97,400 1,491,438
*Lincoln Electric Holdings........................... 42,500 994,766
*Lindal Cedar Homes, Inc............................. 8,000 16,000
Lindberg Corp........................................ 64,800 860,625
*#Lion Brewery, Inc.................................. 24,000 107,250
*Lodgenet Entertainment Corp......................... 134,000 933,813
*Loehmanns, Inc...................................... 78,000 212,063
*#Logans Roadhouse, Inc.............................. 87,000 1,816,125
*#Logic Devices, Inc................................. 68,900 107,656
</TABLE>
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*Lone Star Steakhouse Saloon......................... 482,400 $ 3,693,375
*Lone Star Technologies, Inc......................... 84,000 819,000
Longview Fibre Co.................................... 130,100 1,471,756
*Loronix Information Systems, Inc.................... 52,800 111,375
*Louis Dreyfus Natural Gas Corp...................... 458,900 5,937,019
Luby's Cafeterias, Inc............................... 44,700 709,613
Lufkin Industries, Inc............................... 86,600 1,704,938
*Lumisy, Inc......................................... 98,800 416,813
*Lunar Corp.......................................... 43,100 457,938
*Lydall, Inc. DE..................................... 279,000 3,539,813
*Lynch Corp.......................................... 6,200 486,700
*M.H. Meyerson & Co., Inc............................ 47,800 64,231
M/A/R/C, Inc......................................... 5,002 65,182
MAF Bancorp, Inc..................................... 41,941 1,069,496
#MDC Holdings, Inc................................... 274,288 5,040,042
*MEMC Electronic Materials, Inc...................... 307,900 2,905,806
MFB Corp............................................. 19,200 408,000
*MFRI, Inc........................................... 53,900 303,188
*MHM Services, Inc................................... 712 579
MI Schottenstein Homes, Inc.......................... 93,800 2,046,013
*MIM Corp............................................ 44,000 207,625
MMI Companies, Inc................................... 208,600 3,402,788
*#MRV Communications, Inc............................ 215,500 1,420,953
*MS Carriers, Inc.................................... 134,000 3,316,500
MTS Systems Corp..................................... 143,200 1,843,700
MYR Group, Inc....................................... 57,610 648,113
*Main Street & Main, Inc............................. 88,900 318,095
*Manchester Equipment Co., Inc....................... 14,700 38,588
*Mapinfo Corp........................................ 88,600 1,223,788
Marcus Corp.......................................... 213,250 3,225,406
*Marine Transport Corp............................... 52,670 110,278
*Mariner Post-Acute Network, Inc..................... 307,300 1,325,231
*Marisa Christina, Inc............................... 94,000 120,438
Maritrans, Inc....................................... 143,700 952,013
*Mark VII, Inc....................................... 10,500 183,094
*Marlton Technologies, Inc........................... 28,000 133,000
Marsh Supermarkets, Inc. Class A..................... 42,900 683,719
#Marsh Supermarkets, Inc. Class B.................... 56,900 803,713
*Marshall Industries................................. 214,000 5,564,000
Massbank Corp. Reading, MA........................... 40,266 1,585,474
Matec Corp........................................... 6,900 26,738
*Material Sciences Corp.............................. 311,200 2,800,800
*Matlack Systems, Inc................................ 94,642 733,476
*Matria Healthcare, Inc.............................. 567,300 1,081,416
*Matrix Pharmaceutical, Inc.......................... 304,900 1,000,453
*Matrix Service Co................................... 106,900 524,478
*Mattson Technology, Inc............................. 215,500 1,468,094
*Maverick Tube Corp.................................. 149,100 852,666
*Max & Ermas Restaurants, Inc........................ 41,900 324,725
*Maxco, Inc.......................................... 38,500 288,750
*Maxicare Health Plans, Inc.......................... 178,700 1,044,278
*Maxim Group, Inc.................................... 310,000 6,064,375
*Maxxam, Inc......................................... 93,300 4,554,206
*Maxxim Medical, Inc................................. 132,800 3,618,800
*Maynard Oil Co...................................... 49,600 483,600
McGrath Rent Corp.................................... 80,000 1,615,000
McRae Industries, Inc. Class A....................... 1,000 8,000
*Meadow Valley Corp.................................. 25,100 123,931
Medalliance, Inc. Escrow............................. 39,500 0
*Medaphis Corp....................................... 1,115,800 3,225,359
Medford Bancorp, Inc................................. 103,600 1,903,650
*Media 100, Inc...................................... 98,500 418,625
<CAPTION>
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*#Media Logic, Inc................................... 20,100 $ 6,281
*Medical Action Industries, Inc...................... 22,000 62,219
*Medical Alliance, Inc............................... 102,900 228,309
*Medical Assurance, Inc.............................. 28,350 854,044
*Medical Graphics Corp............................... 41,700 37,791
*#Medical Resources, Inc............................. 61,618 140,566
*Medicore, Inc....................................... 58,600 84,238
*Medstone International, Inc......................... 23,200 176,900
Merchants Bancorp, Inc............................... 39,400 1,157,375
Merchants Group, Inc................................. 25,600 547,200
*#Mercury Air Group, Inc............................. 15,300 98,494
*Meridian Data, Inc.................................. 142,900 325,991
Meridian Insurance Group, Inc........................ 47,000 816,625
*Meridian Resource Corp.............................. 161,000 623,875
*Merisel, Inc........................................ 335,800 970,672
*Merix Corp.......................................... 77,100 383,091
*Merrimac Industries, Inc............................ 11,770 79,448
*Mesa Air Group, Inc................................. 464,100 3,698,297
*Mesa Labs, Inc...................................... 17,000 71,188
*Mesaba Holdings, Inc................................ 5,600 105,700
*Mestek, Inc......................................... 13,500 259,875
*Metacreations Corp.................................. 68,400 551,475
*Metal Management, Inc............................... 158,600 490,669
*Metatec Corp. Class A............................... 100,600 584,738
*Metra Biosystems, Inc............................... 140,600 140,600
*Metrika System Corp................................. 55,000 474,375
*Metrocall, Inc...................................... 434,710 1,929,026
*Metromedia International Group, Inc................. 521,900 2,315,931
*Michael Anthony Jewelers, Inc....................... 81,500 244,500
Michael Foods, Inc................................... 173,981 4,387,583
*Michaels Stores, Inc................................ 309,900 5,578,200
*Micrion Corp........................................ 52,300 361,197
*Micro Linear Corp................................... 173,100 833,044
*Micro Warehouse, Inc................................ 502,600 13,758,675
*Microage, Inc....................................... 241,900 4,248,369
*Microcide Pharmaceuticals, Inc...................... 61,500 319,031
*Microdyne Corp...................................... 8,100 28,856
*Microsemi Corp...................................... 19,200 232,800
*Microtest, Inc...................................... 93,700 254,747
*Microtouch Systems, Inc............................. 122,600 1,655,100
*Microwave Power Dynamics, Inc....................... 117,900 729,506
Mid America Banccorp................................. 85,743 2,207,892
*Mid Atlantic Medical Services, Inc.................. 746,300 6,623,413
*Middleby Corp....................................... 170,000 669,375
Middlesex Water Co................................... 7,500 186,094
Midland Co........................................... 16,800 417,900
*Midwest Grain Products, Inc......................... 101,700 1,385,663
Mikasa, Inc.......................................... 198,400 2,157,600
*Mikohn Gaming Corp.................................. 120,100 487,906
*Miller Building Systems, Inc........................ 27,300 222,666
*Miller Industries, Inc.............................. 30,500 146,781
*Miltope Group, Inc.................................. 68,100 80,869
Mine Safety Appliances Co............................ 37,600 2,458,100
Minuteman International, Inc......................... 9,000 97,875
Mississippi Chemical Corp............................ 281,500 4,433,625
*Monaco Coach Corp................................... 19,200 592,800
*Monarch Casino and Resort, Inc...................... 5,200 28,275
Monarch Machine Tool Co.............................. 42,400 302,100
*Monro Muffler Brake, Inc............................ 93,730 743,982
Monterey Bay Bancorp, Inc............................ 44,500 636,906
*Moog, Inc. Class A.................................. 54,000 1,566,000
*Moog, Inc. Class B.................................. 12,800 422,400
</TABLE>
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*Moore Handley, Inc.................................. 2,000 $ 4,000
*Moore Medical Corp.................................. 42,100 605,188
Moore Products Co.................................... 40,400 954,450
*Morgan Products, Ltd................................ 157,100 373,113
*Morrison Knudsen Corp............................... 185,600 1,786,400
*Morrow Snowboards, Inc.............................. 22,500 22,852
*Mosaix, Inc......................................... 68,200 526,419
*Mossimo, Inc........................................ 19,000 57,000
*Mother's Work, Inc.................................. 67,000 787,250
*Motor Club of America............................... 5,600 79,800
Movado Group, Inc.................................... 147,600 2,924,325
*Movie Gallery, Inc.................................. 210,500 1,065,656
*Moviefone, Inc. Class A............................. 29,500 363,219
Mueller (Paul) Co.................................... 3,900 155,269
*Multi Color Corp.................................... 7,600 57,475
*Multigraphics, Inc.................................. 8,000 33,000
*Multiple Zones International, Inc................... 192,000 2,568,000
*Musicland Stores Corp............................... 113,000 1,913,938
*Mutual Savings Bank FSB Bay City, MI................ 50,900 423,106
*Mylex Corp.......................................... 126,800 1,054,025
*N & F Worldwide Corp................................ 202,600 1,924,700
*NABI, Inc........................................... 566,100 1,539,084
*NAI Technologies, Inc............................... 26,700 45,891
NBT Bancorp.......................................... 96,521 2,406,999
NCH Corp............................................. 61,900 3,466,400
*NCS Healthcare, Inc................................. 124,200 2,557,744
*NPS Pharmaceuticals, Inc............................ 173,700 1,226,756
*NS Group, Inc....................................... 260,300 1,415,381
*NSA International, Inc.............................. 27,700 25,969
NYMAGIC, Inc......................................... 132,700 2,786,700
*Napco Security Systems, Inc......................... 49,600 207,700
Nash Finch Co........................................ 125,900 1,841,288
*Nashua Corp......................................... 89,800 1,498,538
*Nastech Pharmaceutical Co., Inc..................... 62,100 232,875
*Nathans Famous, Inc................................. 58,400 239,075
*National City Bancorp............................... 82,014 2,193,875
*National Discount Brokers Group, Inc................ 60,000 547,500
*National Home Centers, Inc.......................... 70,500 110,156
*National Home Health Care Corp...................... 58,211 272,864
National Information Group........................... 24,400 446,825
*National Media Corp................................. 259,800 2,403,150
National Presto Industries, Inc...................... 87,900 3,631,369
*National Processing, Inc............................ 45,400 275,238
*National Record Mart, Inc........................... 55,700 776,319
*National Research Corp.............................. 78,000 477,750
*National Standard Co................................ 8,100 28,350
National Steel Corp. Class B......................... 406,100 2,969,606
National Technical Systems, Inc...................... 58,000 315,375
*National Techteam, Inc.............................. 255,500 1,740,594
*National Western Life Insurance Co. Class A......... 24,300 2,876,513
*Natural Wonders, Inc................................ 89,100 345,263
*Navigators Group, Inc............................... 2,100 32,681
Nelson (Thomas), Inc................................. 139,700 1,842,294
*Neopath, Inc........................................ 125,000 867,188
*Netmanage, Inc...................................... 676,113 2,017,775
*Netrix Corp......................................... 111,500 285,719
*Network Computing Devices, Inc...................... 162,300 1,151,316
*Network Equipment Technologies, Inc................. 348,900 3,881,513
<CAPTION>
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*Network Peripherals, Inc............................ 137,800 $ 628,713
*Neurocrine Biosciences, Inc......................... 41,800 288,681
*New Brunswick Scientific Co., Inc................... 49,996 343,723
*New Horizons Worldwide, Inc......................... 55,100 1,084,781
New Jersey Resources Corp............................ 166,312 6,475,774
*New Mexico & Arizona Land Co........................ 41,779 605,796
Newcor, Inc.......................................... 59,942 211,670
Newmil Bancorp, Inc.................................. 41,100 482,925
Newport Corp......................................... 74,700 1,260,563
*Nexthealth, Inc..................................... 81,300 68,597
*Niagara Corp........................................ 75,400 520,731
*Nichols Research Corp............................... 13,650 290,063
*Nine West Group..................................... 384,000 4,800,000
*Nitches, Inc........................................ 3,679 10,807
*Nitinol Medical Technologies, Inc................... 83,300 369,644
*Nobel Education Dynamics, Inc....................... 67,500 434,531
*Noel Group, Inc..................................... 95,400 113,288
Noland Co............................................ 2,000 44,750
*Noodle Kidoodle, Inc................................ 86,000 645,000
*Nortek, Inc......................................... 75,700 2,067,556
North Central Bancshares, Inc........................ 38,900 685,613
*North Face, Inc..................................... 155,700 1,946,250
Northrim Bank........................................ 315 4,095
*Northwestern Steel & Wire Co........................ 312,200 419,519
*Norton McNaughton, Inc.............................. 105,000 308,438
*Novacare, Inc....................................... 919,400 2,873,125
*Nu Horizons Electronics Corp........................ 108,600 654,994
*Nuevo Energy Co..................................... 194,500 2,881,031
*Numerex Corp. Class A............................... 46,500 129,328
*O'Charleys, Inc..................................... 5,000 67,188
O'Sullivan Corp...................................... 173,600 1,692,600
*O'Sullivan Industries Holdings, Inc................. 219,000 2,203,688
*O.I. Corp........................................... 48,200 274,138
*ODS Networks, Inc................................... 117,500 400,234
*OMI Corp............................................ 501,700 1,567,813
*OSI Pharmaceutical, Inc............................. 91,500 366,000
*OSI Systems, Inc.................................... 30,000 238,125
*OTR Express, Inc.................................... 15,000 76,875
*Oacis Healthcare Holdings Corp...................... 44,000 141,625
*Oak Technology, Inc................................. 714,500 2,824,508
Ocean Financial Corp................................. 128,800 2,020,550
*Offshore Logistics, Inc............................. 351,700 4,297,334
Oglebay Norton Co.................................... 32,000 834,000
Ohio Art Co.......................................... 3,800 125,875
Oil-Dri Corp. of America............................. 50,800 749,300
*Old Dominion Freight Lines, Inc..................... 133,400 1,692,513
Olsten Corp.......................................... 98,300 737,250
*Olympic Steel, Inc.................................. 186,000 1,104,375
*#Omtool, Ltd........................................ 257,000 730,844
*On Command Corp..................................... 74,100 606,694
*One Price Clothing Stores, Inc...................... 114,500 525,984
*Onyx Acceptance Corp................................ 31,700 208,031
*Onyx Pharmacueticals, Inc........................... 91,700 607,513
*Opinion Research Corp............................... 43,900 262,028
*Opta Food Ingredients, Inc.......................... 171,600 740,025
*Opti, Inc........................................... 149,200 601,463
Optical Coating Laboratory, Inc...................... 115,200 2,174,400
*Optical Sensors, Inc................................ 6,800 9,881
*Optika Imaging Systems, Inc......................... 111,500 320,563
*Orange Co., Inc..................................... 113,400 800,888
*Orbital Sciences Corp............................... 110,000 4,207,500
Oregon Steel Mills, Inc.............................. 273,761 3,473,343
</TABLE>
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*Oriole Homes Corp. Class A Convertible.............. 20,500 $ 61,500
*Oriole Homes Corp. Class B.......................... 29,400 84,525
*Orleans Homebuilders, Inc........................... 20,100 40,200
*Oroamerica, Inc..................................... 102,400 915,200
*Orthologic Corp..................................... 321,400 1,265,513
Oshkosh B'Gosh, Inc. Class A......................... 92,600 2,199,250
Oshkosh Truck Corp. Class B.......................... 86,400 2,559,600
*Oshman's Sporting Goods, Inc........................ 65,700 295,650
*Osmonics, Inc....................................... 134,100 1,408,050
*Ostex International, Inc............................ 105,600 56,100
*Outlook Group Corp.................................. 45,500 187,688
Overseas Shipholding Group, Inc...................... 171,600 2,713,425
Owosso Corp.......................................... 64,000 312,000
Oxford Industries, Inc............................... 107,400 3,101,175
*P-Com, Inc.......................................... 60,900 225,520
*PAM Transportation Services, Inc.................... 43,500 305,859
*PC Service Source, Inc.............................. 85,800 353,925
*PIA Merchandising Services, Inc..................... 11,500 34,500
*PICO Holdings, Inc.................................. 280,600 911,950
*PLM International, Inc.............................. 94,800 556,950
*PMR Corp............................................ 68,700 504,516
*PPT Vision, Inc..................................... 89,000 478,375
PS Group Holdings, Inc............................... 31,500 350,438
PXRE Corp............................................ 216,583 4,805,435
Pamrapo Bancorp, Inc................................. 32,300 799,425
Pancho's Mexican Buffet, Inc......................... 43,800 40,378
*Par Technology Corp................................. 135,500 906,156
*Paragon Trade Brands, Inc........................... 142,500 400,781
Park Electrochemical Corp............................ 94,500 1,813,219
*Parker Drilling Co.................................. 627,700 2,353,875
*Park-Ohio Holdings Corp............................. 127,300 2,096,472
Parkvale Financial Corp.............................. 49,925 1,104,591
*Parlex Corp......................................... 68,000 646,000
*Parlux Fragrances, Inc.............................. 189,800 249,113
Patina Oil & Gas Corp................................ 164,126 471,862
Patrick Industries, Inc.............................. 68,800 1,036,300
*Patterson Energy, Inc............................... 103,200 480,525
*Paul Harris Stores, Inc............................. 77,600 1,062,150
*Paul-Son Gaming Corp................................ 22,700 175,216
*Paxson Communications Corp.......................... 472,900 3,428,525
*Payless Cashways, Inc............................... 4,156 6,299
*Paymentech, Inc..................................... 645,500 10,247,313
*#Pediatric Services of America, Inc................. 68,900 273,447
Peerless Manufacturing Co............................ 16,000 180,000
Penford Corp......................................... 63,800 958,994
*Penn National Gaming, Inc........................... 2,500 20,859
*#Penn Traffic Co.................................... 116,000 261,000
*Penn Treaty American Corp........................... 87,600 2,474,700
Penn Virginia Corp................................... 147,000 3,188,063
Penn-America Group, Inc.............................. 134,000 1,457,250
Penncorp Financial Group, Inc........................ 119,900 134,888
Pennfed Financial Services, Inc...................... 112,200 1,549,763
*Pentacon, Inc....................................... 30,000 129,375
*Penwest Pharmaceuticals Company..................... 75,750 641,508
Peoples Bancshares, Inc. Massachusetts............... 32,400 651,038
*Peoples Choice TV Corp.............................. 187,000 81,813
*Peoples Telephone Co., Inc.......................... 91,000 403,813
*Perceptron, Inc..................................... 56,100 427,763
*Perini Corp......................................... 59,300 337,269
*Periphonics Corp.................................... 62,000 685,875
<CAPTION>
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*Perrigo Co.......................................... 593,100 $ 5,004,281
*Petco Animal Supplies, Inc.......................... 117,600 1,172,325
*Petrocorp, Inc...................................... 95,200 737,800
*Petroleum Development Corp.......................... 137,100 473,423
*Pharmaceutical Marketing Services, Inc.............. 10,400 107,250
*Pharmaceutical Resources, Inc....................... 201,400 679,725
*Pharmchem Laboratories, Inc......................... 64,900 217,009
*Pharmerica, Inc..................................... 327,329 1,334,889
*Phar-Mor, Inc....................................... 158,200 1,235,938
*Phillips (R.H.), Inc................................ 9,600 29,400
Phillips-Van Heusen Corp............................. 419,100 2,933,700
Phoenix Investment Partners, Ltd..................... 470,000 3,995,000
*Phoenix Technologies, Ltd........................... 43,000 302,344
*Photo Control Corp.................................. 4,200 6,038
*Photon Dynamics, Inc................................ 118,300 536,047
*Phycor, Inc......................................... 175,200 1,078,575
*Phymatrix Corp...................................... 225,800 578,613
*Physician Reliance Network, Inc..................... 631,300 5,859,253
Piccadilly Cafeterias, Inc........................... 110,800 1,184,175
*Picturetel Corp..................................... 738,000 5,212,125
*Pilgrim America Capital Corp........................ 64,350 1,427,766
Pilgrim Pride Corp................................... 431,200 10,456,600
*Pinkertons, Inc..................................... 144,800 2,896,000
Pinnacle Bancshares, Inc............................. 9,800 116,988
*Pinnacle Systems, Inc............................... 60,300 2,023,819
Pioneer Standard Electronics, Inc.................... 367,400 3,949,550
Pitt-Des Moines, Inc................................. 80,000 1,950,000
Pittston Co. Burlington Group........................ 376,900 3,274,319
*Planar Systems, Inc................................. 141,100 1,164,075
*#Planet Hollywood, Inc.............................. 29,900 89,700
*Players International, Inc.......................... 448,900 2,651,316
*Pluma, Inc.......................................... 121,000 158,813
*Polk Audio, Inc..................................... 5,500 75,625
*Polymedica Industries, Inc.......................... 81,640 867,425
*Polymer Group, Inc.................................. 588,500 6,252,813
*Pool Energy Services Co............................. 235,958 2,647,154
Pope & Talbot, Inc................................... 233,500 2,305,813
*Porta Systems Corp.................................. 5,100 7,969
*Powell Industries, Inc.............................. 49,000 493,063
*Powercerv Corp...................................... 191,000 471,531
*Powerhouse Technologies, Inc........................ 168,600 1,970,513
*Power-One, Inc...................................... 10,000 59,063
*Powertel, Inc....................................... 284,500 3,849,641
*Praegitzer Industries, Inc.......................... 3,800 30,638
*Precision Response, Corp............................ 198,900 1,672,003
Premier National Bancorp............................. 70,070 1,270,019
*Premiumwear, Inc.................................... 21,100 156,931
Presidential Life Corp............................... 331,600 5,989,525
*Price Communications Corp........................... 318,750 3,167,578
Price Enterprises, Inc............................... 52,609 286,061
*Pricesmart, Inc..................................... 36,850 580,388
*Pride International, Inc............................ 255,500 1,932,219
*Primadonna Resorts, Inc............................. 77,900 569,644
*Primark Corp........................................ 46,500 1,162,500
Prime Bancorp, Inc................................... 61,694 1,156,763
*Prime Hospitality Corp.............................. 275,400 2,409,750
Primesource Corp..................................... 67,254 462,371
*Printronix, Inc..................................... 87,100 1,164,963
*Procyte Corp........................................ 76,300 39,342
*Programmers Paradise, Inc........................... 66,400 720,025
Progress Financial Corp.............................. 28,665 412,955
</TABLE>
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*Progress Software Corp.............................. 147,750 $ 3,726,070
*ProMedCo Management Company......................... 90,700 476,175
*Protocol Systems, Inc............................... 107,500 816,328
Providence & Worcester Railroad Co................... 19,300 250,900
*Provident American Corp............................. 4,900 50,531
*Provident Financial Holdings, Inc................... 34,800 574,200
*Proxim, Inc......................................... 98,900 2,249,975
Pulaski Furniture Corp............................... 33,200 668,150
*Pulsepoint Communications Corp...................... 6,250 18,262
*Pure World, Inc..................................... 72,000 670,500
*Pyramid Breweries, Inc.............................. 86,300 124,056
*QMS, Inc............................................ 119,200 491,700
*Quad Systems Corp................................... 68,000 179,563
Quaker Chemical Corp................................. 71,600 1,230,625
*Quaker City Bancorp, Inc............................ 63,562 1,076,581
*Quaker Fabric Corp.................................. 167,300 1,192,013
Quaker State Corp.................................... 498,500 7,134,781
*Quality Dining, Inc................................. 198,500 490,047
*Quality Semiconductor, Inc.......................... 95,400 298,125
*Quality Systems, Inc................................ 78,500 367,969
Quanex Corp.......................................... 205,000 3,677,188
Queens County Bancorp................................ 91,722 2,728,730
*Quest Diagnostics, Inc.............................. 422,000 7,543,250
*Quickturn Design Systems, Inc....................... 1,500 16,734
*Quidel Corp......................................... 36,000 73,125
*Quiksilver, Inc..................................... 11,000 266,750
*Quintel Entertainment, Inc.......................... 25,500 41,039
Quixote Corp......................................... 80,600 1,062,913
*R & B, Inc.......................................... 87,100 767,569
*RDO Equipment Co. Class A........................... 56,900 526,325
RLI Corp............................................. 117,112 4,237,991
*RMH Teleservices, Inc............................... 67,900 106,094
RPC, Inc............................................. 108,000 837,000
*RTW, Inc............................................ 133,200 616,050
*Rag Shops, Inc...................................... 53,100 146,025
*Ragan (Brad), Inc................................... 21,000 819,000
*#Railamerica, Inc................................... 92,900 670,622
*Railtex, Inc........................................ 105,400 1,271,388
*Rainbow Technologies, Inc........................... 40,350 632,991
*Rainforest Cafe, Inc................................ 255,500 1,780,516
*#Rally's Hamburgers, Inc............................ 93,600 68,738
*Ramsay Health Care, Inc............................. 153,800 326,825
Range Resources Corp................................. 132,000 552,750
*Rare Hospitality International, Inc................. 133,500 1,660,406
Raritan Bancorp, Inc. DE............................. 1,575 54,731
Raven Industries, Inc................................ 2,900 50,025
*Raytech Corp. DE.................................... 27,100 82,994
*Reading Entertainment, Inc.......................... 33,736 301,516
*Read-Rite Corp...................................... 640,600 8,628,081
*#Recoton Corp....................................... 143,300 2,686,875
*Red Roof Inns, Inc.................................. 29,500 501,500
*Redhook Ale Brewery, Inc............................ 79,600 348,250
Redwood Empire Bancorp............................... 28,200 493,500
*Refac Technology Development Corp................... 41,685 312,638
*Regeneron Pharmaceuticals, Inc...................... 403,200 3,301,200
*Reliability, Inc.................................... 47,900 267,941
*Relm Wireless Corp.................................. 59,254 85,178
*Remington Oil and Gas Corp. Class B................. 18,200 71,663
*Rentrak Corp........................................ 63,000 174,234
<CAPTION>
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*Repligen Corp....................................... 30,200 $ 50,019
*#Reptron Electronics, Inc........................... 83,000 368,313
Republic Bancorp, Inc................................ 43,461 723,897
Republic Security Financial Corp..................... 278,608 3,125,634
*Research Partners International, Inc................ 59,800 149,500
Resource Bancshares Mortgage Group, Inc.............. 126,535 1,755,673
*Response Oncology, Inc.............................. 183,889 838,994
*Rex Stores Corp..................................... 96,100 1,153,200
*Rexhall Industries, Inc............................. 13,428 101,969
Richardson Electronics, Ltd.......................... 41,400 354,488
*Riddell Sports, Inc................................. 95,700 334,950
*Ride, Inc........................................... 131,800 140,038
Riggs National Corp.................................. 298,400 6,238,425
*Right Management Consultants, Inc................... 78,300 1,128,009
*Rightchoice Managed Care, Inc. Class A.............. 47,700 435,263
*Rimage Corp......................................... 4,950 72,394
*Rio Hotel & Casino, Inc............................. 142,800 2,222,325
Rival Co............................................. 99,300 1,058,166
*Riverside Group, Inc................................ 3,200 5,600
Riverview Bancorp, Inc............................... 18,000 218,250
*Roadhouse Grill, Inc................................ 106,700 521,830
Roanoke Electric Steel Corp.......................... 131,100 1,917,338
*Roberds, Inc........................................ 79,700 171,853
*Roberts Pharmaceutical Corp......................... 250,200 6,129,900
Robinson Nugent, Inc................................. 53,900 207,178
*Rochester Medical Corp.............................. 24,000 312,750
*Rock Bottom Restaurants, Inc........................ 109,400 639,306
*Rockshox, Inc....................................... 201,000 527,625
Rock-Tenn Co. Class A................................ 324,500 5,293,406
*Rocky Shoes & Boots, Inc............................ 62,900 444,231
*Rogue Wave Software, Inc............................ 19,000 163,281
Rollins Truck Leasing Corp........................... 824,400 9,892,800
*Rottlund, Inc....................................... 37,800 160,650
Rouge Industries, Inc. Class A....................... 220,200 1,816,650
*Royal Precision, Inc................................ 14,150 48,641
Ruby Tuesday, Inc.................................... 93,000 1,732,125
*Rush Enterprises, Inc............................... 49,100 471,053
Russ Berrie & Co., Inc............................... 213,100 4,821,388
*Ryans Family Steak Houses, Inc...................... 549,400 6,197,919
Ryland Group, Inc.................................... 213,664 5,675,450
*S&K Famous Brands, Inc.............................. 57,700 562,575
*S3, Inc............................................. 644,100 3,421,781
*SBE, Inc............................................ 7,600 64,600
*SBS Technologies, Inc............................... 40,000 702,500
*SCPIE Holdings, Inc................................. 17,500 535,938
*SED International Holdings, Inc..................... 104,900 491,719
*SEMX Corp........................................... 99,400 260,925
*SGV Bancorp, Inc.................................... 9,300 122,063
*SMC Corp............................................ 46,800 204,750
*SSE Telecom, Inc.................................... 68,100 140,456
*STB Systems, Inc.................................... 191,100 1,125,698
*STM Wireless, Inc. Class A.......................... 70,000 382,813
*SYNC Research, Inc.................................. 283,400 274,544
*Safety 1st, Inc..................................... 65,400 343,350
*Safety-Kleen Corp................................... 532,134 1,829,211
Salient 3 Communications, Inc. Class A............... 72,900 763,172
*San Filippo (John B.) & Son, Inc.................... 74,800 282,838
Sanderson Farms, Inc................................. 154,800 2,467,125
*Sandisk Corp........................................ 443,000 5,219,094
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*Sands Regent Casino Hotel........................... 15,492 $ 14,524
Sandwich Bancorp, Inc................................ 19,400 1,190,675
*Santa Cruz Operation, Inc........................... 125,000 566,406
*Saucony, Inc. Class A............................... 19,800 125,606
*Saucony, Inc. Class B............................... 30,000 195,000
*Savoir Technology Group, Inc........................ 124,300 1,048,781
*Scan-Optics, Inc.................................... 85,800 297,619
*Schieb (Earl), Inc.................................. 70,500 370,125
Schnitzer Steel Industries, Inc. Class A............. 34,400 634,250
*Scholastic Corp..................................... 111,200 5,288,950
*Schuff Steel Company................................ 69,000 444,188
*Schuler Homes, Inc.................................. 332,000 2,313,625
Schulman (A.), Inc................................... 105,500 2,258,359
Schultz Sav-O Stores, Inc............................ 15,300 246,713
*Scios-Nova, Inc..................................... 145,300 1,094,291
Scope Industries, Inc................................ 4,200 273,000
Scotsman Industries, Inc............................. 42,500 873,906
*Scott Technologies, Inc. Class B.................... 17,700 268,819
Seaboard Corp........................................ 100 43,000
*Seacor Smit, Inc.................................... 36,000 1,719,000
*Secom General Corp.................................. 57,500 21,563
*Segue Software, Inc................................. 49,200 1,083,938
*Seibels Bruce Group, Inc............................ 77,200 320,863
*Seitel, Inc......................................... 71,000 949,625
Selas Corp. of America............................... 61,500 499,688
Selective Insurance Group, Inc....................... 303,300 5,743,744
*Semitool, Inc....................................... 51,600 351,525
*Seneca Foods Corp. Class B.......................... 10,500 128,625
*Sensormatic Electronics Corp........................ 845,400 6,868,875
*Sequa Corp. Class A................................. 68,600 4,364,675
*Sequa Corp. Class B................................. 31,400 2,339,300
*Sequent Computer Systems, Inc....................... 459,800 5,833,713
*Service Merchandise Co., Inc........................ 1,081,800 1,284,638
*#Servico, Inc....................................... 396,900 2,579,850
*#Shaman Pharmaceuticals............................. 35,800 95,094
*#Sharper Image Corp................................. 93,400 1,970,156
*Shaw Group, Inc..................................... 123,800 1,098,725
Shelby Williams Industries, Inc...................... 40,100 471,175
*#Sheldahl, Inc...................................... 109,600 705,550
*Sheridan Healthcare, Inc............................ 80,900 652,256
*Shiloh Industries, Inc.............................. 156,300 2,276,119
*Shiva Corp.......................................... 39,700 231,997
*Shoe Carnival, Inc.................................. 127,300 1,245,153
*Sholodge, Inc....................................... 75,000 529,688
*Shoney's, Inc....................................... 594,304 1,002,888
*Shopko Stores, Inc.................................. 260,700 8,407,575
Sifco Industries, Inc................................ 41,600 592,800
*Sight Resource Corp................................. 96,800 198,138
*#Sigma Designs, Inc................................. 12,300 37,861
*Sigmatron International, Inc........................ 15,300 52,594
*Signal Technology Corp.............................. 79,400 243,163
*Silicon Storage Technology, Inc..................... 60,100 140,859
*Silicon Valley Group, Inc........................... 436,000 5,368,250
*Silverleaf Resorts, Inc............................. 136,800 1,556,100
*Simione Central Holdings, Inc....................... 135,500 279,469
Simmons First National Corp. Class A................. 41,600 1,690,000
*Simon Transportation Services, Inc.................. 76,600 485,931
Simpson Industries, Inc.............................. 278,500 2,915,547
*Sitel Corp.......................................... 995,000 2,487,500
*Sizzler International, Inc.......................... 212,700 624,806
<CAPTION>
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<S> <C> <C>
Skaneateles Bancorp, Inc............................. 13,950 $ 192,684
Skyline Corp......................................... 101,600 3,302,000
Skywest, Inc......................................... 247,800 6,713,831
Smart & Final Food, Inc.............................. 81,800 869,125
*Smartflex Systems, Inc.............................. 69,200 497,375
Smith (A.O.) Corp.................................... 207,750 5,167,781
Smith (A.O.) Corp. Convertible Class A............... 69,750 1,708,875
*Smithway Motor Express Corp. Class A................ 30,500 272,594
*Sodak Gaming, Inc................................... 222,100 1,811,503
*#Softech, Inc....................................... 31,300 124,222
*#Software Spectrum, Inc............................. 51,900 911,494
*Sola International, Inc............................. 209,000 3,317,875
*Sonosight, Inc...................................... 33,609 315,084
*Sound Advice, Inc................................... 16,600 37,350
South Jersey Industries, Inc......................... 118,377 3,055,606
*Southern Energy Homes, Inc.......................... 130,700 898,563
*#Southern Pacific Funding Corp...................... 120,000 6,600
*Southwall Technologies, Inc......................... 83,600 394,488
Southwest Securities Group, Inc...................... 159,300 3,136,219
Southwestern Energy Co............................... 413,900 3,104,250
*Spacelabs Medical, Inc.............................. 155,400 2,738,925
*Spacetec IMC Corp................................... 53,500 126,227
*Spaghetti Warehouse, Inc............................ 96,100 702,731
Span-American Medical System, Inc.................... 25,300 135,988
Spartan Motors, Inc.................................. 267,700 1,681,491
*Sparton Corp........................................ 100,600 578,450
*Spectran Corp....................................... 76,300 419,650
*Spectrum Control, Inc............................... 122,000 514,688
*#Speedfam International, Inc........................ 93,500 1,411,266
*Speizman Industries, Inc............................ 37,400 210,375
*Spiegel, Inc. Class A Non-Voting.................... 240,000 948,750
*Sport Chalet, Inc................................... 42,300 290,813
*Sport Supply Group, Inc............................. 85,900 601,300
*#Sport-Haley, Inc................................... 54,900 569,588
*Sports Authority, Inc............................... 149,000 968,500
*Sports Club Co., Inc................................ 69,900 340,763
*Sportsman's Guide, Inc.............................. 79,500 491,906
St. Francis Capital Corp............................. 46,300 1,946,047
St. Paul Bancorp, Inc................................ 255,937 5,414,667
*#Stac, Inc.......................................... 89,200 451,575
*Stage II Apparel Corp............................... 31,600 35,550
Standard Commercial Corp............................. 168,180 1,366,463
*Standard Management Corp............................ 76,000 503,500
*Standard Microsystems Corp.......................... 203,300 1,499,338
Standard Motor Products, Inc. Class A................ 142,150 3,242,797
Standard Pacific Corp. DE............................ 357,672 3,487,302
Standard Products Co................................. 265,900 4,952,388
*Stanford Telecommunications, Inc.................... 29,800 333,388
*Stanley Furniture, Inc.............................. 118,400 2,005,400
*Star Multi Care Services, Inc....................... 57,100 85,650
*Starcraft Corp...................................... 27,300 66,544
Starrett (L.S.) Co. Class A.......................... 58,400 1,788,500
*Startec Global Communications Corp.................. 11,000 116,875
*Starter Corp........................................ 219,300 356,363
*Station Casinos, Inc................................ 526,100 4,340,325
*Steel of West Virginia, Inc......................... 68,000 718,250
Steel Technologies, Inc.............................. 182,500 1,511,328
Stepan Co............................................ 107,600 3,006,075
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Stephan Co........................................... 50,600 $ 600,875
Sterling Bancorp..................................... 63,500 1,345,406
*Sterling Financial Corp. WA......................... 82,180 1,479,240
Stewart & Stevenson Services, Inc.................... 250,800 2,468,813
Stewart Information Services Corp.................... 69,000 3,411,188
Stifel Financial Corp................................ 62,307 677,589
*Stimsonite Corp..................................... 62,200 478,163
Stone & Webster, Inc................................. 138,700 4,715,800
*Storage Computer Corp............................... 16,500 76,313
*Stormedia, Inc. Class A............................. 136,200 136
*#Stratasys, Inc..................................... 32,700 203,353
*Strategic Diagnostics, Inc.......................... 45,000 101,250
*Strategic Distribution, Inc......................... 619,100 1,760,566
*Stratus Properties, Inc............................. 155,000 503,750
Strawbridge and Clothier Liquidating Trust........... 71,881 43,758
Stride Rite Corp..................................... 208,000 1,846,000
*Strouds, Inc........................................ 136,000 267,750
*Stuart Entertainment, Inc........................... 55,100 36,159
*Suburban Lodges of America, Inc..................... 107,100 870,188
*Successories, Inc................................... 21,500 45,688
*#Sulcus Computer Corp............................... 180,900 407,025
*Summit Technology, Inc.............................. 12,000 46,125
*Summitt Medical Systems, Inc........................ 169,000 195,406
*#Sun Healthcare Group, Inc.......................... 499,900 2,624,475
*Sun Television and Appliances, Inc.................. 206,300 3,610
*Sundance Homes, Inc................................. 40,500 65,813
*Sunrise Medical, Inc................................ 294,500 3,754,875
*Sunrise Resources, Inc.............................. 86,900 315,013
Superior Surgical Manufacturing Co., Inc............. 81,900 1,126,125
*Suprema Specialties, Inc............................ 50,500 243,031
*Supreme International Corp.......................... 77,850 841,753
*Surety Capital Corp................................. 66,400 157,700
Susquehanna Bancshares, Inc.......................... 235,072 5,142,200
*#Swift Energy Corp.................................. 187,800 1,748,888
*Swiss Army Brands, Inc.............................. 87,300 878,456
*Sybase, Inc......................................... 178,400 1,282,250
*Sybron Chemicals, Inc............................... 1,600 25,200
*Sylvan, Inc......................................... 104,000 1,355,250
*Symix Systems, Inc.................................. 8,600 173,881
*Symmetricom, Inc.................................... 234,700 1,459,541
*Syms Corp........................................... 156,700 1,527,825
Synalloy Corp. DE.................................... 54,900 507,825
*Synbiotics Corp..................................... 97,400 219,150
*Syncor International Corp. DE....................... 117,600 2,829,750
*Syntellect, Inc..................................... 218,100 565,697
*Synthetic Industries, Inc........................... 87,500 1,476,563
*Syntroleum Corp..................................... 67,150 553,988
*Sypris Solutions, Inc............................... 26,250 187,031
*TBA Entertainment Corp.............................. 138,000 668,438
*TBC Corp............................................ 386,900 2,659,938
TCBY Enterprises, Inc................................ 200,966 1,557,487
*TCC Industries, Inc................................. 24,800 82,150
*TCI International, Inc.............................. 27,600 65,550
*TCSI Corp........................................... 383,100 879,933
TF Financial Corp.................................... 32,100 627,956
*TII Industries, Inc................................. 85,800 195,731
TJ International, Inc................................ 112,300 2,635,541
TR Financial Corp.................................... 136,400 5,089,425
*TRC Companies, Inc.................................. 86,450 410,638
*TRM Copy Centers Corp............................... 72,000 666,000
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Tab Products Co. DE.................................. 56,800 $ 404,700
*Taco Cabana, Inc.................................... 187,900 1,297,684
Talbots, Inc......................................... 227,000 5,788,500
*Tandy Brand Accessories, Inc........................ 12,600 190,575
*Tandy Crafts, Inc................................... 149,700 580,088
Tasty Baking Co...................................... 3,000 48,188
Team, Inc............................................ 65,300 228,550
*#Technical Chemicals & Products, Inc................ 198,000 420,750
*Technical Communications Corp....................... 6,300 26,775
Technology Research Corp............................. 61,000 74,344
*Tech-Sym Corp....................................... 76,000 1,904,750
*Tegal Corp.......................................... 129,000 397,078
*Tei, Inc............................................ 111,600 181,350
*Telco Systems, Inc.................................. 43,500 527,438
*#Telcom Semiconductor, Inc.......................... 1,000 3,719
Telxon Corp.......................................... 130,200 3,503,194
*Temtex Industries, Inc.............................. 35,700 115,467
Terra Industries, Inc................................ 1,228,300 6,678,881
*Tesoro Petroleum Corp............................... 649,700 8,649,131
*#Tesseract Group, Inc............................... 99,500 332,703
*Tetra Technologies, Inc............................. 199,900 2,523,738
Texas Industries, Inc................................ 34,762 1,005,925
*Texas Micro, Inc.................................... 137,700 486,253
*Texfi Industries, Inc............................... 4,800 1,800
*Thermo Bioanalysis Corp............................. 14,000 147,875
*Thermo Power Corp................................... 98,800 876,850
*Thermo Sentron, Inc................................. 135,500 1,270,313
*Thermo Terratech, Inc............................... 130,000 585,000
*Thermo Voltek Corp.................................. 49,800 336,150
*ThermoQuest Corp.................................... 83,500 850,656
Thermoretec Corporation.............................. 118,100 317,394
*Thermospectra Corp.................................. 29,300 329,625
*Thomas Group, Inc................................... 40,400 401,475
Thomas Industries, Inc............................... 133,850 2,308,913
Thomaston Mills, Inc................................. 34,800 110,925
Thor Industries, Inc................................. 3,900 93,113
*Thorn Apple Valley, Inc............................. 82,215 269,768
*Thrustmaster, Inc................................... 63,100 228,738
*Tipperary Corp...................................... 129,200 242,250
*#Titan Corp......................................... 53,430 287,186
Titan International, Inc............................. 244,000 2,424,750
*#Titanium Metals Corp............................... 133,500 1,326,656
Toastmaster, Inc..................................... 83,600 527,725
*Today's Man, Inc.................................... 86,000 122,281
*Todd Shipyards Corp................................. 114,200 571,000
Todd-AO Corp. Class A................................ 3,740 31,556
*Toddhunter International, Inc....................... 76,000 584,250
*Tokheim Corp........................................ 250,300 2,158,838
*Topps, Inc.......................................... 68,200 355,919
Toro Co.............................................. 84,300 2,233,950
*Tower Air, Inc...................................... 166,400 413,400
*Tractor Supply Co................................... 30,100 776,956
*Trak Auto Corp...................................... 40,200 324,113
*#Trans World Airlines, Inc.......................... 638,300 3,231,394
*Trans World Entertainment Corp...................... 131,550 3,066,759
*Transcend Services, Inc............................. 20,100 50,250
*Transcoastal Marine Services, Inc................... 108,000 418,500
*Transfinancial Holdings, Inc........................ 68,700 339,206
*Transition Systems, Inc............................. 120,000 1,192,500
*Transmedia Network, Inc............................. 17,000 60,563
#Transport Lux Corp.................................. 2,546 22,914
Transtechnology Corp................................. 76,500 1,749,938
</TABLE>
122
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Transworld Healthcare, Inc.......................... 85,200 $ 370,088
*#Travel Ports of America, Inc....................... 66,978 203,027
*Treadco, Inc........................................ 55,500 343,406
Tremont Corp. DE..................................... 68,133 2,444,271
*Trend-Lines, Inc. Class A........................... 70,900 208,269
Trenwick Group, Inc.................................. 48,000 1,515,000
*Triathlon Broadcasting Co. Class A.................. 17,100 191,306
*#Trident Microsystems, Inc.......................... 149,300 720,839
*Tridex Corp......................................... 71,900 262,884
Trigen Energy Corp................................... 196,700 2,802,975
*Trimark Holdings, Inc............................... 30,300 74,803
Trion, Inc........................................... 40,400 117,413
*Triple S Plastics, Inc.............................. 30,500 162,984
*Tripos, Inc......................................... 44,266 365,195
*Trism, Inc.......................................... 64,800 89,100
*#Trump Hotels & Casino Resorts, Inc................. 366,800 1,856,925
*Tuboscope Vetco International, Inc.................. 259,000 2,152,938
*Tultex Corp......................................... 323,307 343,514
*Turner Corp......................................... 61,998 1,050,091
Twin Disc, Inc....................................... 33,600 730,800
Tyler Corp........................................... 188,100 1,257,919
U.S. Bancorp, Inc.................................... 120,900 2,406,666
*#U.S. Diagnostic, Inc............................... 280,000 280,000
U.S. Freightways Corp................................ 6,300 169,116
U.S. Industries, Inc................................. 81,900 1,433,250
*U.S. Office Products, Co............................ 259,600 1,415,631
*URS Corp............................................ 91,202 1,852,541
*US Can Corp......................................... 214,100 3,760,131
*US Xpress Enterprises, Inc. Class A................. 56,090 865,889
*USData Corp......................................... 6,750 22,359
UST Corp............................................. 47,215 1,162,669
*UTI Energy Corp..................................... 96,000 804,000
*#Ugly Duckling Corp................................. 114,900 649,903
*Ultimate Electronics, Inc........................... 133,200 757,575
*Ultradata Corp...................................... 25,000 102,344
*#Ultrafem, Inc...................................... 114,000 2,793
*Ultrak, Inc......................................... 152,300 1,313,588
*Ultralife Batteries, Inc............................ 50,400 329,963
*#Ultratech Stepper, Inc............................. 185,400 3,441,488
*#Unapix Entertainment, Inc.......................... 6,000 13,125
Unico American Corp.................................. 44,700 472,144
*UniComp, Inc........................................ 8,100 27,084
Unifirst Corp........................................ 119,000 2,618,000
*Unimark Group, Inc.................................. 125,900 369,831
*Uni-Marts, Inc...................................... 103,200 316,050
*Union Acceptance Corp. Class A...................... 51,400 276,275
*Unique Casual Restaurants, Inc...................... 129,500 861,984
*Uniroyal Technology Corp............................ 163,600 1,646,225
*Unisource Worldwide, Inc............................ 1,291,600 10,171,350
*Unit Corp........................................... 146,500 695,875
*Unit Instruments, Inc............................... 66,700 579,456
*United American Healthcare Corp..................... 80,200 120,300
United Bankshares, Inc. WV........................... 25,500 734,719
#United Companies Financial Corp..................... 521,300 2,117,781
United Fire Casualty Co.............................. 18,750 687,891
United Industrial Corp............................... 200,600 1,993,463
United National Bancorp.............................. 8,651 196,810
*United Retail Group, Inc............................ 150,600 1,477,763
*United States Energy Corp........................... 15,700 44,647
*United States Home Corp............................. 148,100 4,720,688
*United States Homecare Corp......................... 3,400 204
*United Wisconsin Services, Inc...................... 244,800 1,820,700
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Unitel Video, Inc................................... 29,500 $ 90,344
Unitog Co............................................ 20,900 449,350
*Unitrode Corp....................................... 29,500 499,656
*Universal American Financial Corp................... 14,400 36,900
*Universal Electronics, Inc.......................... 63,900 694,913
*#Universal International, Inc....................... 34,600 89,744
*Universal Standard Medical Labs, Inc................ 64,100 108,169
*Uno Restaurant Corp................................. 103,100 676,594
*Urocor, Inc......................................... 112,700 626,894
*Urogen Corp. (Restricted)........................... 14,500 5,510
*Urologix, Inc....................................... 73,100 311,817
*Uroquest Medical Corp............................... 40,900 53,681
*Utilx Corp.......................................... 81,600 153,000
*VLSI Technology, Inc................................ 131,900 1,496,241
*VTEL Corp........................................... 308,900 946,006
*VWR Scientific Products Corp........................ 138,500 4,284,844
*#Valence Technology, Inc............................ 99,700 950,266
*Vallen Corp......................................... 114,300 2,228,850
Valley Forge Corp.................................... 22,500 292,500
Valmont Industries, Inc.............................. 76,000 1,220,750
*Value City Department Stores, Inc................... 399,100 4,090,775
Value Line, Inc...................................... 4,000 166,000
*Valuevision International, Inc. Class A............. 307,300 1,661,341
*Vans, Inc........................................... 147,700 1,093,903
*Vari L Co., Inc..................................... 108,000 715,500
*Variflex, Inc....................................... 65,500 345,922
Varlen Corp.......................................... 126,071 3,344,821
*Vaughn Communications, Inc.......................... 54,500 412,156
*Vectra Technologies, Inc............................ 58,100 349
*Venture Stores, Inc................................. 266,179 2,529
*Verilink Corp....................................... 119,400 593,269
*Verity, Inc......................................... 125,000 2,160,156
Vermont Financial Services Corp...................... 120,600 2,796,413
*Versar, Inc......................................... 1,300 2,844
*Versatility, Inc.................................... 3,500 5,141
*Vertex Communications Corp.......................... 56,000 990,500
*Veterinary Centers of America, Inc.................. 202,500 3,695,625
*Viagrafix Corp...................................... 49,000 297,063
*Vicorp Restaurants, Inc............................. 110,200 1,594,456
*Video Display Corp.................................. 44,400 285,825
*Video Services Corp................................. 27,000 60,750
*Video Update, Inc................................... 56,600 76,941
*Videonics, Inc...................................... 58,000 57,094
*Viisage Technology, Inc............................. 11,000 11,000
Virco Manufacturing Corp............................. 112,635 2,351,256
*Virtualfund.Com, Inc................................ 27,800 71,238
*Vishay Intertechnology, Inc......................... 23,700 336,244
Vital Signs, Inc..................................... 194,000 3,285,875
Vulcan International Corp............................ 12,200 434,625
*#WFS Financial, Inc................................. 252,600 1,594,538
*#WHX Corp........................................... 372,500 3,934,531
WICOR, Inc........................................... 81,000 1,771,875
*WLR Foods, Inc...................................... 176,006 1,551,053
*WPI Group, Inc...................................... 117,600 830,550
Wackenhut Corp. Class A.............................. 16,300 396,294
Wackenhut Corp. Class B Non-Voting................... 26,000 529,750
Walbro Corp.......................................... 115,752 860,906
*Walker Interactive Systems, Inc..................... 47,600 382,288
*Wall Data, Inc...................................... 106,700 1,820,569
</TABLE>
123
<PAGE>
THE U.S. 6-10 VALUE SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Wall Street Deli, Inc............................... 39,700 $ 145,153
Walshire Assurance Co................................ 50,527 405,795
Warren Bancorp, Inc.................................. 72,000 666,000
*Washington Homes, Inc............................... 104,000 507,000
Washington Savings Bank FSB Waldorf, MD.............. 23,500 108,688
*Waterlink, Inc...................................... 225,000 843,750
Watkins-Johnson Co................................... 93,000 1,697,250
Watts Industries, Inc. Class A....................... 185,400 3,511,013
Webb (Del) Corp...................................... 311,188 8,246,482
*Webco Industries, Inc............................... 90,500 622,188
Webster Financial Corp............................... 87,425 2,431,508
*Weirton Steel Corp.................................. 468,700 878,813
Wellco Enterprises, Inc.............................. 4,800 52,200
Wellman, Inc......................................... 485,100 5,881,838
*Wells-Gardner Electronics Corp...................... 45,700 125,675
Werner Enterprises, Inc.............................. 275,625 4,496,133
Wesbanco, Inc........................................ 40,600 1,146,950
*#West Coast Entertainment Corp...................... 136,500 85,313
West, Inc............................................ 161,800 4,914,675
*#Westbridge Capital Corp............................ 12,000 600
Westco Bancorp, Inc.................................. 11,400 391,875
Westcorp, Inc........................................ 408,356 3,496,548
Westerfed Financial Corp............................. 69,900 1,356,497
Western Bancorp...................................... 38,412 1,260,394
*Western Beef, Inc................................... 57,400 426,913
*Weston (Roy F.), Inc. Class A....................... 87,200 253,425
Weyco Group, Inc..................................... 2,400 62,100
Whitney Holdings Corp................................ 85,400 3,154,463
*Whittaker Corp...................................... 131,900 1,813,625
*Wickes Lumber Co.................................... 96,600 437,719
*Williams Clayton Energy, Inc........................ 122,000 1,029,375
*#Wilshire Financial Services Group, Inc............. 161,700 154,120
*Wilshire Oil Co. of Texas........................... 108,514 542,570
Winnebago Industries, Inc............................ 237,800 2,853,600
Wiser Oil Co......................................... 100,175 325,569
Wolf (Howard B.), Inc................................ 5,000 22,813
Wolohan Lumber Co.................................... 74,478 965,887
*Wolverine Tube, Inc................................. 154,600 3,468,838
Wolverine World Wide, Inc............................ 97,000 1,321,625
Woodhead Industries, Inc............................. 141,600 1,849,650
*Workgroup Technology Corp........................... 82,600 161,328
World Fuel Services Corp............................. 50,000 609,375
*Worldtex, Inc....................................... 242,700 910,125
Worthington Foods, Inc............................... 23,554 448,262
*Wyant Corp.......................................... 800 2,950
*Xetel Corp.......................................... 100,500 282,656
*Xicor, Inc.......................................... 205,800 424,463
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Xtra Corp............................................ 14,450 $ 687,278
Yankee Energy Systems, Inc........................... 110,300 3,212,488
Yardville National Bancorp........................... 47,970 653,591
*Yellow Corp......................................... 303,000 4,904,813
York Financial Corp.................................. 100,024 1,712,911
*York Research Corp.................................. 3,800 14,369
*Zaring National Corp................................ 46,000 416,875
*Zemex Corp.......................................... 108,658 719,859
Zenith National Insurance Corp....................... 188,700 4,599,563
Ziegler Co., Inc..................................... 7,700 139,563
*Zing Technologies, Inc.............................. 29,800 227,225
*Zoll Medical Corp................................... 91,000 1,018,063
*Zygo Corp........................................... 52,000 637,000
--------------
TOTAL COMMON STOCKS
(Cost $2,344,155,633)................................ 2,410,581,639
--------------
PREFERRED STOCKS -- (0.1%)
Price Enterprises, Inc. Series A
(Cost $3,435,917).................................. 255,400 3,455,881
--------------
RIGHTS/WARRANTS -- (0.0%)
*CSF Holdings, Inc. Litigation Rights 12/30/99....... 40,500 0
*National Mercantile Bancorp Warrants 06/02/99....... 165 0
*Statesman Group, Inc. Contingent Payment Rights..... 37,500 0
--------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
--------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.5%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.25%, 08/31/02
valued at $36,615,250) to be repurchased at
$36,071,959. (Cost $36,067,000).................... $ 36,067 36,067,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $2,383,658,550)++.............................. $2,450,104,520
--------------
--------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
124
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (99.5%)
*3-D Systems Corp..................................... 10,400 $ 73,450
*3D0 Co............................................... 23,200 65,975
*#3Dfx Interactive, Inc............................... 2,500 32,266
*4Front Software International, Inc................... 9,500 76,594
*#7Th Level, Inc...................................... 14,300 49,827
*800-Jr Cigar, Inc.................................... 200 2,800
*8X8, Inc............................................. 13,500 39,234
*A Consulting Team, Inc............................... 4,400 34,375
*A.C. Moore Arts & Crafts, Inc........................ 2,000 15,000
*AAON, Inc............................................ 5,600 52,500
AAR Corp.............................................. 19,400 489,850
ABC Bancorp........................................... 5,125 67,586
*ABC Rail Products Corp............................... 8,100 101,756
ABM Industries, Inc................................... 15,600 519,675
*ABR Information Services, Inc........................ 28,700 483,416
*ABT Building Products Corp........................... 9,600 99,600
*ACT Manufacturing, Inc............................... 7,300 72,087
*ACT Networks, Inc.................................... 9,400 94,881
*ACX Technologies, Inc................................ 27,600 351,900
*ADE Corp............................................. 11,800 152,662
*AEP Industries, Inc.................................. 6,500 138,328
*AFC Cable Systems, Inc............................... 11,125 332,359
*AG Associates, Inc................................... 4,400 21,037
*AG Services America, Inc............................. 3,300 47,850
AMC Entertainment, Inc................................ 12,000 201,000
*AML Communications, Inc.............................. 5,600 8,225
*AMX Corp............................................. 6,300 51,187
*APAC Teleservices, Inc............................... 44,400 294,150
*ARI Network Services, Inc............................ 1,700 3,878
*#ARV Assisted Living, Inc............................ 15,700 94,200
ASB Financial Corp.................................... 1,000 10,875
*ASV, Inc............................................. 3,750 70,781
*ATMI, Inc............................................ 18,400 350,175
*ATS Medical, Inc..................................... 15,700 88,312
*AVT Corporation...................................... 9,900 232,650
#Aames Financial Corp................................. 27,875 52,266
Aaron Rents, Inc. Class A............................. 1,500 21,937
Aaron Rents, Inc. Class B............................. 14,400 225,000
*Aasche Transportation Services, Inc.................. 3,000 15,094
*Aavid Thermal Technologies, Inc...................... 7,400 132,044
*Abacus Direct Corp................................... 7,800 449,719
*Abaxis, Inc.......................................... 12,300 25,369
Abington Bancorp, Inc................................. 3,800 60,562
*Abiomed, Inc......................................... 7,000 75,469
*#Able Telcom Holding Corp............................ 9,000 52,031
Abrams Industries, Inc................................ 200 1,350
*Abraxas Petroleum Corp............................... 4,200 21,787
*#Acacia Research Corp................................ 9,100 36,116
*Accell International Corp............................ 6,000 18,750
*Accelr8 Technology Corp.............................. 6,500 22,344
*Acceptance Insurance Companies, Inc.................. 13,100 257,906
*Access Health Marketing, Inc......................... 17,000 613,062
*#Acclaim Entertainment, Inc.......................... 51,700 494,381
*Ace Cash Express, Inc................................ 8,800 122,925
*Ace Comm Corp........................................ 8,900 34,348
Aceto Corp............................................ 4,700 60,219
Ackerley Group, Inc................................... 15,600 277,875
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Acme Electric Corp................................... 2,800 $ 14,350
*Acme Metals, Inc..................................... 11,000 5,775
*Acme United Corp..................................... 1,300 3,169
*Acorn Products, Inc.................................. 4,500 33,750
*Actel Corp........................................... 19,100 322,909
*#Action Performance Companies, Inc................... 14,600 532,444
*Active Apparel Group, Inc............................ 1,500 1,617
*Active Voice Corp.................................... 3,300 23,306
*Activision, Inc...................................... 22,100 291,444
*#Actrade International, Ltd.......................... 7,400 95,737
*Acuson Corp.......................................... 28,000 392,000
*Acxiom Corp.......................................... 16,720 398,145
*Adac Laboratories.................................... 20,066 522,343
*Adam Software, Inc................................... 4,400 18,425
Adams Resources & Energy, Inc......................... 3,100 22,087
*Adelphia Communications Corp. Class A................ 12,900 451,097
*Adept Technology, Inc................................ 9,000 66,375
*Adflex Solutions, Inc................................ 7,900 53,819
*Administaff, Inc..................................... 10,100 273,331
*Adrien Arpel, Inc.................................... 4,500 2,812
*Advance Lighting Technologies, Inc................... 18,100 160,637
*Advance Paradigm, Inc................................ 8,300 261,450
*Advanced Aerodynamics & Structures, Inc.............. 5,000 14,141
*Advanced Digital Information Corp.................... 7,500 107,344
*Advanced Energy Industries, Inc...................... 20,300 366,669
*Advanced Fibre Communications........................ 12,000 105,375
*Advanced Health Corp................................. 9,000 14,344
*Advanced Magnetics, Inc.............................. 6,000 53,250
Advanced Marketing Services, Inc...................... 5,100 89,728
*Advanced Materials Group, Inc........................ 237 311
*Advanced Neuromodulation Systems, Inc................ 6,700 39,572
*Advanced Polymer Systems, Inc........................ 17,800 112,919
*Advanced Radio Telecom Corp.......................... 24,800 96,875
*#Advanced Tissue Sciences, Inc....................... 37,200 108,112
Advanta Corp. Class A................................. 8,300 86,372
*Advanta Corp. Class B Non-Voting..................... 14,900 116,173
*Advent Software, Inc................................. 6,000 229,875
Advest Group, Inc..................................... 6,300 146,869
*Advo, Inc............................................ 20,400 527,850
*Advocat, Inc......................................... 5,200 30,875
*#Aegis Communications Group.......................... 18,300 22,017
*Aehr Test Systems.................................... 3,000 13,031
*#Aerial Communications, Inc.......................... 23,300 92,108
*Aeroflex, Inc........................................ 15,600 213,525
*Aerosonic Corp. DE................................... 3,200 40,800
*Aerovox, Inc......................................... 4,200 10,894
*Aetrium, Inc......................................... 7,400 64,056
*#Affymetrix, Inc..................................... 20,600 513,712
*Aftermarket Technology Corp.......................... 18,000 102,937
*Ag-Chem Equipment Co., Inc........................... 7,600 90,962
*Agco Corp............................................ 17,600 144,100
*#Agouron Pharmaceuticals, Inc........................ 17,400 760,706
*#Agribiotech, Inc.................................... 39,200 509,600
*Agri-Nutrition Group, Ltd............................ 1,600 1,825
*#Agritope, Inc....................................... 2,040 2,869
Air Express International Corp........................ 11,875 263,848
</TABLE>
125
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THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Air Methods Corp..................................... 8,300 $ 24,122
*Airnet Systems, Inc.................................. 11,300 169,500
*Airtran Holdings, Inc................................ 62,700 252,759
*Akorn, Inc........................................... 16,000 93,000
*Aksys, Ltd........................................... 4,900 32,769
Alabama National Bancorporation....................... 6,900 180,262
Alamo Group, Inc...................................... 8,700 109,837
*Alaris Medical, Inc.................................. 63,200 341,675
*#Alarmguard Holdings, Inc............................ 5,000 35,000
Albank Financial Corp................................. 9,040 611,330
Albany International Corp. Class A.................... 22,803 433,257
Alba-Waldensian, Inc.................................. 900 21,825
*Alcide Corp.......................................... 900 15,356
*Aldila, Inc.......................................... 13,900 45,175
*Alexion Pharmaceuticals, Inc......................... 10,100 111,416
Alfa Corp............................................. 28,500 621,656
*#Algos Pharmaceutical Corp........................... 14,400 388,800
Aliant Communications, Inc............................ 1,200 34,275
Alico, Inc............................................ 4,900 84,678
*Align-Rite International, Inc........................ 2,800 33,862
*#Alkermes, Inc....................................... 21,100 391,009
*All American Semiconductor, Inc...................... 7,100 7,433
*Allcity Insurance Co................................. 200 1,500
Allen Organ Co. Class B............................... 200 7,500
*Allen Telecom, Inc................................... 27,400 190,087
Alliance Bancorp...................................... 8,055 157,324
*Alliance Gaming Corp................................. 28,928 74,128
*Alliance Pharmaceuticals Corp........................ 30,900 120,703
*Alliance Semiconductor Corp.......................... 38,300 150,208
*Allied Healthcare Products, Inc...................... 6,700 18,006
*Allied Holdings, Inc................................. 5,900 89,975
Allied Products Corp.................................. 9,550 70,431
*Allied Research Corp................................. 3,100 23,250
*Allin Communications Corp............................ 5,000 20,000
*Allou Health & Beauty Care, Inc. Class A............. 3,200 34,200
*Allstate Financial Corp.............................. 1,600 5,500
*Alltrista Corp....................................... 4,653 106,437
*#Alpha Beta Technology, Inc.......................... 13,400 14,866
*Alpha Industries, Inc................................ 8,400 184,275
*Alpha Microsystems, Inc.............................. 8,600 41,656
*Alpha Technologies Group, Inc........................ 5,200 9,262
*Alphanet Solutions, Inc.............................. 4,000 18,375
Alpharma, Inc. Class A................................ 11,700 421,200
*Alpine Group, Inc.................................... 15,736 247,842
*Alta Gold Co......................................... 17,400 29,634
*Alteon, Inc.......................................... 16,200 15,947
*#Alternative Living Services......................... 19,700 529,437
*Alternative Resources Corp........................... 14,300 135,403
*Altron, Inc.......................................... 13,100 293,112
*#Alyn Corp........................................... 9,500 46,312
Ambanc Holding Co., Inc............................... 2,300 37,087
*Ambassadors, Inc..................................... 8,900 151,856
Amcast Industrial Corp................................ 7,300 128,206
Amcol International Corp.............................. 25,500 270,937
Amcore Financial, Inc................................. 26,175 618,384
*Amedisys, Inc........................................ 1,400 4,200
*Amerco............................................... 18,100 423,087
*America Services Group, Inc.......................... 1,600 15,500
American Bancorporation Ohio.......................... 400 7,750
American Bank of Connecticut.......................... 3,200 71,200
*American Banknote Corp............................... 19,800 38,362
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
American Biltrite, Inc................................ 1,900 $ 45,006
*American Buildings Co................................ 4,500 109,687
American Business Products, Inc....................... 14,100 313,725
*American Claims Evaluation, Inc...................... 1,000 2,000
*American Classic Voyages Co.......................... 11,100 164,419
*American Coin Merchandising, Inc..................... 5,200 46,475
*American Ecology Corp................................ 5,250 7,219
*American Freightways Corp............................ 31,600 282,425
*American Healthcorp, Inc............................. 6,400 65,200
American Heritage Life Investment Corp................ 24,100 591,956
*American Homepatient, Inc............................ 11,800 25,444
*American Homestar Corp............................... 13,830 227,763
*American Indemnity Financial Corp.................... 800 9,050
*American International Petroleum Corp................ 35,800 47,547
*American Italian Pasta CO............................ 16,200 409,050
*American Media, Inc. Class A......................... 19,700 93,575
*American Medical Electronics, Inc. (Escrow-Bonus).... 4,400 0
*American Medical Electronics, Inc.
(Escrow-Earnings)................................... 4,400 0
American Medical Security Group, Inc.................. 13,600 194,650
*#American Mobile Satellite Corp...................... 28,300 128,234
*American Oncology Resources, Inc..................... 31,200 348,075
*#American Pacific Corp............................... 7,400 51,337
*American Pad & Paper Co.............................. 25,000 39,062
*American Physician Partners, Inc..................... 16,000 75,000
*American Physicians Services Group, Inc.............. 2,200 10,450
*American Precision Industries, Inc................... 7,300 101,287
*American Residential Services, Inc................... 2,000 7,000
*#American Retirement Corp............................ 17,000 266,687
*American Safety Razor Co............................. 9,700 117,006
*American Science & Engineering, Inc.................. 6,500 75,562
*American Shared Hospital Services.................... 600 619
*American Software, Inc. Class A...................... 14,100 37,894
American States Water Company......................... 6,300 177,975
*American Superconductor Corp......................... 13,300 131,337
*American Technical Ceramics Corp..................... 3,500 27,125
*#American Wagering, Inc.............................. 500 2,453
American Woodmark Corp................................ 6,260 192,495
Americana Bancorp, Inc................................ 1,600 30,800
*Amerihost Properties, Inc............................ 4,200 17,062
*AmeriLink Corp....................................... 2,900 22,294
*Amerin Corp.......................................... 24,800 609,150
*Ameripath, Inc....................................... 14,300 64,797
*Ameristar Casinos, Inc............................... 18,300 54,328
Ameron, Inc........................................... 2,000 73,500
Amerus Life Holdings, Inc. Class A.................... 6,044 133,346
*Ames Department Stores, Inc.......................... 20,400 485,775
*Amistar Corp......................................... 1,600 3,550
Ampco-Pittsburgh Corp................................. 8,900 107,356
*Ampex Corp. Class A.................................. 36,400 36,400
*Amphenol Corp........................................ 13,900 456,094
Amplicon, Inc......................................... 2,600 40,625
*Amrep Corp........................................... 4,600 33,925
*Amresco, Inc......................................... 19,200 140,700
*Amsurg Corp. Class A................................. 589 4,362
*Amsurg Corp. Class B................................. 3,800 26,006
*#Amtran, Inc......................................... 11,700 255,206
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
Amwest Insurance Group, Inc........................... 1,540 $ 21,560
*Amylin Pharmaceuticals, Inc.......................... 33,500 22,508
*Anadigics, Inc....................................... 13,250 166,039
Analogic Corp......................................... 10,900 388,312
*Analogy, Inc......................................... 7,300 26,234
Analysis & Technology, Inc............................ 1,200 19,350
Analysts International Corp........................... 22,500 376,875
*#Analytical Surveys, Inc............................. 4,300 121,744
*Anaren Microwave, Inc................................ 4,400 77,000
Anchor Bancorp Wisconsin, Inc......................... 16,000 323,000
*#Andean Development Corp............................. 2,000 6,437
Andersons, Inc........................................ 5,600 63,350
Andover Bancorp, Inc. DE.............................. 4,500 144,281
*#Andrea Electronics Corp............................. 10,000 105,000
*#Andrx Corp.......................................... 13,300 523,687
*Anergen, Inc......................................... 15,200 5,225
*Anesta Corp.......................................... 9,000 176,062
*#Angeion Corp........................................ 24,200 35,166
Angelica Corp......................................... 9,000 163,687
*Anicom, Inc.......................................... 23,600 240,425
*Ann Taylor Stores Corp............................... 23,100 760,856
*Ansoft Corp.......................................... 11,400 61,987
*Ansys, Inc........................................... 16,700 164,912
*Antec Corp........................................... 34,050 632,053
*Aphton Corp.......................................... 12,800 170,400
Apogee Enterprises, Inc............................... 27,600 339,825
*Apple Orthodontix, Inc............................... 10,000 58,750
Applebees International, Inc.......................... 30,300 620,203
*#Applied Digital Access, Inc......................... 10,000 24,375
*Applied Extrusion Technologies, Inc.................. 11,000 86,625
*Applied Graphics Technologies, Inc................... 22,300 287,809
*Applied Imaging Corp................................. 5,900 12,169
Applied Industrial Technologies, Inc.................. 24,850 347,900
*Applied Innovation, Inc.............................. 14,200 52,362
*Applied Magnetics Corp............................... 21,700 161,394
*Applied Microsystems Corp............................ 4,800 18,600
*Applied Science & Technology, Inc.................... 6,800 60,775
*Applied Signal Technologies, Inc..................... 7,700 93,362
*#Applix, Inc......................................... 8,000 33,750
*Apria Healthcare Group, Inc.......................... 51,100 357,700
*Aqua Alliance, Inc................................... 47,800 95,600
*Aquagenix, Inc....................................... 3,200 1,450
Aquarion Co........................................... 4,400 165,275
*Aquila Biopharmaceuticals, Inc....................... 6,330 18,199
Aquila Gas Pipeline Corp.............................. 28,700 243,950
*Arabian Shield Development Co........................ 200 275
*Aradigm Corp......................................... 10,600 146,412
*Arcadia Financial, Ltd............................... 39,100 139,294
Arch Coal, Inc........................................ 7,200 138,150
*#Arch Communications Group, Inc...................... 17,600 20,900
Arctic Cat, Inc....................................... 20,100 209,794
*Ardent Software, Inc................................. 14,138 248,740
*Area Bancshares Corp................................. 1,000 27,031
Argonaut Group, Inc................................... 21,500 533,469
*#Argosy Gaming Corp.................................. 20,600 50,212
*Ariad Pharmaceuticals, Inc........................... 16,300 34,128
*#Ariel Corp.......................................... 9,300 24,994
*Ark Restaurants Corp................................. 2,700 29,025
*Arkansas Best Corp................................... 17,600 103,950
Arm Financial Group, Inc. Class A..................... 19,100 410,650
*Armco, Inc........................................... 97,100 382,331
*Armor Holdings, Inc.................................. 10,400 110,500
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Arnold Industries, Inc................................ 23,400 $ 334,912
*Aronex Pharmaceuticals, Inc.......................... 15,700 45,628
*Arqule, Inc.......................................... 12,800 77,200
*Arrhythmia Research Technology, Inc.................. 1,800 2,025
*Arrow Automotive Industries, Inc..................... 1,000 1,375
Arrow Financial Corp.................................. 4,042 106,355
Arrow International, Inc.............................. 20,900 592,384
*Artecon, Inc......................................... 4,200 7,875
*Artesyn Technologies, Inc............................ 38,900 657,653
*Arthrocare Corp...................................... 8,000 125,000
*Artisoft, Inc........................................ 13,100 39,709
*#Artra Group, Inc.................................... 6,000 16,500
*Arts Way Manufacturing Co., Inc...................... 200 1,162
*Asahi/Amer, Inc...................................... 2,400 11,100
*Asante Technologies, Inc............................. 7,200 15,975
*Ascent Entertainment Group, Inc...................... 26,800 219,425
*Ashworth, Inc........................................ 13,300 76,475
*Aspen Technology, Inc................................ 23,900 333,853
*Assisted Living Concepts, Inc........................ 13,800 172,500
*Associated Group, Inc. Class A....................... 200 7,487
*Astea International, Inc............................. 12,100 24,200
*Astec Industries, Inc................................ 7,200 371,700
Astro-Med, Inc........................................ 4,500 24,187
*Astronics Corp....................................... 2,612 28,079
*Asyst Technologies, Inc.............................. 10,900 221,747
Atalanta Sosnoff Capital Corp......................... 7,700 68,819
*Atchison Casting Corp................................ 9,200 86,250
*Athey Products Corp.................................. 2,940 9,555
*Atlantic American Corp............................... 17,000 70,125
*Atlantic Bank and Trust Co........................... 2,000 27,875
*Atlantic Coast Airlines, Inc......................... 17,100 432,844
*Atlantic Premium Brands, Ltd......................... 2,000 4,000
*Atlantis Plastics, Inc............................... 3,300 26,400
*Atlas Air, Inc....................................... 20,200 934,250
Atrion Corp........................................... 1,950 16,697
*#Atrix Labs, Inc..................................... 10,200 114,112
*Atwood Oceanics, Inc................................. 12,300 230,625
*Au Bon Pain, Inc. Class A............................ 11,100 69,028
*Audiovox Corp. Class A............................... 13,900 89,481
*Audits & Surveys Worldwide, Inc...................... 5,100 11,475
*Ault, Inc............................................ 3,900 26,203
*Aura Systems, Inc.................................... 48,000 64,500
*Aurora Biosciences Corp.............................. 6,000 30,375
*Auspex Systems, Inc.................................. 25,000 93,750
Authentic Fitness Corp................................ 23,000 368,000
*#Autobond Acceptance Corp............................ 5,900 22,862
Autocam Corp.......................................... 4,560 63,982
*Autocyte, Inc........................................ 9,000 35,156
*Autoimmune, Inc...................................... 13,100 25,381
*Autologic Information International, Inc............. 2,300 9,487
*Automobile Protection Corp........................... 10,500 95,156
*Autonomous Technologies Corp......................... 9,500 44,234
*Autote Corp. Class A................................. 28,758 59,313
Avado Brands, Inc..................................... 33,200 254,187
*Avalon Holding Corp. Class A......................... 1,550 12,109
*Avanir Pharmaceuticals Class A....................... 25,300 65,227
*Avant Corp........................................... 32,700 546,703
*Avant Immunotherapeutics, Inc........................ 29,975 39,342
*Avatar Holdings, Inc................................. 5,500 88,687
*Avatex Corp.......................................... 6,300 4,725
*Avecor Cardiovascular, Inc........................... 6,200 75,562
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Avert, Inc............................................ 1,300 $ 6,012
*Aviall, Inc.......................................... 17,700 214,612
*Aviation Sales Co.................................... 12,457 460,909
*Avid Technology, Inc................................. 22,100 526,947
*Avigen, Inc.......................................... 6,600 22,481
*Avondale Financial Corp.............................. 2,800 38,150
*Avondale Industries, Inc............................. 11,600 319,000
*Avteam, Inc. Class A................................. 7,000 38,500
*Aware, Inc........................................... 18,000 361,125
*Axent Technologies, Inc.............................. 24,800 650,225
*Axiohm Transaction Solutions, Inc.................... 5,832 27,337
*Axsys Technologies, Inc.............................. 2,500 34,922
*Axys Pharmaceuticals, Inc............................ 30,100 170,253
*Aydin Corp........................................... 3,100 30,031
*Aztar Corp........................................... 45,200 228,825
Aztec Manufacturing Co................................ 5,000 49,687
*BA Merchant Services, Inc. Class A................... 10,500 175,875
*BCT International, Inc............................... 2,700 6,159
*BEI Electronics, Inc................................. 6,000 10,500
BEI Technologies, Inc................................. 5,100 62,475
*BFX Hospitality Group, Inc........................... 4,600 7,475
BHA Group Holdings, Inc. Class A...................... 5,856 80,886
*BI, Inc.............................................. 6,400 47,200
*BLC Financial Services, Inc.......................... 5,000 11,250
BMC Industries, Inc................................... 26,700 165,206
*BRC Holdings, Inc.................................... 12,700 241,300
BSB Bancorp, Inc...................................... 8,600 248,325
BT Financial Corp..................................... 9,470 261,609
*BTG, Inc............................................. 7,900 52,337
*BTU International, Inc............................... 6,500 22,953
*#BWAY Corp........................................... 4,800 78,300
*Back Bay Restaurant Group, Inc....................... 2,700 23,962
Badger Meter, Inc..................................... 1,800 65,250
*Badger Paper Mills, Inc.............................. 1,000 8,000
Bairnco Corp.......................................... 8,300 59,137
Baker (J.), Inc....................................... 12,500 61,328
*Baker (Michael) Corp................................. 3,900 36,075
*Balanced Care Corp................................... 2,000 14,000
Balchem Corp.......................................... 1,800 12,262
Baldor Electric Co.................................... 11,733 233,927
Baldwin Piano & Organ Co.............................. 1,300 13,000
*Baldwin Technology, Inc. Class A..................... 12,100 69,575
*Ballantyne Omaha, Inc................................ 11,550 88,069
Ballard Medical Products.............................. 27,400 595,950
*#Bally Total Fitness Holding Corp.................... 23,675 560,802
*Baltek Corp.......................................... 1,500 15,750
Bancfirst Ohio Corp................................... 5,100 148,537
*Bancinsurance Corp................................... 4,100 22,294
Bancorp Connecticut, Inc.............................. 4,100 73,031
*BancTec, Inc......................................... 20,896 275,566
Bandag, Inc........................................... 9,800 346,675
Bandag, Inc........................................... 3,000 96,562
*Bangor Hydro-Electric Co............................. 6,500 78,812
Bank of Granite Corp.................................. 9,450 269,620
*Bank Plus Corp....................................... 17,400 72,862
*Bank United Financial Corp. Class A.................. 15,300 131,006
Bank West Financial Corp.............................. 1,600 16,300
BankAtlantic Bancorp, Inc. Class A.................... 8,600 58,050
BankAtlantic Bancorp, Inc. Class B.................... 12,171 96,607
BankNorth Group, Inc. DE.............................. 12,500 415,625
*Banner Aerospace, Inc................................ 18,200 161,525
*Banyan System, Inc................................... 18,100 141,406
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Barnes Group, Inc..................................... 17,900 $ 553,781
*Barnett, Inc......................................... 14,600 185,237
*Barnwell Industries, Inc............................. 400 4,625
*Barra, Inc........................................... 12,200 317,962
*Barrett Business Services, Inc....................... 4,100 36,259
*Barringer Technologies, Inc.......................... 5,500 47,008
*Barry (R.G.) Corp.................................... 8,832 104,880
*#Base Ten Systems, Inc. Class A...................... 8,600 25,666
*Basin Exploration, Inc............................... 12,500 144,531
Bassett Furniture Industries, Inc..................... 11,800 297,950
Battle Mountain Gold Co............................... 97,900 458,906
Bay State Gas Co...................................... 7,600 300,200
#Bay View Capital Corp................................ 18,200 381,062
*Bayard Drilling Technologies, Inc.................... 10,296 51,480
*Baycorp Holdings, Ltd................................ 5,500 26,125
Bayonne Bancshares, Inc............................... 6,400 105,600
*Bayou Steel Corp. Class A............................ 9,600 44,400
*Be Aerospace, Inc.................................... 20,500 486,234
Beauticontrol Cosmetics, Inc.......................... 5,400 32,400
*Beazer Homes USA, Inc................................ 6,000 143,250
*Bel Fuse, Inc. Class A............................... 1,750 48,891
*Bel Fuse, Inc. Class B............................... 1,750 41,453
*Belco Oil & Gas Corp................................. 31,600 177,750
Belden, Inc........................................... 19,900 335,812
*Bell and Howell Co................................... 21,000 708,750
*Bell Industries, Inc................................. 7,620 79,534
*Bell Microproducts, Inc.............................. 8,800 81,125
*Bellwether Exploration Co............................ 14,100 78,431
*Ben & Jerry's Homemade, Inc. Class A................. 5,100 101,841
*Benchmark Electronics, Inc........................... 9,300 232,500
*Benihana, Inc........................................ 1,000 10,875
*Bentley Pharmaceuticals, Inc......................... 3,160 5,135
*Benton Oil & Gas Co.................................. 29,600 111,000
Berkshire Gas Co...................................... 1,000 23,000
*Berlitz International, Inc........................... 4,700 139,237
Berry Petroleum Corp. Class A......................... 19,000 247,000
*Big 4 Ranch, Inc..................................... 3,200 0
*Big Flower Holdings, Inc............................. 16,800 410,550
*Billing Information Concepts Corp.................... 33,900 426,928
Bindley Western Industries, Inc....................... 17,766 686,212
Binks Sames Corp...................................... 1,500 22,500
*Bio Technology General Corp.......................... 48,300 321,497
*#Bio Vascular, Inc................................... 8,100 33,919
*Bioanalytical Systems, Inc........................... 4,000 18,750
*Biocryst Pharmaceuticals, Inc........................ 14,000 92,750
*Biofield Corp........................................ 9,000 15,750
*Bio-Logic Systems Corp............................... 2,100 6,562
*#Biomatrix, Inc...................................... 9,400 456,487
*Bionx Implants, Inc.................................. 6,300 57,487
*Bio-Plexus, Inc...................................... 2,700 7,425
*Bio-Rad Laboratories, Inc. Class A................... 8,300 176,375
*Biosite Diagnostics, Inc............................. 10,000 82,500
*Biosource International, Inc......................... 8,700 26,236
*Biospecifics Technologies Corp....................... 3,000 11,906
*#Biospherics, Inc.................................... 6,500 37,375
Birmingham Steel Corp................................. 31,800 155,025
*Black Box Corp....................................... 15,300 536,456
*Black Hawk Gaming & Development, Inc................. 3,600 29,925
Black Hills Corp...................................... 19,550 482,641
Blair Corp............................................ 6,700 118,087
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Blanch (E.W.) Holdings, Inc........................... 11,500 $ 460,719
Blimpie International................................. 8,600 18,812
*Blonder Tongue Laboratories, Inc..................... 7,500 59,062
*Bluegreen Corp....................................... 18,395 126,466
Bob Evans Farms, Inc.................................. 1,400 33,994
*Boca Research, Inc................................... 7,900 16,787
*#Bogen Communications International, Inc............. 1,400 9,494
*Bolder Technologies Corp............................. 8,600 77,131
*Bolle, Inc........................................... 4,161 13,913
*Bolt Technology Corp................................. 4,500 33,750
*Bombay Co., Inc...................................... 37,900 187,131
*Bonded Motors, Inc................................... 1,800 12,487
*Bone Care International, Inc......................... 2,250 24,328
*Bontex, Inc.......................................... 200 403
*Bon-Ton Stores, Inc.................................. 10,800 83,700
*Books-a-Million, Inc................................. 15,400 453,337
*Boole & Babbage, Inc................................. 25,362 802,866
*Borg-Warner Security Corp............................ 23,500 430,344
Boston Acoustics, Inc................................. 3,750 93,398
*Boston Beer Company, Inc. Class A.................... 6,300 53,550
*Boston Biomedical, Inc............................... 3,300 9,281
*Boston Chicken, Inc.................................. 27,200 18,275
*Boston Communications Group, Inc..................... 11,000 110,344
Bostonfed Bancorp, Inc................................ 3,800 70,300
Bowne & Co., Inc...................................... 34,600 579,550
*Boyd Gaming Corp..................................... 61,800 224,025
*Bradley Pharmaceuticals, Inc. Class A................ 1,500 1,852
Brady (W.H.) Co. Class A.............................. 20,700 531,731
*Brauns Fashions Corp................................. 3,200 26,000
*Brazos Sportswear, Inc............................... 230 144
*#Breed Technologies, Inc............................. 36,800 248,400
Brenton Banks, Inc.................................... 17,088 306,516
*Brewer (C.) Homes, Inc. Class A...................... 1,800 534
*Bridgeport Macs, Inc................................. 5,100 40,481
Bridgford Foods Corp.................................. 4,075 52,848
*Brightpoint, Inc..................................... 46,700 707,797
*Brilliant Digital Entertainment, Inc................. 7,000 16,187
*Brite Voice Systems, Inc............................. 12,100 96,800
*Britesmile, Inc...................................... 6,100 7,244
Broad National Bancorporation......................... 3,326 61,947
*Broadband Technologies, Inc.......................... 10,600 48,031
*Broadvision, Inc..................................... 24,200 645,081
*Broadway & Seymour, Inc.............................. 8,300 24,381
*Brookdale Living Communities......................... 8,600 144,050
#Brooke Group, Ltd.................................... 18,400 345,000
*Brooks Automation, Inc............................... 8,000 126,500
*Brookstone, Inc...................................... 8,000 120,500
*Brooktrout Technology, Inc........................... 9,300 145,312
*Brothers Gourmet Coffees, Inc........................ 6,771 271
*Brown & Sharpe Manufacturing Co. Class A............. 11,500 76,187
*Brown (Tom), Inc..................................... 26,300 264,644
Brown Group, Inc...................................... 18,000 322,875
*Brunswick Technologies, Inc.......................... 4,600 24,150
Brush Wellman, Inc.................................... 14,900 240,262
*Brylane, Inc......................................... 16,600 263,525
Bryn Mawr Bank Corp................................... 800 22,100
*Buckeye Technology, Inc.............................. 22,400 436,800
*Buckhead America Corp................................ 900 4,837
*Buckle, Inc.......................................... 19,800 507,375
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Budget Group, Inc.................................... 20,200 $ 252,500
*Buffets, Inc......................................... 45,686 533,955
*Builders Transport, Inc.............................. 1,800 11
*Building Materials Holding Corp...................... 10,600 131,506
*Bull Run Corp. GA.................................... 21,300 71,222
Burlington Coat Factory Warehouse Corp................ 17,180 249,110
*Burlington Industries, Inc........................... 40,000 417,500
*Burr Brown Corp...................................... 28,062 662,088
*Bush Boake Allen, Inc................................ 17,400 593,775
Bush Industries, Inc. Class A......................... 9,000 147,375
*Business Resource Group.............................. 2,400 6,900
*Butler International, Inc............................ 4,100 88,150
Butler Manufacturing Co............................... 5,400 125,550
C & D Technologies, Inc............................... 9,200 266,800
*CATS Software, Inc................................... 6,200 26,931
*C-COR Electronics, Inc............................... 6,800 97,325
*C-Cube Microsystems, Inc............................. 33,400 876,750
*#C-Phone Corp........................................ 6,400 18,100
*C.P. Clare Corp...................................... 9,400 68,150
*CB Richard Ellis Services, Inc....................... 18,900 335,475
*CCA Industries, Inc.................................. 4,300 6,181
*CCC Information Services Group, Inc.................. 24,100 265,853
*CDI Corp............................................. 17,900 479,944
*CE Software Holdings, Inc............................ 580 2,646
*CEM Corp............................................. 3,800 39,425
*CET Environmental Services, Inc...................... 3,500 4,812
*CFI Proservices, Inc................................. 3,000 33,750
*CFM Technologies, Inc................................ 7,100 62,347
CFSB Bancorp, Inc..................................... 2,415 56,224
CFW Communications Co................................. 11,700 243,506
*CKS Group, Inc....................................... 13,700 462,375
*CMC Industries, Inc.................................. 5,200 32,987
CMI Corp. Class A..................................... 17,800 162,425
CMP Media Group, Inc.................................. 29,200 523,775
*CMP Media, Inc. Class A.............................. 6,400 74,800
*CNA Surety Corp...................................... 34,700 509,656
*#CNET, Inc........................................... 4,500 237,516
*CNS Income........................................... 16,600 78,850
*CPAC, Inc............................................ 5,020 47,376
CPB, Inc.............................................. 6,800 117,725
*CPI Aerostructures, Inc.............................. 200 312
CPI Corp.............................................. 8,000 171,000
*CPS Systems, Inc..................................... 7,000 7,000
*CSP, Inc............................................. 2,783 21,916
*CSS Industries, Inc.................................. 9,300 274,931
*CTB International Corp............................... 2,000 17,000
*#CTC Communications Corp. Class 1.................... 9,000 64,969
CTG Resources, Inc.................................... 6,400 160,800
CTS Corp.............................................. 16,400 578,100
*CUNO, Inc............................................ 14,500 214,781
CVB Financial Corp.................................... 13,545 330,159
*Cable Design Techologies Corp........................ 27,225 501,961
Cabot Oil & Gas Corp. Class A......................... 24,900 384,394
*Cache, Inc........................................... 7,625 35,742
*Caci International, Inc. Class A..................... 8,600 159,637
*Cade Industries, Inc................................. 19,800 46,716
*Cadiz, Inc........................................... 29,800 264,475
Cadmus Communications Corp............................ 5,800 94,975
*Cadus Pharmaceutical Corp............................ 8,700 22,566
*Caere Corp........................................... 10,600 142,106
Cagle's, Inc. Class A................................. 2,000 40,500
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Cal Dive International, Inc.......................... 5,000 $ 82,187
*#Calcomp Technology, Inc............................. 33,000 48,469
Calgon Carbon Corp.................................... 28,900 209,525
*Caliber Learning Network, Inc........................ 10,000 48,750
*#California Amplifier, Inc........................... 7,000 19,469
*California Coastal Comm, Inc......................... 9,500 65,016
*#California Culinary Academy, Inc.................... 1,200 9,375
*California Micro Devices Corp........................ 8,400 22,575
*California Microwave, Inc............................ 15,000 183,750
California Water Service Group........................ 10,400 271,050
*Callon Petroleum Co.................................. 9,600 123,000
*Calloways Nursery, Inc............................... 1,200 1,312
Cal-Maine Foods, Inc.................................. 10,800 53,662
Calmat Co............................................. 20,900 642,675
*Calumet Bancorp, Inc................................. 1,650 45,684
Cambrex Corp.......................................... 21,700 607,600
*Cambridge Heart, Inc................................. 10,800 60,750
*Cameron Ashley Building Products, Inc................ 8,400 107,100
Cameron Financial Corp................................ 1,300 21,369
*Candela Laser Corp................................... 3,800 21,850
*Candies, Inc......................................... 13,800 39,459
*Canisco Resources, Inc............................... 500 1,094
*Cannon Express, Inc. Class A......................... 900 5,175
*Cannondale Corp...................................... 6,900 68,784
*Cantel Industries, Inc. Class B...................... 3,100 21,312
Cape Cod Bank & Trust Co.............................. 6,400 127,600
*Capital Factors Holding, Inc......................... 1,100 19,112
*Capital Pacific Holdings, Inc........................ 11,600 34,075
Capital Re Corp....................................... 17,000 335,750
*Capital Senior Living Corp........................... 1,500 18,562
Capitol Bancorp, Ltd.................................. 3,089 79,349
Capitol Transamerica Corp............................. 10,050 177,131
Caraustar Industries, Inc............................. 22,900 610,428
*Carbide/Graphite Group, Inc.......................... 7,800 99,450
Carbo Ceramics, Inc................................... 4,000 83,625
*Cardiac Pathways Corp................................ 10,000 47,187
*Cardiotech International, Inc........................ 2,101 2,758
*Cardiovascular Diagnostics........................... 6,100 35,456
*Cardiovascular Dynamics, Inc......................... 8,488 35,013
*#Carematrix, Inc..................................... 15,800 442,400
*Caretenders Healthcorp............................... 1,600 4,500
*#Caribiner International, Inc........................ 21,900 203,944
*Carleton Corporation................................. 1,100 2,269
*Carmike Cinemas, Inc. Class A........................ 8,700 174,000
Carolina First Corp................................... 15,710 390,295
*Carreker-Antinori, Inc............................... 15,000 80,625
*Carr-Gottstein Foods Co.............................. 7,654 86,586
*Carriage Services, Inc. Class A...................... 8,600 218,225
*#Carrington Laboratories, Inc........................ 7,100 19,192
*Carson, Inc.......................................... 500 1,437
Carter-Wallace, Inc................................... 32,900 583,975
Cascade Corp.......................................... 10,700 149,800
Cascade Natural Gas Corp.............................. 9,900 181,294
*Casella Waste Systems, Inc. Class A.................. 12,800 399,600
Casey's General Stores, Inc........................... 36,800 508,300
Cash America International, Inc....................... 22,600 381,375
*Casino Data Systems.................................. 14,400 28,350
*Castle & Cooke, Inc.................................. 17,200 268,750
Castle (A.M.) & Co.................................... 13,037 250,962
*Castle Dental Centers, Inc........................... 1,700 10,678
Castle Energy Corp.................................... 2,400 45,900
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Catalina Lighting, Inc............................... 5,100 $ 11,156
*Catalyst International, Inc.......................... 14,800 151,237
*Catalytica, Inc...................................... 31,700 569,609
Cathay Bancorp, Inc................................... 1,100 42,247
*Catherines Stores Corp............................... 6,300 65,756
Cato Corp. Class A.................................... 21,300 288,216
Cavalier Homes, Inc................................... 18,060 195,274
*Cec Entertainment Inc................................ 7,200 213,300
*Celadon Group, Inc................................... 6,000 78,937
*Celebrity, Inc....................................... 5,200 3,900
*Celeritek, Inc....................................... 5,000 15,000
*Celestial Seasonings, Inc............................ 6,600 164,587
*Celgene Corp......................................... 14,200 118,925
*#Cell Genesys, Inc................................... 28,452 137,814
*Cell Pathways, Inc................................... 4,829 57,495
*Cellegy Pharmaceuticals, Inc......................... 7,100 31,062
*#Cellnet Data Systems, Inc........................... 41,900 243,544
*Cellstar Corp........................................ 59,000 383,500
*#Cel-Sci Corp........................................ 2,500 5,937
Cenit Bancorp, Inc.................................... 2,800 52,675
*Centennial Bancorp................................... 13,694 242,641
*Centennial Cellular Corp. Class A.................... 12,400 497,162
*Centennial Healthcare Corp........................... 9,500 145,766
Centex Construction Products, Inc..................... 4,700 166,850
*Centigram Communications Corp........................ 5,200 38,675
Central Co-Operative Bank Somerville, MA.............. 700 12,294
*Central Garden & Pet Co.............................. 24,700 397,516
Central Hudson Gas & Electric Corp.................... 11,200 452,900
*Central Reserve Life Corp............................ 2,100 18,769
*Central Sprinkler Corp............................... 4,000 36,000
Central Vermont Public Service Corp................... 10,300 107,506
Centris Group, Inc.................................... 11,400 116,850
*Centura Software Corp................................ 8,600 9,944
Century Aluminum Co................................... 18,000 153,281
Century Bancorp Income Class A........................ 1,000 19,750
*Century Business Services, Inc....................... 46,800 631,800
*Century Communications Corp. Class A................. 2,500 61,016
*Cephalon, Inc........................................ 28,600 217,181
*Ceradyne, Inc........................................ 6,900 28,031
Cerberonics, Inc. Class A............................. 200 1,569
*Cerion Technologies, Inc............................. 3,500 1,039
*Cerner Corp.......................................... 19,700 517,741
*Cerprobe Corp........................................ 7,300 105,394
*Chad Therapeutics.................................... 8,000 14,000
Champion Industries, Inc.............................. 8,462 84,884
*Charming Shoppes, Inc................................ 99,000 414,562
*Chart House Enterprises, Inc......................... 10,600 53,000
Chart Industries, Inc................................. 20,025 153,942
*Charter Federal Savings Bank (Escrow)................ 2,100 0
Chartwell Re Corp..................................... 8,700 240,337
Chase Corp............................................ 4,500 58,500
*Chase Industries, Inc................................ 9,000 105,187
*Chattem, Inc......................................... 9,200 391,575
*Chaus (Bernard), Inc................................. 9,400 27,025
*Check Technology Corp................................ 4,400 13,750
*Checkfree Holdings Corp.............................. 12,000 196,500
*Checkpoint System, Inc............................... 31,900 428,656
*Cheesecake Factory, Inc.............................. 18,050 465,916
Chemed Corp........................................... 9,100 308,262
</TABLE>
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<S> <C> <C>
*Chemfab Corp......................................... 5,850 $ 131,625
Chemfirst, Inc........................................ 13,600 256,700
Chemical Financial Corp............................... 7,386 317,598
*Cherry Corp. Class A................................. 3,000 44,062
*Cherry Corp. Class B................................. 1,800 26,887
*Chesapeake Biological Laboratories, Inc. Class A..... 3,600 15,975
Chesapeake Energy Corp................................ 94,570 130,034
Chesapeake Utilities Corp............................. 3,700 64,750
Chester Valley Bancorp................................ 302 8,616
Chic by His, Inc...................................... 9,800 44,712
Chicago Rivet & Machine Co............................ 200 5,800
*Chicos Fas, Inc...................................... 8,200 179,887
*#Childrens Broadcasting Corp......................... 4,700 14,834
*Children's Comprehensive Services, Inc............... 8,650 107,855
*Childrens PL Retail Stores, Inc...................... 11,500 213,469
*Childtime Learning Centers, Inc...................... 3,300 46,612
Chiquita Brands International, Inc.................... 12,292 138,285
*Chirex, Inc.......................................... 10,600 192,787
Chittenden Corp....................................... 14,366 434,571
*Chock Full O' Nuts Corp.............................. 10,130 67,111
*Choice Hotels International, Inc..................... 12,000 137,250
*Cholestech Corp...................................... 10,300 42,487
*Christiana Companies, Inc............................ 9,000 187,594
*Chromcraft Revington, Inc............................ 3,400 56,525
*Chronimed, Inc....................................... 12,100 123,647
*Chrysalis International Corp......................... 9,100 3,555
Church & Dwight Co., Inc.............................. 17,500 604,844
*Chyron Corp.......................................... 27,600 74,175
*Cidco, Inc........................................... 12,600 36,028
Cilcorp, Inc.......................................... 4,000 242,000
*Cima Laboratories, Inc............................... 8,600 27,681
*Ciprico, Inc......................................... 3,300 24,441
Circle International, Inc............................. 14,700 245,306
*Circon Corp.......................................... 7,390 108,079
*Circuit Systems, Inc................................. 2,600 9,628
*Cirrus Logic, Inc.................................... 61,200 755,437
*Citadel Holding Corp................................. 5,300 19,544
*Citation Computer System, Inc........................ 2,200 5,087
*Citation Corp........................................ 16,100 225,400
Citizens Banking Corp................................. 4,100 133,891
*Citizens, Inc. Class A............................... 16,700 97,069
City Holding Co....................................... 4,542 151,589
*Civic Bancorp........................................ 2,835 40,753
Clarcor, Inc.......................................... 24,350 458,084
*Clarify, Inc......................................... 19,500 352,219
*Clark (Dick) Productions, Inc........................ 3,360 49,140
*Clean Harbors, Inc................................... 9,300 15,984
*Clearview Cinema Group, Inc.......................... 2,000 47,750
Cleveland Cliffs, Inc................................. 10,200 388,237
*Cliffs Drilling Co................................... 14,300 226,119
*Clintrials Research, Inc............................. 15,900 55,153
*#Closure Medical Corp................................ 11,900 276,675
Coachmen Industries, Inc.............................. 15,100 339,750
*Coast Dental Services, Inc........................... 5,300 60,784
*Coast Distribution System............................ 4,000 8,000
Coastal Bancorp, Inc.................................. 5,250 100,406
*Coastcast Corp....................................... 8,200 64,575
*Cobra Electronic Corp................................ 6,200 27,125
Coca-Cola Bottling Co. Consolidated................... 5,200 303,225
*#Cocensys, Inc....................................... 17,600 10,175
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Code-Alarm, Inc...................................... 800 $ 625
*Coeur d'Alene Mines Corp. ID......................... 19,700 99,731
*Coffee People, Inc................................... 3,000 6,187
*Cognex Corp.......................................... 33,300 548,409
*Cognitronics Corp.................................... 2,500 24,687
*Cognizant Technology Solutions Corp.................. 2,000 43,375
*Coherent, Inc........................................ 23,700 297,731
*Cohesion Technologies, Inc........................... 6,300 24,806
*Coho Energy, Inc..................................... 23,000 101,344
*#Cohr, Inc........................................... 5,100 15,141
Cohu, Inc............................................. 8,200 185,781
*Coinmach Laundry Corp................................ 12,600 206,325
*#Coinstar, Inc....................................... 12,800 84,800
*Cold Metal Products, Inc............................. 3,500 9,844
*#Coldwater Creek, Inc................................ 8,300 100,119
*Cole (Kenneth) Productions, Inc. Class A............. 5,700 103,669
*Cole National Corp. Class A.......................... 15,300 236,194
*Coleman, Inc......................................... 1,400 13,387
*Collaborative Clinical Research, Inc................. 3,700 10,984
Collagen Corp......................................... 6,300 60,637
*Collagenex Pharmaceuticals, Inc...................... 7,700 89,031
*Collins & Aikman Corp................................ 64,000 340,000
Collins Industries, Inc............................... 6,500 27,828
#Colonial Gas Co...................................... 8,050 278,731
*Colorado MEDtech, Inc................................ 9,700 86,997
*Columbia Banking System, Inc......................... 8,979 177,616
*#Columbia Laboratories, Inc.......................... 28,700 107,625
*Columbus Energy Corp................................. 2,987 19,415
Columbus McKinnon Corp................................ 12,400 224,750
*Com21, Inc........................................... 5,000 89,531
*Comarco, Inc......................................... 3,400 76,925
*Comdial Corp......................................... 6,900 62,316
*Comforce Corp........................................ 13,877 74,589
*Command Systems, Inc................................. 2,000 5,281
Commercial Bancshares, Inc............................ 1,433 33,496
Commercial Bank of New York........................... 4,200 60,112
Commercial Intertech Corp............................. 11,400 180,262
Commercial Metals Co.................................. 13,400 339,187
Commercial National Financial Corp.................... 1,300 52,162
*Commodore Applied Technologies, Inc. (Private
Placement).......................................... 13,902 7,820
Commonwealth Bancorp, Inc............................. 14,500 223,391
Commonwealth Energy System............................ 15,100 581,350
Commonwealth Industries, Inc.......................... 14,400 137,700
*Commscope, Inc....................................... 38,000 577,125
Communications Systems, Inc........................... 8,100 104,287
Community Bank System, Inc............................ 6,100 177,662
#Community Bankshares, Inc............................ 200 2,725
Community Financial Corp.............................. 1,200 15,600
#Community Financial Group, Inc....................... 2,000 25,375
Community First Brokerage Co.......................... 1,200 49,050
Community Savings Bankshares, Inc..................... 3,900 90,431
Community Trust Bancorp, Inc.......................... 8,040 187,432
*Community West Bancshares............................ 3,600 35,325
*Comnet Cellular, Inc................................. 20,400 211,650
*Compass International Services Corp.................. 8,000 77,750
*Compdent Corp........................................ 8,100 84,291
*Competitive Technologies, Inc........................ 4,200 21,000
*Complete Business Solutions, Inc..................... 8,322 205,449
*#Comprehensive Care Corp............................. 2,500 8,906
</TABLE>
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<CAPTION>
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*Comptek Research, Inc................................ 3,200 $ 28,400
*Compucom Systems, Inc................................ 44,100 168,131
*#Computer Learning Centers, Inc...................... 15,600 99,937
*Computer Manangement Sciences, Inc................... 13,100 232,934
*Computer Motion, Inc................................. 7,300 67,753
*Computer Network Technology Corp..................... 22,100 155,391
*Computer Outsourcing Services, Inc................... 2,900 28,637
Computer Task Group, Inc.............................. 18,700 504,900
*Comshare, Inc........................................ 8,900 38,381
*Comstock Resources, Inc.............................. 22,800 84,075
*Comtech Telecommunications Corp...................... 1,000 8,937
*Concentra Corp....................................... 3,700 25,437
*Concentra Managed Care, Inc.......................... 44,000 511,500
*Concord Camera Corp.................................. 9,900 54,141
*Concord Fabrics, Inc. Class A........................ 700 4,375
*Concurrent Computer Corp............................. 44,800 151,200
*Condor Technology Solutions, Inc..................... 3,000 29,250
*Conductus, Inc....................................... 4,900 7,503
*Cone Mills Corp. NC.................................. 27,900 127,294
*Congoleum Corp. Class A.............................. 3,200 28,600
*Conmed Corp.......................................... 15,075 410,794
Connecticut Energy Corp............................... 9,200 257,025
Connecticut Water Services, Inc....................... 3,600 100,125
*Connitics Corp....................................... 15,500 62,484
*Consep, Inc.......................................... 4,300 5,375
*Consilium, Inc....................................... 6,900 43,556
*Conso Products Co.................................... 5,000 29,219
*Consolidated Delivery and Logistics, Inc............. 6,000 19,687
*Consolidated Freightways Corp........................ 20,700 260,044
*Consolidated Graphics, Inc........................... 7,400 425,962
*Consolidated Products, Inc........................... 18,661 386,049
Consolidated Tokoma Land Co........................... 3,100 39,912
*Consumer Portfolio Services, Inc..................... 13,100 56,494
Consumers Water Co.................................... 6,300 195,694
*ContiFinancial Corp.................................. 37,000 205,812
*Continucare Corp..................................... 12,400 31,775
*#Converse, Inc....................................... 13,900 30,406
Cooker Restaurant Corp................................ 9,200 52,900
*Cooper Companies, Inc................................ 13,400 284,750
*Cooperative Bankshares, Inc.......................... 1,400 20,825
*Copart, Inc.......................................... 10,500 248,062
*Copley Pharmaceutical, Inc........................... 17,300 139,481
*#Copytele, Inc....................................... 52,100 78,964
*Cor Therapeutics, Inc................................ 24,100 282,422
*Coram Healthcare Corp................................ 35,563 66,681
*Core Materials Corp.................................. 7,700 20,694
*Core, Inc............................................ 6,700 41,037
*Cornell Corrections, Inc............................. 7,400 132,275
*Corporate Express, Inc............................... 62,000 360,375
*#Correctional Services Corp.......................... 5,400 62,606
*Corrpro Companies, Inc............................... 5,675 68,809
*Cort Business Services Corp.......................... 11,400 258,637
Corus Bankshares, Inc................................. 14,600 533,812
*Corvas International, Inc............................ 12,600 34,650
*Corvel Corp.......................................... 1,000 37,250
*Cosmetic Centers, Inc. Class C....................... 451 578
*Cost Plus, Inc....................................... 8,800 292,600
*Costilla Energy, Inc................................. 9,000 52,312
*Cotelligent Group, Inc............................... 12,200 223,412
Cotton States Life Insurance Co....................... 2,530 40,164
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Courier Corp.......................................... 1,200 $ 33,300
*Covenant Transport, Inc. Class A..................... 12,600 220,106
*Coventry Health Care, Inc............................ 54,000 408,375
Covest Bancshares, Inc................................ 2,250 31,711
*Coyote Network Systems, Inc.......................... 2,172 34,752
Craftmade International, Inc.......................... 5,850 68,372
*Craig (Jenny), Inc................................... 18,600 110,437
*#Craig Corp.......................................... 2,400 20,850
*#Creative Biomolecules, Inc.......................... 30,200 97,206
*#Creative Computers, Inc............................. 9,100 343,809
*Credence Systems Corp................................ 19,450 382,314
*Credit Acceptance Corp............................... 41,500 281,422
*#Cree Research, Inc.................................. 11,700 434,362
*Crescent Operating, Inc.............................. 5,000 19,141
*Criticare Systems, Inc............................... 7,500 16,641
Cross (A.T.) Co. Class A.............................. 13,700 97,612
Cross Timbers Oil Co.................................. 39,850 453,294
*Cross-Continent Auto Retailers, Inc.................. 12,100 119,487
*Crossman Communities, Inc............................ 8,850 220,144
*Crowley, Milner & Co................................. 1,000 4,687
*Crown Central Petroleum Corp. Class A................ 2,600 23,887
*Crown Central Petroleum Corp. Class B................ 4,700 43,475
Crown Crafts, Inc..................................... 6,500 40,219
*Crown Resources Corp................................. 12,400 24,800
*Crown Vantage, Inc................................... 8,500 25,367
*Crown-Andersen, Inc.................................. 1,000 4,625
*Cryolife, Inc........................................ 12,100 137,637
*Crystal Oil Co....................................... 1,200 46,650
Cubic Corp............................................ 8,000 164,000
*Cubist Pharmaceuticals, Inc.......................... 9,500 28,203
Culp, Inc............................................. 13,518 118,282
*Cunningham Graphics International, Inc............... 4,000 70,500
*Curative Health Services, Inc........................ 11,400 327,037
Curtiss-Wright Corp................................... 9,200 343,850
*CustomTracks Corp.................................... 13,800 121,181
*Cutter & Buck, Inc................................... 4,700 134,244
*Cyanotech Corp....................................... 10,300 13,197
*#Cybercash, Inc...................................... 13,700 227,762
*Cyberguard Corp...................................... 6,100 18,681
*Cyberonics, Inc...................................... 15,500 168,562
*Cyberoptics Corp..................................... 3,800 61,275
*Cybex Corp........................................... 5,850 243,141
*Cybex International, Inc............................. 8,700 41,869
*#Cygnus, Inc......................................... 18,000 86,625
*Cylink Corp.......................................... 28,300 227,284
*Cymer, Inc........................................... 28,600 429,894
*Cypros Pharmaceutical Corp........................... 15,700 60,837
*Cyrk, Inc............................................ 13,200 115,087
*Cytel Corp........................................... 2,142 6,560
*Cytrx Corp........................................... 3,800 2,731
*#Cytyc Corp.......................................... 15,200 300,200
*D & K Healthcare Resources, Inc...................... 3,200 62,700
*D A Consulting Group, Inc............................ 7,000 94,062
D&N Financial Corp.................................... 7,480 172,274
*DBT Online, Inc...................................... 16,580 282,896
*DII Group, Inc....................................... 24,900 519,009
*DM Management Co..................................... 8,500 124,312
*DNAP Holding Corp.................................... 1,270 4,286
*DRS Technologies, Inc................................ 3,900 35,831
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*DSP Communications, Inc.............................. 39,100 $ 584,056
*DSP Group, Inc....................................... 7,400 151,006
*DSP Technology, Inc.................................. 800 6,325
DT Industries, Inc.................................... 10,200 190,612
*DVI, Inc............................................. 12,200 215,787
*Dailey International, Inc............................ 4,900 4,823
*Daily Journal Corp................................... 200 7,200
Dain Rauscher Corp.................................... 14,800 551,300
*Dairy Mart Convenience Stores, Inc. Class A.......... 1,600 7,000
*Daisytek International Corp.......................... 18,700 291,019
*Daktronics, Inc...................................... 2,400 26,100
*Dal-Tile International, Inc.......................... 38,300 330,337
*Damark International, Inc. Class A................... 7,200 49,725
Dames & Moore, Inc.................................... 16,200 207,562
*Dan River, Inc. (GA) Class A......................... 18,200 147,875
Daniel Industries, Inc................................ 15,660 171,281
*Danielson Holding Corp............................... 2,000 7,250
*#Daou Systems, Inc................................... 15,900 59,128
*Darling International, Inc........................... 9,900 32,794
*Data Broadcasting Corp............................... 32,645 344,813
*#Data Dimensions, Inc................................ 11,600 148,262
*Data General Corp.................................... 44,200 801,125
*Data I/O Corp........................................ 4,900 7,962
*Data Processing Resources Corp....................... 10,200 239,062
*Data Race, Inc....................................... 5,000 14,922
Data Research Association, Inc........................ 4,400 60,225
*Data Systems & Software, Inc......................... 5,200 15,925
*Data Systems Network Corp............................ 165 206
*#Data Transmission Network Corp...................... 10,100 276,172
*Datakey, Inc......................................... 1,000 3,125
*Datamarine International, Inc........................ 200 575
*Dataram Corp......................................... 1,400 29,750
*Datascope Corp....................................... 14,000 306,250
*Datastream Systems, Inc.............................. 16,900 174,281
*Dataware Technologies, Inc........................... 7,400 27,981
*Datawatch Corp....................................... 4,600 7,259
*Dataworks Corp....................................... 12,774 100,595
*Datron Systems, Inc.................................. 2,100 13,125
*Datum, Inc........................................... 3,900 29,616
*Dave and Busters, Inc................................ 11,700 225,956
*Davel Communications Group, Inc...................... 2,500 48,437
*Davox Corp........................................... 12,850 91,958
*#Daw Technologies, Inc............................... 7,400 5,203
*Dawson Geophysical Co................................ 3,200 29,400
*Daxor Corp........................................... 3,400 44,837
*Day Runner, Inc...................................... 9,700 215,219
*Dayton Superior Corp. Class A........................ 5,100 99,450
Deb Shops, Inc........................................ 12,200 131,150
*Deckers Outdoor Corp................................. 7,900 16,294
Decorator Industries, Inc............................. 2,162 18,377
Defiance, Inc......................................... 7,600 50,825
*Del Global Technologies Corp......................... 6,883 68,400
Del Laboratories, Inc................................. 16,117 418,035
*Delco Remy International, Inc........................ 2,000 21,625
*Delia's, Inc......................................... 12,000 100,125
*Delta Financial Corp................................. 14,800 81,400
Delta Natural Gas Co., Inc............................ 1,400 25,900
Delta Woodside Industries, Inc........................ 24,700 123,500
*Deltek Systems, Inc.................................. 16,100 287,284
Deltic Timber Corp.................................... 12,800 256,000
*Denamerica Corp...................................... 12,100 12,100
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Dendrite International, Inc.......................... 21,400 $ 418,637
*#Dense-Pac Microsystems, Inc......................... 13,700 16,269
*Department 56, Inc................................... 15,800 544,112
*Depotech Corp........................................ 11,500 28,031
*Designs, Inc......................................... 14,800 9,712
*Detection Systems, Inc............................... 3,800 36,100
*Detrex Corp.......................................... 500 3,125
*Detroit Diesel Corp.................................. 25,100 519,256
*Devcon International Corp............................ 4,000 8,437
*Dewolfe Companies, Inc............................... 200 1,175
*Diagnostic Health Services, Inc...................... 10,200 26,297
Diagnostic Products Corp.............................. 11,700 302,737
*Dialogic Corp........................................ 14,600 326,675
*#Diametrics Medical, Inc............................. 21,000 87,937
*Diamond Home Services, Inc........................... 7,300 23,497
*Diamond Multimedia Systems, Inc...................... 33,800 220,756
*Diamond Technology Partners, Class A................. 8,200 114,287
*Dianon Systems, Inc.................................. 4,700 37,453
*Diatide, Inc......................................... 9,500 56,406
*Digene Corp.......................................... 12,700 69,453
*Digi International, Inc.............................. 12,200 156,694
*Digital Biometrics, Inc.............................. 11,700 21,206
*Digital Generation Systems, Inc...................... 11,000 43,656
*#Digital Lightwave, Inc.............................. 19,400 41,528
*Digital Link Corp.................................... 8,900 47,977
*Digital Microwave Corp............................... 53,700 312,131
*Digital Power Corp................................... 1,000 2,250
Dime Community Bancorp, Inc........................... 11,200 301,000
Dimon, Inc............................................ 41,500 339,781
*Diodes, Inc.......................................... 2,600 14,625
*Dionex Corp.......................................... 20,500 631,016
*Discount Auto Parts, Inc............................. 14,900 371,569
*Diversified Corporate Resources, Inc................. 2,200 12,650
Dixie Group, Inc...................................... 9,400 65,947
*Dixon Ticonderoga Co................................. 1,700 15,087
*Documentum, Inc...................................... 14,200 599,062
*Dollar Thrifty Automotive Group, Inc................. 2,000 25,000
*Dominion Homes, Inc.................................. 4,400 39,600
Donegal Group, Inc.................................... 3,200 43,600
*Donna Karan International, Inc....................... 19,400 145,500
Donnelly Corp. Class A................................ 5,875 88,859
*Donnkenny, Inc....................................... 11,300 12,359
*Dorsey Trailers, Inc................................. 3,000 2,625
Dover Downs Entertainment, Inc........................ 2,000 22,000
Downey Financial Corp................................. 18,676 485,576
*Dress Barn, Inc...................................... 20,800 307,450
*Drew Industries, Inc................................. 9,400 115,150
*Drexler Technology Corp.............................. 7,100 75,437
Dreyer's Grand Ice Cream, Inc......................... 27,200 368,050
*Dril-Quip, Inc....................................... 2,000 28,875
*Drug Emporium, Inc................................... 10,500 46,922
*Drypers Corp......................................... 2,500 7,070
*DuPont Photomasks, Inc............................... 13,700 510,325
*Duckwall-Alco Stores, Inc............................ 2,800 36,925
*Ducommun, Inc........................................ 8,900 148,519
Duff & Phelps Credit Rating Co........................ 3,200 166,800
*#Dunn Computer Corp.................................. 9,400 48,616
*Dura Automotive Systems, Inc......................... 7,700 222,819
*Dura Pharmaceuticals, Inc............................ 15,000 194,531
*Durakon Industries, Inc.............................. 5,200 55,250
*#Duramed Pharmaceuticals, Inc........................ 16,100 70,437
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Dwyer Group, Inc..................................... 4,100 $ 7,559
*Dycom Industries, Inc................................ 17,400 684,037
Dyersburg Corp........................................ 12,000 39,750
*Dynamic Healthcare Technologies, Inc................. 13,700 7,492
*Dynamic Materials Corp............................... 2,000 10,812
*Dynamics Research Corp............................... 5,477 35,943
*Dynatech Corp........................................ 5,100 13,069
E'town Corp........................................... 6,500 273,812
*E-Z-Em, Inc. Class A................................. 2,000 13,500
*E-Z-Em, Inc. Class B................................. 4,462 25,099
*E. Spire Communications, Inc......................... 37,900 304,977
*EA Engineering Science & Technology, Inc............. 5,625 6,943
*ECC International Corp............................... 7,300 20,987
*ECCS, Inc............................................ 1,700 3,347
*EEX Corp............................................. 12,000 42,750
*EFI Electronics Corp................................. 800 875
*EFTC Corp............................................ 13,700 51,589
*EIS International, Inc............................... 9,100 16,209
*ELXSI Corp........................................... 1,800 18,562
EMC Insurance Group, Inc.............................. 10,300 128,106
*ESCO Electronics Corp. Trust Receipts................ 10,100 99,737
*ESSEF Corp........................................... 7,744 126,808
Eagle Bancshares, Inc................................. 4,600 83,950
*Eagle Food Centers, Inc.............................. 10,300 32,831
*Eagle Geophysical, Inc............................... 7,700 43,312
*#Eagle Hardware & Garden, Inc........................ 26,200 740,150
*#Eagle Point Software Corp........................... 4,500 43,312
*Eagle USA Airfreight, Inc............................ 18,300 345,412
Easco, Inc............................................ 8,200 69,187
*East/West Communications, Inc........................ 2,200 2,887
Eastern Co............................................ 3,300 85,387
*Eastern Environment Services, Inc.................... 13,400 290,612
Eastern Utilities Associates.......................... 18,100 446,844
*Eateries, Inc........................................ 2,800 12,950
*Echelon International Corp........................... 2,100 48,037
*Eclipse Surgical Technologies, Inc................... 15,200 104,025
*Eco Soil Systems, Inc................................ 17,900 158,862
*#Ecogen, Inc......................................... 7,240 11,312
Ecology & Environment, Inc. Class A................... 900 9,112
*Edac Technologies Corp............................... 3,500 17,062
*Edelbrock Corp....................................... 3,600 60,975
*Edify Corp........................................... 15,000 122,812
*Edison Control Corp.................................. 1,000 7,250
Edo Corp.............................................. 4,200 36,225
*Education Management Corp............................ 13,000 593,125
Educational Development Corp.......................... 1,800 4,669
*Educational Insights, Inc............................ 2,700 5,231
*EduTrek International, Inc........................... 3,900 24,984
*Effective Management Systems, Inc.................... 1,400 3,062
*Egghead, Inc......................................... 24,300 622,687
*Einstein/Noah Bagel Corp............................. 30,700 65,237
*Ekco Group, Inc...................................... 17,400 64,162
*El Paso Electric Co.................................. 51,200 473,600
*Elantec Semiconductor, Inc........................... 8,300 30,606
*Elcom International, Inc............................. 24,700 43,997
Elcor Corp............................................ 13,450 415,269
*Elcotel, Inc......................................... 10,500 59,062
*Electric Fuel Corp................................... 12,200 38,506
*#Electric Lightwave, Inc............................. 7,000 42,766
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Electro Rent Corp.................................... 22,700 $ 261,050
*Electro Scientific Industries, Inc................... 10,000 300,000
*Electroglas, Inc..................................... 17,700 253,331
*Electromagnetic Sciences, Inc........................ 9,000 122,062
*Electronic Processing, Inc........................... 1,500 15,844
*Electronic Retailing System International, Inc....... 2,300 7,187
Ellett Brothers, Inc.................................. 4,000 17,500
*Embrex, Inc.......................................... 6,500 36,562
*Emcee Broadcast Products, Inc........................ 2,000 3,500
*Emcon................................................ 6,700 20,519
*#Emcor Group, Inc.................................... 9,700 159,444
*Emeritus Corp........................................ 12,500 118,750
*#Emisphere Technologies, Inc......................... 8,600 113,144
*Emmis Broadcasting Corp. Class A..................... 11,800 404,887
*Empi, Inc............................................ 5,400 123,356
Empire District Electric Co........................... 14,900 325,937
Empire Federal Bancorp, Inc........................... 2,000 26,625
*Employee Solutions, Inc. Class B..................... 31,800 74,034
*Emulex Corp.......................................... 4,250 119,664
*En Pointe Technologies, Inc.......................... 5,300 25,423
*#Enamelon, Inc....................................... 9,100 63,416
*Encad, Inc........................................... 10,400 60,450
*Encore Med Corp...................................... 5,000 18,594
*Encore Wire Corp..................................... 12,925 171,256
*Endocardial Solutions, Inc........................... 8,100 53,662
*Endosonics Corp...................................... 13,700 119,875
Energen Corp.......................................... 29,200 525,600
*#Energy Biosystems Corp.............................. 7,100 5,103
*Energy Conversion Devices, Inc....................... 9,500 58,484
*Energy Research Corp................................. 2,500 33,125
Energy West, Inc...................................... 200 1,869
Energynorth, Inc...................................... 3,000 85,500
Energysouth, Inc...................................... 3,000 62,156
Enesco Group, Inc..................................... 14,700 354,637
Engineered Support Systems, Inc....................... 2,800 45,500
*#Engineering Animation, Inc.......................... 10,400 407,550
*Engineering Measurements Co.......................... 1,250 5,781
Engle Homes, Inc...................................... 11,200 151,900
*Enlighten Software Solutions, Inc.................... 1,600 4,500
Ennis Business Forms, Inc............................. 14,000 147,000
*Enstar, Inc.......................................... 1,300 10,481
*Enterprise Software, Inc............................. 3,725 25,493
*#Entremed, Inc....................................... 11,200 277,200
*Envirogen, Inc....................................... 616 1,156
*Environmental Elements Corp.......................... 4,600 18,687
*Environmental Technologies Corp...................... 3,700 3,758
*Environmental Tectonics Corp......................... 1,500 16,500
*Envoy Corp........................................... 19,100 762,806
*Enzo Biochem, Inc.................................... 23,840 314,390
*Enzon, Inc........................................... 35,400 423,694
*#Epitope, Inc........................................ 12,200 69,387
*#Epl Technologies, Inc............................... 10,300 52,466
*#Equimed, Inc........................................ 2,250 141
*Equinox Systems, Inc................................. 4,150 44,353
*Equitex, Inc......................................... 1,200 8,775
*Equitrac Corp........................................ 1,300 21,856
*Equity Corp. International........................... 19,100 494,212
*Equity Marketing, Inc................................ 4,200 42,262
*Equity Oil Co........................................ 10,200 12,112
*Ergo Science Corp.................................... 12,800 16,600
Eskimo Pie Corp....................................... 2,000 22,312
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Espey Manufacturing & Electronics Corp............... 400 $ 5,175
*Ess Technology, Inc.................................. 41,100 264,581
*Esterline Technologies Corp.......................... 15,600 325,650
*Etec Systems, Inc.................................... 19,900 655,456
Ethyl Corp............................................ 83,500 485,344
*Evans & Sutherland Computer Corp..................... 8,000 154,500
*Evans Systems, Inc................................... 2,150 24,456
*Evans, Inc........................................... 1,000 562
Evergreen Bancorp, Inc. DE............................ 7,000 206,062
*Evergreen Resources, Inc............................. 9,400 177,425
*Exabyte Corp......................................... 20,200 149,606
*Exactech, Inc........................................ 2,100 16,209
*Exar Corp............................................ 8,400 147,000
*Excalibur Technologies Corp.......................... 12,500 83,594
Excel Industries, Inc................................. 10,300 182,825
*Excel Technology, Inc................................ 10,100 100,684
Executive Risk, Inc................................... 6,800 367,200
*Executive Telecard, Ltd.............................. 16,200 29,869
*Executone Information Systems, Inc................... 28,800 53,550
Exide Corp............................................ 19,200 334,800
*Exogen, Inc.......................................... 9,400 31,725
*Expert Software, Inc................................. 5,500 7,391
*Exponent, Inc........................................ 4,300 26,203
Ezcorp, Inc. Class A Non-Voting....................... 9,300 70,622
F & M Bancorp (MD).................................... 5,769 194,163
F & M Bancorporation, Inc............................. 3,751 119,798
F & M National Corp................................... 19,000 572,375
FBL Financial Group, Inc. Class A..................... 20,000 490,000
FCB Financial Corp.................................... 2,000 61,875
FCNB Corp............................................. 5,477 130,763
FDP Corp.............................................. 3,250 35,141
*FEI Co............................................... 16,100 133,831
FFLC Bancorp.......................................... 2,000 32,875
FFY Financial Corp.................................... 2,500 81,406
*FLIR Systems, Inc.................................... 11,500 222,094
FNB Rochester Corp.................................... 2,500 52,187
*FPIC Insurance Group, Inc............................ 8,300 303,469
*FRP Properties, Inc.................................. 2,500 61,250
FSF Financial Corp.................................... 1,800 27,000
*FSI International, Inc............................... 20,500 157,594
*FTI Consulting, Inc.................................. 3,000 9,094
*FYI, Inc............................................. 10,600 333,900
Fab Industries, Inc................................... 4,500 89,156
*Factory Card Outlet Corp............................. 6,600 15,469
*Factset Research Systems, Inc........................ 4,100 166,562
Fair, Isaac & Co., Inc................................ 12,500 503,125
*Fairchild Corp. Class A.............................. 14,600 234,512
*Fairfield Communities, Inc........................... 47,000 508,187
Falcon Products, Inc.................................. 6,100 69,769
*#Family Golf Centers, Inc............................ 23,250 477,352
*Fansteel, Inc........................................ 5,700 34,556
*Farm Family Holdings, Inc............................ 3,000 105,000
Farmer Brothers Co.................................... 200 42,100
*Farr Co.............................................. 6,225 64,973
Farrel Corp........................................... 3,400 7,544
*#Faxsav, Inc......................................... 12,000 92,250
*Featherlite Manufacturing, Inc....................... 5,400 32,062
Fedders Corp.......................................... 17,000 94,562
Fedders Corp. Class A................................. 7,700 38,981
Federal Screw Works................................... 1,800 88,087
*#Female Health Co.................................... 9,300 14,531
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Ferrofluidics Corp................................... 4,331 $ 12,722
*Fibermark, Inc....................................... 6,100 78,919
*Fiberstars, Inc...................................... 2,000 7,875
Fidelity Bancorp, Inc. Delaware....................... 1,300 30,428
Fidelity Federal Bancorp.............................. 1,100 4,125
Fidelity Financial of Ohio, Inc....................... 3,900 51,309
Fidelity National Financial, Inc...................... 14,536 476,962
*Filenes Basement Corp................................ 17,400 35,344
*Filenet Corp......................................... 31,500 266,766
Financial Bancorp., Inc............................... 1,000 38,375
*Financial Federal Corp............................... 13,325 357,277
Fingerhut Companies, Inc.............................. 14,600 162,425
*Finish Line, Inc. Class A............................ 18,900 170,100
*Finishmaster, Inc.................................... 8,000 50,000
*Finlay Enterprises, Inc.............................. 2,000 16,312
*Firearms Training Systems, Inc....................... 18,600 44,175
First Albany Companies, Inc........................... 2,401 26,561
*First American Health Concepts, Inc.................. 1,100 4,434
First Bancorp......................................... 400 11,550
First Bell Bancorp, Inc............................... 4,600 71,587
*First Cash, Inc...................................... 3,400 38,144
First Charter Corp.................................... 14,480 249,327
First Coastal Bankshares, Inc......................... 3,000 65,531
First Commonwealth Financial Corp..................... 19,900 487,550
*First Consulting Group, Inc.......................... 10,000 236,250
First Defiance Financial Corp......................... 6,959 103,298
First Essex Bancorp................................... 5,300 97,056
First Federal Bancshares of Arkansas, Inc............. 3,400 71,825
First Federal Capital Corp............................ 18,500 302,359
First Federal Savings & Loan Association of East
Hartford, CT........................................ 2,000 54,875
First Financial Bancorp............................... 8,960 301,000
First Financial Bankshares, Inc....................... 5,513 202,093
First Financial Holdings, Inc......................... 12,200 234,850
First Franklin Corp................................... 300 4,406
First Georgia Holdings, Inc........................... 675 5,906
First Indiana Corp.................................... 10,657 205,813
*First Investors Financial Services Group, Inc........ 5,000 25,781
First Keystone Financial, Inc......................... 1,000 15,250
First Liberty Financial Corp.......................... 10,450 226,308
*First Mariner Bank Corp.............................. 3,100 44,175
First Merchants Corp.................................. 7,050 197,841
First Midwest Bancorp, Inc............................ 3,308 128,909
First Midwest Financial, Inc.......................... 1,400 24,412
First Mutual Bancorp, Inc............................. 2,200 39,187
First Mutual Savings Bank............................. 2,335 34,441
First Northern Capital Corp........................... 7,700 101,062
First Oak Brook Bancshares, Inc. Class A.............. 1,400 27,825
First Philson Financial Corp.......................... 1,200 36,900
*First Republic Bank.................................. 7,000 180,687
First Savings Bancorp, Inc. North Carolina............ 2,400 53,850
*First Sierra Financial, Inc.......................... 11,200 99,400
First Source Corp..................................... 13,787 454,971
*First Team Sports, Inc............................... 2,900 4,305
*First Virtual Holdings, Inc.......................... 10,800 50,625
First Washington Bancorp, Inc......................... 10,560 218,460
First Western Bancorp, Inc............................ 10,025 313,281
First Years, Inc...................................... 9,300 156,937
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*FirstFed Financial Corp. DE.......................... 19,100 $ 339,025
*#Firstplus Financial, Inc............................ 24,000 60,000
*Firstspartan Financial Corp.......................... 1,000 31,250
*Firstwave Technologies, Inc.......................... 3,600 13,725
*Fischer Imaging Corp................................. 7,000 17,281
*Fisher Scientific, International, Inc................ 19,700 364,450
Flag Financial Corp................................... 4,700 51,553
Flamemaster Corp...................................... 247 1,104
*Flander Corp......................................... 23,100 93,122
Fleming Companies, Inc................................ 38,400 386,400
Flexsteel Industries, Inc............................. 6,200 78,662
*Florida Panthers Holdings, Inc. Class A.............. 31,400 351,287
Florida Public Utilities Co........................... 1,000 17,000
Florida Rock Industries, Inc.......................... 15,500 454,344
*Florsheim Group, Inc................................. 8,400 45,150
*Flow International Corp.............................. 13,800 147,487
*Fluor Daniel/GTI, Inc................................ 1,265 10,357
Flushing Financial Corp............................... 10,500 166,031
Foamex International, Inc............................. 20,500 237,672
*Foilmark, Inc........................................ 1,600 3,050
*Foodarama Supermarkets, Inc.......................... 600 19,350
*Foodmaker, Inc....................................... 35,400 685,875
*Foothill Independent Bancorp......................... 3,389 47,658
*Footstar, Inc........................................ 9,000 219,375
*Forcenergy, Inc...................................... 24,716 100,409
Foremost Corp. of America............................. 24,700 504,806
Forest City Enterprises, Inc. Class A................. 7,800 191,100
Forest City Enterprises, Inc. Class B................. 3,900 98,841
*Forest Oil Corp...................................... 40,540 344,590
*Forrester Resh, Inc.................................. 4,900 156,187
*Forte Software, Inc.................................. 17,700 89,053
*Fortune Natural Resources Corp....................... 6,100 5,337
*Forward Air Corp., Inc............................... 4,100 66,369
*Fossil, Inc.......................................... 18,800 522,287
*Foster (L.B.) Co. Class A............................ 20,900 100,581
*Foster Wheeler Corp.................................. 16,000 274,000
*Fountain Powerboat Industries, Inc................... 3,800 18,406
*Four Kids Entertainment, Inc......................... 2,100 25,594
*Four Media Co........................................ 8,900 59,241
*Fourth Shift Corp.................................... 8,900 38,103
Frankfort First Bancorp, Inc.......................... 850 13,281
Franklin Bank National Associaton Southfield, MI...... 2,789 29,633
*Franklin Covey Co.................................... 21,900 410,625
Franklin Electric Co., Inc............................ 3,200 208,100
*Franklin Electronic Publishers, Inc.................. 6,500 64,594
Freds, Inc. Class A................................... 9,500 133,594
Freedom Securities Corp............................... 8,500 151,937
*#French Fragrances, Inc.............................. 12,300 78,797
Frequency Electronics, Inc............................ 6,250 68,750
*Fresh America Corp................................... 3,300 46,406
*Fresh Choice, Inc.................................... 3,900 6,216
*#Friede Goldman International........................ 22,000 272,937
*Friedman Billings Ramsey Group, Inc. Class A......... 12,100 72,600
Friedman Industries, Inc.............................. 7,162 34,915
*Friedmans, Inc. Class A.............................. 13,100 128,953
Frisch's Restaurants, Inc............................. 13,983 157,309
*Fritz Companies, Inc................................. 36,300 349,387
Frontier Adjusters of America, Inc.................... 1,000 2,312
Frontier Insurance Group, Inc......................... 26,190 371,571
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Frontier Oil Corp.................................... 28,100 $ 158,062
Frozen Food Express Industries, Inc................... 15,207 117,854
*#Fuisz Technologies, Ltd............................. 20,000 245,000
Fuller (H.B.) Co...................................... 12,600 546,525
*Funco, Inc........................................... 4,200 67,987
Furon Co.............................................. 18,300 314,531
*Fusion Medical Technologies, Inc..................... 6,400 37,600
G & K Services, Inc. Class A.......................... 6,400 322,800
*G-III Apparel Group, Ltd............................. 5,200 9,587
GA Financial, Inc..................................... 5,700 90,487
GBC Bancorp........................................... 12,700 315,119
*GC Companies, Inc.................................... 6,900 277,725
*GP Strategies Corp................................... 9,580 137,712
*GRC International, Inc............................... 9,100 61,994
*GT Interactive Software Corp......................... 61,000 364,094
*GTS Duratek, Inc..................................... 10,100 59,969
*GZA Geoenvironmental Technologies, Inc............... 1,700 7,437
*Gadzooks, Inc........................................ 8,200 60,987
Gainsco, Inc.......................................... 17,700 117,262
*Galey & Lord, Inc.................................... 10,600 114,612
*Galileo Corp......................................... 7,200 24,525
Gallagher (Arthur J.) & Co............................ 13,100 607,512
*Gantos, Inc.......................................... 4,550 4,123
Garan, Inc............................................ 3,042 82,609
*Garden Fresh Restaurant Corp......................... 3,700 57,812
*Garden Ridge Corp.................................... 16,300 126,325
*#Gardenburger, Inc................................... 8,700 91,350
*Gardner Denver Machinery, Inc........................ 14,500 230,187
*Gart Sports Co....................................... 676 6,464
*Gasonics International, Inc.......................... 12,150 94,542
*Gaylord Container Corp. Class A...................... 56,600 297,150
*Geerling & Wade, Inc................................. 2,600 16,941
*Gehl Co.............................................. 4,500 62,719
*#Geltex Pharmaceuticals, Inc......................... 15,000 357,187
Gencor Industries, Inc................................ 4,900 54,512
*Gene Logic, Inc...................................... 2,196 9,196
*Genelabs Technologies, Inc........................... 35,600 94,562
*Genemedicine, Inc.................................... 11,500 31,984
General Binding Corp.................................. 10,700 393,894
General Chemical Group, Inc........................... 11,000 187,000
*General Cigar Holdings, Inc. Class A................. 11,200 109,900
*General Cigar Holdings, Inc. Class B................. 9,780 95,966
*General Communications, Inc. Class A................. 42,200 174,075
*General Datacomm Industries, Inc..................... 19,400 70,325
General Electric Co................................... 7,264 657,392
General Employment Enterprises, Inc................... 2,695 16,844
General Housewares Corp............................... 2,300 25,444
*#General Magic, Inc.................................. 25,900 138,403
General Magnaplate Corp............................... 400 1,900
*General Scanning, Inc................................ 11,300 65,152
*General Semiconductor, Inc........................... 34,100 345,262
*General Surgical Innovations, Inc.................... 10,600 32,462
*Genesco, Inc......................................... 26,000 144,625
Genesee Corp. Class B................................. 200 4,962
*Genesis Health Ventures, Inc......................... 35,200 336,600
*Geneva Steel Co. Class A............................. 11,900 8,925
*Genicom Corp......................................... 8,800 25,575
*Genlyte Group, Inc................................... 12,100 231,034
*Genome Therapeutics Corp............................. 16,900 55,453
Genovese Drug Stores, Inc. Class A.................... 4,312 130,168
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Genrad, Inc.......................................... 28,900 $ 469,625
*Gensia Sicor, Inc.................................... 96,400 442,837
*Gensym Corp.......................................... 5,300 15,983
*Genzyme Corp. Tissue Repair.......................... 12,000 37,125
*Genzyme Transgenics Corp............................. 16,400 95,325
Geon Co............................................... 21,000 467,250
Georgia Gulf Corp..................................... 28,500 534,375
*Geoscience Corp...................................... 3,800 40,375
*Geotel Communications Corp........................... 23,800 658,219
*Geoworks............................................. 12,400 35,262
Gerber Scientific, Inc................................ 18,600 470,812
*#Geron Corp.......................................... 9,700 108,519
*Getchell Gold Corp................................... 30,800 504,350
*Getty Petroleum Marketing, Inc....................... 12,100 42,350
Getty Realty Corp. (Holding Co.)...................... 10,400 135,850
*Giant Cement Holding, Inc............................ 7,900 189,106
*Giant Group, Ltd..................................... 2,200 15,537
Giant Industries, Inc................................. 8,200 97,887
*Gibraltar Packaging Group, Inc....................... 3,000 2,156
*Gibraltar Steel Corp................................. 11,100 219,225
*Gibson Greetings, Inc................................ 14,800 163,262
*#Giga-Tronics, Inc................................... 1,600 4,400
*Gilead Sciences, Inc................................. 27,000 841,219
*Gish Biomedical, Inc................................. 2,400 7,500
Glacier Bancorp, Inc.................................. 2,544 54,060
*Glacier Water Services, Inc.......................... 1,200 29,850
Glatfelter (P.H.) Co.................................. 35,800 460,925
Gleason Corp.......................................... 8,000 153,000
*Glenayre Technologies, Inc........................... 62,000 385,562
*Gliatech, Inc........................................ 8,900 218,050
*Global Direct Mail Corp.............................. 32,900 645,662
*Global Industrial Technologies, Inc.................. 18,800 157,450
*Global Motorsport Group, Inc......................... 2,600 49,969
*Global Payment Technologies, Inc..................... 4,400 36,987
*Globe Business Resources, Inc........................ 2,700 31,978
*Go Video, Inc........................................ 12,200 35,075
Gold Banc Corp........................................ 9,600 159,600
*Golden Books Family Entertainment, Inc............... 24,600 15,759
Golden Enterprises, Inc............................... 11,000 61,875
*Good Guys, Inc....................................... 12,700 74,612
*Goodys Family Clothing............................... 33,300 373,584
Gorman-Rupp Co........................................ 6,775 110,517
*Gottschalks, Inc..................................... 10,700 80,250
*Government Technology Services, Inc.................. 4,200 20,081
Graco, Inc............................................ 18,100 502,275
*Gradall Industries, Inc.............................. 8,600 115,562
*Gradco Systems, Inc.................................. 5,875 17,809
*Graham Corp.......................................... 1,000 8,000
*Graham-Field Health Products, Inc.................... 27,760 86,750
*Grand Casinos, Inc................................... 37,900 360,050
Grand Premier Financial, Inc.......................... 19,801 253,083
Granite Construction, Inc............................. 24,825 802,158
Granite State Bankshares, Inc......................... 4,100 83,537
Gray Communications Systems, Inc...................... 3,300 58,781
*Great Plains Software................................ 5,000 196,875
Great Southern Bancorp, Inc........................... 4,200 103,425
*Great Train Store Co., Inc........................... 2,600 4,550
Greater Bay Bancorp................................... 7,358 251,552
*Green Mountain Coffee, Inc........................... 1,700 9,934
Green Mountain Power Corp............................. 3,600 43,650
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Green Star Financial Corp............................ 3,900 $ 53,259
*Greenbriar Corp...................................... 6,760 24,505
Greenbrier Companies, Inc............................. 12,700 177,800
Grey Advertising, Inc................................. 200 71,800
*Grey Wolf, Inc....................................... 82,500 82,500
*Greyhound Lines, Inc................................. 53,900 323,400
*Griffin Land & Nurseries, Inc. Class A............... 2,200 28,050
*Griffon Corp......................................... 51,500 495,687
*Gristede's Sloans, Inc............................... 1,200 2,700
*Group 1 Software, Inc................................ 5,350 47,147
*Grow Biz International, Inc.......................... 3,800 44,412
*Grubb & Ellis Co..................................... 35,800 302,062
*Gryphon Holdings, Inc................................ 5,400 99,900
Guarantee Life Companies, Inc......................... 7,400 138,287
*Guaranty Federal Bancshares, Inc..................... 200 2,350
*Guess, Inc........................................... 42,950 161,062
*Guest Supply, Inc.................................... 4,300 44,881
Guilford Mills, Inc................................... 23,250 335,672
*Guilford Pharmaceuticals, Inc........................ 17,500 245,000
*Gulf Island Fabrication, Inc......................... 10,500 81,375
*Gulfmark Offshore, Inc............................... 5,500 89,203
*#Gumtech International, Inc.......................... 4,800 33,000
*Gundle/SLT Environmental, Inc........................ 13,700 51,375
*Gymboree Corp........................................ 21,700 143,762
*HCIA, Inc............................................ 9,500 45,867
*#HD Vest, Inc........................................ 2,200 16,225
*HEI, Inc............................................. 2,000 10,375
HF Financial Corp..................................... 3,100 45,144
*#HMI Industries, Inc................................. 5,400 8,859
HMN Financial, Inc.................................... 4,300 58,587
*#HMT Technology Corp................................. 39,100 445,984
*#HORIZON Pharmacies, Inc............................. 3,900 37,537
*HPSC, Inc............................................ 2,100 19,294
*HS Resources, Inc.................................... 16,700 145,081
*HTE, Inc............................................. 2,400 21,750
HUBCO, Inc............................................ 5,249 141,887
*Ha-Lo Industries, Inc................................ 20,000 638,750
Hach Co............................................... 5,725 60,828
Hach Co. Class A...................................... 5,725 59,397
*Hadco Corp........................................... 11,900 417,244
*Haemonetics Corp..................................... 23,900 539,244
Haggar Corp........................................... 6,800 86,275
*Hagler Bailly, Inc................................... 6,200 112,375
*Hahn Automotive Warehouse, Inc....................... 2,163 6,759
*Hain Food Group, Inc................................. 10,500 215,250
Halifax Corp.......................................... 1,000 7,250
*Hall Kinion Associates, Inc.......................... 5,500 41,164
*Hallmark Capital Corp................................ 2,100 26,906
*#Halsey Drug Co., Inc................................ 12,200 14,487
*Halter Marine Group, Inc............................. 25,900 179,681
*Hambrecht & Quist Group, Inc......................... 19,200 465,600
*Hamilton Bancorp, Inc................................ 9,000 231,469
*Hammons (John Q.) Hotels, Inc. Class A............... 4,800 20,700
*Hampshire Group, Ltd................................. 1,400 16,887
*Hampton Industries, Inc.............................. 2,640 17,490
Hancock Fabrics, Inc.................................. 20,100 169,594
Hancock Holding Co.................................... 6,805 307,926
*Handleman Co......................................... 29,600 355,200
*Hanger Orthopedic Group, Inc......................... 16,400 393,600
*Hanover Compressor Co................................ 5,000 113,125
*Hanover Direct, Inc.................................. 93,300 227,419
</TABLE>
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CONTINUED
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<S> <C> <C>
*Harbinger Corp....................................... 37,900 $ 325,703
Harbor Federal Bancorp, Inc........................... 770 16,459
Harbor Florida Bancshares, Inc........................ 27,800 303,194
*Harding Lawson Associates Group, Inc................. 5,000 34,375
Hardinge Brothers, Inc................................ 7,850 149,395
*Harken Energy Corp................................... 110,500 310,781
Harland (John H.) Co.................................. 28,000 427,000
Harleysville Group, Inc............................... 26,100 552,994
Harleysville National Corp PA......................... 5,335 198,062
Harman International Industries, Inc.................. 14,800 631,775
Harmon Industries, Inc................................ 9,450 231,525
*Harmonic Lightwaves, Inc............................. 9,100 114,319
*Harnischfeger Industries, Inc........................ 24,000 240,000
*Harolds Stores, Inc.................................. 2,308 16,733
Harris Financial, Inc................................. 30,600 438,919
*Harry's Farmers Market, Inc. Class A................. 2,100 3,609
*Hartmarx Corp........................................ 42,900 252,037
*Harvey Entertainment Co.............................. 2,700 21,769
Harvey's Casino Resorts............................... 5,900 157,825
Haskel International, Inc............................. 3,800 42,987
Hastings Manufacturing Co............................. 700 12,775
*Hathaway Corp........................................ 2,900 3,127
*Hauser, Inc.......................................... 9,400 42,594
Haven Bancorp, Inc.................................... 7,000 116,594
Haverty Furniture Co., Inc............................ 8,100 157,950
Haverty Furniture Co., Inc. Class A................... 200 3,900
*Hawaiian Airlines, Inc............................... 27,100 84,687
Hawkins Chemical, Inc................................. 9,245 97,072
*Hawthorne Financial Corp............................. 1,300 21,450
*Hayes Corp........................................... 100 13
*Health Management Systems, Inc....................... 15,800 108,625
*Health Power, Inc.................................... 1,900 6,769
*Health Risk Management, Inc.......................... 4,100 44,203
*Health Systems Design Corp........................... 5,100 26,137
*Healthcare Recoveries, Inc........................... 14,600 239,075
*Healthcare Services Group, Inc....................... 8,250 75,797
*Healthcor Holdings................................... 3,000 797
*Healthdyne Information Enterprises, Inc.............. 19,800 58,781
Healthplan Services Corp.............................. 15,098 150,980
*Heartland Express, Inc............................... 26,976 453,534
*#Heartport, Inc...................................... 22,500 158,906
*Hecla Mining Co...................................... 49,600 207,700
*Hector Communications Corp........................... 1,200 9,750
Heico Corp............................................ 5,515 134,773
Heico Corp. Class A................................... 2,507 50,140
Heilig-Meyers Co...................................... 51,650 361,550
*Heist (C.H.) Corp.................................... 2,100 13,650
Helix Technology Corp................................. 29,600 357,050
*Hello Direct, Inc.................................... 5,000 40,937
*Hemasure, Inc........................................ 6,600 17,531
Henry Jack & Associates, Inc.......................... 13,150 660,377
Herbalife International, Inc. Class A................. 8,800 103,950
Herbalife International, Inc. Class B................. 12,200 118,569
*Heska Corp........................................... 13,000 77,187
*Hexcel Corp.......................................... 33,300 305,944
*Hf Bancorp, Inc...................................... 5,000 79,844
*Hi-Shear Industries, Inc............................. 500 1,297
*Hi-Shear Technology Corp............................. 5,300 26,500
*Hi-Tech Pharmacal, Inc............................... 3,100 15,112
*#Hibbett Sporting Goods, Inc......................... 4,100 128,381
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*High Plains Corp..................................... 14,800 $ 27,287
*Highlands Insurance Group, Inc....................... 12,900 164,475
*Highway Master Communications, Inc................... 22,300 34,844
Hilb Rogal Hamilton Co................................ 11,500 217,781
Hilite Industries, Inc................................ 1,900 16,981
*Hirsch International Corp. Class A................... 5,500 18,219
*Hoenig Group, Inc.................................... 6,400 49,600
*Holiday RV Superstores, Inc.......................... 3,000 6,281
Holly Corp............................................ 5,100 82,875
*Hollywood Casino Corp. Class A....................... 18,600 25,284
*Hollywood Entertainment Corp......................... 32,100 769,397
*Hollywood Park, Inc.................................. 23,700 226,631
*Hologic, Inc......................................... 12,000 154,125
*Holopak Technologies, Inc............................ 2,500 7,656
*Holophane Corp....................................... 9,850 225,319
Home Bancorp.......................................... 1,700 47,175
*Home Choice Holdings, Inc............................ 4,900 77,787
Home Federal Bancorp.................................. 2,025 53,662
Home Port Bancorp, Inc................................ 600 13,575
*Home Products International, Inc..................... 7,200 65,250
*Homebase, Inc........................................ 34,050 195,787
*Homegold Financial, Inc.............................. 7,700 7,098
*Homestead Village, Inc............................... 34,400 225,750
*#Hondo Oil and Gas Co................................ 10,500 367
Hooper Holmes, Inc.................................... 12,600 294,525
Horizon Bancorp, Inc.................................. 400 14,450
Horizon Financial Corp................................ 6,753 91,588
Horton (D.R.), Inc.................................... 2,720 51,340
*Hospitality Worldwide Services, Inc.................. 9,100 39,812
*Host Marriott Services Corp.......................... 30,500 333,594
*Hot Topic, Inc....................................... 3,400 74,587
*Houston Exploration Co............................... 19,100 334,250
*Hovnanian Enterprises, Inc. Class A.................. 15,000 121,875
*Hovnanian Enterprises, Inc. Class B.................. 1,150 9,344
Howell Corp........................................... 2,100 7,612
*Howtek, Inc.......................................... 3,600 3,712
*Hub Group, Inc. Class A.............................. 5,200 97,825
Hudson General Corp................................... 700 40,425
*Hudson Hotels Corp................................... 3,100 6,297
*Hudson Technologies, Inc............................. 4,600 11,644
Huffy Corp............................................ 11,200 162,400
Hughes Supply, Inc.................................... 15,000 416,250
Hunt (J.B.) Transport Services, Inc................... 23,600 446,187
Hunt Corp............................................. 10,200 139,612
Huntco, Inc. Class A.................................. 3,000 15,375
*Hurco Companies, Inc................................. 4,400 27,225
*Hutchinson Technology, Inc........................... 17,800 551,244
*Hvide Marine, Inc. Class A........................... 7,000 42,000
*Hycor Biomedical, Inc................................ 5,600 7,000
*Hypercom Corp........................................ 5,000 58,750
*Hyperion Solutions Corp.............................. 17,935 581,206
*Hyseq, Inc........................................... 11,500 54,984
*#I-Stat Corp......................................... 10,000 69,062
*ICC Technologies, Inc................................ 23,400 88,481
*ICF Kaiser International, Inc........................ 17,900 30,206
*ICOS Corp............................................ 35,900 779,703
*ICT Group, Inc....................................... 10,400 25,675
*ICU Medical, Inc..................................... 5,900 109,334
*IDEC Pharmaceuticals Corp............................ 17,800 599,637
*IDEXX Laboratories, Inc.............................. 25,700 664,987
*IDT Corp............................................. 20,400 395,887
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*IEC Electronics Corp................................. 6,700 $ 40,200
IFR Systems, Inc...................................... 7,200 41,400
*#IGEN, Inc........................................... 13,700 372,041
*#IGI, Inc............................................ 6,200 11,625
*IHOP Corp............................................ 6,700 265,278
*II-VI, Inc........................................... 6,200 50,375
*IMC Mortgage Co...................................... 28,700 17,937
IMCO Recycling, Inc................................... 15,400 230,037
*#IMR Global Corp..................................... 23,100 496,650
ISB Financial Corp. LA................................ 5,400 137,531
*ISOCOR............................................... 5,900 10,878
*ITC Learning Corp.................................... 2,800 8,794
*ITEQ, Inc............................................ 25,354 61,008
*ITI Technologies, Inc................................ 7,500 198,984
*ITLA Capital Corp.................................... 5,800 102,225
*IVI Checkmate Corp................................... 12,793 73,160
*Ibis Technology Corp................................. 4,700 45,825
Ico, Inc.............................................. 14,320 36,471
*#Identix, Inc........................................ 22,700 227,000
*Ikos Systems, Inc.................................... 6,100 20,016
*#Image Entertainment, Inc............................ 11,700 61,059
*Imation Corp......................................... 36,600 594,750
*#Imatron, Inc........................................ 71,200 116,812
*Imclone Systems, Inc................................. 21,900 231,319
*Immucor, Inc......................................... 6,500 57,687
*Immulogic Pharmaceutical Corp........................ 16,200 24,806
*Immune Response Corp. DE............................. 20,600 269,087
*#Immunogen, Inc...................................... 8,500 22,578
*#Immunomedics, Inc................................... 33,800 100,872
*Impath, Inc.......................................... 5,500 210,203
*Impco Technologies, Inc.............................. 4,900 68,600
*Imperial Credit Industries, Inc...................... 28,850 293,909
Imperial Holly Corp................................... 24,351 210,027
*In Focus Systems, Inc................................ 20,000 167,500
*Inacom Corp.......................................... 13,800 286,350
Independence Holding Co............................... 2,500 33,437
Independent Bank Corp. MA............................. 12,100 192,087
Independent Bank East................................. 4,307 93,139
Indiana Energy, Inc................................... 27,066 612,368
*Individual Investor Group, Inc....................... 5,100 14,184
Industrial Bancorp, Inc............................... 4,100 80,462
*Industrial Data Systems Corp......................... 5,000 36,250
*Industrial Distribution Group, Inc................... 6,000 41,625
*Industrial Holdings, Inc............................. 9,000 89,437
Industrial Scientific Corp............................ 700 17,237
*Inference Corp. Class A.............................. 6,400 50,000
*Infinium Software, Inc............................... 11,200 71,750
*Infocure Corp........................................ 4,300 86,537
*#Infonautics Corp. Class A........................... 8,500 48,875
*Information Advantage, Inc........................... 6,468 51,542
*Information Resource Engineering, Inc................ 3,800 31,884
*Information Resources, Inc........................... 24,900 208,537
*Information Storage Devices, Inc..................... 9,500 69,172
*Infoseek Corp........................................ 11,000 374,000
*Infousa, Inc......................................... 14,600 78,931
*Infousa, Inc. Class B................................ 22,100 128,456
*Infu-tech, Inc....................................... 2,000 6,594
Ingles Market, Inc. Class A........................... 8,100 97,706
*#Inhale Therapeutic Systems.......................... 14,100 454,725
*Innerdyne, Inc....................................... 19,600 26,644
*Innodata Corp........................................ 600 3,637
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Innoserv Technologies, Inc. (Escrow Shares).......... 200 $ 0
*Innovative Gaming Corp. of America................... 6,800 9,031
#Innovex, Inc......................................... 13,200 208,312
*#Inprise Corp........................................ 45,800 253,331
*Input Software, Inc.................................. 5,600 38,500
*Input/Output, Inc.................................... 40,100 328,319
*Insight Enterprises, Inc............................. 14,375 606,445
*Insignia Financial Group, Inc........................ 18,733 254,066
*Insilco Holding Co................................... 192 4,584
*#Insite Vision, Inc.................................. 9,800 14,087
*Insituform East, Inc................................. 1,700 2,497
*Insituform Technologies, Inc. Class A................ 24,210 316,243
*Inso Corp............................................ 13,400 360,544
*Inspire Insurance Solutions, Inc..................... 16,500 550,687
Insteel Industries, Inc............................... 6,800 38,250
Instron Corp.......................................... 9,600 126,000
*Insurance Auto Auctions, Inc......................... 9,000 102,375
*Integra Lifesciences Corp............................ 8,750 40,195
*Integra, Inc......................................... 5,900 11,800
*Integrated Circuit Systems, Inc...................... 9,600 137,400
*Integrated Device Technology, Inc.................... 74,000 437,062
*Integrated Measurement System, Inc................... 6,800 72,675
*Integrated Orthopedics, Inc.......................... 5,800 18,487
*Integrated Process Equipment Corp.................... 15,700 164,359
*Integrated Silicon Solution, Inc..................... 17,300 56,766
*Integrated Systems Consulting Group, Inc............. 7,200 127,350
*Integrated Systems, Inc.............................. 21,200 213,987
*Intellicall, Inc..................................... 8,900 15,575
*Intelligent Medical Imaging, Inc..................... 8,000 5,875
*Intelligent Systems Corp............................. 3,600 6,975
*#Intelligroup, Inc................................... 10,800 173,137
*Intensiva Healthcare Corp............................ 9,000 84,656
Intercargo Corp....................................... 5,400 57,037
Interchange Financial Services Corp. Saddle Brook..... 5,170 86,597
*Interdigital Communications Corp..................... 43,500 206,625
*Interface Systems, Inc............................... 3,400 14,556
Interface, Inc. Class A............................... 19,000 236,906
*Interferon Sciences, Inc............................. 12,175 9,512
*Intergraph Corp...................................... 48,400 313,087
*Interlake Corp....................................... 21,600 74,250
*Interlink Computer Sciences, Inc..................... 5,600 22,050
*Interlink Electronics................................ 4,700 11,309
*Interlinq Software Corp.............................. 3,100 22,862
*Interlott Technologies, Inc.......................... 1,600 11,800
*Intermagnetics General Corp.......................... 11,754 75,666
Intermet Corp......................................... 23,000 316,250
International Aluminum Corp........................... 2,100 62,475
*International Computex, Inc.......................... 800 3,800
*International Manufacturing Services, Inc............ 6,600 50,944
*International Microcomputer Software, Inc............ 3,900 32,297
International Multifoods Corp......................... 16,900 429,894
*International Rectifier Corp......................... 46,200 433,125
*International Remote Imaging Systems, Inc............ 3,000 2,812
International Shipholding Corp........................ 4,325 67,578
*International Technology Corp........................ 28,080 286,065
</TABLE>
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<TABLE>
<CAPTION>
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*International Telecommunication Data Systems, Inc.... 14,900 $ 372,966
*International Thoroughbred Breeders, Inc............. 5,800 1,160
*International Total Services, Inc.................... 7,000 32,812
*#Interneuron Pharmaceuticals, Inc.................... 37,500 116,016
*Interphase Corp...................................... 4,200 33,994
Interpool, Inc........................................ 24,850 360,325
*Interpore International.............................. 12,900 68,531
Interstate Johnson Lane, Inc.......................... 3,700 114,469
*Interstate National Dealers Services, Inc............ 3,000 26,250
*Intertan, Inc........................................ 11,500 76,906
Inter-Tel, Inc........................................ 24,100 581,412
*Intervisual Books, Inc. Class A...................... 1,000 1,344
*Intervoice, Inc...................................... 11,300 290,622
Interwest Bancorp..................................... 10,300 251,384
*Intevac, Inc......................................... 10,900 87,200
Invacare Corp......................................... 25,300 608,781
*#Investment Technology Group, Inc.................... 16,500 868,313
Investors Financial Services Corp..................... 8,099 466,705
Investors Title Co.................................... 1,400 31,500
*Invision Technologies, Inc........................... 9,500 62,047
*Invivo Corp.......................................... 1,600 23,800
*Ionics, Inc.......................................... 14,500 455,844
*Iridex Corp.......................................... 5,800 23,200
*Iron Mountain, Inc................................... 12,000 352,500
Iroquois Bancorp...................................... 400 7,775
Irwin Financial Corp.................................. 16,000 461,000
*Irwin Naturals/4Health, Inc.......................... 16,700 102,288
Isco, Inc............................................. 38,935 199,542
*#Isis Pharmaceuticals, Inc........................... 24,100 270,372
*Isle of Capri Casinos, Inc........................... 19,600 63,394
*#Isolyser Co., Inc................................... 34,010 48,358
*#Itron, Inc.......................................... 13,200 87,863
*Ivex Packaging Corp.................................. 23,000 448,500
*Iwerks Entertainment, Inc............................ 9,824 11,206
*J & J Snack Foods Corp............................... 8,100 165,544
J & L Specialty Steel, Inc............................ 34,900 218,125
*J. Alexander's Corp.................................. 4,300 15,319
*JDA Software Group, Inc.............................. 20,700 164,306
JLG Industries, Inc................................... 39,300 645,994
*JLK Direct Distribution, Inc. Class A................ 5,600 61,250
*#JMAR Industries, Inc................................ 13,800 35,578
*JPM Co............................................... 5,600 71,225
JSB Financial, Inc.................................... 5,000 263,750
*JWGenesis Financial Corp............................. 2,500 18,281
*Jackpot Enterprises, Inc............................. 8,000 77,500
Jacksonville Bancorp, Inc............................. 1,600 26,650
*Jaclyn, Inc.......................................... 1,300 4,916
*Jaco Electronics, Inc................................ 1,973 9,063
*Jacobs Engineering Group, Inc........................ 21,300 802,744
*Jacobson Stores, Inc................................. 4,100 34,209
*#Jakks Pacific, Inc.................................. 4,100 38,950
*Jan Bell Marketing, Inc.............................. 23,300 107,763
*Jason, Inc........................................... 16,187 131,519
*Jean Philippe Fragrances, Inc........................ 7,150 43,347
Jeffbanks, Inc........................................ 2,843 64,323
Jefferies Group, Inc.................................. 11,000 510,125
Jefferson Savings Bancorp, Inc........................ 3,200 45,200
*Jenna Lane, Inc...................................... 1,800 4,106
*Jennifer Convertibles, Inc........................... 1,300 2,548
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Jetfax, Inc.......................................... 5,000 $ 8,906
*Jevic Transportation, Inc............................ 4,400 33,688
*Jo-Ann Stores Inc Cl A............................... 4,500 70,875
*Jo-Ann Stores, Inc. Class B.......................... 3,400 54,188
*Johnson Worldwide Associates, Inc. Class A........... 6,700 63,441
*Johnston Industries, Inc............................. 8,100 31,894
*Johnstown American Industries, Inc................... 8,800 134,475
*Jones Intercable, Inc................................ 2,300 72,163
*Jones Intercable, Inc. Class A....................... 24,900 778,125
*Jos. A. Bank Clothiers, Inc.......................... 5,400 39,319
*Joule, Inc........................................... 1,500 4,219
*Jps Packaging Company................................ 3,300 12,994
*Jumbosports, Inc..................................... 18,000 6,188
Juno Lighting, Inc.................................... 16,700 394,538
*Just for Feet, Inc................................... 31,200 709,800
*Just Toys, Inc....................................... 800 500
Justin Industries, Inc................................ 23,800 303,450
*K & G Men's Center, Inc.............................. 8,200 77,388
K Swiss, Inc. Class A................................. 2,400 67,800
*#K-Tel International, Inc............................ 5,300 77,181
*K-Tron International, Inc............................ 6,200 118,575
*K-V Pharmaceutical Co. Class A....................... 8,800 187,000
*K-V Pharmaceutical Co. Class B....................... 8,300 178,450
K2, Inc............................................... 14,900 169,488
*KBK Capital Corp..................................... 5,000 43,125
KCS Energy, Inc....................................... 23,800 95,200
*#KFX, Inc............................................ 12,000 21,000
*KLLM Transport Services, Inc......................... 3,500 29,750
*KTI, Inc............................................. 6,700 141,328
*KVH Industries, Inc.................................. 4,300 6,584
*Kaiser Aluminum Corp................................. 71,200 467,250
*Kaiser Ventures, Inc................................. 9,700 93,363
Kaman Corp. Class A................................... 20,700 331,847
*Kaneb Services, Inc.................................. 29,000 132,313
*Karrington Health, Inc............................... 4,800 60,150
Katy Industries, Inc.................................. 5,800 113,825
*Katz Digital Technologies, Inc....................... 3,500 30,188
Kaye Group, Inc....................................... 3,000 20,625
Keithley Instruments, Inc............................. 1,000 7,000
*#Kelley Oil & Gas Corp............................... 69,600 66,338
*Kellstrom Industries, Inc............................ 8,900 220,553
Kellwood Co........................................... 19,300 521,100
*Kemet Corp........................................... 59,000 829,688
*Kennametal, Inc...................................... 12,000 255,750
*#Kensey Nash Corp.................................... 6,700 59,881
*Kent Electronics Corp................................ 24,500 347,594
Kentek Information Systems, Inc....................... 4,900 31,544
*Kentucky Electric Steel, Inc......................... 1,800 5,963
Kentucky First Bancorp, Inc........................... 200 2,700
*#Keravision, Inc..................................... 11,400 140,719
*#Kevco, Inc.......................................... 5,500 46,750
Kewaunee Scientific Corp.............................. 2,000 21,750
*Key Energy Group, Inc................................ 16,500 103,125
*Key Production Co., Inc.............................. 10,400 80,600
*Key Technology, Inc.................................. 3,300 21,038
*Key Tronic Corp...................................... 13,000 58,500
*Keystone Automotive Industries, Inc.................. 14,140 271,753
*Keystone Consolidated Industries, Inc................ 6,873 47,681
Kimball International, Inc. Class B................... 24,400 463,600
*Kimmins Corp......................................... 3,400 8,925
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Kinark Corp.......................................... 4,200 $ 10,763
*Kinnard Investment, Inc.............................. 4,200 19,425
*Kinross Gold Corp.................................... 34,587 86,468
*Kirby Corp........................................... 17,100 339,863
*Kit Manufacturing Co................................. 300 1,575
*Kitty Hawk, Inc...................................... 13,400 140,281
Klamath First Bancorp, Inc............................ 9,400 167,438
#Knape & Vogt Manufacturing Co........................ 2,900 54,738
*Knight Transportation, Inc........................... 11,900 230,563
*Koala Corp........................................... 1,200 19,800
Kollmorgen Corp....................................... 9,000 171,000
*Komag, Inc........................................... 49,600 358,050
*Koo Koo Roo Enterprises, Inc......................... 21,564 15,162
*Kopin Corp........................................... 9,100 131,097
*Koss Corp............................................ 2,100 23,888
*Krauses Furniture, Inc............................... 12,000 16,500
*Kronos, Inc.......................................... 7,500 322,500
*Krug International Corp.............................. 1,048 2,162
Kuhlman Corp.......................................... 15,099 420,885
*Kulicke & Soffa Industries, Inc...................... 21,000 357,000
*LBP, Inc............................................. 3,200 9,600
*LCA-Vision, Inc...................................... 3,536 4,807
*LCC International, Inc. Class A...................... 5,700 22,444
LCS Industries, Inc................................... 5,100 67,256
*LLEX Oncology, Inc................................... 11,100 155,400
*LLX Resorts, Inc..................................... 2,900 8,700
LNR Property Corp..................................... 9,600 187,200
LSB Bancshares, Inc. NC............................... 5,156 99,253
LSB Industries, Inc................................... 10,700 36,781
LSI Industries, Inc................................... 7,267 155,332
*LTV Corp............................................. 51,000 280,500
*LTX Corp............................................. 31,800 104,344
*LXR Biotechnology, Inc............................... 14,600 13,688
*La Jolla Pharmceutical Co............................ 17,900 58,175
*LaBarge, Inc......................................... 14,500 50,750
LaCrosse Footwear, Inc................................ 3,000 28,875
Lab Holdings, Inc..................................... 3,500 57,969
Labone, Inc........................................... 11,800 169,256
*Labor Ready, Inc..................................... 24,975 544,767
*Laboratory Corp. of America Holdings, Inc............ 42,500 55,781
Laclede Gas Co........................................ 15,100 378,444
*Laclede Steel Co..................................... 2,700 844
*Ladd Furniture, Inc.................................. 7,066 125,422
*Lakeland Industries, Inc............................. 2,000 15,250
Lakeview Financial Corp............................... 4,500 98,719
*Lam Research Corp.................................... 36,400 649,513
*Lamalie Associates, Inc.............................. 7,000 40,906
*Lamson & Sessions Co................................. 10,200 57,375
Lance, Inc............................................ 28,400 560,013
*Lancer Corp.......................................... 8,100 81,506
*Landair Corp......................................... 4,100 20,244
Landamerica Financial Group, Inc...................... 4,950 303,497
Landauer, Inc......................................... 7,700 219,450
*Landec Corp.......................................... 10,400 42,900
*Landrys Seafood Restaurants, Inc..................... 27,277 223,330
*Lands End, Inc....................................... 11,000 248,188
*Landstar Systems, Inc................................ 9,100 368,550
*Lanvision Systems, Inc............................... 7,300 7,870
*Larscom, Inc......................................... 4,000 8,625
*Laser Vision Centers, Inc............................ 3,500 61,797
*LaserSight Corporation............................... 11,300 61,620
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Lason, Inc........................................... 8,400 $ 516,600
*Lattice Semiconductor Corp........................... 14,800 546,213
Lawson Products, Inc.................................. 10,300 236,256
Lawter International, Inc............................. 30,600 252,450
*Layne Christensen Co................................. 9,100 95,550
*Lazare Kaplan International, Inc..................... 6,800 52,700
*Leap Group, Inc...................................... 10,900 47,347
*Learning Tree International, Inc..................... 19,800 165,206
Learonal, Inc......................................... 13,350 302,044
*Leasing Solutions, Inc............................... 6,700 26,381
*Lechters, Inc........................................ 15,500 46,742
*Lecroy Corp.......................................... 5,100 87,019
*Lectec Corp.......................................... 1,902 6,419
Lesco, Inc............................................ 7,725 116,841
*Level 8 Systems, Inc................................. 5,600 41,125
*Level One Communications, Inc........................ 23,925 740,927
Lexford Residential Trust............................. 5,400 105,300
*Lexington Global Asset Managers, Inc................. 3,600 17,325
Libbey, Inc........................................... 15,800 486,838
Liberty Homes, Inc. Class A........................... 200 2,388
*#Life Medical Sciences, Inc.......................... 8,900 4,450
*Life Quest Medical, Inc.............................. 1,000 1,938
Life Technologies, Inc................................ 18,900 705,206
Life USA Holdings, Inc................................ 26,800 345,050
*Lifecore Biomedical, Inc............................. 11,100 88,106
*Lifeline Systems, Inc................................ 4,100 106,088
Lifetime Hoan Corp.................................... 9,762 107,077
*Ligand Pharmaceuticals, Inc. Class B................. 35,277 353,872
*Lightbridge, Inc..................................... 12,600 55,125
Lillian Vernon Corp................................... 6,600 101,063
Lilly Industry, Inc. Class A.......................... 20,500 383,094
*Lincoln Electric Holdings............................ 17,600 411,950
*Lindal Cedar Homes, Inc.............................. 4,482 8,964
Lindberg Corp......................................... 8,200 108,906
Lindsay Manufacturer Co............................... 12,100 181,500
*Lion Brewery, Inc.................................... 1,500 6,703
*Liposome Co., Inc.................................... 34,200 309,403
Liqui Box Corp........................................ 2,500 118,438
Litchfield Financial Corp............................. 6,000 107,625
*Lithia Motors, Inc. Class A.......................... 4,100 70,597
*#Littlefield, Adams & Co............................. 900 4,078
*Littlefuse, Inc...................................... 18,900 439,425
*Lodgenet Entertainment Corp.......................... 10,400 72,475
*Loehmanns, Inc....................................... 7,100 19,303
*Logans Roadhouse, Inc................................ 6,100 127,338
*Logic Devices, Inc................................... 5,600 8,750
*Logility, Inc........................................ 8,000 39,000
*Lojack Corp.......................................... 17,000 158,313
Lone Star Industries, Inc............................. 6,000 454,125
*Lone Star Steakhouse Saloon.......................... 39,000 298,594
*Lone Star Technologies, Inc.......................... 21,800 212,550
Longview Fibre Co..................................... 46,500 526,031
*Loronix Information Systems, Inc..................... 3,300 6,961
*Louis Dreyfus Natural Gas Corp....................... 37,052 479,360
Luby's Cafeterias, Inc................................ 18,900 300,038
Lufkin Industries, Inc................................ 4,600 90,563
*Lumen Technologies, Inc.............................. 22,510 170,232
*Lumisy, Inc.......................................... 9,100 38,391
*Lunar Corp........................................... 8,150 86,594
*Lund International Holdings, Inc..................... 2,200 15,263
*Lydall, Inc. DE...................................... 16,900 214,419
</TABLE>
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<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Lynch Corp........................................... 2,200 $ 172,700
M.A. Hanna Co......................................... 15,000 210,938
*M.H. Meyerson & Co., Inc............................. 2,500 3,359
M/A/R/C, Inc.......................................... 3,027 39,446
MAF Bancorp, Inc...................................... 22,050 562,275
*MAI Systems Corp..................................... 8,100 26,325
MDC Holdings, Inc..................................... 15,000 275,625
*MEMC Electronic Materials, Inc....................... 36,500 344,469
#MFB Corp............................................. 1,000 21,250
*MFRI, Inc............................................ 3,000 16,875
*MGI Pharma, Inc...................................... 11,400 111,863
MI Schottenstein Homes, Inc........................... 7,000 152,688
*MIM Corp............................................. 9,000 42,469
MMI Companies, Inc.................................... 16,200 264,263
*MRV Communications, Inc.............................. 22,600 149,019
*MS Carriers, Inc..................................... 11,000 272,250
*MTI Technology Corp.................................. 5,900 23,047
MTS Systems Corp...................................... 16,700 215,013
*MVSI, Inc............................................ 11,000 18,219
MYR Group, Inc........................................ 3,110 34,988
*#Mackie Designs, Inc................................. 10,100 68,964
*MacNeal-Schwendler Corp.............................. 12,200 67,100
*Macromedia, Inc...................................... 34,300 957,184
*Madden (Steven), Ltd................................. 10,100 66,913
Madison Gas & Electric Co............................. 14,450 330,544
*Magainin Pharmaceuticals, Inc........................ 19,400 66,081
*Magellan Health Services, Inc........................ 28,400 266,250
*Magnetek, Inc........................................ 25,800 293,475
*#Magnum Hunter Resources, Inc........................ 19,400 70,325
*Mail-Well, Inc....................................... 13,000 168,188
*Main Street & Main, Inc.............................. 7,950 28,446
Maine Public Service Co............................... 700 11,025
Mainstreet Bankgroup, Inc............................. 9,300 402,516
*#Malibu Entertainment Worldwide, Inc................. 24,000 36,000
*Mallon Resources Corp................................ 4,900 39,200
*Managed Care Solutions, Inc.......................... 2,866 12,539
*Manatron, Inc........................................ 1,102 4,684
*Manchester Equipment Co., Inc........................ 6,000 15,750
Manitowoc Co., Inc.................................... 13,900 552,525
*Manugistic Group, Inc................................ 31,400 275,731
*Mapics, Inc.......................................... 16,700 319,388
*Mapinfo Corp......................................... 4,800 66,300
*Marcam Solutions, Inc................................ 2,700 18,056
Marcus Corp........................................... 17,175 259,772
*Marine Drilling Companies, Inc....................... 43,000 373,563
*Marine Transport Corp................................ 3,540 7,412
*Mariner Post-Acute Network, Inc...................... 62,460 269,359
*Marisa Christina, Inc................................ 6,700 8,584
Maritrans, Inc........................................ 9,700 64,263
*Mark VII, Inc........................................ 4,800 83,700
*Market Facts, Inc.................................... 8,000 197,250
*Marlton Technologies, Inc............................ 5,000 23,750
Marsh Supermarkets, Inc. Class A...................... 1,600 25,500
Marsh Supermarkets, Inc. Class B...................... 3,100 43,788
*Marshall Industries.................................. 16,400 426,400
*#Martek Biosciences Corp............................. 13,400 107,200
*Marten Transport, Ltd................................ 4,200 54,600
*Marvel Enterprises, Inc.............................. 10,200 62,475
Massbank Corp. Reading, MA............................ 2,433 95,799
*Mastec, Inc.......................................... 22,200 516,150
Matec Corp............................................ 1,100 4,263
*Material Sciences Corp............................... 20,500 184,500
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Mathsoft, Inc........................................ 6,300 $ 17,916
*Matlack Systems, Inc................................. 7,500 58,125
*Matria Healthcare, Inc............................... 33,200 63,288
*Matritech, Inc....................................... 21,800 47,006
*Matrix Pharmaceutical, Inc........................... 19,600 64,313
*Matrix Service Co.................................... 7,500 36,797
Matthews International Corp. Class A.................. 12,000 354,750
*Matthews Studio Equipment Group...................... 8,800 23,650
*Mattson Technology, Inc.............................. 13,300 90,606
*#Maverick Tube Corp.................................. 13,900 79,491
*Max & Ermas Restaurants, Inc......................... 2,037 15,787
*Maxco, Inc........................................... 1,900 14,250
*Maxicare Health Plans, Inc........................... 14,300 83,566
*Maxim Group, Inc..................................... 12,200 238,663
*#Maxim Pharmaceuticals, Inc.......................... 7,800 117,975
*Maxwell Shoe Company, Inc............................ 8,000 96,000
*Maxwell Technologies, Inc............................ 5,700 151,406
*Maxxam, Inc.......................................... 5,200 253,825
*Maxxim Medical, Inc.................................. 12,000 327,000
*Maynard Oil Co....................................... 3,100 30,225
*Mays (J.W.), Inc..................................... 200 1,603
*Mazel Stores, Inc.................................... 6,400 76,400
*McClain Industries, Inc.............................. 266 1,239
McGrath Rent Corp..................................... 12,100 244,269
*McMoran Exploration Co............................... 7,896 126,336
*McWhorter Technologies, Inc.......................... 7,200 170,100
*Meade Instruments Corp............................... 5,500 59,469
*Meadow Valley Corp................................... 2,200 10,863
Meadowbrook Insurance Group, Inc...................... 6,900 109,106
*Measurement Specialties, Inc......................... 2,500 10,000
*Mechanical Dynamics, Inc............................. 4,300 29,831
*Mecon, Inc........................................... 5,400 41,513
Medalliance, Inc. Escrow.............................. 3,800 0
*Medaphis Corp........................................ 70,400 203,500
*Medar, Inc........................................... 5,400 7,003
*Medarex, Inc......................................... 23,300 95,384
*Medco Research, Inc.................................. 9,500 192,375
Medford Bancorp, Inc.................................. 7,000 128,625
*Media 100, Inc....................................... 7,000 29,750
*Media Arts Group, Inc................................ 11,300 165,969
*Media Logic, Inc..................................... 2,400 750
*Medialink Worldwide, Inc............................. 4,200 91,350
*Medical Action Industries, Inc....................... 5,200 14,706
*Medical Alliance, Inc................................ 5,200 11,538
*Medical Assurance, Inc............................... 18,743 564,633
*Medical Graphics Corp................................ 1,500 1,359
*Medical Manager Corp................................. 19,400 549,869
*Medical Resources, Inc............................... 5,283 12,052
*Medicalcontrol, Inc.................................. 1,500 11,484
*Medicore, Inc........................................ 3,800 5,463
*Medirisk, Inc........................................ 5,600 26,338
Medpartners, Inc...................................... 122,000 549,000
*#Medplus, Inc........................................ 4,500 10,406
*Medquist Inc......................................... 19,800 604,519
*Medstone International, Inc.......................... 4,800 36,600
*Megabios Corp........................................ 9,300 55,219
*Melita International Corp............................ 9,000 135,281
*Memberworks, Inc..................................... 12,200 295,088
*Mens Warehouse, Inc.................................. 19,800 500,569
Mentor Corp. MN....................................... 25,900 482,388
*Mentor Graphics Corp................................. 58,900 509,853
Merchants Bancorp, Inc................................ 2,100 61,688
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Merchants Bancshares, Inc............................. 2,700 $ 69,863
Merchants Group, Inc.................................. 1,300 27,788
Merchants New York Bancorp, Inc....................... 800 28,600
*Mercury Air Group, Inc............................... 5,800 37,338
*Mercury Interactive Corp............................. 14,000 643,125
*Meridian Data, Inc................................... 7,100 16,197
Meridian Diagnostics, Inc............................. 12,900 74,981
Meridian Insurance Group, Inc......................... 2,700 46,913
*Meridian Medical Technology, Inc..................... 2,400 18,375
*Meridian Resource Corp............................... 59,172 229,292
*Merisel, Inc......................................... 11,900 34,398
*Merit Medical Systems, Inc........................... 5,200 28,600
*Merix Corp........................................... 5,200 25,838
Merrill Corp.......................................... 13,200 228,525
*Merrimac Industries, Inc............................. 660 4,455
*Mesa Air Group, Inc.................................. 30,100 239,859
*Mesa Labs, Inc....................................... 2,700 11,306
*Mesaba Holdings, Inc................................. 16,350 308,606
*Mestek, Inc.......................................... 4,200 80,850
*Meta Group, Inc...................................... 9,000 218,531
*Metacreations Corp................................... 21,300 171,731
*Metal Management, Inc................................ 27,421 84,834
*Metals USA, Inc...................................... 12,000 111,750
*Metatec Corp. Class A................................ 5,300 30,806
*Met-Coil Systems Corp................................ 1,000 4,000
Methode Electronics, Inc. Class A..................... 30,800 412,913
Methode Electronics, Inc. Class B..................... 500 6,875
Met-Pro Corp.......................................... 11,175 152,259
*Metra Biosystems, Inc................................ 10,100 10,100
*#Metricom, Inc....................................... 16,700 119,509
*Metrika System Corp.................................. 3,000 25,875
Metris Companies, Inc................................. 1,100 36,850
*Metro Networks, Inc.................................. 11,600 448,050
*Metro One Telecommunications, Inc.................... 9,900 111,684
*Metrocall, Inc....................................... 36,985 164,121
*Metrologic Instruments, Inc.......................... 3,300 44,963
*Metromedia International Group, Inc.................. 41,500 184,156
*Metrotrans Corp...................................... 1,600 8,600
Metrowest Bank MA..................................... 12,800 86,800
*Metzler Group, Inc................................... 12,900 536,963
*Michael Anthony Jewelers, Inc........................ 5,800 17,400
Michael Foods, Inc.................................... 17,758 447,835
*Michaels Stores, Inc................................. 18,400 331,200
*Micrel, Inc.......................................... 17,700 717,403
*Micrion Corp......................................... 3,300 22,791
*Micro Focus Group P.L.C.............................. 9,955 107,327
*Micro Linear Corp.................................... 9,600 46,200
*Micro Warehouse, Inc................................. 27,700 758,288
*Microage, Inc........................................ 18,150 318,759
*Microcide Pharmaceuticals, Inc....................... 9,300 48,244
*Microdyne Corp....................................... 10,300 36,694
*Micrografx, Inc...................................... 8,200 80,463
*Micros Systems, Inc.................................. 14,400 403,200
*Micros to Mainframes, Inc............................ 3,100 6,781
*Microsemi Corp....................................... 10,600 128,525
*Microtest, Inc....................................... 7,900 21,478
*Micro-Therapeutics, Inc.............................. 4,200 31,500
*Microtouch Systems, Inc.............................. 7,300 98,550
*Microware Systems Corp............................... 11,600 30,088
*Microwave Power Dynamics, Inc........................ 10,100 62,494
Mid America Banccorp.................................. 7,510 193,402
*Mid Atlantic Medical Services, Inc................... 56,800 504,100
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Midcoast Energy Resources, Inc........................ 4,500 $ 93,375
*Middleby Corp........................................ 10,300 40,556
Middlesex Water Co.................................... 3,400 84,363
Midland Co............................................ 3,300 82,088
*Midway Games, Inc.................................... 33,070 336,901
*Midwest Express Holdings, Inc........................ 11,275 312,881
*Midwest Grain Products, Inc.......................... 7,600 103,550
Mikasa, Inc........................................... 16,400 178,350
*Mikohn Gaming Corp................................... 8,400 34,125
*#Milestone Scientific, Inc........................... 6,900 7,763
*Millennium Pharmaceuticals, Inc...................... 26,600 540,313
*Miller Building Systems, Inc......................... 1,600 13,050
*Miller Industries, Inc............................... 40,200 193,463
*Miltope Group, Inc................................... 11,000 13,063
Mine Safety Appliances Co............................. 1,900 124,213
*Minimed, Inc......................................... 1,900 136,681
Minntech Corp......................................... 4,700 58,309
Minuteman International, Inc.......................... 1,000 10,875
*#Miravant Medical Technologies....................... 12,600 193,725
Mississippi Chemical Corp............................. 24,642 388,112
*Mitcham Industries, Inc.............................. 6,900 40,969
*Mity-Lite, Inc....................................... 2,200 34,238
Mobile America Corp................................... 4,900 24,806
*Mobile Mini, Inc..................................... 5,500 49,672
*#Modacad, Inc........................................ 4,700 92,531
Modern Controls, Inc.................................. 6,450 35,173
*Modtech, Inc......................................... 9,000 172,688
*Molecular Biosystems, Inc............................ 14,700 49,613
*Molecular Devices Corp............................... 5,600 100,100
*Monaco Coach Corp.................................... 6,650 205,319
*Monarch Casino and Resort, Inc....................... 6,300 34,256
*Monarch Dental Corp.................................. 7,700 86,625
Monarch Machine Tool Co............................... 1,700 12,113
*Mondavi (Robert) Corp. Class A....................... 6,400 234,000
*Monro Muffler Brake, Inc............................. 6,641 52,713
Monterey Bay Bancorp, Inc............................. 2,125 30,414
*#Monterey Pasta Co................................... 3,400 4,994
*Moog, Inc. Class A................................... 4,200 121,800
*Moog, Inc. Class B................................... 600 19,800
*Moore Medical Corp................................... 2,700 38,813
Moore Products Co..................................... 2,200 51,975
Morgan Keegan, Inc.................................... 29,400 588,000
*Morgan Products, Ltd................................. 9,100 21,613
Morrison Health Care, Inc............................. 9,833 179,452
*Morrison Knudsen Corp................................ 46,700 449,488
*Morrow Snowboards, Inc............................... 1,000 1,016
*Morton Industrial Group, Inc. Class A................ 1,000 13,938
*Morton's Restaurant Group, Inc....................... 5,300 105,338
*Mosaix, Inc.......................................... 9,200 71,013
*#Mossimo, Inc........................................ 13,500 40,500
*Mother's Work, Inc................................... 2,200 25,850
*Motivepower Industries, Inc.......................... 16,000 487,000
*Motor Car Parts & Accessories, Inc................... 5,100 68,531
*Motor Club of America................................ 700 9,975
Movado Group, Inc..................................... 9,050 179,303
*Movie Gallery, Inc................................... 11,500 58,219
*Moviefone, Inc. Class A.............................. 3,400 41,863
Mueller (Paul) Co..................................... 2,200 87,588
*Multi Color Corp..................................... 1,000 7,563
*Multiple Zones International, Inc.................... 11,000 147,125
*Musicland Stores Corp................................ 31,800 538,613
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Mutual Savings Bank FSB
Bay City, MI........................................ 3,000 $ 24,938
Myers Industries, Inc................................. 14,461 325,373
*Mylex Corp........................................... 16,200 134,663
*Myriad Genetics, Inc................................. 8,400 92,925
*Mysoftware Co........................................ 4,000 43,375
*N & F Worldwide Corp................................. 16,600 157,700
*NABI, Inc............................................ 37,600 102,225
*NAI Technologies, Inc................................ 6,387 10,978
NBT Bancorp........................................... 10,084 251,475
*NBTY, Inc............................................ 45,200 276,144
NCH Corp.............................................. 3,900 218,400
*NCI Building Systems, Inc............................ 13,200 323,400
*NCS Healthcare, Inc.................................. 11,700 240,947
*NFO Worldwide, Inc................................... 10,000 126,250
NN Ball & Roller, Inc................................. 12,300 76,106
*NPC International, Inc............................... 19,800 222,750
*NPS Pharmaceuticals, Inc............................. 8,600 60,738
*NS Group, Inc........................................ 22,700 123,431
NUI Corp.............................................. 10,100 245,556
NYMAGIC, Inc.......................................... 7,600 159,600
*Nanometrics, Inc..................................... 5,900 47,384
*Napco Security Systems, Inc.......................... 4,850 20,309
*#Napro Biotherapeutics, Inc.......................... 9,500 12,172
Nash Finch Co......................................... 10,200 149,175
*Nashua Corp.......................................... 4,800 80,100
*Nastech Pharmaceutical Co., Inc...................... 4,500 16,875
*Nathans Famous, Inc.................................. 1,900 7,778
*National Beverage Corp............................... 14,800 147,075
*National City Bancorp................................ 6,189 165,556
National City Bankshares, Inc......................... 4,466 171,130
National Computer Systems, Inc........................ 24,800 816,850
*National Dentex Corp................................. 3,000 50,813
*National Discount Brokers Group, Inc................. 10,500 95,813
*National Home Centers, Inc........................... 3,000 4,688
*National Home Health Care Corp....................... 3,115 14,602
National Information Group............................ 3,600 65,925
*National Media Corp.................................. 22,900 211,825
National Penn Bancshares, Inc......................... 10,528 343,805
National Presto Industries, Inc....................... 5,100 210,694
*National Processing, Inc............................. 30,300 183,694
*National Record Mart, Inc............................ 2,900 40,419
*National Research Corp............................... 4,500 27,563
*National RV Holdings, Inc............................ 20,700 556,313
*National Standard Co................................. 6,500 22,750
National Steel Corp. Class B.......................... 23,000 168,188
National Technical Systems, Inc....................... 4,900 26,644
*National Techteam, Inc............................... 14,600 99,463
*National Vision Association, Ltd..................... 18,400 80,500
*National Western Life Insurance Co. Class A.......... 1,000 118,375
*Natural Alternatives International, Inc.............. 4,500 45,703
*Natural Microsystems Corp............................ 8,700 97,059
*Natural Wonders, Inc................................. 5,700 22,088
Natures Sunshine Products, Inc........................ 14,759 229,226
*Navarre Corp......................................... 11,000 165,344
*Navigators Group, Inc................................ 3,200 49,800
Nelson (Thomas), Inc.................................. 11,400 150,338
*Neogen Corp.......................................... 3,700 26,594
*Neopath, Inc......................................... 13,100 90,881
*#Neopharm, Inc....................................... 8,000 70,000
*Neorx Corp........................................... 17,225 25,030
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Neose Technologies, Inc.............................. 7,300 $ 91,706
*#Neotherapeutics, Inc................................ 3,300 28,256
*Netmanage, Inc....................................... 52,645 157,112
*Netopia, Inc......................................... 9,600 85,200
*Netrix Corp.......................................... 10,300 26,394
*#Netspeak Corp....................................... 11,300 123,241
*Network Computing Devices, Inc....................... 13,900 98,603
*Network Equipment Technologies, Inc.................. 18,800 209,150
*Network Peripherals, Inc............................. 9,700 44,256
*Network Six, Inc..................................... 275 1,134
*Neurobiological Technologies, Inc.................... 2,700 1,645
*Neurocrine Biosciences, Inc.......................... 16,300 112,572
*Neurogen Corp........................................ 11,500 197,656
*New Brunswick Scientific Co., Inc.................... 3,158 21,711
*#New Century Financial Corp.......................... 5,100 48,291
New England Business Services, Inc.................... 11,000 352,000
#New England Community Bancorp, Inc. Class A.......... 4,770 95,400
New Hampshire Thrift BancShares, Inc.................. 200 3,450
*New Horizons Worldwide, Inc.......................... 4,400 86,625
New Jersey Resources Corp............................. 12,800 498,400
*New Mexico & Arizona Land Co......................... 2,772 40,194
Newcor, Inc........................................... 2,940 10,382
Newmil Bancorp, Inc................................... 3,500 41,125
*Newpark Resources, Inc............................... 58,000 427,750
Newport Corp.......................................... 6,800 114,750
*Newsedge Corp........................................ 13,750 116,445
*#Nexstar Pharmaceuticals, Inc........................ 25,696 260,172
*Nexthealth, Inc...................................... 3,400 2,869
*#Niagara Corp........................................ 7,400 51,106
*Nichols Research Corp................................ 11,950 253,938
*Nine West Group...................................... 32,300 403,750
*Nitches, Inc......................................... 785 2,306
*Nitinol Medical Technologies, Inc.................... 9,000 39,938
*Nobel Education Dynamics, Inc........................ 3,600 23,175
*Nobility Homes....................................... 2,250 36,281
*Noel Group, Inc...................................... 8,000 9,500
Noland Co............................................. 200 4,475
*Noodle Kidoodle, Inc................................. 4,900 36,750
Nordson Corp.......................................... 4,800 228,000
Norrell Corp.......................................... 24,500 390,469
*Norstan, Inc......................................... 8,400 129,150
*Nortek, Inc.......................................... 6,400 174,800
North Carolina Natural Gas Corp....................... 9,100 293,475
North Central Bancshares, Inc......................... 2,700 47,588
*North Face, Inc...................................... 13,000 162,500
Northeast Bancorp..................................... 900 9,113
Northern Technologies International................... 2,700 16,875
*Northfield Laboratories, Inc......................... 11,300 150,431
#Northland Cranberries, Inc. Class A.................. 16,400 228,575
Northrim Bank......................................... 1,615 20,995
Northwest Bancorp, Inc................................ 42,200 422,000
Northwest Natural Gas Co.............................. 19,350 549,661
*Northwest Pipe Co.................................... 4,200 67,725
*Northwest Teleproductions, Inc....................... 200 116
Northwestern Corp..................................... 14,900 352,013
*Northwestern Steel & Wire Co......................... 18,500 24,859
*Norton McNaughton, Inc............................... 6,000 17,625
*Novacare, Inc........................................ 58,000 181,250
*Novadigm, Inc........................................ 14,000 106,750
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Novametrix Medical Systems, Inc...................... 6,100 $ 41,175
*Novavax, Inc......................................... 8,700 18,488
*Noven Pharmaceuticals, Inc........................... 19,300 104,341
*Novitron International, Inc.......................... 1,430 3,352
*Nu Horizons Electronics Corp......................... 7,900 47,647
*Nuevo Energy Co...................................... 16,200 239,963
*Numerex Corp. Class A................................ 8,300 23,084
*Nutramax Products, Inc............................... 3,300 19,388
*#Nutrition for Life International, Inc............... 2,500 5,234
*O'Charleys, Inc...................................... 20,750 278,828
*O'Reilly Automotive, Inc............................. 17,000 770,844
O'Sullivan Corp....................................... 13,000 126,750
*O'Sullivan Industries Holdings, Inc.................. 12,800 128,800
*O.I. Corp............................................ 2,600 14,788
*OAO Technology Solutions, Inc........................ 700 2,461
*ODS Networks, Inc.................................... 15,200 51,775
OEA, Inc.............................................. 18,500 241,656
*OEC Medical Systems, Inc............................. 10,000 275,625
*OMI Corp............................................. 35,400 110,625
*ORBIT/FR, Inc........................................ 1,200 3,488
*OSI Pharmaceutical, Inc.............................. 18,300 73,200
*OSI Systems, Inc..................................... 1,700 13,494
*OTR Express, Inc..................................... 200 1,025
*Oacis Healthcare Holdings Corp....................... 9,500 30,578
Oak Hill Financial, Inc............................... 1,000 20,344
*Oak Industries, Inc.................................. 12,500 385,938
*Oak Technology, Inc.................................. 37,700 149,033
*Object Design, Inc................................... 24,300 151,116
*Objective Systems Integrators, Inc................... 29,400 119,897
*Objectshare, Inc..................................... 8,300 8,689
*Ocal, Inc............................................ 2,300 7,511
Ocean Financial Corp.................................. 12,400 194,525
*Oceaneering International, Inc....................... 20,700 257,456
*Odetics, Inc. Class A................................ 300 2,381
*Odwalla, Inc......................................... 3,500 27,672
*Offshore Logistics, Inc.............................. 19,700 240,709
Oglebay Norton Co..................................... 4,400 114,675
Oil-Dri Corp. of America.............................. 4,000 59,000
*Old Dominion Freight Lines, Inc...................... 7,200 91,350
Olsten Corp........................................... 25,300 189,750
*#Olympic Steel, Inc.................................. 10,000 59,375
Omega Financial Corp.................................. 7,150 218,969
*#Omega Health System, Inc............................ 6,100 25,544
*#Omniamerica, Inc.................................... 10,500 258,891
*#Omnipoint Corp...................................... 35,400 316,388
*Omtool, Ltd.......................................... 17,000 48,344
*On Assignment, Inc................................... 9,700 345,563
*On Command Corp...................................... 13,900 113,806
*On Technology Corp................................... 1,700 2,816
*On-Point Technology Systems, Inc..................... 7,900 13,578
*#Oncor, Inc.......................................... 20,800 1,144
*One Price Clothing Stores, Inc....................... 9,400 43,181
Oneida, Ltd........................................... 15,050 274,663
*#Onhealth Network Company............................ 3,800 22,088
*#Onsale, Inc......................................... 16,200 1,003,388
*Ontrack Data International, Inc...................... 7,900 58,016
*Onyx Acceptance Corp................................. 4,800 31,500
*Onyx Pharmacueticals, Inc............................ 9,000 59,625
*#Open Market, Inc.................................... 39,200 684,775
*Opinion Research Corp................................ 1,700 10,147
*Opta Food Ingredients, Inc........................... 9,000 38,813
*Optek Technology, Inc................................ 5,600 100,800
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Opti, Inc............................................ 12,000 $ 48,375
*#Optical Cable Corp.................................. 16,700 228,581
Optical Coating Laboratory, Inc....................... 9,600 181,200
*Optical Sensors, Inc................................. 7,100 10,317
*Optika Imaging Systems, Inc.......................... 5,900 16,963
*Option Care, Inc..................................... 7,600 7,838
Orange & Rockland Utilities, Inc...................... 8,700 489,375
*Orange Co., Inc...................................... 9,400 66,388
*Oravax, Inc. (Private Placement)..................... 5,500 2,422
*Orbit International Corp............................. 3,800 6,769
*Orcad, Inc........................................... 7,400 62,438
Oregon Steel Mills, Inc............................... 23,200 294,350
*Oregon Trail Financial Corp.......................... 4,200 56,306
*#Organogenesis, Inc.................................. 26,576 355,454
*#Oriole Homes Corp. Class A Convertible.............. 800 2,400
*Oriole Homes Corp. Class B........................... 2,000 5,750
*Orleans Homebuilders, Inc............................ 2,000 4,000
*Oroamerica, Inc...................................... 4,400 39,325
*Orphan Medical, Inc.................................. 4,585 29,946
*Ortel Corp........................................... 10,100 111,731
*Orthologic Corp...................................... 22,800 89,775
Oshkosh B'Gosh, Inc. Class A.......................... 16,200 384,750
Oshkosh Truck Corp. Class B........................... 4,800 142,200
*Oshman's Sporting Goods, Inc......................... 4,100 18,450
*Osmonics, Inc........................................ 11,300 118,650
*Osteotech, Inc....................................... 6,200 207,894
*Ostex International, Inc............................. 10,000 5,313
Ottawa Financial Corp................................. 3,025 66,550
Otter Tail Power Co................................... 10,200 402,263
*Outlook Group Corp................................... 1,800 7,425
Overseas Shipholding Group, Inc....................... 11,200 177,100
Owens & Minor, Inc.................................... 27,500 470,938
Owosso Corp........................................... 3,600 17,550
*Oxford Health Plans, Inc............................. 27,900 309,516
Oxford Industries, Inc................................ 7,800 225,225
*#Oxigene, Inc........................................ 6,900 61,669
*P&F Industries, Inc. Class A......................... 1,300 10,197
*P-Com, Inc........................................... 39,100 144,792
*PAM Transportation Services, Inc..................... 6,600 46,406
*PC Quote, Inc........................................ 3,600 7,200
*PC Service Source, Inc............................... 4,900 20,213
*#PHP Healthcare Corp................................. 11,000 8,250
*PIA Merchandising Services, Inc...................... 500 1,500
*PICO Holdings, Inc................................... 29,309 95,254
*PJ America, Inc...................................... 23,500 459,719
*PLM International, Inc............................... 5,100 29,963
*PMR Corp............................................. 6,700 49,203
*PPT Vision, Inc...................................... 4,200 22,575
*PRI Automation, Inc.................................. 17,800 429,425
PS Group Holdings, Inc................................ 3,000 33,375
*PSC, Inc............................................. 8,900 97,622
*PSW Technologies, Inc................................ 8,000 23,500
PXRE Corp............................................. 12,120 268,913
*#Pacific Aerospace and Electroncis, Inc.............. 12,200 37,744
*Pacific Crest Capital, Inc........................... 1,060 15,569
*Pacific Gateway Exchange, Inc........................ 15,300 686,588
*Pacific Pharmaceuticals, Inc......................... 3,200 784
*Pacific Sunwear of California, Inc................... 18,900 280,547
*Pagasus Systems, Inc................................. 5,900 129,431
*Pagemart Wireless, Inc. Class A...................... 27,500 163,281
</TABLE>
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<CAPTION>
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*Paging Network, Inc.................................. 24,000 $ 147,750
*Palatin Technologies, Inc............................ 62 227
*Palm Harbor Homes, Inc............................... 19,169 495,998
*Pameco Corp.......................................... 5,300 73,206
*Pamida Holdings Corp................................. 4,000 15,000
Pamrapo Bancorp, Inc.................................. 1,300 32,175
Panaco, Inc........................................... 18,100 22,059
Pancho's Mexican Buffet, Inc.......................... 5,000 4,609
*Par Technology Corp.................................. 7,500 50,156
*Paracelsus Healthcare Corp........................... 44,100 93,713
*Paragon Trade Brands, Inc............................ 7,100 19,969
*Parallel Petroleum Corp.............................. 12,800 21,200
*Parexel International Corp........................... 6,800 177,438
*Paris Corp........................................... 200 425
Park Electrochemical Corp............................. 10,300 197,631
*Parker Drilling Co................................... 74,200 278,250
*#Parkervision, Inc................................... 8,000 192,000
*Park-Ohio Holdings Corp.............................. 7,934 130,663
Parkvale Financial Corp............................... 3,050 67,481
*Parlex Corp.......................................... 3,900 37,050
*Parlux Fragrances, Inc............................... 8,100 10,631
*#Pathogenesis Corp................................... 13,000 625,625
Patina Oil & Gas Corp................................. 13,834 39,773
Patrick Industries, Inc............................... 4,700 70,794
*Patterson Energy, Inc................................ 27,280 127,023
*Paul Harris Stores, Inc.............................. 8,300 113,606
*Paula Financial, Inc................................. 5,700 54,863
*#Paul-Son Gaming Corp................................ 2,000 15,438
*Paxar Corp........................................... 44,015 462,158
*Paxson Communications Corp........................... 47,200 342,200
*Payless Cashways, Inc................................ 159 241
*Paymentech, Inc...................................... 36,200 574,675
*#Peapod, Inc......................................... 15,300 131,484
*Pediatric Services of America, Inc................... 4,800 19,050
*Pediatrix Medical Group, Inc......................... 12,000 644,250
*Peerless Group, Inc.................................. 3,400 25,925
Peerless Manufacturing Co............................. 200 2,250
*Pegasus Communications Corp. Class A................. 3,400 56,100
*#Pegasystems, Inc.................................... 16,500 107,766
Penford Corp.......................................... 6,600 99,206
Penn Engineering & Manufacturing Corp. Class A........ 600 12,825
Penn Engineering & Manufacturing Corp. Non-voting..... 7,500 171,563
*Penn National Gaming, Inc............................ 12,600 105,131
*Penn Traffic Co...................................... 9,300 20,925
*Penn Treaty American Corp............................ 7,000 197,750
Penn Virginia Corp.................................... 8,200 177,838
Penn-America Group, Inc............................... 8,450 91,894
Penncorp Financial Group, Inc......................... 23,300 26,213
Pennfed Financial Services, Inc....................... 6,800 93,925
Pennsylvania Enterprises, Inc......................... 7,000 172,813
*#Penske Motorsports, Inc............................. 11,400 267,900
*Pentacon, Inc........................................ 5,000 21,563
*Penwest Pharmaceuticals Company...................... 6,600 55,894
Peoples Bancor........................................ 32,700 327,000
Peoples Bancorp, Inc.................................. 300 6,113
Peoples Bancshares, Inc. Massachusetts................ 2,500 50,234
*Peoples Choice TV Corp............................... 6,350 2,778
*Peoples Telephone Co., Inc........................... 13,950 61,903
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Perceptron, Inc...................................... 7,050 $ 53,756
*Peregrine Systems, Inc............................... 14,400 531,450
*Performance Food Group Co............................ 9,800 238,569
*Performance Technologies, Inc........................ 5,800 72,138
*Perini Corp.......................................... 3,700 21,044
*Periphonics Corp..................................... 11,900 131,644
*Perrigo Co........................................... 67,200 567,000
*Personnel Group of America, Inc...................... 29,500 486,750
*Petco Animal Supplies, Inc........................... 18,956 188,968
*Petrocorp, Inc....................................... 6,900 53,475
*Petroglyph Energy, Inc............................... 1,000 4,563
*Petroleum Development Corp........................... 13,600 46,963
Petroleum Heat & Power Co., Inc. Class A.............. 13,500 14,133
*Pharmaceutical Marketing Services, Inc............... 12,600 129,938
*#Pharmaceutical Products Development Service Co...... 16,570 475,352
*Pharmaceutical Resources, Inc........................ 24,200 81,675
*Pharmacopeia, Inc.................................... 15,000 129,375
*Pharmacyclics........................................ 9,800 172,725
*Pharmchem Laboratories, Inc.......................... 4,400 14,713
*Pharmerica, Inc...................................... 55,900 227,967
*Phar-Mor, Inc........................................ 9,200 71,875
*#Pharmos Corp........................................ 6,200 11,238
Philadelphia Suburban Corp............................ 20,666 523,108
*#Philadelphia Consolidated Holding Corp.............. 9,800 205,188
*Phillips (R.H.), Inc................................. 3,900 11,944
Phillips-Van Heusen Corp.............................. 23,900 167,300
*Phoenix Gold International, Inc...................... 1,000 1,844
*Phoenix International, Ltd........................... 6,650 106,400
Phoenix Investment Partners, Ltd...................... 34,100 289,850
*Phoenix Network, Inc. Escrow......................... 10,200 0
*Phoenix Technologies, Ltd............................ 16,987 119,440
*Phonetel Technologies, Inc........................... 13,200 825
*Photo Control Corp................................... 1,000 1,438
*Photon Dynamics, Inc................................. 6,500 29,453
*Photran Corp......................................... 1,100 2,234
*Photronics, Inc...................................... 22,000 442,063
*Phycor, Inc.......................................... 46,200 284,419
*Phymatrix Corp....................................... 30,000 76,875
*Physician Computer Network, Inc...................... 46,100 2,881
*Physician Reliance Network, Inc...................... 45,700 424,153
Piccadilly Cafeterias, Inc............................ 7,500 80,156
*Picturetel Corp...................................... 39,700 280,381
*Pierce Leahy Corp.................................... 13,200 325,050
*Piercing Pagoda, Inc................................. 6,300 92,925
*Pilgrim America Capital Corp......................... 3,600 79,875
Pilgrim Pride Corp.................................... 24,000 582,000
Pillowtex Corp........................................ 12,717 429,199
*Pinkertons, Inc...................................... 13,750 275,000
*Pinnacle Systems, Inc................................ 7,800 261,788
Pioneer Group, Inc.................................... 22,900 413,631
Pioneer Standard Electronics, Inc..................... 24,900 267,675
Pitt-Des Moines, Inc.................................. 7,200 175,500
Pittston Co. Burlington Group......................... 20,800 180,700
Pittston Co. Minerals Group........................... 7,700 21,175
*Plains Resources, Inc................................ 13,700 243,175
*Planar Systems, Inc.................................. 8,600 70,950
*Planet Hollywood, Inc................................ 106,500 319,500
*Plasma-Therm, Inc.................................... 9,800 37,975
</TABLE>
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<TABLE>
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SHARES VALUE+
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*Platinum Software Corp............................... 25,500 $ 272,531
*Play By Play Toys and Novelties, Inc................. 5,900 43,328
*Playboy Enterprises, Inc. Class A.................... 2,800 37,625
*Playboy Enterprises, Inc. Class B.................... 14,300 220,756
*Playcore, Inc........................................ 3,936 19,680
*Players International, Inc........................... 27,550 162,717
*Playtex Products, Inc................................ 19,000 294,500
*Plexus Corp.......................................... 11,700 350,634
*Pluma, Inc........................................... 6,600 8,663
Poe & Brown, Inc...................................... 12,150 425,250
Pogo Producing Co..................................... 16,917 196,660
*Polk Audio, Inc...................................... 500 6,875
*#Polycom, Inc........................................ 26,500 472,031
*Polymedica Industries, Inc........................... 7,100 75,438
*Polymer Group, Inc................................... 32,500 345,313
*Pomeroy Computer Resource, Inc....................... 10,375 201,988
*Pool Energy Services Co.............................. 18,900 212,034
Pope & Talbot, Inc.................................... 13,400 132,325
*Porta Systems Corp................................... 6,680 10,438
*Positive Response Television, Inc. Escrow............ 1,400 0
*#Possis Medical, Inc................................. 8,600 74,175
*Powell Industries, Inc............................... 5,300 53,331
*Powercerv Corp....................................... 10,600 26,169
*Powerhouse Technologies, Inc......................... 8,700 101,681
*Power-One, Inc....................................... 500 2,953
*Powertel, Inc........................................ 24,300 328,809
*Powerwave Technologies, Inc.......................... 13,700 193,941
*Praegitzer Industries, Inc........................... 9,500 76,594
*Precision Response, Corp............................. 19,400 163,081
*Precision Standard, Inc.............................. 950 4,394
Premier Bancshares, Inc............................... 2,100 49,088
*#Premier Laser Systems, Inc. Class A................. 9,900 27,844
Premier National Bancorp.............................. 5,580 101,138
*Premiere Technologies, Inc........................... 41,300 205,209
*Premisys Communications, Inc......................... 22,800 339,863
*Premiumwear, Inc..................................... 800 5,950
*Pre-Paid Legal Services, Inc......................... 19,200 499,200
Presidential Life Corp................................ 26,400 476,850
*Presstek, Inc........................................ 28,900 225,781
*Price Communications Corp............................ 20,766 206,362
Price Enterprises, Inc................................ 3,914 21,282
*Pricesmart, Inc...................................... 3,500 55,125
*Pride International, Inc............................. 20,100 152,006
*Prima Energy Corp.................................... 3,500 47,906
*Primadonna Resorts, Inc.............................. 26,000 190,125
*Primark Corp......................................... 14,700 367,500
Prime Bancorp, Inc.................................... 8,730 163,688
*Prime Hospitality Corp............................... 39,100 342,125
*Prime Medical Services, Inc.......................... 15,300 118,097
Primesource Corp...................................... 2,581 17,744
*Primix Solutions, Inc................................ 8,600 20,156
*Primus Telecommunications Group, Inc................. 25,229 321,670
*Printrak International, Inc.......................... 10,100 80,800
*Printronix, Inc...................................... 5,925 79,247
*Printware, Inc....................................... 3,900 11,456
*Prism Solutions, Inc................................. 15,300 30,361
*Procom Technology, Inc............................... 8,400 92,138
*Procyte Corp......................................... 3,600 1,856
*Profit Recovery Group International, Inc............. 20,000 673,750
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Programmers Paradise, Inc............................ 3,400 $ 36,869
Progress Financial Corp............................... 3,667 52,828
*Progress Software Corp............................... 15,450 389,630
*Project Software & Development, Inc.................. 8,800 264,550
*ProMedCo Management Company.......................... 22,700 119,175
*Protein Design Labs, Inc............................. 14,800 321,900
*Protocol Systems, Inc................................ 8,500 64,547
Providence & Worcester Railroad Co.................... 800 10,400
Providence Energy Corp................................ 5,300 111,631
*Provident American Corp.............................. 8,500 87,656
Provident Bankshares Corp............................. 18,618 496,868
*Provident Financial Holdings, Inc.................... 3,300 54,450
*Proxim, Inc.......................................... 8,700 197,925
*Proxymed, Inc........................................ 9,900 97,763
*Psinet, Inc.......................................... 40,900 768,153
Psychemedics Corp..................................... 20,000 100,000
Public Service Co. of North Carolina.................. 18,200 442,488
Pulaski Furniture Corp................................ 1,300 26,163
*Pulsepoint Communications Corp....................... 3,575 10,446
*Puma Technology, Inc................................. 8,500 29,484
*Pure World, Inc...................................... 6,800 63,325
*Pyramid Breweries, Inc............................... 5,700 8,194
*Q Logic Corp......................................... 5,200 531,700
*QC Optics, Inc....................................... 1,900 2,969
*QEP Co., Inc......................................... 1,300 9,506
*QMS, Inc............................................. 9,600 39,600
*QRS Corp............................................. 6,000 250,875
*Qad, Inc............................................. 16,300 72,586
*Quad Systems Corp.................................... 3,600 9,506
*#QuadraMed Corp...................................... 1,406 33,656
Quaker Chemical Corp.................................. 7,900 135,781
*Quaker City Bancorp, Inc............................. 2,187 37,042
*Quaker Fabric Corp................................... 14,050 100,106
Quaker State Corp..................................... 26,600 380,713
*Quality Dining, Inc.................................. 14,000 34,563
*Quality Semiconductor, Inc........................... 5,200 16,250
*Quality Systems, Inc................................. 4,200 19,688
Quanex Corp........................................... 11,300 202,694
Queens County Bancorp................................. 18,000 535,500
*Quest Diagnostics, Inc............................... 30,200 539,825
*Quest Educational Corporation........................ 6,600 67,650
*Quickturn Design Systems, Inc........................ 14,200 158,419
*Quidel Corp.......................................... 21,300 43,266
*#Quigley Corp........................................ 12,000 82,688
*Quiksilver, Inc...................................... 9,600 232,800
*Quintel Entertainment, Inc........................... 14,900 23,980
*Quipp, Inc........................................... 1,400 24,413
Quixote Corp.......................................... 5,900 77,806
*R & B, Inc........................................... 5,700 50,231
*RCM Technologies, Inc................................ 8,200 148,113
*RDO Equipment Co. Class A............................ 5,500 50,875
*RF Monolithics, Inc.................................. 3,400 36,444
RLI Corp.............................................. 9,425 341,067
*RMH Teleservices, Inc................................ 5,700 8,906
RPC, Inc.............................................. 45,400 351,850
*RTI International Metals, Inc........................ 17,100 257,569
*RTW, Inc............................................. 10,800 49,950
*Racing Champions Corp................................ 14,400 210,600
*Radiant Systems, Inc................................. 12,800 90,400
*Rag Shops, Inc....................................... 2,300 6,325
*Ragan (Brad), Inc.................................... 3,800 148,200
*Ragen Mackenzie Group, Inc........................... 5,100 64,706
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Railamerica, Inc..................................... 8,800 $ 63,525
*Railtex, Inc......................................... 6,600 79,613
*Rainbow Technologies, Inc............................ 9,000 141,188
*Rainforest Cafe, Inc................................. 23,000 160,281
*Ralcorp Holdings, Inc................................ 29,300 512,750
*Rally's Hamburgers, Inc.............................. 18,300 13,439
Ramapo Financial Corp................................. 6,500 45,094
*Ramsay Health Care, Inc.............................. 8,700 18,488
*Ramtron International Corp........................... 28,800 25,200
Range Resources Corp.................................. 16,100 67,419
*Rare Hospitality International, Inc.................. 10,881 135,332
Raritan Bancorp, Inc. DE.............................. 300 10,425
Raven Industries, Inc................................. 2,600 44,850
*Rawlings Sporting Goods, Inc......................... 7,000 80,063
*Raytech Corp. DE..................................... 2,400 7,350
*Raytel Med Corp...................................... 6,200 30,613
*Reading Entertainment, Inc........................... 2,000 17,875
*Read-Rite Corp....................................... 49,000 659,969
*Recoton Corp......................................... 8,966 168,113
*#Recovery Engineering, Inc........................... 4,000 27,250
*#Recycling Industries, Inc........................... 12,700 16,867
*Red Brick Systems, Inc............................... 8,800 27,363
*Red Roof Inns, Inc................................... 7,600 129,200
*#Redhook Ale Brewery, Inc............................ 6,900 30,188
Redwood Empire Bancorp................................ 2,300 40,250
*Reeds Jewelers, Inc.................................. 440 1,980
*Refac Technology Development Corp.................... 7,000 52,500
Regal Beloit Corp..................................... 18,800 470,000
*Regeneron Pharmaceuticals, Inc....................... 23,300 190,769
Regis Corp............................................ 21,350 716,559
*Rehabcare Group, Inc................................. 5,750 102,961
*Rehabilicare, Inc.................................... 7,500 22,500
*Reliability, Inc..................................... 4,800 26,850
Reliance Bancorp, Inc................................. 7,700 225,706
Reliance Steel and Aluminum Co........................ 15,000 459,375
Reliv International, Inc.............................. 7,750 23,734
*Relm Wireless Corp................................... 4,100 5,894
*Remec, Inc........................................... 21,000 288,750
*Remedy Corp.......................................... 26,300 279,438
*Remington Oil & Gas Corp. Class A.................... 400 1,750
*Remington Oil and Gas Corp. Class B.................. 14,000 55,125
*Renaissance Worldwide, Inc........................... 12,000 85,125
*#Reno Air, Inc....................................... 10,400 74,913
*Rental Service Corp.................................. 21,300 451,294
*Renters Choice, Inc.................................. 20,000 483,750
*Rentrak Corp......................................... 9,300 25,720
*#Rent-Way, Inc....................................... 8,700 235,988
*Repligen Corp........................................ 6,100 10,103
*Reptron Electronics, Inc............................. 4,600 20,413
Republic Bancorp, Inc................................. 19,391 322,981
*Republic Bankshares, Inc............................. 7,500 133,125
*Republic First Bancorp, Inc.......................... 4,940 50,635
Republic Group, Inc................................... 9,370 161,047
Republic Security Financial Corp...................... 35,182 394,698
*#Res-Care, Inc....................................... 16,850 409,666
*Research Partners International, Inc................. 5,600 14,000
*Resound Corp......................................... 18,500 96,547
Resource America, Inc................................. 18,200 221,244
Resource Bancshares Mortgage Group, Inc............... 21,408 297,036
*Respironics, Inc..................................... 29,248 554,798
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Response Oncology, Inc............................... 10,456 $ 47,706
*Restrac, Inc......................................... 5,100 34,744
*Rex Stores Corp...................................... 6,600 79,200
*Rexhall Industries, Inc.............................. 1,157 8,786
*Rexx Environmental Corp.............................. 800 1,800
*Ribi Immunochem Research, Inc........................ 16,400 43,563
*Ribozyme Pharmaceuticals............................. 6,700 36,013
Richardson Electronics, Ltd........................... 10,000 85,625
*Richey Electronics, Inc.............................. 7,800 79,463
*Riddell Sports, Inc.................................. 7,255 25,393
*Ride, Inc............................................ 5,400 5,738
Riggs National Corp................................... 17,900 374,222
*Right Management Consultants, Inc.................... 5,300 76,353
*Right Start, Inc..................................... 5,200 8,613
*Rightchoice Managed Care, Inc. Class A............... 2,400 21,900
*Rimage Corp.......................................... 3,000 43,875
*Rio Hotel & Casino, Inc.............................. 19,800 308,138
Rival Co.............................................. 7,500 79,922
*Riverside Group, Inc................................. 1,000 1,750
Riverview Bancorp, Inc................................ 4,900 59,413
Rivianna Foods, Inc................................... 12,500 252,344
*Riviera Holdings Corporation......................... 2,500 12,969
*Roadhouse Grill, Inc................................. 6,900 33,745
Roadway Express, Inc.................................. 16,400 248,563
Roanoke Electric Steel Corp........................... 8,400 122,850
Robbins & Myers, Inc.................................. 8,800 176,000
*Roberds, Inc......................................... 3,500 7,547
*Roberts Pharmaceutical Corp.......................... 25,000 612,500
*Robertson-Ceco Corp.................................. 14,518 116,144
Robinson Nugent, Inc.................................. 2,400 9,225
*Robocom Systems, Inc................................. 800 975
*#Robotic Vision Systems, Inc......................... 22,400 101,500
*Rochester Medical Corp............................... 4,900 63,853
*Rock Bottom Restaurants, Inc......................... 6,500 37,984
*Rockford Industries, Inc............................. 3,500 39,266
*Rockshox, Inc........................................ 15,100 39,638
Rock-Tenn Co. Class A................................. 20,100 327,881
*Rocky Mountain Chocolate Factory..................... 1,900 10,153
*Rocky Shoes & Boots, Inc............................. 3,500 24,719
*Rofin-Sinar Technologies, Inc........................ 11,100 110,653
*Rogers Corp.......................................... 10,000 271,250
*Rogue Wave Software, Inc............................. 9,300 79,922
Rohn Industries, Inc.................................. 47,600 133,131
Rollins Truck Leasing Corp............................ 48,300 579,600
Rollins, Inc.......................................... 29,400 501,638
*Romac International, Inc............................. 2,300 32,128
Roper Industries, Inc................................. 17,100 317,419
*#Ross Systems, Inc................................... 18,600 61,613
*Rottlund, Inc........................................ 2,300 9,775
Rouge Industries, Inc. Class A........................ 12,100 99,825
Rowe Furniture Corp................................... 12,200 128,863
*Royal Appliance Manufacturing Co..................... 19,500 90,188
Royal Bancshares of Pennsylvania Class A.............. 2,649 44,205
*Royal Energy, Inc.................................... 2,300 8,769
*Royal Precision, Inc................................. 550 1,891
Ruby Tuesday, Inc..................................... 29,500 549,438
Ruddick Corp.......................................... 23,300 455,806
*Rural Cellular Corp. Class A......................... 7,300 77,563
*Rural/Metro Corp..................................... 13,000 131,625
*Rush Enterprises, Inc................................ 4,700 45,091
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Russ Berrie & Co., Inc................................ 20,100 $ 454,763
*Rwd Technologies, Inc................................ 13,400 269,256
*Ryans Family Steak Houses, Inc....................... 35,600 401,613
*Ryerson Tull, Inc. Class A........................... 4,800 53,100
Ryland Group, Inc..................................... 11,600 308,125
*S&K Famous Brands, Inc............................... 3,500 34,125
S&T Bancorp, Inc...................................... 16,200 434,363
*S3, Inc.............................................. 43,500 231,094
*SBE, Inc............................................. 1,900 16,150
*SBS Technologies, Inc................................ 4,500 79,031
*SCP Pool Corp........................................ 9,300 141,825
*SCPIE Holdings, Inc.................................. 10,200 312,375
*SDL, Inc............................................. 11,100 247,669
*SED International Holdings, Inc...................... 9,450 44,297
SEMCO Energy, Inc..................................... 11,102 179,714
*SEMX Corp............................................ 5,200 13,650
*SGV Bancorp, Inc..................................... 1,400 18,375
SI Handling, Inc...................................... 2,025 26,325
SIS Bancorp, Inc...................................... 4,900 227,084
SJNB Financial Corp................................... 1,300 37,050
SJW Corp.............................................. 1,600 98,000
SL Industries, Inc.................................... 9,200 112,700
*SLI, Inc............................................. 26,600 585,200
*SM&A Corp............................................ 5,000 61,250
*SMC Corp............................................. 5,600 24,500
*SOS Staffing Services, Inc........................... 11,400 85,856
*SPS Technologies, Inc................................ 7,200 412,200
*SPSS, Inc............................................ 7,200 135,000
*SRS Labs, Inc........................................ 9,600 29,700
*SSE Telecom, Inc..................................... 3,500 7,219
*STB Systems, Inc..................................... 14,375 84,678
*STM Wireless, Inc. Class A........................... 4,900 26,797
*SYNC Research, Inc................................... 15,400 14,919
*#Sabratek Corp....................................... 8,400 141,488
*Safeguard Health Enterprises, Inc.................... 4,400 22,000
*Safety 1st, Inc...................................... 5,900 30,975
*Safety Components International, Inc................. 4,100 54,069
*Safety-Kleen Corp.................................... 61,900 212,781
*Saga Communications, Inc. Class A.................... 7,010 133,190
Salient 3 Communications, Inc. Class A................ 2,400 25,125
*Salton/Maxim Housewares, Inc......................... 11,800 221,988
*Samsonite Corp....................................... 5,918 38,467
*San Filippo (John B.) & Son, Inc..................... 5,000 18,906
*#Sanchez Computer Associates, Inc.................... 9,300 281,325
Sanderson Farms, Inc.................................. 11,000 175,313
*Sandisk Corp......................................... 27,900 328,697
*Sands Regent Casino Hotel............................ 2,000 1,875
Sandwich Bancorp, Inc................................. 900 55,238
*#Sangstat Medical Corp............................... 12,800 307,200
*Santa Cruz Operation, Inc............................ 30,700 139,109
*Satcon Technology Corp............................... 8,100 55,941
*Saucony, Inc. Class A................................ 1,000 6,344
*Saucony, Inc. Class B................................ 1,500 9,750
*Savoir Technology Group, Inc......................... 9,900 83,531
*#Sawtek, Inc......................................... 19,200 416,400
Sbarro, Inc........................................... 18,700 486,200
*Scan-Optics, Inc..................................... 14,900 51,684
*ScanSource, Inc...................................... 2,900 54,375
Schawk, Inc. Class A.................................. 6,200 89,125
*Scheid Vineyards, Inc................................ 2,300 10,781
*#Schick Technologies, Inc............................ 9,000 134,719
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Schieb (Earl), Inc................................... 2,200 $ 11,550
*Schlotzskys, Inc..................................... 5,200 53,300
*Schmitt Industries, Inc.............................. 5,700 19,950
Schnitzer Steel Industries, Inc. Class A.............. 4,400 81,125
*Scholastic Corp...................................... 10,800 513,675
*#Schuff Steel Company................................ 4,500 28,969
*Schuler Homes, Inc................................... 20,100 140,072
Schulman (A.), Inc.................................... 28,500 610,078
Schultz Sav-O Stores, Inc............................. 2,550 41,119
Schweitzer-Maudoit Int'l, Inc......................... 12,900 235,425
*#Sciclone Pharmaceuticals, Inc....................... 13,700 17,339
*Scientific Games Holdings Corp....................... 8,700 165,300
Scientific Technologies, Inc.......................... 6,700 38,525
*Scios-Nova, Inc...................................... 34,487 259,730
Scope Industries, Inc................................. 3,500 227,500
Scotsman Industries, Inc.............................. 8,900 183,006
*Scott Technologies, Inc. Class A..................... 12,400 191,038
*Scott Technologies, Inc. Class B..................... 2,500 37,969
*Scotts Co. Class A................................... 13,100 474,056
Scott's Liquid Gold, Inc.............................. 7,100 10,650
*Seachange International, Inc......................... 11,000 82,500
Seacoast Banking Corp. Class A........................ 1,500 42,469
*Seacor Smit, Inc..................................... 6,500 310,375
*Seamed Corp.......................................... 4,900 64,925
*Seattle Filmworks, Inc............................... 16,800 53,025
#Seaway Food Town, Inc................................ 600 9,113
*Secom General Corp................................... 700 263
Second Bancorp, Inc................................... 600 14,719
*Secure Computing Corp................................ 12,800 236,400
*Security Dynamics Technologies, Inc.................. 49,800 764,119
*Security First Technologies Corp..................... 8,400 152,513
*Segue Software, Inc.................................. 6,400 141,000
*Seibels Bruce Group, Inc............................. 5,400 22,444
*Seitel, Inc.......................................... 20,400 272,850
Selas Corp. of America................................ 5,500 44,688
Selective Insurance Group, Inc........................ 26,200 496,163
*#Selfcare, Inc....................................... 11,400 29,213
*Semitool, Inc........................................ 11,600 79,025
*Semtech Corp......................................... 13,100 386,450
*Seneca Foods Corp. Class A........................... 200 2,463
*Seneca Foods Corp. Class B........................... 1,100 13,475
*Sensormatic Electronics Corp......................... 34,000 276,250
*Sequa Corp. Class A.................................. 3,600 229,050
*Sequa Corp. Class B.................................. 1,700 126,650
*Sequent Computer Systems, Inc........................ 39,100 496,081
*Sequus Pharmaceuticals, Inc.......................... 25,600 506,400
*Sergagen Inc. (Escrow Shares)........................ 8,300 0
*Serologicals Corp.................................... 10,950 327,131
*Service Experts, Inc................................. 11,500 340,688
*#Service Merchandise Co., Inc........................ 67,800 80,513
*Servico, Inc......................................... 21,900 142,350
*Servotronics, Inc.................................... 900 6,581
Sevenson Environmental Services, Inc.................. 2,080 16,640
*Shaman Pharmaceuticals............................... 14,000 37,188
*Sharper Image Corp................................... 7,600 160,313
*Shaw Group, Inc...................................... 13,700 121,588
*Sheffield Medical Technologies, Inc.................. 7,000 10,500
Shelby Williams Industries, Inc....................... 5,800 68,150
*Sheldahl, Inc........................................ 6,900 44,419
*Shells Seafood Restaurants, Inc...................... 1,300 6,094
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Sheridan Healthcare, Inc............................. 6,500 $ 52,406
*Shiloh Industries, Inc............................... 6,500 94,656
*Shiva Corp........................................... 24,200 141,419
*Shoe Carnival, Inc................................... 9,200 89,988
*Sholodge, Inc........................................ 3,600 25,425
*Shoney's, Inc........................................ 45,000 75,938
*Shopko Stores, Inc................................... 19,400 625,650
Shoreline Financial Corp.............................. 2,646 68,961
*Shorewood Packaging Corp............................. 21,650 320,691
*Showscan Entertainment, Inc.......................... 2,800 644
*#Shuffle Master, Inc................................. 6,300 43,706
*Sierra Health Services, Inc.......................... 22,427 513,018
Sierrawest Bancorp.................................... 3,570 92,374
Sifco Industries, Inc................................. 7,000 99,750
*Sight Resource Corp.................................. 6,100 12,486
*Sigma Designs, Inc................................... 7,900 24,317
*Sigmatron International, Inc......................... 1,400 4,813
*#Signal Apparel Co., Inc. Class A.................... 6,200 10,463
Signal Corporation.................................... 4,502 153,631
*Signal Technology Corp............................... 5,100 15,619
*Silgan Holdings, Inc................................. 13,300 356,606
*#Silicon Gaming, Inc................................. 9,600 18,900
*Silicon Storage Technology, Inc...................... 18,300 42,891
*Silicon Valley Bancshares............................ 18,500 457,875
*Silicon Valley Group, Inc............................ 29,600 364,450
*Siliconix, Inc....................................... 4,000 76,750
*Silverleaf Resorts, Inc.............................. 4,500 51,188
*Simione Central Holdings, Inc........................ 6,600 13,613
Simmons First National Corp. Class A.................. 4,550 184,844
*Simon Transportation Services, Inc................... 2,000 12,688
Simpson Industries, Inc............................... 17,350 181,633
*Simula, Inc.......................................... 8,900 63,969
*Sipex Corp........................................... 14,200 460,613
*Sirena Apparel Group, Inc............................ 3,400 21,250
*Sitel Corp........................................... 69,800 174,500
*Sizzler International, Inc........................... 11,500 33,781
Skaneateles Bancorp, Inc.............................. 900 12,431
Sky Financial Group, Inc.............................. 30,274 917,687
Skyline Corp.......................................... 6,600 214,500
*SkyMall, Inc......................................... 6,800 31,663
Skywest, Inc.......................................... 19,300 522,909
Smart & Final Food, Inc............................... 16,900 179,563
*Smart Modular Technologies, Inc...................... 27,000 564,469
*#Smartalk Teleservices, Inc.......................... 23,300 117,592
*Smartflex Systems, Inc............................... 3,800 27,313
Smith (A.O.) Corp..................................... 12,750 317,156
Smith (A.O.) Corp. Convertible Class A................ 3,750 91,875
*Smithway Motor Express Corp. Class A................. 2,000 17,875
Smucker (J.M.) Co. Class A............................ 10,100 234,825
Smucker (J.M.) Co. Class B............................ 13,000 287,625
Snyder Oil Corp....................................... 37,600 484,100
*Sodak Gaming, Inc.................................... 17,400 141,919
*Softech, Inc......................................... 3,500 13,891
*Softnet Systems, Inc................................. 7,336 120,127
*Software Spectrum, Inc............................... 2,400 42,150
*Sola International, Inc.............................. 22,100 350,838
Somerset Group, Inc................................... 312 5,753
*Sonic Corp........................................... 14,850 293,288
*#Sonic Solutions..................................... 6,100 25,544
*Sonosight, Inc....................................... 3,633 34,059
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Sonus Pharmaceuticals, Inc.......................... 7,800 $ 58,988
*Sound Advice, Inc.................................... 1,422 3,200
*#Source Media, Inc................................... 9,600 158,100
South Jersey Industries, Inc.......................... 8,648 223,227
*Southern Energy Homes, Inc........................... 10,625 73,047
*#Southern Mineral Corp............................... 8,200 8,969
*Southern Pacific Funding Corp........................ 19,600 1,078
*Southern Union Co.................................... 26,708 542,526
*Southwall Technologies, Inc.......................... 5,400 25,481
Southwest Bancorp, Inc................................ 1,500 42,094
Southwest Gas Corp.................................... 22,000 522,500
Southwest National Corp............................... 200 14,125
Southwest Securities Group, Inc....................... 10,257 201,935
Southwest Water Co.................................... 2,730 40,609
Southwestern Energy Co................................ 21,900 164,250
*Spacehab, Inc........................................ 8,900 77,319
*Spacelabs Medical, Inc............................... 8,500 149,813
*Spacetec IMC Corp.................................... 5,700 13,448
*Spaghetti Warehouse, Inc............................. 5,000 36,563
Span-American Medical System, Inc..................... 2,400 12,900
Spartan Motors, Inc................................... 14,000 87,938
Spartech Corp......................................... 23,200 462,550
*Sparton Corp......................................... 7,200 41,400
*Spatial Technology, Inc.............................. 2,000 6,250
*Special Devices, Inc................................. 5,500 180,984
*Specialty Equipment Co., Inc......................... 14,600 340,363
*#SpectraLink Corp.................................... 17,000 55,781
*Spectran Corp........................................ 4,900 26,950
*Spectranetics Corp................................... 14,602 30,117
*Spectrian Corp....................................... 8,700 114,731
*Spectrum Control, Inc................................ 10,600 44,719
*#SpectRx, Inc........................................ 5,400 36,450
*Speedfam International, Inc.......................... 15,300 230,934
*Speizman Industries, Inc............................. 2,300 12,938
*Spelling Entertainment Group, Inc.................... 13,700 100,181
*Spice Entertainment Companies, Inc................... 6,500 33,820
*Spiegel, Inc. Class A Non-Voting..................... 12,500 49,414
*#Spire Corp.......................................... 3,200 10,400
*Sport Chalet, Inc.................................... 2,700 18,563
*Sport Supply Group, Inc.............................. 5,800 40,600
*Sport-Haley, Inc..................................... 2,200 22,825
*Sports Authority, Inc................................ 25,300 164,450
*Sports Club Co., Inc................................. 17,700 86,288
*Sportsman's Guide, Inc............................... 4,000 24,750
*Spyglass, Inc........................................ 11,000 257,469
St. Francis Capital Corp.............................. 2,900 121,891
St. John Knits, Inc................................... 16,200 324,000
St. Joseph Light & Power Co........................... 54,400 969,000
St. Mary Land & Exploration Co........................ 9,900 187,791
St. Paul Bancorp, Inc................................. 21,020 444,704
*Staar Surgical Co.................................... 9,400 82,838
*Stac, Inc............................................ 21,500 108,844
*Staff Leasing, Inc................................... 22,400 202,300
*#Staffmark, Inc...................................... 19,900 463,297
*Stage II Apparel Corp................................ 1,700 1,913
Standard Commercial Corp.............................. 10,329 83,923
*Standard Management Corp............................. 5,000 33,125
*Standard Microsystems Corp........................... 12,300 90,713
Standard Motor Products, Inc. Class A................. 9,200 209,875
Standard Pacific Corp. DE............................. 26,500 258,375
Standard Products Co.................................. 13,300 247,713
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Standex International Corp............................ 10,500 $ 245,438
*Stanford Telecommunications, Inc..................... 13,800 154,388
*Stanley Furniture, Inc............................... 6,600 111,788
*Star Multi Care Services, Inc........................ 4,085 6,128
*Starcraft Corp....................................... 2,500 6,094
*Starmet Corp......................................... 13,000 115,375
Starrett (L.S.) Co. Class A........................... 3,500 107,188
*Startec Global Communications Corp................... 700 7,438
*Starter Corp......................................... 22,400 36,400
State Auto Financial Corp............................. 31,200 388,050
State Financial Services Corp. Class A................ 1,872 35,334
*Station Casinos, Inc................................. 27,100 223,575
*Steel Dynamics, Inc.................................. 34,300 468,409
*Steel of West Virginia, Inc.......................... 5,800 61,263
Steel Technologies, Inc............................... 13,400 110,969
*Stein Mart, Inc...................................... 41,100 351,277
*Steinway Musical Instruments, Inc.................... 7,100 164,631
Stepan Co............................................. 7,900 220,706
Stephan Co............................................ 2,700 32,063
*Stericycle, Inc...................................... 8,200 145,806
*Sterigenics Intl, Inc................................ 6,000 154,875
Sterling Bancorp...................................... 5,400 114,413
Sterling Bancshares................................... 18,337 288,808
*Sterling Financial Corp. WA.......................... 4,520 81,360
*#Sterling Vision, Inc................................ 13,200 40,219
Stewart & Stevenson Services, Inc..................... 25,000 246,094
Stewart Information Services Corp..................... 3,800 187,863
Stifel Financial Corp................................. 5,382 58,529
*Stillwater Mining Co................................. 15,300 559,406
*Stimsonite Corp...................................... 6,400 49,200
Stone & Webster, Inc.................................. 9,200 312,800
*Stone Energy Corp.................................... 13,600 409,700
*Storage Computer Corp................................ 8,900 41,163
*#Stormedia, Inc. Class A............................. 8,200 8
*Stratasys, Inc....................................... 4,400 27,363
*Strategia Corp....................................... 3,300 3,506
*Strategic Diagnostics, Inc........................... 1,000 2,250
*Strategic Distribution, Inc.......................... 40,292 114,580
*Strattec Security Corp............................... 4,000 113,000
*Stratus Properties, Inc.............................. 11,100 36,075
Strawbridge and Clothier Liquidating Trust............ 4,200 2,557
Strayer Ed, Inc....................................... 12,400 461,900
Stride Rite Corp...................................... 40,800 362,100
*Strouds, Inc......................................... 7,200 14,175
*Structural Dynamics Research Corp.................... 32,600 568,463
*Stuart Entertainment, Inc............................ 2,700 1,772
Sturm Ruger & Co., Inc................................ 24,200 307,038
*Suburban Lodges of America, Inc...................... 12,300 99,938
*Successories, Inc.................................... 5,900 12,538
Suffolk Bancorp....................................... 4,300 122,013
*Sugen, Inc........................................... 12,300 176,813
*Sulcus Computer Corp................................. 10,085 22,691
Summit Bancshares, Inc................................ 2,000 39,000
*Summit Design, Inc................................... 13,700 118,163
*Summit Technology, Inc............................... 12,300 47,278
*Summitt Medical Systems, Inc......................... 9,400 10,869
*Sun Healthcare Group, Inc............................ 56,083 294,436
Sun Hydraulics, Inc................................... 4,400 45,925
*Sun Television and Appliances, Inc................... 15,300 268
*Sunair Electronics, Inc.............................. 3,000 5,813
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Sundance Homes, Inc.................................. 3,000 $ 4,875
*Sunglass Hut International, Inc...................... 45,300 280,294
*Sunquest Information Systems, Inc.................... 11,800 134,225
*Sunrise Assisted Living, Inc......................... 15,400 664,606
*Sunrise Medical, Inc................................. 17,700 225,675
*Sunrise Resources, Inc............................... 5,500 19,938
*Superconductor Technologies, Inc..................... 5,400 22,275
*#Supergen, Inc....................................... 12,200 81,206
*Superior Consultant Holdings Corp.................... 8,200 301,350
*Superior Energy Services, Inc........................ 24,000 74,250
Superior Industries International, Inc................ 22,300 579,800
*Superior National Insurance Group, Inc............... 5,500 97,625
Superior Surgical Manufacturing Co., Inc.............. 9,900 136,125
#Superior Telecom, Inc................................ 12,900 561,150
*Supertex, Inc........................................ 26,500 275,766
*Suprema Specialties, Inc............................. 4,600 22,138
*Supreme Industries, Inc.............................. 5,856 56,364
*Supreme International Corp........................... 4,700 50,819
*Surety Capital Corp.................................. 4,000 9,500
Susquehanna Bancshares, Inc........................... 29,493 645,159
*Swift Energy Corp.................................... 14,280 132,983
*Swisher International, Inc........................... 700 525
*Swiss Army Brands, Inc............................... 5,300 53,331
*Sybase, Inc.......................................... 72,700 522,531
*Sybron Chemicals, Inc................................ 1,100 17,325
*Sykes Enterprises, Inc............................... 35,000 708,750
*Sylvan, Inc.......................................... 5,700 74,278
*Symix Systems, Inc................................... 4,800 97,050
*Symmetricom, Inc..................................... 14,300 88,928
*Symons International Group, Inc...................... 11,300 107,350
*Symphonix Devices, Inc............................... 2,800 10,938
*Syms Corp............................................ 9,900 96,525
Synalloy Corp. DE..................................... 11,500 106,375
*Synaptic Pharmaceutical Corp......................... 9,600 136,200
*Synbiotics Corp...................................... 5,200 11,700
*Syncor International Corp. DE........................ 9,000 216,563
*#Synetic, Inc........................................ 10,500 438,375
*#Syntel, Inc......................................... 39,000 531,375
*Syntellect, Inc...................................... 12,000 31,125
*Synthetech, Inc...................................... 11,100 63,825
*Synthetic Industries, Inc............................ 5,000 84,375
*Syntroleum Corp...................................... 5,250 43,313
*Sypris Solutions, Inc................................ 2,250 16,031
*System Software Associates, Inc...................... 42,800 292,913
*Systems & Computer Technology Corp................... 30,600 557,494
*T-HQ, Inc............................................ 300 8,419
*T-Netix, Inc......................................... 7,200 41,400
TB Woods Corp......................................... 4,700 64,625
*TBA Entertainment Corp............................... 9,000 43,594
*TBC Corp............................................. 21,250 146,094
TCBY Enterprises, Inc................................. 18,800 145,700
*TCC Industries, Inc.................................. 1,100 3,644
*TCI International, Inc............................... 1,200 2,850
*TCSI Corp............................................ 22,500 51,680
*TEAM America Corp.................................... 2,800 16,975
*TESSCO Technologies, Inc............................. 3,700 82,788
TF Financial Corp..................................... 2,600 50,863
*TFC Enterprises, Inc................................. 6,600 14,438
*TII Industries, Inc.................................. 5,360 12,228
</TABLE>
151
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
TJ International, Inc................................. 13,600 $ 319,175
*TMBR/Sharp Drilling, Inc............................. 4,300 16,931
*#TMP Worldwide, Inc.................................. 7,500 242,344
TNP Enterprises, Inc.................................. 13,200 501,600
TR Financial Corp..................................... 10,500 391,781
*TRC Companies, Inc................................... 5,600 26,600
*TRM Copy Centers Corp................................ 4,800 44,400
*#TRO Learning, Inc................................... 3,800 33,131
*TSI International, Inc............................... 6,400 235,800
TSI, Inc. MN.......................................... 8,600 68,263
*TSR, Inc............................................. 4,800 37,800
*TST/Impreso, Inc..................................... 3,200 9,850
Tab Products Co. DE................................... 3,100 22,088
*Taco Cabana, Inc..................................... 13,800 95,306
Talbots, Inc.......................................... 22,400 571,200
*Tandy Brand Accessories, Inc......................... 3,700 55,963
*Tandy Crafts, Inc.................................... 11,500 44,563
*Targeted Genetics Corp............................... 16,200 28,097
*Tarrant Apparel Group................................ 10,700 349,756
Tasty Baking Co....................................... 5,375 86,336
*#Tatham Off-Shore, Inc............................... 9,400 12,044
*Tava Technologies, Inc............................... 11,700 66,727
Team, Inc............................................. 4,300 15,050
Tech/Ops Sevcon, Inc.................................. 1,700 24,863
*Techdyne, Inc........................................ 2,800 8,050
*Techforce Corp....................................... 5,400 38,644
*Techne Corp.......................................... 16,600 309,694
*Technical Chemicals & Products, Inc.................. 13,000 27,625
*Technical Communications Corp........................ 400 1,700
Technitrol, Inc....................................... 11,300 341,119
Technology Research Corp.............................. 4,100 4,997
*Technology Solutions Corp............................ 36,750 341,660
*Tech-Sym Corp........................................ 3,700 92,731
*Tegal Corp........................................... 8,300 25,548
*Tei, Inc............................................. 5,600 9,100
Tejon Ranch Co........................................ 12,000 241,500
*Telco Systems, Inc................................... 10,700 129,738
*Telcom Semiconductor, Inc............................ 13,200 49,088
*#Telegroup, Inc...................................... 30,500 71,484
*Teletech Holdings, Inc............................... 49,500 450,141
*#Tel-Save Holdings, Inc.............................. 12,000 143,625
*Teltrend, Inc........................................ 5,200 103,025
Telxon Corp........................................... 12,900 347,091
*Temtex Industries, Inc............................... 2,000 6,469
Tennant Co............................................ 4,000 139,000
*#Tera Computer Co.................................... 8,100 66,572
*Terex Corp........................................... 18,700 523,600
Terra Industries, Inc................................. 72,400 393,675
*Tesoro Petroleum Corp................................ 42,200 561,788
*Tesseract Group, Inc................................. 7,600 25,413
*Tetra Tech, Inc...................................... 21,245 444,817
*Tetra Technologies, Inc.............................. 14,100 178,013
*Texas Biotechnology Corp............................. 28,600 109,038
Texas Industries, Inc................................. 4,000 115,750
*Texas Micro, Inc..................................... 10,800 38,138
Texas Regional Banchshares, Inc. Class A.............. 11,500 310,859
*Thackeray Corp....................................... 3,600 12,150
The Dexter Corp....................................... 20,900 670,106
*Theragenics Corp..................................... 26,200 361,888
*Theratech, Inc. UT................................... 18,650 256,438
*Thermatrix, Inc...................................... 4,600 16,388
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Thermedics, Inc...................................... 30,000 $ 313,125
*Thermo Bioanalysis Corp.............................. 14,700 155,269
*#Thermo Cardiosystems, Inc........................... 17,900 208,088
*#Thermo Ecotek Corp.................................. 19,700 206,850
*Thermo Fibergen, Inc................................. 6,800 57,375
*#Thermo Fibertek, Inc................................ 51,200 288,000
*Thermo Optek Corp.................................... 39,700 431,738
*Thermo Power Corp.................................... 9,000 79,875
*Thermo Sentron, Inc.................................. 7,900 74,063
*Thermo Terratech, Inc................................ 12,000 54,000
*Thermo Voltek Corp................................... 5,850 39,488
*#Thermolase Corp..................................... 32,700 167,588
*ThermoQuest Corp..................................... 37,200 378,975
Thermoretec Corporation............................... 8,100 21,769
*Thermospectra Corp................................... 12,300 138,375
*Thermotrex Corp...................................... 14,900 156,450
*Thermwood Corp....................................... 200 1,488
*Thomas Group, Inc.................................... 5,300 52,669
Thomas Industries, Inc................................ 12,850 221,663
Thomaston Mills, Inc.................................. 1,900 6,056
Thor Industries, Inc.................................. 9,750 232,781
*Thoratec Laboratories Corp........................... 16,300 96,781
*Thorn Apple Valley, Inc.............................. 4,600 15,094
*Three-Five Systems, Inc.............................. 7,100 71,000
*Thrustmaster, Inc.................................... 11,600 42,050
*Timberland Co. Class A............................... 7,200 294,750
Timberline Software Corp.............................. 7,400 91,806
*Tipperary Corp....................................... 10,500 19,688
*Titan Corp........................................... 22,890 123,034
Titan International, Inc.............................. 18,400 182,850
*Titanium Metals Corp................................. 26,700 265,331
Toastmaster, Inc...................................... 4,500 28,406
*Today's Man, Inc..................................... 4,300 6,114
*Todd Shipyards Corp.................................. 7,900 39,500
Todd-AO Corp. Class A................................. 220 1,856
*Toddhunter International, Inc........................ 3,900 29,981
*Tokheim Corp......................................... 14,000 120,750
*Tollgrade Communications, Inc........................ 6,300 106,313
Tompkins County Trustco, Inc.......................... 330 10,725
*Topps, Inc........................................... 41,800 218,144
*#Tops Appliance City, Inc............................ 4,400 19,663
*Toreador Royalty Corp................................ 2,500 8,672
Toro Co............................................... 11,600 307,400
*Total Entertainment Restaurant Corp.................. 2,900 8,609
*Total-Telephone USA Communications, Inc.............. 3,000 45,000
*Tower Air, Inc....................................... 13,300 33,042
*Track 'n Trail, Inc.................................. 4,900 12,556
*Tractor Supply Co.................................... 7,000 180,688
*Trak Auto Corp....................................... 4,300 34,669
*Trans World Airlines, Inc............................ 51,500 260,719
*Trans World Entertainment Corp....................... 21,300 496,556
*Transact Technologies, Inc........................... 5,007 26,600
*Transaction Network Services, Inc.................... 10,600 257,050
*Transcend Services, Inc.............................. 15,000 37,500
*Transcoastal Marine Services, Inc.................... 8,900 34,488
*#Transcrypt International, Inc....................... 7,800 18,525
*Transfinancial Holdings, Inc......................... 3,300 16,294
*Transition Analysis Component Technology............. 299 2,616
*Transition Systems, Inc.............................. 18,800 186,825
*Transkaryotic Therapies, Inc......................... 15,300 347,119
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Transmation, Inc..................................... 3,400 $ 13,281
*Transmedia Network, Inc.............................. 10,000 35,625
*Transmontaigne Oil Co................................ 23,000 345,000
Transpro, Inc......................................... 3,800 23,038
Transtechnology Corp.................................. 3,800 86,925
*Transtexas Gas Corp.................................. 48,400 102,850
*Transwitch Corp...................................... 12,800 357,200
*Transworld Healthcare, Inc........................... 15,800 68,631
*Travel Ports of America, Inc......................... 3,718 11,270
*Travel Services International, Inc................... 10,500 236,906
*Travis Boats & Motors, Inc........................... 2,600 50,213
*Treadco, Inc......................................... 3,600 22,275
*TreeSource Industries, Inc........................... 4,400 2,750
*Trega Biosciences, Inc............................... 10,100 23,672
Tremont Corp. DE...................................... 3,900 139,913
*Trend-Lines, Inc. Class A............................ 3,300 9,694
*Trendwest Resorts, Inc............................... 1,000 14,250
Trenwick Group, Inc................................... 3,900 123,094
*Trex Medical Corp.................................... 30,700 305,081
*Triad Guaranty, Inc.................................. 10,600 233,200
Triangle Bancorp, Inc................................. 17,200 330,025
*Triangle Pharmaceuticals, Inc........................ 19,200 212,400
*Triarc Companies, Inc. Class A....................... 22,200 357,975
*Triathlon Broadcasting Co. Class A................... 1,600 17,900
Trico Bancshares...................................... 4,950 86,625
*Trico Marine Services, Inc........................... 16,300 90,669
*Trident International, Inc........................... 4,000 39,750
*Trident Microsystems, Inc............................ 10,800 52,144
*Tridex Corp.......................................... 4,200 15,356
Trigen Energy Corp.................................... 10,500 149,625
*Trimark Holdings, Inc................................ 1,700 4,197
*Trimble Navigation, Ltd.............................. 18,200 163,800
*Trimedyne, Inc....................................... 5,400 6,581
*#Trimeris, Inc....................................... 3,100 21,313
*Trinitec Systems, Inc. Class A....................... 6,900 62,963
Trion, Inc............................................ 5,700 16,566
*Triple S Plastics, Inc............................... 700 3,741
*Tripos, Inc.......................................... 1,600 13,200
*Triquint Semiconductor, Inc.......................... 7,500 143,906
*Trism, Inc........................................... 2,900 3,988
*#Tristar Corp........................................ 1,000 6,500
*Triumph Group........................................ 4,900 164,763
*Trump Hotels & Casino Resorts, Inc................... 19,500 98,719
Trust Co. of New Jersey............................... 15,500 372,484
Trustco Bank Corp. NY................................. 21,426 602,606
*Tuboscope Vetco International, Inc................... 45,400 377,388
*Tultex Corp.......................................... 19,100 20,294
*Turner Corp.......................................... 4,650 78,759
Tuscarora, Inc........................................ 8,500 109,438
Twin Disc, Inc........................................ 1,400 30,450
*Twinlab Corp......................................... 1,000 16,594
Tyler Corp............................................ 30,800 205,975
U.S. Bancorp, Inc..................................... 11,200 222,950
*U.S. Bioscience, Inc................................. 21,400 161,838
*U.S. Diagnostic, Inc................................. 18,000 18,000
U.S. Freightways Corp................................. 15,700 421,447
*U.S. Home & Garden, Inc.............................. 14,900 77,294
*U.S. Office Products, Co............................. 32,900 179,408
*U.S. Satellite Broadcasting Co., Inc. Class A........ 12,500 95,313
*UFP Technologies, Inc................................ 2,300 7,655
*UICI................................................. 12,000 237,375
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*URS Corp............................................. 12,000 $ 243,750
*US Can Corp.......................................... 11,500 201,969
*US Xpress Enterprises, Inc. Class A.................. 9,114 140,697
*#USA Detergents, Inc................................. 12,400 115,088
*USA Floral Products, Inc............................. 10,800 126,225
*USA Truck, Inc....................................... 1,900 22,563
*USCI, Inc............................................ 7,700 842
*USCS International, Inc.............................. 18,700 605,997
*USData Corp.......................................... 7,850 26,003
UST Corp.............................................. 19,682 484,669
*#USWeb Corp.......................................... 2,500 57,109
*UTI Energy Corp...................................... 14,500 121,438
*Ubics, Inc........................................... 8,000 39,000
*Ugly Duckling Corp................................... 14,900 84,278
*Ultimate Electronics, Inc............................ 6,900 39,244
*Ultradata Corp....................................... 4,600 18,831
*Ultradata Systems, Inc............................... 2,000 6,000
*Ultrafem, Inc........................................ 6,400 157
*Ultrak, Inc.......................................... 11,600 100,050
*Ultralife Batteries, Inc............................. 8,400 54,994
*Ultratech Stepper, Inc............................... 16,700 309,994
*Unapix Entertainment, Inc............................ 3,600 7,875
*Unicapital Corp...................................... 14,000 115,500
Unico American Corp................................... 3,500 36,969
*UniComp, Inc......................................... 6,400 21,400
Unifirst Corp......................................... 10,300 226,600
*Uniflex, Inc......................................... 1,700 10,413
*Unify Corp........................................... 5,400 35,606
*#Unigene Laboratories, Inc........................... 25,900 41,278
*Unilab Corp.......................................... 24,200 43,863
*#Unimark Group, Inc.................................. 6,200 18,213
*Uni-Marts, Inc....................................... 6,500 19,906
*Unimed Pharmaceuticals, Inc.......................... 5,400 20,250
*#Union Acceptance Corp. Class A...................... 1,800 9,675
*Unique Casual Restaurants, Inc....................... 9,300 61,903
*Unique Mobility, Inc................................. 12,700 68,263
*Uniroyal Technology Corp............................. 11,600 116,725
*Unisource Energy Corp................................ 26,480 395,545
*Unisource Worldwide, Inc............................. 73,000 574,875
*Unit Corp............................................ 21,000 99,750
*Unit Instruments, Inc................................ 4,200 36,488
*United American Healthcare Corp.,.................... 5,300 7,950
United Bankshares, Inc. WV............................ 12,400 357,275
United Companies Financial Corp....................... 25,900 105,219
United Financial Corp. MN............................. 400 9,100
United Fire Casualty Co............................... 5,400 198,113
*United Foods, Inc. Class A........................... 54 152
United Guardian, Inc.................................. 1,900 9,738
United Industrial Corp................................ 10,700 106,331
*United International Holdings Class A................ 26,600 440,563
United National Bancorp............................... 7,132 162,253
*United Natural Foods, Inc............................ 16,300 395,784
*United Payors & United Providors, Inc................ 13,600 348,500
*United Retail Group, Inc............................. 10,500 103,031
*#United States Energy Corp........................... 5,600 15,925
*United States Home Corp.............................. 9,500 302,813
United Water Resources, Inc........................... 29,500 612,125
*United Wisconsin Services, Inc....................... 13,600 101,150
*Unitel Video, Inc.................................... 700 2,144
Unitil Corp........................................... 2,700 73,575
Unitog Co............................................. 5,800 124,700
</TABLE>
153
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Unitrode Corp........................................ 25,600 $ 433,600
*Universal American Financial Corp.................... 4,400 11,275
*Universal Electronics, Inc........................... 3,800 41,325
Universal Forest Products, Inc........................ 15,800 309,088
*Universal International, Inc......................... 7,500 19,453
*Universal Seismic Association, Inc................... 1,600 120
*Universal Stainless & Alloy Products, Inc............ 3,700 25,553
*Universal Standard Medical Labs, Inc................. 2,500 4,219
*Uno Restaurant Corp.................................. 8,700 57,094
*Urban Outfitters, Inc................................ 16,200 228,319
*Urocor, Inc.......................................... 9,400 52,288
*Urogen Corp. (Restricted)............................ 2,100 798
*Urologix, Inc........................................ 9,100 38,817
*Uromed Corp. New..................................... 4,720 9,366
*Uroquest Medical Corp................................ 8,000 10,500
*Utah Medical, Inc.................................... 5,200 36,400
*Utilx Corp........................................... 5,600 10,500
*#V-ONE Corp.......................................... 19,400 59,413
*VDI Media............................................ 2,900 23,381
*VLSI Technology, Inc................................. 41,800 474,169
*VTEL Corp............................................ 21,448 65,685
*VWR Scientific Products Corp......................... 22,900 708,469
*Valence Technology, Inc.............................. 23,000 219,219
*Vallen Corp.......................................... 6,200 120,900
Valley Forge Corp..................................... 1,275 16,575
Valley Resources, Inc................................. 2,600 32,500
Valmont Industries, Inc............................... 23,200 372,650
*Value City Department Stores, Inc.................... 28,900 296,225
Value Line, Inc....................................... 4,000 166,000
*Valuevision International, Inc. Class A.............. 22,900 123,803
*Vanguard Cellular System, Inc. Class A............... 32,200 742,613
*Vans, Inc............................................ 12,000 88,875
*Vanstar Corp......................................... 34,600 413,038
*Vantive Corp......................................... 25,500 219,141
*Varco International, Inc............................. 16,000 109,000
*#Vari L Co., Inc..................................... 7,100 47,038
*Variflex, Inc........................................ 5,100 26,934
Varlen Corp........................................... 13,081 347,055
*Vaughn Communications, Inc........................... 2,800 21,175
*Vectra Technologies, Inc............................. 2,700 16
*Vencor, Inc.......................................... 21,000 94,500
*Ventana Medical Systems, Inc......................... 15,500 336,641
*Venture Stores, Inc.................................. 13,300 126
*Venturian Corp....................................... 300 2,813
*Veramark Technologies, Inc........................... 5,900 31,344
*Verdant Brands, Inc.................................. 6,500 10,258
*Verilink Corp........................................ 10,100 50,184
*Veritas DGC, Inc..................................... 20,500 299,813
*Verity, Inc.......................................... 8,500 146,891
Vermont Financial Services Corp....................... 9,900 229,556
*Versant Object Technology Corp....................... 6,500 18,484
*Versar, Inc.......................................... 2,000 4,375
*Vertel Corp.......................................... 19,300 45,234
*Vertex Communications Corp........................... 3,100 54,831
*Vertex Pharmaceuticals, Inc.......................... 22,800 540,075
Vesta Insurance Group, Inc............................ 14,800 86,025
*Vestcom Int'l, Inc................................... 6,600 50,119
*Veterinary Centers of America, Inc................... 16,400 299,300
*Viagrafix Corp....................................... 2,500 15,156
*Viasat, Inc.......................................... 4,800 44,700
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Viasoft, Inc......................................... 15,600 $ 114,075
*Viatel, Inc.......................................... 18,500 275,188
*Vical, Inc........................................... 11,800 191,750
*Vicon Industries, Inc................................ 2,600 19,663
*Vicor Corp........................................... 27,300 243,994
*Vicorp Restaurants, Inc.............................. 7,300 105,622
*Vidamed, Inc......................................... 500 1,172
*Video Display Corp................................... 2,300 14,806
*Video Services Corp.................................. 2,000 4,500
*Video Update, Inc.................................... 24,300 33,033
*Videonics, Inc....................................... 3,600 3,544
*Vidioserver, Inc..................................... 11,600 158,050
*View Technology, Inc................................. 3,900 9,628
*Viisage Technology, Inc.............................. 6,500 6,500
*Vincam Group, Inc.................................... 12,500 181,250
Vintage Petroleum, Inc................................ 18,500 190,781
Virco Manufacturing Corp.............................. 6,238 130,218
*Virtualfund.Com, Inc................................. 13,020 33,364
*Vishay Intertechnology, Inc.......................... 500 7,094
*#Vision Sciences, Inc................................ 5,100 4,781
*Vista Medical Technologies, Inc...................... 131,400 324,394
*Visx, Inc. DE........................................ 7,500 546,563
Vital Signs, Inc...................................... 11,100 188,006
*Vitalcom, Inc........................................ 6,000 17,438
*#Vitech America, Inc................................. 9,790 170,101
*Vivid Technologies, Inc.............................. 8,500 68,000
*#Vivus, Inc.......................................... 29,900 92,036
*Vodavi Technology, Inc............................... 2,600 6,500
*Voice Control Systems, Inc........................... 9,800 22,356
*Volt Information Sciences, Inc....................... 13,400 312,388
Vulcan International Corp............................. 700 24,938
WD-40 Co.............................................. 12,400 380,138
*WFS Financial, Inc................................... 18,300 115,519
*WHX Corp............................................. 16,700 176,394
WICOR, Inc............................................ 19,000 415,625
*WLR Foods, Inc....................................... 13,098 115,426
*WMS Industries, Inc.................................. 32,300 240,231
*WPI Group, Inc....................................... 6,600 46,613
WPS Resources Corp.................................... 20,000 675,000
Wabash National Corp.................................. 18,400 345,000
Wackenhut Corp. Class A............................... 2,700 65,644
Wackenhut Corp. Class B Non-Voting.................... 6,950 141,606
*Wackenhut Corrections Corp........................... 17,800 480,600
Walbro Corp........................................... 5,300 39,419
*Walker Interactive Systems, Inc...................... 12,500 100,391
*Wall Data, Inc....................................... 8,300 141,619
*Wall Street Deli, Inc................................ 1,500 5,484
Walshire Assurance Co................................. 2,370 19,034
*Warrantech Corp...................................... 10,300 32,509
Warren Bancorp, Inc................................... 6,300 58,275
*Washington Homes, Inc................................ 6,500 31,688
Washington Savings Bank FSB Waldorf, MD............... 1,600 7,400
*Waste Industries, Inc................................ 7,200 126,450
*Waterlink, Inc....................................... 12,700 47,625
Waters Instruments, Inc............................... 200 1,175
Watkins-Johnson Co.................................... 6,600 120,450
Watsco, Inc. Class A.................................. 42,800 767,725
Watsco, Inc. Class B.................................. 1,350 24,638
Watts Industries, Inc. Class A........................ 13,100 248,081
*Wave Technologies International, Inc................. 2,500 8,906
*#Wavephore, Inc...................................... 19,300 150,178
</TABLE>
154
<PAGE>
THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Waxman Industries, Inc............................... 5,300 $ 6,625
Webb (Del) Corp....................................... 15,800 418,700
*Webco Industries, Inc................................ 3,800 26,125
Webster Financial Corp................................ 5,120 142,400
*Weirton Steel Corp................................... 34,300 64,313
Wellman, Inc.......................................... 33,500 406,188
*Wells-Gardner Electronics Corp....................... 3,000 8,250
Werner Enterprises, Inc............................... 12,662 206,549
Wesbanco, Inc......................................... 15,050 425,163
*Wesley Jessen Vision Care, Inc....................... 14,700 347,288
West Coast Bancorp.................................... 11,322 242,362
*West Coast Entertainment Corp........................ 7,000 4,375
*West Marine, Inc..................................... 13,300 152,534
*West Teleservices Corp............................... 3,500 40,031
West, Inc............................................. 13,600 413,100
*Westaff, Inc......................................... 12,400 79,050
*Westbridge Capital Corp.............................. 5,900 295
Westco Bancorp, Inc................................... 1,100 37,813
Westcorp, Inc......................................... 22,996 196,903
*Westell Technologies, Inc............................ 16,100 99,116
Westerfed Financial Corp.............................. 3,900 75,684
Western Bancorp....................................... 4,848 159,075
*Western Beef, Inc.................................... 3,800 28,263
Western Gas Resources, Inc............................ 28,900 269,131
Western Ohio Financial Corp........................... 900 20,250
*Western Power & Equipment Corp....................... 2,600 11,131
*Western Water Co..................................... 7,400 40,700
Westinghouse Air Brake Co............................. 20,100 442,200
*Weston (Roy F.), Inc. Class A........................ 5,400 15,694
Westwood Homestead Financial Corp..................... 1,000 10,688
*Westwood One, Inc.................................... 24,400 643,550
*Wet Seal, Inc. Class A............................... 9,500 264,219
*White Cap Industries, Inc............................ 8,500 113,688
*#White Electronics Designs Corp...................... 11,700 16,088
*Whitman Education Group, Inc......................... 12,200 47,275
*Whittaker Corp....................................... 9,200 126,500
*Wickes Lumber Co..................................... 5,500 24,922
*Wild Oats Markets, Inc............................... 10,300 293,550
*Williams Clayton Energy, Inc......................... 7,100 59,906
*Williams Controls, Inc............................... 12,400 27,900
*Willis Lease Finance Corp............................ 4,300 81,431
*Wilmar Industries, Inc............................... 10,900 193,134
*Wilshire Financial Services Group, Inc............... 10,600 10,103
*Wilshire Oil Co. of Texas............................ 7,107 35,535
*Windmere Corp........................................ 17,500 107,188
Winnebago Industries, Inc............................. 19,300 231,600
*Winsloew Furniture, Inc.............................. 4,500 89,438
Wireless Telecom Group, Inc........................... 15,600 32,175
Wiser Oil Co.......................................... 8,100 26,325
Wolohan Lumber Co..................................... 4,100 53,172
*Wolverine Tube, Inc.................................. 13,000 291,688
Wolverine World Wide, Inc............................. 28,100 382,863
Woodhead Industries, Inc.............................. 10,500 137,156
*Workgroup Technology Corp............................ 5,800 11,328
*World Acceptance Corp................................ 15,400 78,925
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#World Access, Inc................................... 20,300 $ 414,247
*#World Airways, Inc.................................. 4,800 8,700
World Fuel Services Corp.............................. 11,300 137,719
*Worldtalk Communications Corp........................ 8,500 27,891
*Worldtex, Inc........................................ 13,200 49,500
Worthington Foods, Inc................................ 9,644 183,537
*Wyant Corp........................................... 266 981
*Wyman-Gordon Co...................................... 30,900 486,675
Wynns International, Inc.............................. 15,450 342,797
X-Rite, Inc........................................... 16,900 147,875
*#XCL, Ltd............................................ 18,300 50,325
*Xeta Corp............................................ 1,000 17,406
*Xetel Corp........................................... 5,400 15,188
*Xicor, Inc........................................... 14,700 30,319
*Xionics Document Technologies, Inc................... 9,700 39,103
*Xircom, Inc.......................................... 18,300 553,003
*#Xoma Corp........................................... 44,700 144,577
Xtra Corp............................................. 5,000 237,813
Yankee Energy Systems, Inc............................ 7,300 212,613
Yardville National Bancorp............................ 2,255 30,724
*Yellow Corp.......................................... 21,900 354,506
York Financial Corp................................... 6,563 112,391
York Group, Inc....................................... 6,200 68,975
*York Research Corp................................... 11,200 42,350
*Young Broadcasting, Inc. Class A..................... 10,000 358,125
*Youth Services International, Inc.................... 9,500 38,297
*Zamba Corporation.................................... 20,000 30,000
*Zaring National Corp................................. 1,900 17,219
*Zebra Technologies Corp. Class A..................... 11,600 388,238
*Zebra Technologies Corp. Class B..................... 4,680 156,634
*Zemex Corp........................................... 6,794 45,010
Zenith National Insurance Corp........................ 13,600 331,500
*Zevex International, Inc............................. 2,000 12,125
*#Zila, Inc........................................... 2,557 19,058
*Zing Technologies, Inc............................... 1,500 11,438
*#Zitel Corp.......................................... 13,800 49,594
*Zoll Medical Corp.................................... 5,200 58,175
*#Zoltek Companies, Inc............................... 13,000 140,156
*#Zonagen, Inc........................................ 8,100 156,431
*Zoran Corp........................................... 7,900 102,453
*Zygo Corp............................................ 8,800 107,800
------------
TOTAL COMMON STOCKS
(Cost $560,848,208).................................. 543,549,304
------------
PREFERRED STOCKS -- (0.1%)
Apartment Investment & Management Co. Class E......... 7,362 288,958
Price Enterprises, Inc. Series A...................... 19,000 257,094
------------
TOTAL PREFERRED STOCKS
(Cost $551,193)...................................... 546,052
------------
RIGHTS/WARRANTS -- (0.0%)
*American Satellite Network, Inc. Warrants 06/30/99... 2,525 0
*CSF Holdings, Inc. Litigation Rights 12/30/99........ 3,250 0
</TABLE>
155
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THE U.S. 6-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
<S> <C> <C>
SHARES VALUE+
------------ ------------
*Millicom, Inc. Contingent Value Rights............... 10,100 $ 0
*Statesman Group, Inc. Contingent Payment Rights...... 9,765 0
*Wilshire Technologies Warrants (11/28/02)............ 816 0
*Xinetix Inc Warrants (03/17/03)...................... 332 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $30,099)....................................... 0
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.4%)
Repurchase Agreement, PNC Capital Markets Inc.
4.95%, 12/01/98 (Collateralized by U.S. Treasury
Notes 6.25%, 08/31/02, valued at $2,145,675) to be
repurchased at $2,112,290. (Cost $2,112,000)...... $ 2,112 2,112,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $563,542,356)++.... $546,207,356
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $564,758,190.
</TABLE>
See accompanying Notes to Financial Statements.
156
<PAGE>
THE U.S. 9-10 SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
COMMON STOCKS -- (99.1%)
*3-D Systems Corp.................................... 85,200 $ 601,725
*3D0 Co.............................................. 131,400 373,669
*#3Dfx Interactive, Inc.............................. 20,000 258,125
*4Front Software International, Inc.................. 36,600 295,087
*#7Th Level, Inc..................................... 54,500 189,898
*800-Jr Cigar, Inc................................... 4,300 60,200
*8X8, Inc............................................ 34,900 101,428
*A Consulting Team, Inc.............................. 7,300 57,031
*A.C. Moore Arts & Crafts, Inc....................... 20,000 150,000
*AAON, Inc........................................... 45,590 427,406
ABC Bancorp.......................................... 34,825 459,255
*ABC Rail Products Corp.............................. 68,000 854,250
*ABT Building Products Corp.......................... 34,000 352,750
*ACT Manufacturing, Inc.............................. 43,100 425,612
*ACT Networks, Inc................................... 71,600 722,712
*ADE Corp............................................ 66,400 859,050
*AEP Industries, Inc................................. 40,050 852,314
*AFC Cable Systems, Inc.............................. 30,725 917,909
*AG Associates, Inc.................................. 31,200 149,175
*AG Services America, Inc............................ 24,650 357,425
*AML Communications, Inc............................. 28,900 42,447
*AMX Corp............................................ 37,800 307,125
*APAC Teleservices, Inc.............................. 49,200 325,950
*ARI Network Services, Inc........................... 23,875 54,465
*#ARV Assisted Living, Inc........................... 118,200 709,200
ASB Financial Corp................................... 4,500 48,937
*ASV, Inc............................................ 25,050 472,819
*ATS Medical, Inc.................................... 154,900 871,312
*AVT Corporation..................................... 57,400 1,348,900
Aaron Rents, Inc. Class B............................ 30,500 476,562
*#Aasche Transportation Services, Inc................ 23,100 116,222
*Aavid Thermal Technologies, Inc..................... 41,700 744,084
*Abaxis, Inc......................................... 83,200 171,600
Abington Bancorp, Inc................................ 36,800 586,500
*Abiomed, Inc........................................ 44,500 479,766
*#Able Telcom Holding Corp........................... 60,900 352,078
Abrams Industries, Inc............................... 12,900 87,075
*Abraxas Petroleum Corp.............................. 50,000 259,375
*#Acacia Research Corp............................... 27,100 107,553
*Accell International Corp........................... 97,293 304,041
*Accelr8 Technology Corp............................. 76,500 262,969
*Acclaim Entertainment, Inc.......................... 64,000 612,000
*Ace Cash Express, Inc............................... 53,925 753,265
*Ace Comm Corp....................................... 60,100 231,948
Aceto Corp........................................... 36,766 471,064
*Acme Electric Corp.................................. 29,584 151,618
*Acme United Corp.................................... 28,707 69,973
*Acorn Products, Inc................................. 8,600 64,500
*Actel Corp.......................................... 8,300 140,322
*Active Apparel Group, Inc........................... 5,600 6,037
*Active Voice Corp................................... 23,200 163,850
*Activision, Inc..................................... 107,500 1,417,656
*#Actrade International, Ltd......................... 39,900 516,206
*Adam Software, Inc.................................. 12,700 53,181
Adams Resources & Energy, Inc........................ 74,150 528,319
*Adept Technology, Inc............................... 79,000 582,625
*Adflex Solutions, Inc............................... 75,800 516,387
*Adrien Arpel, Inc................................... 402 251
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Advance Lighting Technologies, Inc.................. 7,900 $ 70,112
*Advance Paradigm, Inc............................... 75,400 2,375,100
*#Advanced Aerodynamics & Structures, Inc............ 5,000 14,141
*Advanced Digital Information Corp................... 84,100 1,203,681
*Advanced Energy Industries, Inc..................... 12,000 216,750
*#Advanced Health Corp............................... 86,700 138,178
*Advanced Magnetics, Inc............................. 57,550 510,756
Advanced Marketing Services, Inc..................... 38,000 668,562
*Advanced Neuromodulation Systems, Inc............... 98,928 584,293
*Advanced Polymer Systems, Inc....................... 162,000 1,027,687
*Advanced Radio Telecom Corp......................... 45,500 177,734
*#Advanced Tissue Sciences, Inc...................... 39,900 115,959
*Advent Software, Inc................................ 21,000 804,562
Advest Group, Inc.................................... 45,500 1,060,719
*Advocat, Inc........................................ 50,700 301,031
*Aegis Communications Group.......................... 26,000 31,281
*Aehr Test Systems................................... 25,000 108,594
*Aeroflex, Inc....................................... 104,452 1,429,687
*Aerosonic Corp. DE.................................. 21,700 276,675
*Aerovox, Inc........................................ 41,800 108,419
*Aetrium, Inc........................................ 48,500 419,828
*Aftermarket Technology Corp......................... 21,600 123,525
*Ag-Chem Equipment Co., Inc.......................... 48,700 582,878
*Agri-Nutrition Group, Ltd........................... 16,800 19,162
*#Agritope, Inc...................................... 16,500 23,203
*Air Methods Corp.................................... 45,400 131,944
*Airnet Systems, Inc................................. 12,000 180,000
*Airtran Holdings, Inc............................... 8,500 34,266
*Akorn, Inc.......................................... 74,600 433,612
*Aksys, Ltd.......................................... 4,400 29,425
Alabama National Bancorporation...................... 14,100 368,362
Alamo Group, Inc..................................... 52,000 656,500
*Alaris Medical, Inc................................. 82,600 446,556
*#Alarmguard Holdings, Inc........................... 41,106 287,742
Alba-Waldensian, Inc................................. 31,500 763,875
*Alcide Corp......................................... 15,300 261,056
*Aldila, Inc......................................... 85,000 276,250
*Alexion Pharmaceuticals, Inc........................ 16,400 180,912
Alico, Inc........................................... 55,700 962,566
*Align-Rite International, Inc....................... 31,000 374,906
*All American Semiconductor, Inc..................... 38,400 40,200
*Allcity Insurance Co................................ 200 1,500
Allen Organ Co. Class B.............................. 4,200 157,500
*Allen Telecom, Inc.................................. 24,000 166,500
Alliance Bancorp..................................... 48,200 941,406
Alliance Bancorp of New England, Inc................. 399 4,688
*Alliance Gaming Corp................................ 316,989 812,284
*Alliance Pharmaceuticals Corp....................... 134,400 525,000
*Alliance Semiconductor Corp......................... 57,900 227,077
*Allied Healthcare Products, Inc..................... 66,800 179,525
*Allied Holdings, Inc................................ 66,435 1,013,134
Allied Products Corp................................. 99,841 736,327
*Allied Research Corp................................ 41,040 307,800
*Allin Communications Corp........................... 53,300 213,200
*#Allou Health & Beauty Care, Inc. Class A........... 30,000 320,625
</TABLE>
157
<PAGE>
THE U.S. 9-10 SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
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*Allstars Systems, Inc............................... 35,000 $ 72,187
*Allstate Financial Corp............................. 12,100 41,594
*Alltrista Corp...................................... 40,474 925,843
*#Alpha Beta Technology, Inc......................... 109,000 120,922
*Alpha Industries, Inc............................... 89,700 1,967,794
*Alpha Microsystems, Inc............................. 48,600 235,406
*Alpha Technologies Group, Inc....................... 107,200 190,950
*Alphanet Solutions, Inc............................. 32,300 148,378
*Alpine Group, Inc................................... 55,344 871,668
*#Alta Gold Co....................................... 127,043 216,370
*Alteon, Inc......................................... 125,300 123,342
*Alternative Resources Corp.......................... 157,300 1,489,434
*Altron, Inc......................................... 94,950 2,124,506
*#Alyn Corp.......................................... 46,000 224,250
Ambanc Holding Co., Inc.............................. 9,400 151,575
*Ambassadors, Inc.................................... 9,900 168,919
Amcast Industrial Corp............................... 45,600 800,850
*Amedisys, Inc....................................... 13,700 41,100
*America Services Group, Inc......................... 29,000 280,937
American Bancorporation Ohio......................... 400 7,750
American Bank of Connecticut......................... 19,900 442,775
*#American Banknote Corp............................. 104,400 202,275
American Biltrite, Inc............................... 57,850 1,370,322
*American Buildings Co............................... 50,000 1,218,750
*American Claims Evaluation, Inc..................... 3,100 6,200
*American Classic Voyages Co......................... 109,000 1,614,562
*American Coin Merchandising, Inc.................... 26,800 239,525
*American Ecology Corp............................... 62,800 86,350
*American Educational Products, Inc.................. 2,760 28,031
*American Healthcorp, Inc............................ 68,700 699,881
*American Homepatient, Inc........................... 17,000 36,656
*American Homestar Corp.............................. 80,218 1,321,090
*American Indemnity Financial Corp................... 16,700 188,919
*American International Petroleum Corp............... 100,100 132,945
*American Locker Group, Inc.......................... 35,200 974,600
*American Media, Inc. Class A........................ 132,200 627,950
*American Medical Electronics, Inc. (Escrow-Bonus)... 102,100 0
*American Medical Electronics, Inc.
(Escrow-Earnings).................................. 102,100 0
*American Mobile Satellite Corp...................... 180,000 815,625
*American Pacific Corp............................... 73,500 509,906
*American Pad & Paper Co............................. 156,400 244,375
*American Physician Partners, Inc.................... 130,000 609,375
*American Physicians Services Group, Inc............. 46,800 222,300
*American Precision Industries, Inc.................. 160,375 2,225,203
*American Residential Services, Inc.................. 41,000 143,500
*American Safety Razor Co............................ 60,600 730,987
*American Science & Engineering, Inc................. 75,000 871,875
*American Shared Hospital Services................... 14,800 15,262
*American Software, Inc. Class A..................... 140,800 378,400
American States Water Company........................ 55,000 1,553,750
*American Superconductor Corp........................ 84,200 831,475
*American Technical Ceramics Corp.................... 17,200 133,300
*#American Wagering, Inc............................. 3,800 18,644
American Woodmark Corp............................... 47,029 1,446,142
Americana Bancorp, Inc............................... 18,500 356,125
*Amerihost Properties, Inc........................... 63,600 258,375
*AmeriLink Corp...................................... 23,300 179,119
<CAPTION>
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------------ --------------
<S> <C> <C>
*Ameripath, Inc...................................... 106,000 $ 480,312
*Ameristar Casinos, Inc.............................. 132,250 392,617
Ameron, Inc.......................................... 18,200 668,850
*Amistar Corp........................................ 28,300 62,791
Ampco-Pittsburgh Corp................................ 72,100 869,706
*Ampex Corp. Class A................................. 117,800 117,800
Amplicon, Inc........................................ 58,000 906,250
*Amrep Corp.......................................... 63,610 469,124
*Amsurg Corp. Class A................................ 6,331 46,889
*Amsurg Corp. Class B................................ 40,795 279,191
*Amtran, Inc......................................... 88,200 1,923,862
Amwest Insurance Group, Inc.......................... 51,535 721,490
*Amylin Pharmaceuticals, Inc......................... 115,400 77,534
*Anadigics, Inc...................................... 39,200 491,225
*Analogy, Inc........................................ 44,300 159,203
Analysis & Technology, Inc........................... 40,200 648,225
*#Analytical Surveys, Inc............................ 27,900 789,919
*Anaren Microwave, Inc............................... 41,700 729,750
*#Andean Development Corp............................ 5,500 17,703
*Andersen Group, Inc................................. 15,000 56,250
Andersons, Inc....................................... 4,400 49,775
Andover Bancorp, Inc. DE............................. 34,025 1,090,927
*Andrea Electronics Corp............................. 51,300 538,650
*Anergen, Inc........................................ 142,000 48,812
*Anesta Corp......................................... 86,700 1,696,069
*#Angeion Corp....................................... 139,800 203,147
Angelica Corp........................................ 85,700 1,558,669
*Anicom, Inc......................................... 60,500 616,344
*Ansoft Corp......................................... 63,200 343,650
*Ansys, Inc.......................................... 67,700 668,537
*Aphton Corp......................................... 63,400 844,012
*Apple Orthodontix, Inc.............................. 16,100 94,587
*Applied Digital Access, Inc......................... 86,000 209,625
*Applied Extrusion Technologies, Inc................. 71,500 563,062
*Applied Innovation, Inc............................. 100,700 371,331
*#Applied Magnetics Corp............................. 60,000 446,250
*Applied Microsystems Corp........................... 34,900 135,237
*Applied Science & Technology, Inc................... 42,900 383,419
*Applied Signal Technologies, Inc.................... 75,000 909,375
*Applix, Inc......................................... 56,400 237,937
*Apria Healthcare Group, Inc......................... 110,000 770,000
*Aqua Alliance, Inc.................................. 222,100 444,200
*Aquagenix, Inc...................................... 23,100 10,467
*Aquila Biopharmaceuticals, Inc...................... 37,844 108,801
Aquila Gas Pipeline Corp............................. 130,600 1,110,100
*Arabian Shield Development Co....................... 66,200 91,025
*Aradigm Corp........................................ 45,400 627,087
*#Arcadia Financial, Ltd............................. 34,500 122,906
*Arch Communications Group, Inc...................... 192,800 228,950
*Ardent Software, Inc................................ 50,064 880,813
*Argosy Gaming Corp.................................. 199,300 485,794
*Ariad Pharmaceuticals, Inc.......................... 191,500 400,953
*Ariel Corp.......................................... 89,400 240,262
*Ark Restaurants Corp................................ 17,600 189,200
*Arkansas Best Corp.................................. 151,500 894,797
*Armor Holdings, Inc................................. 85,000 903,125
*Aronex Pharmaceuticals, Inc......................... 133,550 388,130
*Arqule, Inc......................................... 47,500 286,484
*Arrhythmia Research Technology, Inc................. 11,375 12,797
*Arrow Automotive Industries, Inc.................... 31,300 43,037
Arrow Financial Corp................................. 30,195 794,506
</TABLE>
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<CAPTION>
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*Artecon, Inc........................................ 2,600 $ 4,875
*Arthrocare Corp..................................... 42,700 667,187
*Artisoft, Inc....................................... 69,500 210,672
*Artra Group, Inc.................................... 68,000 187,000
*Arts Way Manufacturing Co., Inc..................... 100 581
*Asahi/Amer, Inc..................................... 4,600 21,275
*Asante Technologies, Inc............................ 45,600 101,175
*Ashworth, Inc....................................... 102,800 591,100
*Assisted Living Concepts, Inc....................... 78,800 985,000
*Astea International, Inc............................ 34,000 68,000
*Astec Industries, Inc............................... 97,100 5,012,787
Astro-Med, Inc....................................... 58,175 312,691
*Astronics Corp...................................... 26,647 286,455
*Asyst Technologies, Inc............................. 41,100 836,128
Atalanta Sosnoff Capital Corp........................ 27,300 243,994
*Atchison Casting Corp............................... 19,500 182,812
*Athey Products Corp................................. 31,085 101,026
*Atlantic American Corp.............................. 116,725 481,491
*Atlantic Bank and Trust Co.......................... 19,900 277,356
*Atlantic Premium Brands, Ltd........................ 20,000 40,000
*Atlantis Plastics, Inc.............................. 32,800 262,400
Atrion Corp.......................................... 59,850 512,466
*#Atrix Labs, Inc.................................... 56,906 636,636
*Au Bon Pain, Inc. Class A........................... 87,900 546,628
*Audiovox Corp. Class A.............................. 125,600 808,550
*Audits & Surveys Worldwide, Inc..................... 52,922 119,074
*Ault, Inc........................................... 34,500 231,797
*#Aura Systems, Inc.................................. 32,000 43,000
*Aurora Biosciences Corp............................. 55,000 278,437
*Auspex Systems, Inc................................. 153,100 574,125
*#Autobond Acceptance Corp........................... 12,100 46,887
Autocam Corp......................................... 61,370 861,098
*Autocyte, Inc....................................... 85,000 332,031
*Autoimmune, Inc..................................... 97,600 189,100
*Autologic Information International, Inc............ 27,500 113,437
*Automobile Protection Corp.......................... 55,500 502,969
*#Autonomous Technologies Corp....................... 68,300 318,022
*Autote Corp. Class A................................ 274,600 566,362
*Avalon Holding Corp. Class A........................ 15,475 120,898
*Avanir Pharmaceuticals Class A...................... 212,000 546,562
*Avant Immunotherapeutics, Inc....................... 191,210 250,963
*#Avatex Corp........................................ 26,200 19,650
*Avecor Cardiovascular, Inc.......................... 65,700 800,719
Avert, Inc........................................... 17,400 80,475
*Aviall, Inc......................................... 115,700 1,402,862
*Avigen, Inc......................................... 65,500 223,109
*Avondale Financial Corp............................. 13,600 185,300
*Avteam, Inc. Class A................................ 57,000 313,500
*Aware, Inc.......................................... 47,000 942,937
*Axiohm Transaction Solutions, Inc................... 7,122 33,384
*Axsys Technologies, Inc............................. 22,100 308,709
*Axys Pharmaceuticals, Inc........................... 202,830 1,147,257
*Aydin Corp.......................................... 43,250 418,984
*Aztar Corp.......................................... 5,000 25,312
Aztec Manufacturing Co............................... 55,826 554,771
*BCT International, Inc.............................. 16,300 37,184
*BEI Electronics, Inc................................ 42,800 74,900
BEI Technologies, Inc................................ 42,100 515,725
*BFX Hospitality Group, Inc.......................... 34,000 55,250
BHA Group Holdings, Inc. Class A..................... 84,954 1,173,427
*BI, Inc............................................. 85,900 633,512
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*BLC Financial Services, Inc......................... 5,000 $ 11,250
BMC Industries, Inc.................................. 112,500 696,094
*BRC Holdings, Inc................................... 17,600 334,400
BSB Bancorp, Inc..................................... 111,562 3,221,353
BT Financial Corp.................................... 26,608 735,046
*BTG, Inc............................................ 38,000 251,750
*BTU International, Inc.............................. 44,700 157,847
*BWAY Corp........................................... 83,550 1,362,909
*Back Bay Restaurant Group, Inc...................... 26,600 236,075
Badger Meter, Inc.................................... 48,100 1,743,625
Badger Meter, Inc. Class B........................... 16,500 598,125
*Badger Paper Mills, Inc............................. 200 1,600
Bairnco Corp......................................... 105,400 750,975
Baker (J.), Inc...................................... 115,300 565,691
*Baker (Michael) Corp................................ 72,214 667,979
*Baker (Michael) Corp. Class B....................... 15,400 142,450
*Balanced Care Corp.................................. 35,000 245,000
Balchem Corp......................................... 7,800 53,137
Baldwin Piano & Organ Co............................. 37,900 379,000
*Baldwin Technology, Inc. Class A.................... 135,000 776,250
*Ballantyne Omaha, Inc............................... 138,700 1,057,587
*Baltek Corp......................................... 21,562 226,401
Bancfirst Ohio Corp.................................. 26,600 774,725
*Bancinsurance Corp.................................. 31,400 170,737
Bancorp Connecticut, Inc............................. 22,880 407,550
*Bangor Hydro-Electric Co............................ 56,200 681,425
*Bank Plus Corp...................................... 112,800 472,350
*Bank United Financial Corp. Class A................. 61,900 530,019
Bank West Financial Corp............................. 2,500 25,469
*Banner Aerospace, Inc............................... 178,100 1,580,637
*Banyan System, Inc.................................. 155,000 1,210,937
*Barnett, Inc........................................ 41,000 520,187
*Barnwell Industries, Inc............................ 11,800 136,437
*Barra, Inc.......................................... 60,100 1,566,356
*Barrett Business Services, Inc...................... 51,900 458,991
*Barringer Technologies, Inc......................... 60,600 517,941
*Barry (R.G.) Corp................................... 178,235 2,116,541
*#Base Ten Systems, Inc. Class A..................... 46,600 139,072
*Basin Exploration, Inc.............................. 98,700 1,141,219
*Bayard Drilling Technologies, Inc................... 134,030 670,150
*Baycorp Holdings, Ltd............................... 24,200 114,950
Bayonne Bancshares, Inc.............................. 17,300 285,450
*Bayou Steel Corp. Class A........................... 54,150 250,444
*Beard Co............................................ 26,533 117,740
Beauticontrol Cosmetics, Inc......................... 37,000 222,000
*#Beazer Homes USA, Inc.............................. 61,800 1,475,475
*Bel Fuse, Inc. Class A.............................. 43,250 1,208,297
*Bel Fuse, Inc. Class B.............................. 43,250 1,024,484
*Belco Oil & Gas Corp................................ 12,000 67,500
*Bell Industries, Inc................................ 76,472 798,176
*Bell Microproducts, Inc............................. 54,500 502,422
*Bellwether Exploration Co........................... 106,500 592,406
*Ben & Jerry's Homemade, Inc. Class A................ 30,600 611,044
*Benchmark Electronics, Inc.......................... 44,000 1,100,000
*Benihana, Inc....................................... 9,500 103,312
*Benihana, Inc. Class A.............................. 1,400 13,650
*Bentley Pharmaceuticals, Inc........................ 24,350 39,569
*Benton Oil & Gas Co................................. 59,500 223,125
Berkshire Gas Co..................................... 8,300 190,900
*Berlitz International, Inc.......................... 43,300 1,282,762
*Bethlehem Corp...................................... 200 262
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Big 4 Ranch, Inc.................................... 35,000 $ 0
Binks Sames Corp..................................... 61,400 921,000
*Bio Vascular, Inc................................... 24,400 102,175
*Bioanalytical Systems, Inc.......................... 2,200 10,312
*Biocryst Pharmaceuticals, Inc....................... 79,200 524,700
*Biofield Corp....................................... 7,800 13,650
*Bio-Logic Systems Corp.............................. 23,400 73,125
*Biomerica, Inc...................................... 26,100 38,334
*Bionx Implants, Inc................................. 15,700 143,262
*Bio-Plexus, Inc..................................... 13,200 36,300
*Biosite Diagnostics, Inc............................ 111,100 916,575
*Biosource International, Inc........................ 71,000 214,109
*Biospecifics Technologies Corp...................... 24,900 98,822
*#Biospherics, Inc................................... 43,900 252,425
Birmingham Steel Corp................................ 29,800 145,275
*Black Hawk Gaming & Development, Inc................ 14,500 120,531
Blair Corp........................................... 56,000 987,000
Blimpie International................................ 43,450 95,047
*Blonder Tongue Laboratories, Inc.................... 19,400 152,775
*Bluegreen Corp...................................... 96,229 661,574
*Boca Research, Inc.................................. 45,300 96,262
*Bolder Technologies Corp............................ 45,600 408,975
*Bolle, Inc.......................................... 36,966 123,605
*Bolt Technology Corp................................ 40,750 305,625
*Bombay Co., Inc..................................... 164,700 813,206
*Bonded Motors, Inc.................................. 14,000 97,125
*Bone Care International, Inc........................ 40,500 437,906
*Bontex, Inc......................................... 2,200 4,434
*Bon-Ton Stores, Inc................................. 64,300 498,325
*#Books-a-Million, Inc............................... 140,000 4,121,250
Boston Acoustics, Inc................................ 57,450 1,430,864
*Boston Beer Company, Inc. Class A................... 71,000 603,500
*Boston Biomedical, Inc.............................. 7,200 20,250
*Boston Communications Group, Inc.................... 94,000 942,937
Bostonfed Bancorp, Inc............................... 13,400 247,900
Bowl America, Inc. Class A........................... 56,160 393,120
*Bradley Pharmaceuticals, Inc. Class A............... 8,400 10,369
*Brauns Fashions Corp................................ 23,000 186,875
*Brazos Sportswear, Inc.............................. 5,630 3,519
*Brewer (C.) Homes, Inc. Class A..................... 19,300 5,730
Bridgford Foods Corp................................. 69,190 897,308
*Brilliant Digital Entertainment, Inc................ 57,800 133,662
*Brite Voice Systems, Inc............................ 104,000 832,000
*#Britesmile, Inc.................................... 37,500 44,531
Broad National Bancorporation........................ 23,311 434,167
*Broadband Technologies, Inc......................... 65,300 295,891
*Broadway & Seymour, Inc............................. 78,100 229,419
*Brookdale Living Communities........................ 47,900 802,325
#Brooke Group, Ltd................................... 111,900 2,098,125
*Brooks Automation, Inc.............................. 84,200 1,331,412
*Brookstone, Inc..................................... 58,600 882,662
*Brooktrout Technology, Inc.......................... 102,950 1,608,594
*Brothers Gourmet Coffees, Inc....................... 58,669 2,347
*Brown & Sharpe Manufacturing Co. Class A............ 95,675 633,847
*Brunswick Technologies, Inc......................... 30,000 157,500
Bryn Mawr Bank Corp.................................. 2,000 55,250
*Buckhead America Corp............................... 3,500 18,812
*Builders Transport, Inc............................. 52,100 326
*Building Materials Holding Corp..................... 104,900 1,301,416
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Bull Run Corp. GA................................... 171,700 $ 574,122
Bush Industries, Inc. Class A........................ 54,100 885,887
*Business Resource Group............................. 29,000 83,375
*Butler International, Inc........................... 46,627 1,002,480
Butler Manufacturing Co.............................. 16,700 388,275
*CATS Software, Inc.................................. 29,500 128,141
*C-COR Electronics, Inc.............................. 48,000 687,000
*#C-Phone Corp....................................... 39,400 111,428
*C.P. Clare Corp..................................... 47,900 347,275
CB Bancshares, Inc. HI............................... 818 27,403
*CCA Industries, Inc................................. 34,700 49,881
*CE Software Holdings, Inc........................... 2,180 9,946
*CEM Corp............................................ 41,500 430,562
*CET Environmental Services, Inc..................... 23,700 32,587
*CFI Proservices, Inc................................ 36,600 411,750
*CFM Technologies, Inc............................... 33,500 294,172
CFSB Bancorp, Inc.................................... 10,719 249,552
*CMC Industries, Inc................................. 41,800 265,169
CMI Corp. Class A.................................... 264,699 2,415,378
*CNS Income.......................................... 93,600 444,600
*CPAC, Inc........................................... 38,578 364,080
CPB, Inc............................................. 27,700 479,556
*CPI Aerostructures, Inc............................. 2,500 3,906
*CPS Systems, Inc.................................... 54,500 54,500
*CSP, Inc............................................ 71,753 565,055
*CTB International Corp.............................. 15,000 127,500
*#CTC Communications Corp. Class 1................... 61,900 446,841
CTG Resources, Inc................................... 29,400 738,675
*Cache, Inc.......................................... 80,125 375,586
*Caci International, Inc. Class A.................... 42,600 790,762
*Cade Industries, Inc................................ 55,000 129,766
*Cadiz, Inc.......................................... 134,400 1,192,800
Cadmus Communications Corp........................... 58,900 964,487
*Cadus Pharmaceutical Corp........................... 15,500 40,203
*Caere Corp.......................................... 121,400 1,627,519
Cagle's, Inc. Class A................................ 104,900 2,124,225
*Cal Dive International, Inc......................... 35,000 575,312
*Calcomp Technology, Inc............................. 39,200 57,575
*Caliber Learning Network, Inc....................... 78,000 380,250
*#California Amplifier, Inc.......................... 66,100 183,841
*California Coastal Comm, Inc........................ 24,700 169,041
*#California Culinary Academy, Inc................... 17,300 135,156
*California Micro Devices Corp....................... 50,100 134,644
*California Microwave, Inc........................... 58,400 715,400
*Callon Petroleum Co................................. 71,700 918,656
*Calloways Nursery, Inc.............................. 1,700 1,859
Cal-Maine Foods, Inc................................. 16,700 82,978
*Calumet Bancorp, Inc................................ 5,925 164,048
*Cambridge Heart, Inc................................ 55,200 310,500
*Cameron Ashley Building Products, Inc............... 43,000 548,250
Cameron Financial Corp............................... 11,500 189,031
*Candela Laser Corp.................................. 33,700 193,775
*Candies, Inc........................................ 89,900 257,058
*Canisco Resources, Inc.............................. 8,600 18,812
*Cannon Express, Inc. Class A........................ 3,250 18,687
*Cannondale Corp..................................... 73,200 729,712
*Cantel Industries, Inc. Class B..................... 26,800 184,250
Cape Cod Bank & Trust Co............................. 60,200 1,200,237
*Capital Associates, Inc............................. 21,050 79,595
*Capital Pacific Holdings, Inc....................... 67,000 196,812
*Capital Senior Living Corp.......................... 11,700 144,787
</TABLE>
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<TABLE>
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Capitol Bancorp, Ltd................................. 22,904 $ 588,346
Capitol Transamerica Corp............................ 35,545 626,481
*Carbide/Graphite Group, Inc......................... 34,000 433,500
*Cardiac Pathways Corp............................... 80,000 377,500
*Cardiotech International, Inc....................... 12,957 17,006
*Cardiovascular Diagnostics.......................... 32,100 186,581
*Cardiovascular Dynamics, Inc........................ 69,036 284,773
*Caretenders Healthcorp.............................. 11,500 32,344
*Carleton Corporation................................ 6,560 13,530
*Carreker-Antinori, Inc.............................. 120,000 645,000
*Carr-Gottstein Foods Co............................. 71,766 811,853
*Carrington Laboratories, Inc........................ 76,300 206,248
*Carson, Inc......................................... 10,500 30,187
Cascade Corp......................................... 57,000 798,000
Cascade Natural Gas Corp............................. 53,500 979,719
*Casino Data Systems................................. 93,800 184,669
*Castle Dental Centers, Inc.......................... 2,500 15,703
Castle Energy Corp................................... 13,100 250,537
*Catalina Lighting, Inc.............................. 60,600 132,562
*Catalyst International, Inc......................... 44,700 456,778
*Catherines Stores Corp.............................. 59,900 625,206
Cato Corp. Class A................................... 194,900 2,637,241
Cavalier Homes, Inc.................................. 149,981 1,621,670
*Celadon Group, Inc.................................. 69,000 907,781
*Celebrity, Inc...................................... 54,000 40,500
*Celeritek, Inc...................................... 44,000 132,000
*Celestial Seasonings, Inc........................... 41,500 1,034,906
*Celgene Corp........................................ 115,300 965,637
*#Cell Genesys, Inc.................................. 216,005 1,046,274
*#Cell Pathways, Inc................................. 27,670 329,446
*Cellegy Pharmaceuticals, Inc........................ 16,000 70,000
*#Cel-Sci Corp....................................... 23,700 56,287
Cenit Bancorp, Inc................................... 18,200 342,387
*Centennial Bancorp.................................. 71,908 1,274,120
*Centennial Healthcare Corp.......................... 12,200 187,194
*Centigram Communications Corp....................... 51,900 386,006
Central Co-Operative Bank Somerville, MA............. 10,000 175,625
*Central Reserve Life Corp........................... 33,700 301,194
*Central Sprinkler Corp.............................. 41,600 374,400
Central Vermont Public Service Corp.................. 53,100 554,231
Centris Group, Inc................................... 108,200 1,109,050
*Centura Software Corp............................... 63,100 72,959
Century Aluminum Co.................................. 38,000 323,594
Century Bancorp Income Class A....................... 1,000 19,750
*Cephalon, Inc....................................... 24,000 182,250
*Ceradyne, Inc....................................... 115,100 467,594
Cerberonics, Inc. Class A............................ 3,500 27,453
*Cerion Technologies, Inc............................ 31,000 9,203
*Cerprobe Corp....................................... 38,800 560,175
*Chad Therapeutics................................... 76,466 133,815
Champion Industries, Inc............................. 48,400 485,512
*Chart House Enterprises, Inc........................ 74,500 372,500
*Charter Federal Savings Bank (Escrow)............... 43,340 0
Chase Corp........................................... 19,700 256,100
*Chase Industries, Inc............................... 90,750 1,060,641
*Chattem, Inc........................................ 79,100 3,366,694
*Chaus (Bernard), Inc................................ 12,360 35,535
*Check Technology Corp............................... 31,900 99,687
*Chemfab Corp........................................ 141,300 3,179,250
<CAPTION>
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<S> <C> <C>
*Cherry Corp. Class A................................ 3,600 $ 52,875
*Cherry Corp. Class B................................ 10,400 155,350
*Chesapeake Biological Laboratories, Inc. Class A.... 10,900 48,369
Chesapeake Energy Corp............................... 126,698 174,210
Chesapeake Utilities Corp............................ 23,575 412,562
Chester Valley Bancorp............................... 1,004 28,645
Chic by His, Inc..................................... 80,000 365,000
Chicago Rivet & Machine Co........................... 20,000 580,000
*Chicos Fas, Inc..................................... 69,100 1,515,881
*#Childrens Broadcasting Corp........................ 30,700 96,897
*Children's Comprehensive Services, Inc.............. 64,250 801,117
*Childtime Learning Centers, Inc..................... 25,600 361,600
*Chirex, Inc......................................... 30,900 561,994
*Chock Full O' Nuts Corp............................. 92,330 611,686
*Cholestech Corp..................................... 74,900 308,962
*Christiana Companies, Inc........................... 22,400 466,900
*Chromcraft Revington, Inc........................... 112,000 1,862,000
*Chronimed, Inc...................................... 66,200 676,481
*Chrysalis International Corp........................ 40,000 15,625
*Chyron Corp......................................... 35,853 96,355
*Cidco, Inc.......................................... 90,700 259,345
*Cima Laboratories, Inc.............................. 49,000 157,719
*Ciprico, Inc........................................ 41,895 310,285
*Circon Corp......................................... 42,322 618,959
*Circuit City Stores, Inc. - Carmax Group............ 142,000 763,250
*Circuit Systems, Inc................................ 26,200 97,022
*Citadel Holding Corp................................ 35,700 131,644
*Citation Computer System, Inc....................... 30,000 69,375
*Citation Corp....................................... 24,000 336,000
*Citizens, Inc. Class A.............................. 67,550 392,634
City Holding Co...................................... 2,142 71,489
*Civic Bancorp....................................... 39,690 570,544
*Clark (Dick) Productions, Inc....................... 12,180 178,132
*Clean Harbors, Inc.................................. 82,400 141,625
*Clearview Cinema Group, Inc......................... 3,300 78,787
*Clintrials Research, Inc............................ 150,600 522,394
*Coast Dental Services, Inc.......................... 54,900 629,634
*Coast Distribution System........................... 43,600 87,200
Coastal Bancorp, Inc................................. 45,600 872,100
*Coastcast Corp...................................... 66,300 522,112
*Cobra Electronic Corp............................... 125,100 547,312
*Cocensys, Inc....................................... 195,000 112,734
*Code-Alarm, Inc..................................... 20,300 15,859
*#Coeur d'Alene Mines Corp. ID....................... 93,400 472,837
*Coffee People, Inc.................................. 28,000 57,750
*Cognitronics Corp................................... 57,450 567,319
*Cognizant Technology Solutions Corp................. 5,000 108,437
*Cohesion Technologies, Inc.......................... 62,300 245,306
*Coho Energy, Inc.................................... 141,300 622,603
*Cohr, Inc........................................... 36,900 109,547
Cohu, Inc............................................ 18,300 414,609
*#Coinmach Laundry Corp.............................. 70,500 1,154,437
*#Coinstar, Inc...................................... 19,900 131,837
*Cold Metal Products, Inc............................ 51,800 145,687
*Coldwater Creek, Inc................................ 18,100 218,331
*Cole (Kenneth) Productions, Inc. Class A............ 37,400 680,212
*Collaborative Clinical Research, Inc................ 14,000 41,562
</TABLE>
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<CAPTION>
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<S> <C> <C>
Collagen Corp........................................ 62,300 $ 599,637
*Collagenex Pharmaceuticals, Inc..................... 37,800 437,062
Collins Industries, Inc.............................. 86,325 369,579
*Colorado MEDtech, Inc............................... 13,700 122,872
*Columbia Banking System, Inc........................ 42,143 833,641
*#Columbia Laboratories, Inc......................... 48,700 182,625
*Columbus Energy Corp................................ 20,857 135,570
*Comarco, Inc........................................ 47,800 1,081,475
*Comdial Corp........................................ 151,433 1,367,629
*Comforce Corp....................................... 128,766 692,117
*Command Systems, Inc................................ 15,000 39,609
Commercial Bancshares, Inc........................... 19,624 458,711
Commercial Bank of New York.......................... 19,650 281,241
Commercial Intertech Corp............................ 56,500 893,406
Commercial National Financial Corp................... 800 32,100
*Commodore Applied Technologies, Inc. (Private
Placement)......................................... 132,074 74,292
Commonwealth Industries, Inc......................... 102,800 983,025
Communications Systems, Inc.......................... 118,500 1,525,687
Community Bank System, Inc........................... 53,700 1,564,012
Community Banks, Inc................................. 346 8,261
#Community Bankshares, Inc........................... 2,600 35,425
Community Financial Corp............................. 10,200 132,600
Community Savings Bankshares, Inc.................... 11,600 268,975
*Community West Bancshares........................... 300 2,944
*Compass International Services Corp................. 45,000 437,344
*Compdent Corp....................................... 82,200 855,394
*Competitive Technologies, Inc....................... 109,600 548,000
*Comprehensive Care Corp............................. 26,120 93,052
*Comptek Research, Inc............................... 60,400 536,050
*#Computer Learning Centers, Inc..................... 22,600 144,781
*Computer Manangement Sciences, Inc.................. 17,700 314,728
*Computer Motion, Inc................................ 64,500 598,641
*Computer Network Technology Corp.................... 168,800 1,186,875
*Computer Outsourcing Services, Inc.................. 21,100 208,362
*Comshare, Inc....................................... 64,800 279,450
*Comstock Resources, Inc............................. 187,900 692,881
*Comtech Telecommunications Corp..................... 11,900 106,356
*Concentra Corp...................................... 32,200 221,375
*Concord Camera Corp................................. 51,000 278,906
*Concord Fabrics, Inc. Class A....................... 45,500 284,375
*Concord Fabrics, Inc. Class B....................... 25,700 160,625
*Concurrent Computer Corp............................ 161,880 546,345
*Condor Technology Solutions, Inc.................... 24,000 234,000
*Conductus, Inc...................................... 41,300 63,241
*Cone Mills Corp. NC................................. 140,600 641,487
*Congoleum Corp. Class A............................. 26,500 236,844
Connecticut Water Services, Inc...................... 63,525 1,766,789
*Connitics Corp...................................... 61,300 247,116
*Consep, Inc......................................... 49,700 62,125
*Consilium, Inc...................................... 80,000 505,000
*Conso Products Co................................... 59,000 344,781
*Consolidated Delivery and Logistics, Inc............ 31,900 104,672
*Consolidated Freightways Corp....................... 12,000 150,750
Consolidated Tokoma Land Co.......................... 6,800 87,550
*#Consumer Portfolio Services, Inc................... 112,000 483,000
Consumers Water Co................................... 42,900 1,332,581
*Continental Materials Corp.......................... 9,700 303,125
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Continucare Corp.................................... 15,900 $ 40,744
*#Converse, Inc...................................... 98,000 214,375
Cooker Restaurant Corp............................... 82,600 474,950
*Cooperative Bankshares, Inc......................... 3,000 44,625
*Copart, Inc......................................... 41,350 976,894
*Copley Pharmaceutical, Inc.......................... 83,100 669,994
*#Copytele, Inc...................................... 73,100 110,792
*Coram Healthcare Corp............................... 228,000 427,500
*Core Materials Corp................................. 19,300 51,869
*Core, Inc........................................... 36,900 226,012
*Cornell Corrections, Inc............................ 67,200 1,201,200
*Correctional Services Corp.......................... 58,300 675,916
*Corrpro Companies, Inc.............................. 41,750 506,219
*Corvas International, Inc........................... 106,500 292,875
*Corvel Corp......................................... 6,200 230,950
*Cosmetic Centers, Inc. Class C...................... 8,645 11,076
*Cost Plus, Inc...................................... 29,500 980,875
*Costilla Energy, Inc................................ 45,400 263,887
*Cotelligent Group, Inc.............................. 78,700 1,441,194
Cotton States Life Insurance Co...................... 12,000 190,500
Courier Corp......................................... 47,550 1,319,512
*Covenant Transport, Inc. Class A.................... 104,000 1,816,750
*Cover-All Technologies, Inc......................... 83,445 166,890
Covest Bancshares, Inc............................... 45,000 634,219
*Coyote Network Systems, Inc......................... 12,526 200,416
Craftmade International, Inc......................... 68,250 797,672
*Craig (Jenny), Inc.................................. 76,550 454,516
*Craig Corp.......................................... 43,900 381,381
*Creative Biomolecules, Inc.......................... 308,900 994,272
*#Creative Computers, Inc............................ 50,900 1,923,066
*#Cree Research, Inc................................. 94,900 3,523,162
*Crescent Operating, Inc............................. 33,000 126,328
*Criticare Systems, Inc.............................. 46,700 103,616
Cross (A.T.) Co. Class A............................. 84,700 603,487
*Cross-Continent Auto Retailers, Inc................. 70,700 698,162
*Crossman Communities, Inc........................... 90,000 2,238,750
*Crowley, Milner & Co................................ 12,200 57,187
*Crown Central Petroleum Corp. Class A............... 22,300 204,881
*Crown Central Petroleum Corp. Class B............... 23,800 220,150
Crown Crafts, Inc.................................... 43,000 266,062
*Crown Resources Corp................................ 117,700 235,400
*Crown Vantage, Inc.................................. 59,200 176,675
*Crown-Andersen, Inc................................. 10,500 48,562
*Cryolife, Inc....................................... 110,900 1,261,487
*Crystal Oil Co...................................... 5,000 194,375
Cubic Corp........................................... 29,850 611,925
*#Cubist Pharmaceuticals, Inc........................ 4,300 12,766
Culp, Inc............................................ 178,580 1,562,575
*Cunningham Graphics International, Inc.............. 36,000 634,500
*CustomTracks Corp................................... 119,400 1,048,481
*Cutter & Buck, Inc.................................. 18,600 531,262
*Cyanotech Corp...................................... 59,150 75,786
*#Cybercash, Inc..................................... 65,500 1,088,937
*Cyberguard Corp..................................... 37,800 115,762
*Cyberonics, Inc..................................... 89,500 973,312
*Cyberoptics Corp.................................... 30,400 490,200
*Cybex Corp.......................................... 46,050 1,913,953
*Cybex International, Inc............................ 72,300 347,944
*#Cygnus, Inc........................................ 54,400 261,800
</TABLE>
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<CAPTION>
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<S> <C> <C>
*Cylink Corp......................................... 15,700 $ 126,091
*Cypros Pharmaceutical Corp.......................... 102,900 398,737
*Cyrk, Inc........................................... 102,300 891,928
*Cytel Corp.......................................... 24,357 74,593
*Cytyc Corp.......................................... 12,000 237,000
*D & K Healthcare Resources, Inc..................... 11,000 215,531
*D A Consulting Group, Inc........................... 55,000 739,062
D&N Financial Corp................................... 73,450 1,691,645
*DM Management Co.................................... 47,850 699,806
*DNAP Holding Corp................................... 5,400 18,225
*#DRS Technologies, Inc.............................. 31,500 289,406
*DSP Group, Inc...................................... 47,600 971,337
*DSP Technology, Inc................................. 10,100 79,853
DT Industries, Inc................................... 18,300 341,981
*DVI, Inc............................................ 74,400 1,315,950
*Dailey International, Inc........................... 35,400 34,847
*Daily Journal Corp.................................. 200 7,200
*Daktronics, Inc..................................... 18,800 204,450
*Damark International, Inc. Class A.................. 37,000 255,531
Dames & Moore, Inc................................... 88,400 1,132,625
Daniel Industries, Inc............................... 76,369 835,286
*Danielson Holding Corp.............................. 5,653 20,492
*#Daou Systems, Inc.................................. 24,100 89,622
*Darling International, Inc.......................... 58,400 193,450
*Data Broadcasting Corp.............................. 128,236 1,354,493
*#Data Dimensions, Inc............................... 64,900 829,503
*Data I/O Corp....................................... 65,600 106,600
*Data Processing Resources Corp...................... 5,900 138,281
*#Data Race, Inc..................................... 35,700 106,542
Data Research Association, Inc....................... 50,550 691,903
*Data Systems & Software, Inc........................ 47,800 146,387
*Data Systems Network Corp........................... 3,641 4,551
*Data Transmission Network Corp...................... 10,300 281,641
*Datakey, Inc........................................ 11,700 36,562
*Datamarine International, Inc....................... 200 575
*Dataram Corp........................................ 14,900 316,625
*Datastream Systems, Inc............................. 11,700 120,656
*Dataware Technologies, Inc.......................... 47,300 178,853
*Datawatch Corp...................................... 60,000 94,687
*Dataworks Corp...................................... 50,597 398,451
*Datron Systems, Inc................................. 23,200 145,000
*Datum, Inc.......................................... 72,600 551,306
*Dave and Busters, Inc............................... 111,150 2,146,584
*Davel Communications Group, Inc..................... 28,500 552,187
*Davox Corp.......................................... 33,300 238,303
*#Daw Technologies, Inc.............................. 100,600 70,734
*Dawson Geophysical Co............................... 44,700 410,681
*Daxor Corp.......................................... 46,000 606,625
*Day Runner, Inc..................................... 53,700 1,191,469
*Dayton Superior Corp. Class A....................... 56,100 1,093,950
Deb Shops, Inc....................................... 69,000 741,750
*Deckers Outdoor Corp................................ 46,700 96,319
Decorator Industries, Inc............................ 20,187 171,589
Defiance, Inc........................................ 65,200 436,025
*Del Global Technologies Corp........................ 59,016 586,471
Del Laboratories, Inc................................ 164,920 4,277,612
*Delco Remy International, Inc....................... 14,500 156,781
*Delia's, Inc........................................ 19,600 163,537
*#Delta Financial Corp............................... 66,000 363,000
Delta Natural Gas Co., Inc........................... 18,800 347,800
Delta Woodside Industries, Inc....................... 146,700 733,500
*Denamerica Corp..................................... 57,800 57,800
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Dense-Pac Microsystems, Inc......................... 59,500 $ 70,656
*Depotech Corp....................................... 69,200 168,675
*Designs, Inc........................................ 54,600 35,831
*Detection Systems, Inc.............................. 66,186 628,767
*Detrex Corp......................................... 9,500 59,375
*Devcon International Corp........................... 26,000 54,844
*Dewolfe Companies, Inc.............................. 4,400 25,850
*Diagnostic Health Services, Inc..................... 76,900 198,258
*Diametrics Medical, Inc............................. 142,300 595,881
*Diamond Home Services, Inc.......................... 78,500 252,672
*Diamond Multimedia Systems, Inc..................... 82,100 536,216
*Diamond Technology Partners, Class A................ 10,000 139,375
*Dianon Systems, Inc................................. 34,900 278,109
*Diatide, Inc........................................ 32,000 190,000
*Digene Corp......................................... 72,900 398,672
*Digi International, Inc............................. 52,100 669,159
*Digital Biometrics, Inc............................. 72,000 130,500
*Digital Generation Systems, Inc..................... 115,900 459,978
*#Digital Lightwave, Inc............................. 13,600 29,112
*Digital Link Corp................................... 72,700 391,898
*Digital Microwave Corp.............................. 64,000 372,000
*Digital Power Corp.................................. 16,500 37,125
*Diodes, Inc......................................... 32,300 181,687
*Diversified Corporate Resources, Inc................ 12,800 73,600
Dixie Group, Inc..................................... 54,119 379,679
*Dixon Ticonderoga Co................................ 27,450 243,619
*Dominion Homes, Inc................................. 30,000 270,000
Donegal Group, Inc................................... 24,710 336,674
*Donna Karan International, Inc...................... 58,300 437,250
Donnelly Corp. Class A............................... 59,750 903,719
*Donnkenny, Inc...................................... 63,300 69,234
*Dorsey Trailers, Inc................................ 39,000 34,125
*Dotronix, Inc....................................... 87,000 92,437
*Drew Industries, Inc................................ 90,700 1,111,075
*Drexler Technology Corp............................. 112,950 1,200,094
*Driver-Harris Co.................................... 23,498 82,243
*Drug Emporium, Inc.................................. 92,600 413,806
*Drypers Corp........................................ 46,300 130,942
*Duckwall-Alco Stores, Inc........................... 41,200 543,325
*Ducommun, Inc....................................... 79,500 1,326,656
Duff & Phelps Credit Rating Co....................... 18,000 938,250
*#Dunn Computer Corp................................. 60,500 312,898
*Dura Automotive Systems, Inc........................ 2,300 66,556
*Durakon Industries, Inc............................. 54,500 579,062
*Duramed Pharmaceuticals, Inc........................ 104,100 455,437
*Dwyer Group, Inc.................................... 22,000 40,562
Dyersburg Corp....................................... 107,300 355,431
*Dynamic Healthcare Technologies, Inc................ 45,900 25,102
*Dynamic Materials Corp.............................. 14,200 76,769
*Dynamics Research Corp.............................. 71,258 467,631
*E-Z-Em, Inc. Class A................................ 37,000 249,750
*E-Z-Em, Inc. Class B................................ 55,424 311,760
*EA Engineering Science & Technology, Inc............ 78,975 97,485
*ECC International Corp.............................. 139,750 401,781
*ECCS, Inc........................................... 6,900 13,584
*EFI Electronics Corp................................ 65,400 71,531
*EFTC Corp........................................... 66,300 249,661
*EIS International, Inc.............................. 85,100 151,584
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*ELXSI Corp.......................................... 8,300 $ 85,594
EMC Insurance Group, Inc............................. 29,300 364,419
ESB Financial Corp................................... 242 3,948
*ESCO Electronics Corp. Trust Receipts............... 101,076 998,125
*ESSEF Corp.......................................... 117,854 1,929,859
*#EXX, Inc. Class A.................................. 300 581
*EXX, Inc. Class B................................... 100 194
Eagle Bancshares, Inc................................ 38,400 700,800
*Eagle Food Centers, Inc............................. 82,600 263,287
*Eagle Geophysical, Inc.............................. 60,700 341,437
*Eagle Point Software Corp........................... 40,500 389,812
Easco, Inc........................................... 85,400 720,562
*East/West Communications, Inc....................... 29,600 38,850
Eastern Co........................................... 26,000 672,750
*Eateries, Inc....................................... 22,200 102,675
*Echelon International Corp.......................... 1,100 25,162
*Eclipse Surgical Technologies, Inc.................. 63,800 436,631
*Eco Soil Systems, Inc............................... 142,800 1,267,350
*Ecogen, Inc......................................... 36,800 57,500
Ecology & Environment, Inc. Class A.................. 11,900 120,487
*Edac Technologies Corp.............................. 8,200 39,975
*Edelbrock Corp...................................... 47,200 799,450
*Edify Corp.......................................... 38,600 316,037
*Edison Control Corp................................. 7,000 50,750
Edo Corp............................................. 52,500 452,812
Educational Development Corp......................... 2,800 7,262
*Educational Insights, Inc........................... 52,300 101,331
*EduTrek International, Inc.......................... 14,300 91,609
*#Einstein/Noah Bagel Corp........................... 44,700 94,987
*Ekco Group, Inc..................................... 138,500 510,719
*Elantec Semiconductor, Inc.......................... 46,800 172,575
*Elcom International, Inc............................ 53,000 94,406
*Elcotel, Inc........................................ 88,389 497,188
*Electric Fuel Corp.................................. 91,400 288,481
*Electro Rent Corp................................... 60,050 690,575
Electro Sensors, Inc................................. 2,300 8,194
*Electroglas, Inc.................................... 5,900 84,444
*Electromagnetic Sciences, Inc....................... 142,199 1,928,574
*Electronic Processing, Inc.......................... 2,700 28,519
*#Electronic Retailing System International, Inc..... 16,400 51,250
Ellett Brothers, Inc................................. 44,000 192,500
*Embrex, Inc......................................... 124,600 700,875
*Emcee Broadcast Products, Inc....................... 30,000 52,500
*Emcon............................................... 71,450 218,816
*Emcor Group, Inc.................................... 44,800 736,400
*Emeritus Corp....................................... 146,800 1,394,600
*Emisphere Technologies, Inc......................... 54,900 722,278
*Empi, Inc........................................... 56,000 1,279,250
Empire Federal Bancorp, Inc.......................... 4,400 58,575
*Employee Solutions, Inc. Class B.................... 226,600 527,553
*Emulex Corp......................................... 53,800 1,514,806
*En Pointe Technologies, Inc......................... 30,100 144,386
*#Enamelon, Inc...................................... 49,500 344,953
*Encad, Inc.......................................... 48,800 283,650
*Encore Med Corp..................................... 2,000 7,437
*Encore Wire Corp.................................... 97,575 1,292,869
*Endocardial Solutions, Inc.......................... 12,700 84,137
*Endosonics Corp..................................... 118,300 1,035,125
*#Energy Biosystems Corp............................. 56,300 40,466
*Energy Conversion Devices, Inc...................... 61,400 377,994
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Energy Research Corp................................ 18,700 $ 247,775
Energynorth, Inc..................................... 32,526 926,991
Energysouth, Inc..................................... 51,150 1,059,764
Engineered Support Systems, Inc...................... 33,450 543,562
*Engineering Measurements Co......................... 35,500 164,187
Engle Homes, Inc..................................... 61,400 832,737
*Enlighten Software Solutions, Inc................... 12,300 34,594
Ennis Business Forms, Inc............................ 139,200 1,461,600
*Enstar, Inc......................................... 9,266 74,707
*Enterprise Software, Inc............................ 37,587 257,236
*#Entremed, Inc...................................... 21,500 532,125
*Envirogen, Inc...................................... 2,316 4,344
*Environmental Elements Corp......................... 48,600 197,437
*Environmental Technologies Corp..................... 39,700 40,320
*Environmental Tectonics Corp........................ 14,100 155,100
*Envirosource, Inc................................... 49,300 258,825
*Enzon, Inc.......................................... 136,200 1,630,144
*Epitope, Inc........................................ 93,600 532,350
*Epl Technologies, Inc............................... 21,200 107,987
*Equimed, Inc........................................ 6,533 408
*Equinox Systems, Inc................................ 31,300 334,519
*Equitex, Inc........................................ 1,300 9,506
*Equitrac Corp....................................... 16,000 269,000
*Equity Marketing, Inc............................... 30,300 304,894
*Equity Oil Co....................................... 109,700 130,269
*Ergo Science Corp................................... 72,700 94,283
Eskimo Pie Corp...................................... 28,600 319,069
*Espey Manufacturing & Electronics Corp.............. 21,000 271,687
*Ess Technology, Inc................................. 13,400 86,262
*Evans & Sutherland Computer Corp.................... 34,900 674,006
*Evans Systems, Inc.................................. 10,185 115,854
Evergreen Bancorp, Inc. DE........................... 44,800 1,318,800
*Evergreen Resources, Inc............................ 72,100 1,360,887
*Exabyte Corp........................................ 93,000 688,781
*Exactech, Inc....................................... 800 6,175
*Exar Corp........................................... 79,400 1,389,500
*#Excalibur Technologies Corp........................ 115,500 772,406
Excel Industries, Inc................................ 91,500 1,624,125
*Excel Technology, Inc............................... 55,522 553,485
*Executive Telecard, Ltd............................. 93,000 171,469
*Executone Information Systems, Inc.................. 195,200 362,950
*Exogen, Inc......................................... 53,000 178,875
*Expert Software, Inc................................ 65,100 87,478
*Exponent, Inc....................................... 73,000 444,844
Ezcorp, Inc. Class A Non-Voting...................... 72,000 546,750
F & M Bancorp (MD)................................... 21,483 723,037
FCB Financial Corp................................... 18,000 556,875
FCNB Corp............................................ 16,033 382,788
FDP Corp............................................. 84,300 911,494
*FEI Co.............................................. 77,700 645,881
FFLC Bancorp......................................... 14,233 233,955
FFY Financial Corp................................... 20,100 654,506
*FLIR Systems, Inc................................... 33,450 646,003
FNB Rochester Corp................................... 17,100 356,962
*FRP Properties, Inc................................. 31,700 776,650
FSF Financial Corp................................... 13,100 196,500
*FSI International, Inc.............................. 31,300 240,619
*FTI Consulting, Inc................................. 28,800 87,300
Fab Industries, Inc.................................. 30,700 608,244
*Factory Card Outlet Corp............................ 37,900 88,828
Falcon Products, Inc................................. 63,560 726,967
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Fansteel, Inc....................................... 73,951 $ 448,328
*Farm Family Holdings, Inc........................... 3,500 122,500
*Farr Co............................................. 75,962 792,853
Farrel Corp.......................................... 26,200 58,131
*#Faxsav, Inc........................................ 47,500 365,156
*Featherlite Manufacturing, Inc...................... 33,000 195,937
Fedders Corp......................................... 76,800 427,200
Fedders Corp. Class A................................ 13,112 66,379
Federal Screw Works.................................. 21,600 1,057,050
*#Female Health Co................................... 44,000 68,750
*Ferrofluidics Corp.................................. 37,800 111,037
*Fibermark, Inc...................................... 57,525 744,230
*Fiberstars, Inc..................................... 15,300 60,244
Fidelity Bancorp, Inc................................ 302 5,474
Fidelity Bancorp, Inc. Delaware...................... 13,700 320,666
Fidelity Federal Bancorp............................. 18,940 71,025
Fidelity Financial of Ohio, Inc...................... 5,600 73,675
*Filenes Basement Corp............................... 176,050 357,602
Financial Bancorp., Inc.............................. 15,000 575,625
*Finishmaster, Inc................................... 57,600 360,000
*Finlay Enterprises, Inc............................. 15,000 122,344
*Firearms Training Systems, Inc...................... 135,000 320,625
First Albany Companies, Inc.......................... 3,079 34,061
*First American Health Concepts, Inc................. 4,200 16,931
First Bancorp........................................ 400 11,550
*First Banks America, Inc............................ 4,879 86,907
First Bell Bancorp, Inc.............................. 22,600 351,712
*First Cash, Inc..................................... 37,200 417,337
First Charter Corp................................... 13,060 224,877
First Coastal Bankshares, Inc........................ 87,950 1,921,158
First Defiance Financial Corp........................ 59,492 883,084
First Essex Bancorp.................................. 37,800 692,212
First Federal Bancshares of Arkansas, Inc............ 11,100 234,487
First Federal Capital Corp........................... 149,700 2,446,659
First Federal Savings & Loan Association of East
Hartford, CT....................................... 24,100 661,244
First Financial Holdings, Inc........................ 84,400 1,624,700
First Indiana Corp................................... 110,940 2,142,529
*First Investors Financial Services Group, Inc....... 28,200 145,406
First Keystone Financial, Inc........................ 9,700 147,925
First Liberty Financial Corp......................... 74,550 1,614,473
*First Mariner Bank Corp............................. 6,400 91,200
First Merchants Corp................................. 38,925 1,092,333
First Midwest Financial, Inc......................... 12,100 210,994
First Mutual Bancorp, Inc............................ 16,100 286,781
First Mutual Savings Bank............................ 19,585 288,879
First Northern Capital Corp.......................... 41,000 538,125
First Oak Brook Bancshares, Inc. Class A............. 20,000 397,500
First Philson Financial Corp......................... 1,700 52,275
*First Republic Bank................................. 68,049 1,756,515
First Savings Bancorp, Inc. North Carolina........... 19,700 442,019
*First Sierra Financial, Inc......................... 5,800 51,475
*First Team Sports, Inc.............................. 42,650 63,309
*First Virtual Holdings, Inc......................... 19,400 90,937
First Washington Bancorp, Inc........................ 17,600 364,100
First Western Bancorp, Inc........................... 47,075 1,471,094
First Years, Inc..................................... 68,600 1,157,625
Firstbank Corp....................................... 2,000 32,000
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Firstmerit Corp...................................... 15,480 $ 405,866
*Firstplus Financial, Inc............................ 26,000 65,000
*Firstspartan Financial Corp......................... 700 21,875
*Firstwave Technologies, Inc......................... 35,700 136,106
*Fischer Imaging Corp................................ 51,900 128,128
Flag Financial Corp.................................. 23,600 258,862
Flamemaster Corp..................................... 247 1,104
*Flander Corp........................................ 212,600 857,044
*Flanigan's Enterprises, Inc......................... 10,300 106,862
Flexsteel Industries, Inc............................ 61,800 784,087
Florida Public Utilities Co.......................... 15,300 260,100
*Florsheim Group, Inc................................ 42,300 227,362
*Flow International Corp............................. 164,300 1,755,956
*Fluor Daniel/GTI, Inc............................... 4,008 32,815
Flushing Financial Corp.............................. 46,050 728,166
*Foilmark, Inc....................................... 20,500 39,078
Fonar Corp........................................... 8,280 15,137
*Foodarama Supermarkets, Inc......................... 22,000 709,500
*Foothill Independent Bancorp........................ 29,877 420,145
*Forcenergy, Inc..................................... 33,000 134,062
*Forte Software, Inc................................. 80,600 405,519
*Fortune Natural Resources Corp...................... 49,107 42,969
*Forward Air Corp., Inc.............................. 50,100 810,994
*Foster (L.B.) Co. Class A........................... 126,600 609,262
*Fountain Powerboat Industries, Inc.................. 23,200 112,375
*Four Kids Entertainment, Inc........................ 19,900 242,531
*Four Media Co....................................... 49,100 326,822
*Fourth Shift Corp................................... 52,000 222,625
Frankfort First Bancorp, Inc......................... 4,150 64,844
Franklin Bank National Associaton Southfield, MI..... 16,669 177,108
*Franklin Electronic Publishers, Inc................. 39,900 396,506
Freds, Inc. Class A.................................. 77,375 1,088,086
*#French Fragrances, Inc............................. 70,400 451,000
Frequency Electronics, Inc........................... 62,539 687,929
*Fresh America Corp.................................. 24,800 348,750
*Fresh Choice, Inc................................... 50,000 79,687
*Fresh Foods, Inc.................................... 2,375 19,891
*Friedman Billings Ramsey Group, Inc. Class A........ 87,000 522,000
Friedman Industries, Inc............................. 142,226 693,352
*Friedmans, Inc. Class A............................. 65,700 646,734
Frisch's Restaurants, Inc............................ 64,568 726,390
Frontier Adjusters of America, Inc................... 1,000 2,312
*Frontier Oil Corp................................... 209,300 1,177,312
Frozen Food Express Industries, Inc.................. 101,900 789,725
*#Fuisz Technologies, Ltd............................ 75,700 927,325
*Funco, Inc.......................................... 50,500 817,469
*Fusion Medical Technologies, Inc.................... 27,100 159,212
*G-III Apparel Group, Ltd............................ 44,770 82,545
GA Financial, Inc.................................... 15,700 249,237
*GP Strategies Corp.................................. 71,050 1,021,344
*GRC International, Inc.............................. 131,600 896,525
*GS Financial Corp................................... 3,300 42,900
*GTS Duratek, Inc.................................... 112,800 669,750
*GZA Geoenvironmental Technologies, Inc.............. 15,800 69,125
*Gadzooks, Inc....................................... 65,000 483,437
Gainsco, Inc......................................... 141,205 935,483
*Galey & Lord, Inc................................... 95,000 1,027,187
*Galileo Corp........................................ 69,300 236,053
*Gantos, Inc......................................... 27,300 24,741
</TABLE>
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Garan, Inc........................................... 33,600 $ 912,450
*Garden Fresh Restaurant Corp........................ 24,800 387,500
*Garden Ridge Corp................................... 39,000 302,250
*#Gardenburger, Inc.................................. 57,800 606,900
*Gart Sports Co...................................... 9,305 88,979
*Gasonics International, Inc......................... 112,000 871,500
*Gateway Industries, Inc............................. 11,120 20,989
*Gaylord Container Corp. Class A..................... 117,000 614,250
*#Geerling & Wade, Inc............................... 18,700 121,842
*Gehl Co............................................. 32,000 446,000
Gencor Industries, Inc............................... 41,700 463,912
*Gene Logic, Inc..................................... 22,336 93,532
*Genelabs Technologies, Inc.......................... 295,600 785,187
*Genemedicine, Inc................................... 153,300 426,366
General Chemical Group, Inc.......................... 93,800 1,594,600
*General Cigar Holdings, Inc. Class A................ 13,000 127,562
*General Communications, Inc. Class A................ 372,000 1,534,500
*#General Datacomm Industries, Inc................... 99,100 359,237
General Employment Enterprises, Inc.................. 22,543 140,894
General Housewares Corp.............................. 34,830 385,307
*#General Magic, Inc................................. 214,700 1,147,303
General Magnaplate Corp.............................. 8,400 39,900
*General Microwave Corp.............................. 8,600 154,800
*General Scanning, Inc............................... 58,900 339,595
*General Surgical Innovations, Inc................... 72,400 221,725
*Genesco, Inc........................................ 22,600 125,712
Genesee Corp. Class B................................ 200 4,962
*Genicom Corp........................................ 109,900 319,397
*Genlyte Group, Inc.................................. 69,700 1,330,834
*Genome Therapeutics Corp............................ 152,500 500,391
Genovese Drug Stores, Inc. Class A................... 21,084 636,473
*Gensia Sicor, Inc................................... 169,000 776,344
*Gensym Corp......................................... 39,500 119,117
*Genzyme Transgenics Corp............................ 85,300 495,806
*Geoscience Corp..................................... 25,000 265,625
*Geoworks............................................ 93,900 267,028
*#Geron Corp......................................... 52,500 587,344
*Getty Petroleum Marketing, Inc...................... 104,500 365,750
Getty Realty Corp. (Holding Co.)..................... 37,400 488,537
*Giant Cement Holding, Inc........................... 71,100 1,701,956
*Giant Group, Ltd.................................... 53,300 376,431
Giant Industries, Inc................................ 87,500 1,044,531
*Gibraltar Packaging Group, Inc...................... 33,500 24,078
*Gibraltar Steel Corp................................ 13,700 270,575
*Gibson Greetings, Inc............................... 6,300 69,497
*Giga-Tronics, Inc................................... 35,000 96,250
*Gish Biomedical, Inc................................ 74,750 233,594
Glacier Bancorp, Inc................................. 17,468 371,195
*Glacier Water Services, Inc......................... 30,600 761,175
Gleason Corp......................................... 217,700 4,163,512
*Gliatech, Inc....................................... 63,100 1,545,950
*Global Motorsport Group, Inc........................ 37,300 716,859
*Global Payment Technologies, Inc.................... 27,900 234,534
*Globe Business Resources, Inc....................... 23,200 274,775
*Go Video, Inc....................................... 89,400 257,025
Gold Banc Corp....................................... 3,100 51,537
*#Golden Books Family Entertainment, Inc............. 18,500 11,852
Golden Enterprises, Inc.............................. 53,900 303,187
*Good Guys, Inc...................................... 114,500 672,687
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Gorman-Rupp Co....................................... 43,200 $ 704,700
*Gottschalks, Inc.................................... 84,800 636,000
*Government Technology Services, Inc................. 44,200 211,331
*Gradall Industries, Inc............................. 32,400 435,375
*Gradco Systems, Inc................................. 154,986 469,801
*Graham Corp......................................... 13,450 107,600
*Graham-Field Health Products, Inc................... 308,650 964,531
Grand Premier Financial, Inc......................... 1,595 20,386
Granite State Bankshares, Inc........................ 28,500 580,687
Gray Communications Systems, Inc..................... 24,000 427,500
Great Southern Bancorp, Inc.......................... 19,100 470,337
*Great Train Store Co., Inc.......................... 19,800 34,650
Greater Bay Bancorp.................................. 8,658 295,995
*Green Mountain Coffee, Inc.......................... 10,800 63,112
Green Mountain Power Corp............................ 39,100 474,087
*Green Star Financial Corp........................... 4,100 55,991
*Greenbriar Corp..................................... 34,300 124,337
Greenbrier Companies, Inc............................ 111,000 1,554,000
*Greyhound Lines, Inc................................ 110,400 662,400
*Gristede's Sloans, Inc.............................. 33,339 75,013
*Group 1 Software, Inc............................... 66,410 585,238
*Grow Biz International, Inc......................... 55,800 652,162
*Grubb & Ellis Co.................................... 90,152 760,657
*Gryphon Holdings, Inc............................... 54,000 999,000
Guarantee Life Companies, Inc........................ 23,000 429,812
*Guess, Inc.......................................... 318,000 1,192,500
*Guest Supply, Inc................................... 107,100 1,117,856
*Gulf Island Fabrication, Inc........................ 50,000 387,500
*Gulfmark Offshore, Inc.............................. 51,600 836,887
*#Gumtech International, Inc......................... 26,800 184,250
*Gundle/SLT Environmental, Inc....................... 149,600 561,000
*Gymboree Corp....................................... 26,100 172,912
*HCIA, Inc........................................... 60,400 291,619
*#HD Vest, Inc....................................... 10,500 77,437
*HEI, Inc............................................ 19,300 100,119
HF Financial Corp.................................... 20,100 292,706
*HMI Industries, Inc................................. 84,200 138,141
HMN Financial, Inc................................... 29,400 400,575
*HORIZON Pharmacies, Inc............................. 10,400 100,100
*HPSC, Inc........................................... 74,800 687,225
*HS Resources, Inc................................... 59,428 516,281
Hach Co.............................................. 6,900 73,312
Hach Co. Class A..................................... 300 3,112
Haggar Corp.......................................... 54,500 691,469
*Hagler Bailly, Inc.................................. 21,000 380,625
*Hahn Automotive Warehouse, Inc...................... 36,341 113,566
*Hain Food Group, Inc................................ 59,100 1,211,550
Halifax Corp......................................... 8,450 61,262
*Hall Kinion Associates, Inc......................... 4,200 31,434
*Hallmark Capital Corp............................... 10,800 138,375
*Hallwood Group, Inc................................. 969 19,683
*#Halsey Drug Co., Inc............................... 133,422 158,439
*Hammons (John Q.) Hotels, Inc. Class A.............. 55,700 240,206
*Hampshire Group, Ltd................................ 4,900 59,106
*Hampton Industries, Inc............................. 43,384 287,419
Hancock Fabrics, Inc................................. 175,100 1,477,406
*Handleman Co........................................ 182,000 2,184,000
*Hanger Orthopedic Group, Inc........................ 6,200 148,800
Harbor Federal Bancorp, Inc.......................... 110 2,351
</TABLE>
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*Harding Lawson Associates Group, Inc................ 41,700 $ 286,687
Hardinge Brothers, Inc............................... 25,800 491,006
Harleysville National Corp PA........................ 2,215 82,232
Harmon Industries, Inc............................... 81,450 1,995,525
*Harmonic Lightwaves, Inc............................ 98,700 1,239,919
*Harolds Stores, Inc................................. 40,937 296,793
Harris & Harris Group, Inc........................... 31,600 42,462
*Harry's Farmers Market, Inc. Class A................ 20,200 34,719
*Hartmarx Corp....................................... 162,500 954,687
*Harvey Entertainment Co............................. 30,000 241,875
Harvey's Casino Resorts.............................. 68,900 1,843,075
Haskel International, Inc............................ 22,700 256,794
Hastings Manufacturing Co............................ 13,700 250,025
*Hathaway Corp....................................... 34,580 37,282
*Hauser, Inc......................................... 53,900 244,234
Haven Bancorp, Inc................................... 48,000 799,500
Haverty Furniture Co., Inc........................... 74,200 1,446,900
Haverty Furniture Co., Inc. Class A.................. 13,550 264,225
*#Hawaiian Airlines, Inc............................. 102,400 320,000
Hawkins Chemical, Inc................................ 45,484 477,582
*Hawthorne Financial Corp............................ 14,100 232,650
*#Hayes Corp......................................... 29,677 3,858
*Health Management Systems, Inc...................... 87,100 598,812
*Health Power, Inc................................... 13,700 48,806
*Health Risk Management, Inc......................... 34,700 374,109
*Health Systems Design Corp.......................... 55,800 285,975
*Healthcare Recoveries, Inc.......................... 105,000 1,719,375
*Healthcare Services Group, Inc...................... 118,200 1,085,962
*Healthcor Holdings.................................. 30,000 7,969
*Healthdyne Information Enterprises, Inc............. 49,800 147,844
Healthplan Services Corp............................. 72,900 729,000
*Heartport, Inc...................................... 77,000 543,812
*Hector Communications Corp.......................... 21,300 173,062
Heico Corp........................................... 126,498 3,091,295
Heico Corp. Class A.................................. 72,649 1,452,980
*Heist (C.H.) Corp................................... 10,600 68,900
*Hello Direct, Inc................................... 43,500 356,156
*Hemasure, Inc....................................... 56,400 149,812
*Herley Industries, Inc.............................. 15,333 166,267
*Heska Corp.......................................... 70,000 415,625
*Hf Bancorp, Inc..................................... 29,850 476,667
*Hi-Shear Technology Corp............................ 27,100 135,500
*Hi-Tech Pharmacal, Inc.............................. 37,500 182,812
*#Hibbett Sporting Goods, Inc........................ 21,700 679,481
*High Plains Corp.................................... 137,576 253,656
*Highlands Insurance Group, Inc...................... 63,700 812,175
*#Highway Master Communications, Inc................. 222,700 347,969
Hilb Rogal Hamilton Co............................... 75,835 1,436,125
Hilite Industries, Inc............................... 11,200 100,100
Hingham Institution for Savings MA................... 2,850 47,737
*Hirsch International Corp. Class A.................. 53,900 178,544
*Hoenig Group, Inc................................... 35,800 277,450
*Holiday RV Superstores, Inc......................... 9,600 20,100
Holly Corp........................................... 46,100 749,125
*Hollywood Casino Corp. Class A...................... 213,400 290,091
*Hologic, Inc........................................ 53,000 680,719
*Holopak Technologies, Inc........................... 32,000 98,000
*Holophane Corp...................................... 3,000 68,625
Home Bancorp......................................... 4,800 133,200
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Home Choice Holdings, Inc........................... 16,100 $ 255,587
Home Federal Bancorp................................. 33,300 882,450
Home Port Bancorp, Inc............................... 4,500 101,812
*Home Products International, Inc.................... 32,700 296,344
*#Homegold Financial, Inc............................ 32,600 30,053
*Hondo Oil and Gas Co................................ 56,900 1,991
Hooper Holmes, Inc................................... 110,600 2,585,275
Horizon Financial Corp............................... 37,503 508,634
*Hospitality Worldwide Services, Inc................. 61,800 270,375
*Hot Topic, Inc...................................... 24,200 530,887
*Hovnanian Enterprises, Inc. Class A................. 109,800 892,125
Howell Corp.......................................... 108,200 392,225
*Howtek, Inc......................................... 37,500 38,672
*Hub Group, Inc. Class A............................. 55,700 1,047,856
Hudson General Corp.................................. 25,300 1,461,075
*Hudson Hotels Corp.................................. 9,500 19,297
*Hudson Technologies, Inc............................ 25,300 64,041
Huffy Corp........................................... 105,800 1,534,100
Hunt Corp............................................ 70,100 959,494
Huntco, Inc. Class A................................. 41,200 211,150
*Hurco Companies, Inc................................ 47,600 294,525
*Hvide Marine, Inc. Class A.......................... 52,300 313,800
*Hycor Biomedical, Inc............................... 69,316 86,645
*Hyseq, Inc.......................................... 65,900 315,084
*I-Stat Corp......................................... 69,900 482,747
*ICC Technologies, Inc............................... 79,600 300,987
*ICF Kaiser International, Inc....................... 199,000 335,812
*ICT Group, Inc...................................... 17,800 43,944
*ICU Medical, Inc.................................... 75,550 1,400,036
*IDT Corp............................................ 125,000 2,425,781
*IEC Electronics Corp................................ 59,800 358,800
IFR Systems, Inc..................................... 95,102 546,836
*IGI, Inc............................................ 67,300 126,187
*II-VI, Inc.......................................... 59,600 484,250
*IMC Mortgage Co..................................... 85,000 53,125
IMCO Recycling, Inc.................................. 96,200 1,436,987
ISB Financial Corp. LA............................... 30,500 776,797
*ISOCOR.............................................. 5,200 9,587
*ITC Learning Corp................................... 26,300 82,598
*ITEQ, Inc........................................... 182,255 438,551
*ITI Technologies, Inc............................... 70,100 1,859,841
*ITLA Capital Corp................................... 37,200 655,650
*IVI Checkmate Corp.................................. 46,703 267,083
*Ibis Technology Corp................................ 33,800 329,550
Ico, Inc............................................. 171,518 436,835
*Identix, Inc........................................ 107,900 1,079,000
*Ikos Systems, Inc................................... 52,150 171,117
*Image Entertainment, Inc............................ 110,700 577,716
*Imatron, Inc........................................ 266,900 437,883
*Imclone Systems, Inc................................ 144,000 1,521,000
*Immucor, Inc........................................ 55,500 492,562
*Immulogic Pharmaceutical Corp....................... 143,900 220,347
*Immune Response Corp. DE............................ 153,400 2,003,787
*Immunogen, Inc...................................... 66,100 175,578
*Immunomedics, Inc................................... 168,300 502,270
*Impath, Inc......................................... 26,600 1,016,619
*Impco Technologies, Inc............................. 32,400 453,600
Imperial Holly Corp.................................. 103,300 890,962
*In Focus Systems, Inc............................... 120,000 1,005,000
Independence Holding Co.............................. 11,119 148,717
Independent Bank Corp. MA............................ 131,800 2,092,325
Independent Bank East................................ 30,890 667,996
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
Independent Bankshares, Inc.......................... 982 $ 11,477
*Individual Investor Group, Inc...................... 8,100 22,528
Industrial Bancorp, Inc.............................. 12,800 251,200
*Industrial Data Systems Corp........................ 11,500 83,375
*Industrial Distribution Group, Inc.................. 60,000 416,250
*Industrial Holdings, Inc............................ 43,200 429,300
Industrial Scientific Corp........................... 10,000 246,250
*Inference Corp. Class A............................. 60,000 468,750
*Infinium Software, Inc.............................. 113,600 727,750
*Infocure Corp....................................... 7,000 140,875
*Infonautics Corp. Class A........................... 47,600 273,700
*Information Advantage, Inc.......................... 47,040 374,850
*Information Resource Engineering, Inc............... 27,900 234,098
*Information Storage Devices, Inc.................... 85,900 625,459
*Infu-tech, Inc...................................... 14,600 48,134
Ingles Market, Inc. Class A.......................... 500 6,031
*Innerdyne, Inc...................................... 153,800 209,072
*Innodata Corp....................................... 2,783 16,872
*Innoserv Technologies, Inc. (Escrow Shares)......... 13,640 0
*Innovative Gaming Corp. of America.................. 34,050 45,223
Innovex, Inc......................................... 16,500 260,391
*Input Software, Inc................................. 56,300 387,062
*#Insite Vision, Inc................................. 95,300 136,994
*Insituform East, Inc................................ 20,200 29,669
*Insituform Technologies, Inc. Class A............... 119,455 1,560,381
*Inso Corp........................................... 70,000 1,883,437
Insteel Industries, Inc.............................. 61,644 346,747
Instron Corp......................................... 118,200 1,551,375
*Insurance Auto Auctions, Inc........................ 62,000 705,250
*Integra Lifesciences Corp........................... 27,150 124,720
*Integra, Inc........................................ 41,400 82,800
*Integrated Circuit Systems, Inc..................... 50,100 717,056
*Integrated Measurement System, Inc.................. 54,700 584,606
*Integrated Orthopedics, Inc......................... 45,000 143,437
*Integrated Process Equipment Corp................... 29,800 311,969
*Integrated Silicon Solution, Inc.................... 99,000 324,844
*Integrated Systems Consulting Group, Inc............ 28,200 498,787
*Intellicall, Inc.................................... 80,807 141,412
*Intellicorp, Inc.................................... 6,900 13,261
*Intellidata Technologies Corp....................... 22,900 26,836
*Intelligent Medical Imaging, Inc.................... 13,100 9,620
*Intelligent Systems Corp............................ 21,300 41,269
*#Intelligroup, Inc.................................. 29,200 468,112
*Intensiva Healthcare Corp........................... 40,300 379,072
Intercargo Corp...................................... 38,300 404,544
Interchange Financial Services Corp. Saddle Brook.... 33,180 555,765
*Interdigital Communications Corp.................... 34,000 161,500
*Interface Systems, Inc.............................. 30,500 130,578
*Interferon Sciences, Inc............................ 68,400 53,437
*Interlake Corp...................................... 199,800 686,812
*Interlink Computer Sciences, Inc.................... 38,000 149,625
*Interlink Electronics............................... 44,600 107,319
*Interlinq Software Corp............................. 35,000 258,125
*Interlott Technologies, Inc......................... 16,400 120,950
*Intermagnetics General Corp......................... 165,361 1,064,511
International Aluminum Corp.......................... 7,300 217,175
*International Computex, Inc......................... 7,300 34,675
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*International Manufacturing Services, Inc........... 16,500 $ 127,359
*International Microcomputer Software, Inc........... 25,400 210,344
*International Remote Imaging Systems, Inc........... 35,350 33,141
International Shipholding Corp....................... 53,950 842,969
*International Technology Corp....................... 186,059 1,895,476
*International Thoroughbred Breeders, Inc............ 56,650 11,330
*International Total Services, Inc................... 18,100 84,844
*#Interneuron Pharmaceuticals, Inc................... 33,500 103,641
*Interphase Corp..................................... 34,300 277,616
*Interpore International............................. 64,500 342,656
Interstate Johnson Lane, Inc......................... 28,350 877,078
*Interstate National Dealers Services, Inc........... 21,300 186,375
*Intersystems, Inc................................... 52,700 55,994
*Intertan, Inc....................................... 98,900 661,394
*Intervisual Books, Inc. Class A..................... 2,500 3,359
*Intervoice, Inc..................................... 69,000 1,774,594
*Intevac, Inc........................................ 61,200 489,600
Investors Title Co................................... 24,000 540,000
*#Invision Technologies, Inc......................... 61,300 400,366
*Invivo Corp......................................... 18,800 279,650
*Iridex Corp......................................... 33,300 133,200
Iroquois Bancorp..................................... 400 7,775
*Irwin Naturals/4Health, Inc......................... 116,500 713,562
Isco, Inc............................................ 101,341 519,373
*Isle of Capri Casinos, Inc.......................... 200,500 648,492
*Isolyser Co., Inc................................... 301,025 428,020
*#Itron, Inc......................................... 39,500 262,922
*Iwerks Entertainment, Inc........................... 100,924 115,116
*J & J Snack Foods Corp.............................. 45,100 921,731
J & L Specialty Steel, Inc........................... 8,500 53,125
*J. Alexander's Corp................................. 120,200 428,212
*#JMAR Industries, Inc............................... 90,500 233,320
*JPM Co.............................................. 54,900 698,259
*JWGenesis Financial Corp............................ 20,400 149,175
*Jackpot Enterprises, Inc............................ 51,875 502,539
Jacksonville Bancorp, Inc............................ 11,800 196,544
*Jaclyn, Inc......................................... 23,227 87,827
*Jaco Electronics, Inc............................... 19,673 90,373
*Jacobson Stores, Inc................................ 49,700 414,684
*Jakks Pacific, Inc.................................. 30,300 287,850
*Jan Bell Marketing, Inc............................. 224,900 1,040,162
*Jason, Inc.......................................... 98,100 797,062
*Jean Philippe Fragrances, Inc....................... 69,000 418,312
Jeffbanks, Inc....................................... 22,645 512,343
Jefferson Savings Bancorp, Inc....................... 80,000 1,130,000
*Jenna Lane, Inc..................................... 2,500 5,703
*Jennifer Convertibles, Inc.......................... 41,000 80,360
*Jetfax, Inc......................................... 75,000 133,594
*Johnson Worldwide Associates, Inc. Class A.......... 64,000 606,000
*Johnston Industries, Inc............................ 197,813 778,889
*Johnstown American Industries, Inc.................. 86,700 1,324,884
*Jos. A. Bank Clothiers, Inc......................... 57,900 421,584
*Joule, Inc.......................................... 42,100 118,406
*Jps Packaging Company............................... 19,250 75,797
*Just Toys, Inc...................................... 14,150 8,844
*K & G Men's Center, Inc............................. 64,000 604,000
</TABLE>
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K Swiss, Inc. Class A................................ 31,200 $ 881,400
*K-Tel International, Inc............................ 32,800 477,650
*K-Tron International, Inc........................... 63,400 1,212,525
K2, Inc.............................................. 10,000 113,750
*KBK Capital Corp.................................... 30,000 258,750
KCS Energy, Inc...................................... 104,400 417,600
*#KFX, Inc........................................... 73,700 128,975
*KLLM Transport Services, Inc........................ 37,400 317,900
*KTI, Inc............................................ 38,519 812,510
*KVH Industries, Inc................................. 20,200 30,931
*Kaiser Ventures, Inc................................ 78,900 759,412
*Kaneb Services, Inc................................. 182,200 831,287
*Karrington Health, Inc.............................. 36,600 458,644
Katy Industries, Inc................................. 49,300 967,512
*Katz Digital Technologies, Inc...................... 35,300 304,462
Kaye Group, Inc...................................... 42,000 288,750
Keithley Instruments, Inc............................ 17,600 123,200
*Kelley Oil & Gas Corp............................... 81,200 77,394
Kenan Transport Co................................... 200 6,700
*Kensey Nash Corp.................................... 52,400 468,325
*Kent Financial Services, Inc........................ 28,556 108,870
Kentek Information Systems, Inc...................... 8,500 54,719
*Kentucky Electric Steel, Inc........................ 15,700 52,006
Kentucky First Bancorp, Inc.......................... 4,000 54,000
*#Keravision, Inc.................................... 50,800 627,062
*Kevco, Inc.......................................... 9,700 82,450
Kewaunee Scientific Corp............................. 20,400 221,850
*Key Energy Group, Inc............................... 31,758 198,487
*Key Production Co., Inc............................. 58,661 454,623
*Key Technology, Inc................................. 27,000 172,125
*Key Tronic Corp..................................... 129,100 580,950
*Keystone Automotive Industries, Inc................. 30,360 583,481
*Keystone Consolidated Industries, Inc............... 88,600 614,662
*Kimmins Corp........................................ 22,633 59,412
*Kinark Corp......................................... 52,800 135,300
*Kinnard Investment, Inc............................. 31,600 146,150
*Kit Manufacturing Co................................ 12,000 63,000
*Kitty Hawk, Inc..................................... 13,400 140,281
Klamath First Bancorp, Inc........................... 53,800 958,312
Knape & Vogt Manufacturing Co........................ 54,599 1,030,556
*Knight Transportation, Inc.......................... 24,000 465,000
*Koala Corp.......................................... 11,300 186,450
Kollmorgen Corp...................................... 48,100 913,900
*Komag, Inc.......................................... 97,000 700,219
*Koo Koo Roo Enterprises, Inc........................ 216,111 151,953
*Kopin Corp.......................................... 85,900 1,237,497
*Koss Corp........................................... 52,000 591,500
*Krauses Furniture, Inc.............................. 2,933 4,033
*Kronos, Inc......................................... 30,500 1,311,500
*Krug International Corp............................. 33,465 69,022
*LBP, Inc............................................ 27,800 83,400
*LCC International, Inc. Class A..................... 23,000 90,562
LCS Industries, Inc.................................. 41,760 550,710
*LLEX Oncology, Inc.................................. 60,600 848,400
*LLX Resorts, Inc.................................... 13,400 40,200
LSB Bancshares, Inc. NC.............................. 23,890 459,883
LSB Industries, Inc.................................. 109,200 375,375
LSI Industries, Inc.................................. 143,403 3,065,239
*LTX Corp............................................ 132,000 433,125
*LXR Biotechnology, Inc.............................. 68,300 64,031
*La Jolla Pharmceutical Co........................... 145,900 474,175
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*LaBarge, Inc........................................ 221,650 $ 775,775
LaCrosse Footwear, Inc............................... 13,300 128,012
Lab Holdings, Inc.................................... 1,800 29,812
Labone, Inc.......................................... 20,500 294,047
*Laclede Steel Co.................................... 25,450 7,953
*Ladd Furniture, Inc................................. 47,533 843,711
*Lakeland Industries, Inc............................ 22,500 171,562
Lakeview Financial Corp.............................. 19,600 429,975
*Lamalie Associates, Inc............................. 9,400 54,931
*Lamson & Sessions Co................................ 143,800 808,875
*Lancer Corp......................................... 99,225 998,452
*Landair Corp........................................ 50,100 247,369
Landauer, Inc........................................ 76,800 2,188,800
*Landec Corp......................................... 63,700 262,762
*Lanvision Systems, Inc.............................. 61,600 66,412
*Larscom, Inc........................................ 27,000 58,219
*Laser Vision Centers, Inc........................... 48,400 854,562
*LaserSight Corporation.............................. 66,100 360,452
*Lawrence Savings Bank MA............................ 7,700 98,656
Lawson Products, Inc................................. 4,900 112,394
*Layne Christensen Co................................ 86,800 911,400
*Lazare Kaplan International, Inc.................... 72,800 564,200
*Leap Group, Inc..................................... 35,700 155,072
Learonal, Inc........................................ 37,000 837,125
*#Leasing Solutions, Inc............................. 68,100 268,144
*Lechters, Inc....................................... 128,400 387,206
*Lecroy Corp......................................... 37,800 644,963
*Lectec Corp......................................... 19,180 64,733
Lesco, Inc........................................... 87,100 1,317,388
*Level 8 Systems, Inc................................ 55,400 406,844
Lexford Residential Trust............................ 21,000 409,500
*Lexington Global Asset Managers, Inc................ 18,700 89,994
Liberty Homes, Inc. Class A.......................... 200 2,388
*Life Medical Sciences, Inc.......................... 70,100 35,050
*Life Quest Medical, Inc............................. 8,100 15,694
*Lifecore Biomedical, Inc............................ 61,900 491,331
*Lifeline Systems, Inc............................... 29,100 752,963
Lifetime Hoan Corp................................... 85,302 935,656
*Lightbridge, Inc.................................... 85,500 374,063
Lillian Vernon Corp.................................. 50,100 767,156
*Lindal Cedar Homes, Inc............................. 40,777 81,554
Lindberg Corp........................................ 53,200 706,563
Lindsay Manufacturer Co.............................. 36,500 547,500
*Lion Brewery, Inc................................... 12,000 53,625
*Liposome Co., Inc................................... 75,700 684,848
Liqui Box Corp....................................... 13,400 634,825
Litchfield Financial Corp............................ 32,703 586,610
*Lithia Motors, Inc. Class A......................... 2,900 49,934
*#Littlefield, Adams & Co............................ 16,577 75,115
*Lodgenet Entertainment Corp......................... 93,600 652,275
*Loehmanns, Inc...................................... 75,000 203,906
*#Logans Roadhouse, Inc.............................. 61,000 1,273,375
*Logic Devices, Inc.................................. 49,300 77,031
*Logility, Inc....................................... 58,000 282,750
*Lojack Corp......................................... 45,500 423,719
*Loronix Information Systems, Inc.................... 20,000 42,188
Lufkin Industries, Inc............................... 32,900 647,719
*Lumen Technologies, Inc............................. 177,799 1,344,605
*Lumisy, Inc......................................... 47,700 201,234
*Lunar Corp.......................................... 83,100 882,938
*Lund International Holdings, Inc.................... 15,800 109,613
</TABLE>
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*Lydall, Inc. DE..................................... 120,000 $ 1,522,500
*Lynch Corp.......................................... 29,600 2,323,600
*M.H. Meyerson & Co., Inc............................ 25,150 33,795
M/A/R/C, Inc......................................... 32,757 426,865
*MAI Systems Corp.................................... 54,207 176,173
MDC Holdings, Inc.................................... 34,100 626,588
MFB Corp............................................. 7,000 148,750
*MFRI, Inc........................................... 22,900 128,813
*MGI Pharma, Inc..................................... 146,200 1,434,588
*MHM Services, Inc................................... 75 61
MI Schottenstein Homes, Inc.......................... 45,600 994,650
*MIM Corp............................................ 53,900 254,341
*#MRV Communications, Inc............................ 48,000 316,500
*MS Carriers, Inc.................................... 42,600 1,054,350
MTS Systems Corp..................................... 54,800 705,550
*MVSI, Inc........................................... 63,400 105,006
MYR Group, Inc....................................... 65,333 734,996
*Mackie Designs, Inc................................. 66,100 451,339
*MacNeal-Schwendler Corp............................. 124,600 685,300
*Madden (Steven), Ltd................................ 80,300 531,988
*Magainin Pharmaceuticals, Inc....................... 215,000 732,344
*#Magnum Hunter Resources, Inc....................... 182,500 661,563
*Main Street & Main, Inc............................. 35,375 126,576
Maine Public Service Co.............................. 32,700 515,025
*#Malibu Entertainment Worldwide, Inc................ 5,200 7,800
*Mallon Resources Corp............................... 22,675 181,400
*Managed Care Solutions, Inc......................... 20,133 88,082
*Manatron, Inc....................................... 115 489
*Manchester Equipment Co., Inc....................... 21,600 56,700
*Mapics, Inc......................................... 75,200 1,438,200
*Mapinfo Corp........................................ 46,000 635,375
*Marcam Solutions, Inc............................... 34,550 231,053
*Marisa Christina, Inc............................... 72,200 92,506
Maritrans, Inc....................................... 68,000 450,500
*Mark VII, Inc....................................... 95,600 1,667,025
*Market Facts, Inc................................... 4,000 98,625
*Marlton Technologies, Inc........................... 62,300 295,925
Marsh Supermarkets, Inc. Class A..................... 17,700 282,094
Marsh Supermarkets, Inc. Class B..................... 23,400 330,525
*#Martek Biosciences Corp............................ 73,800 590,400
*Marten Transport, Ltd............................... 52,800 686,400
Mason Dixon Bancshares, Inc.......................... 8,400 249,900
Massbank Corp. Reading, MA........................... 14,800 582,750
Matec Corp........................................... 23,800 92,225
*Material Sciences Corp.............................. 135,167 1,216,503
*Mathsoft, Inc....................................... 40,100 114,034
*Matlack Systems, Inc................................ 75,650 586,288
*Matria Healthcare, Inc.............................. 265,700 506,491
*Matritech, Inc...................................... 192,300 414,647
*Matrix Pharmaceutical, Inc.......................... 154,100 505,641
*Matrix Service Co................................... 83,600 410,163
Matthews International Corp. Class A................. 4,100 121,206
*Matthews Studio Equipment Group..................... 50,600 135,988
*Mattson Technology, Inc............................. 125,000 851,563
*Maverick Tube Corp.................................. 59,400 339,694
*Max & Ermas Restaurants, Inc........................ 19,257 149,242
*Maxco, Inc.......................................... 18,000 135,000
*Maxicare Health Plans, Inc.......................... 67,700 395,622
*Maxim Group, Inc.................................... 86,700 1,696,069
*#Maxim Pharmaceuticals, Inc......................... 24,000 363,000
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Maxwell Shoe Company, Inc........................... 66,000 $ 792,000
*Maxwell Technologies, Inc........................... 58,492 1,553,694
Mayflower Co-Operative Bank Middleboro............... 200 4,600
*Maynard Oil Co...................................... 103,200 1,006,200
*Mays (J.W.), Inc.................................... 2,100 16,833
*Mazel Stores, Inc................................... 31,100 371,256
*McClain Industries, Inc............................. 91,066 424,026
McGrath Rent Corp.................................... 52,800 1,065,900
*McMoran Exploration Co.............................. 29,100 465,600
*McWhorter Technologies, Inc......................... 16,700 394,538
*Meade Instruments Corp.............................. 14,000 151,375
*Meadow Valley Corp.................................. 10,000 49,375
Meadowbrook Insurance Group, Inc..................... 43,700 691,006
*Measurement Specialties, Inc........................ 14,550 58,200
*Mechanical Dynamics, Inc............................ 20,800 144,300
*Mecon, Inc.......................................... 66,200 508,913
Medalliance, Inc. Escrow............................. 25,000 0
*Medar, Inc.......................................... 105,500 136,820
*Medarex, Inc........................................ 214,800 879,338
*Medco Research, Inc................................. 63,300 1,281,825
Medford Bancorp, Inc................................. 75,800 1,392,825
*Media 100, Inc...................................... 82,600 351,050
*Media Arts Group, Inc............................... 61,400 901,813
*#Media Logic, Inc................................... 21,800 6,813
*Medialink Worldwide, Inc............................ 3,400 73,950
*Medical Action Industries, Inc...................... 39,600 111,994
*Medical Alliance, Inc............................... 53,800 119,369
*Medical Graphics Corp............................... 19,050 17,264
*#Medical Resources, Inc............................. 31,675 72,259
*Medicalcontrol, Inc................................. 16,700 127,859
*Medicore, Inc....................................... 47,500 68,281
*Medirisk, Inc....................................... 6,900 32,452
*#Medplus, Inc....................................... 50,700 117,244
*Medstone International, Inc......................... 43,700 333,213
*Megabios Corp....................................... 8,300 49,281
*Melita International Corp........................... 69,500 1,044,672
Merchants Bancorp, Inc............................... 20,000 587,500
Merchants Bancshares, Inc............................ 19,100 494,213
Merchants Group, Inc................................. 11,800 252,225
*#Mercury Air Group, Inc............................. 43,865 282,381
*Meridian Data, Inc.................................. 70,600 161,056
Meridian Diagnostics, Inc............................ 129,454 752,451
Meridian Insurance Group, Inc........................ 20,700 359,663
*Meridian Medical Technology, Inc.................... 18,000 137,813
*Meridian Resource Corp.............................. 433,272 1,678,929
*Merisel, Inc........................................ 240,800 696,063
*Merit Medical Systems, Inc.......................... 37,750 207,625
*Merix Corp.......................................... 48,000 238,500
*Merrimac Industries, Inc............................ 13,565 91,564
*Mesa Air Group, Inc................................. 243,500 1,940,391
*Mesa Labs, Inc...................................... 24,800 103,850
*Mesaba Holdings, Inc................................ 154,050 2,907,694
*Mestek, Inc......................................... 118,750 2,285,938
*Metacreations Corp.................................. 98,700 795,769
*Metal Management, Inc............................... 58,606 181,312
*Metatec Corp. Class A............................... 65,100 378,394
*Met-Coil Systems Corp............................... 27,500 110,000
Met-Pro Corp......................................... 151,665 2,066,436
*Metra Biosystems, Inc............................... 72,100 72,100
*#Metricom, Inc...................................... 83,000 593,969
*Metrika System Corp................................. 24,000 207,000
</TABLE>
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*Metro One Telecommunications, Inc................... 39,800 $ 448,994
*Metrocall, Inc...................................... 206,763 917,511
*Metrologic Instruments, Inc......................... 57,300 780,713
*Metrotrans Corp..................................... 7,000 37,625
Metrowest Bank MA.................................... 72,700 492,997
*Michael Anthony Jewelers, Inc....................... 74,300 222,900
*Micrion Corp........................................ 20,300 140,197
*Micro Focus Group P.L.C............................. 15,760 169,913
*Micro Linear Corp................................... 98,000 471,625
*Microage, Inc....................................... 87,600 1,538,475
*Microcide Pharmaceuticals, Inc...................... 48,300 250,556
*Microdyne Corp...................................... 72,400 257,925
*Micrografx, Inc..................................... 89,800 881,163
*Micros to Mainframes, Inc........................... 15,100 33,031
*Microsemi Corp...................................... 135,875 1,647,484
*Microtest, Inc...................................... 64,200 174,544
*Micro-Therapeutics, Inc............................. 22,800 171,000
*Microtouch Systems, Inc............................. 71,200 961,200
*Microware Systems Corp.............................. 56,300 146,028
*Microwave Power Dynamics, Inc....................... 85,500 529,031
Mid America Banccorp................................. 32,964 848,826
Midcoast Energy Resources, Inc....................... 3,500 72,625
*Middleby Corp....................................... 93,600 368,550
Middlesex Water Co................................... 19,800 491,288
Midland Co........................................... 44,100 1,096,988
*Midwest Grain Products, Inc......................... 41,700 568,163
Mikasa, Inc.......................................... 6,100 66,338
*Mikohn Gaming Corp.................................. 69,150 280,922
*#Milestone Scientific, Inc.......................... 23,900 26,888
*Miller Building Systems, Inc........................ 72,800 593,775
*Miltope Group, Inc.................................. 50,500 59,969
Minntech Corp........................................ 31,230 387,453
Minuteman International, Inc......................... 15,400 167,475
*Mitcham Industries, Inc............................. 47,900 284,406
*Mity-Lite, Inc...................................... 28,100 437,306
Mobile America Corp.................................. 31,300 158,456
*Mobile Mini, Inc.................................... 39,400 355,831
*#Modacad, Inc....................................... 26,500 521,719
Modern Controls, Inc................................. 84,975 463,379
*Modtech, Inc........................................ 87,500 1,678,906
*Molecular Biosystems, Inc........................... 160,700 542,363
*Molecular Devices Corp.............................. 41,100 734,663
*Monaco Coach Corp................................... 39,000 1,204,125
*Monarch Casino and Resort, Inc...................... 82,100 446,419
*Monarch Dental Corp................................. 22,300 250,875
Monarch Machine Tool Co.............................. 39,761 283,297
*Monro Muffler Brake, Inc............................ 41,583 330,065
Monterey Bay Bancorp, Inc............................ 19,925 285,177
*#Monterey Pasta Co.................................. 32,400 47,588
*Moog, Inc. Class A.................................. 6,050 175,450
*Moore Handley, Inc.................................. 1,500 3,000
*Moore Medical Corp.................................. 25,100 360,813
Moore Products Co.................................... 21,900 517,388
*Morgan Products, Ltd................................ 84,000 199,500
Morrison Health Care, Inc............................ 2,000 36,500
*Morrow Snowboards, Inc.............................. 12,000 12,188
*Morton Industrial Group, Inc. Class A............... 22,645 315,615
*Morton's Restaurant Group, Inc...................... 54,900 1,091,138
*Mosaix, Inc......................................... 99,800 770,331
*#Mossimo, Inc....................................... 149,750 449,250
*Mother's Work, Inc.................................. 33,500 393,625
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Motor Car Parts & Accessories, Inc.................. 40,500 $ 544,219
*Motor Club of America............................... 20,500 292,125
Movado Group, Inc.................................... 65,575 1,299,205
*Movie Gallery, Inc.................................. 110,000 556,875
*Moviefone, Inc. Class A............................. 29,100 358,294
Mueller (Paul) Co.................................... 26,700 1,062,994
*Multi Color Corp.................................... 9,600 72,600
*Multigraphics, Inc.................................. 3,400 14,025
*Multiple Zones International, Inc................... 115,500 1,544,813
*Mutual Savings Bank FSB Bay
City, MI........................................... 20,600 171,238
*Mylex Corp.......................................... 95,300 792,181
*Myriad Genetics, Inc................................ 35,700 394,931
*Mysoftware Co....................................... 16,500 178,922
*N & F Worldwide Corp................................ 88,100 836,950
*NABI, Inc........................................... 297,686 809,334
*NAI Technologies, Inc............................... 82,813 142,335
NBT Bancorp.......................................... 54,117 1,349,543
*NFO Worldwide, Inc.................................. 15,000 189,375
NN Ball & Roller, Inc................................ 143,300 886,669
*NPC International, Inc.............................. 8,400 94,500
*NPS Pharmaceuticals, Inc............................ 76,800 542,400
*NS Group, Inc....................................... 82,000 445,875
NYMAGIC, Inc......................................... 62,700 1,316,700
*Nanometrics, Inc.................................... 43,300 347,753
*Napco Security Systems, Inc......................... 64,100 268,419
*#Napro Biotherapeutics, Inc......................... 91,100 116,722
Nash Finch Co........................................ 50,800 742,950
*Nashua Corp......................................... 44,500 742,594
*Nastech Pharmaceutical Co., Inc..................... 47,700 178,875
*Nathans Famous, Inc................................. 24,100 98,659
*National Beverage Corp.............................. 63,600 632,025
*National City Bancorp............................... 30,349 811,836
*National Dentex Corp................................ 37,000 626,688
*National Discount Brokers Group, Inc................ 57,300 522,863
*National Home Centers, Inc.......................... 60,000 93,750
*National Home Health Care Corp...................... 22,283 104,452
National Information Group........................... 45,200 827,725
*National Media Corp................................. 129,800 1,200,650
*National Record Mart, Inc........................... 23,900 333,106
*National Research Corp.............................. 34,000 208,250
*National RV Holdings, Inc........................... 80,550 2,164,781
National Security Group, Inc......................... 10,500 133,875
*National Standard Co................................ 96,500 337,750
National Technical Systems, Inc...................... 47,884 260,369
*National Techteam, Inc.............................. 115,000 783,438
*National Vision Association, Ltd.................... 208,600 912,625
*Natural Alternatives International, Inc............. 51,800 526,094
*Natural Microsystems Corp........................... 33,800 377,081
*Natural Wonders, Inc................................ 36,800 142,600
*#Navarre Corp....................................... 62,200 934,944
*Navigators Group, Inc............................... 21,620 336,461
Nelson (Thomas), Inc................................. 50,100 660,694
*Neogen Corp......................................... 31,400 225,688
*Neopath, Inc........................................ 95,300 661,144
*Neopharm, Inc....................................... 97,800 855,750
*Neorx Corp.......................................... 167,200 242,963
*Neose Technologies, Inc............................. 70,100 880,631
*#Neotherapeutics, Inc............................... 22,200 190,088
*Netmanage, Inc...................................... 267,477 798,252
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Netopia, Inc........................................ 52,300 $ 464,163
*Netrix Corp......................................... 83,200 213,200
*#Netspeak Corp...................................... 22,200 242,119
*Network Computing Devices, Inc...................... 133,500 947,016
*Network Peripherals, Inc............................ 62,700 286,069
*Network Six, Inc.................................... 775 3,197
*Neurobiological Technologies, Inc................... 14,600 8,897
*Neurocrine Biosciences, Inc......................... 34,500 238,266
*Neurogen Corp....................................... 35,700 613,594
*New Brunswick Scientific Co., Inc................... 41,290 283,869
*#New Century Financial Corp......................... 43,300 409,997
New England Community Bancorp, Inc. Class A.......... 25,060 501,200
New Hampsire Thrift BancShares, Inc.................. 200 3,450
*New Horizons Worldwide, Inc......................... 57,400 1,130,063
*New Mexico & Arizona Land Co........................ 39,655 574,998
Newcor, Inc.......................................... 86,126 304,132
Newmil Bancorp, Inc.................................. 44,200 519,350
Newport Corp......................................... 76,000 1,282,500
*Newsedge Corp....................................... 100,000 846,875
*Nexthealth, Inc..................................... 26,700 22,528
*#Niagara Corp....................................... 37,200 256,913
*Nichols Research Corp............................... 55,250 1,174,063
*Nitches, Inc........................................ 10,194 29,945
*Nitinol Medical Technologies, Inc................... 85,500 379,406
*Nobel Education Dynamics, Inc....................... 31,250 201,172
*Nobility Homes...................................... 20,075 323,709
*Noel Group, Inc..................................... 43,600 51,775
Noland Co............................................ 500 11,188
*Noodle Kidoodle, Inc................................ 65,000 487,500
*Norstan, Inc........................................ 90,400 1,389,900
North Carolina Natural Gas Corp...................... 6,175 199,144
North Central Bancshares, Inc........................ 15,100 266,138
*North Face, Inc..................................... 65,100 813,750
Northeast Bancorp.................................... 9,100 92,138
Northern Technologies International.................. 18,700 116,875
*Northfield Laboratories, Inc........................ 66,100 879,956
Northland Cranberries, Inc. Class A.................. 68,200 950,538
Northrim Bank........................................ 10,915 141,895
*Northwest Pipe Co................................... 33,500 540,188
*Northwest Teleproductions, Inc...................... 15,800 9,134
*Northwestern Steel & Wire Co........................ 161,600 217,150
*Norton McNaughton, Inc.............................. 62,500 183,594
*Novadigm, Inc....................................... 76,500 583,313
*Novametrix Medical Systems, Inc..................... 61,600 415,800
*Novavax, Inc........................................ 66,700 141,738
*Noven Pharmaceuticals, Inc.......................... 106,900 577,928
*Novitron International, Inc......................... 4,712 11,044
*Nu Horizons Electronics Corp........................ 71,054 428,544
*Numerex Corp. Class A............................... 19,500 54,234
*Nutramax Products, Inc.............................. 44,000 258,500
*#Nutrition for Life International, Inc.............. 1,400 2,931
*O'Charleys, Inc..................................... 93,075 1,250,695
O'Sullivan Corp...................................... 80,400 783,900
*O'Sullivan Industries Holdings, Inc................. 133,400 1,342,338
*O.I. Corp........................................... 16,800 95,550
*OAO Technology Solutions, Inc....................... 4,100 14,414
*ODS Networks, Inc................................... 76,700 261,259
*OEC Medical Systems, Inc............................ 10,000 275,625
*ORBIT/FR, Inc....................................... 1,800 5,231
*OSI Pharmaceutical, Inc............................. 139,700 558,800
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*OSI Systems, Inc.................................... 13,000 $ 103,188
*OTR Express, Inc.................................... 16,600 85,075
*Oacis Healthcare Holdings Corp...................... 53,700 172,847
Oak Hill Financial, Inc.............................. 9,000 183,094
*Oak Technology, Inc................................. 221,000 873,641
*Object Design, Inc.................................. 199,900 1,243,128
*Objective Systems Integrators, Inc.................. 101,000 411,891
*Objectshare, Inc.................................... 52,300 54,752
*Ocal, Inc........................................... 11,000 35,922
*Odwalla, Inc........................................ 24,000 189,750
*Offshore Logistics, Inc............................. 12,000 146,625
Oglebay Norton Co.................................... 50,000 1,303,125
Ohio Art Co.......................................... 2,500 82,813
Oil-Dri Corp. of America............................. 60,900 898,275
*Old Dominion Freight Lines, Inc..................... 71,800 910,963
*Olympic Steel, Inc.................................. 94,000 558,125
*#Omega Health System, Inc........................... 26,500 110,969
*Omtool, Ltd......................................... 111,500 317,078
*On Assignment, Inc.................................. 40,800 1,453,500
*On Technology Corp.................................. 25,000 41,406
*On-Point Technology Systems, Inc.................... 76,800 132,000
*#Oncor, Inc......................................... 187,200 10,296
*One Price Clothing Stores, Inc...................... 65,600 301,350
*#Onhealth Network Company........................... 65,000 377,813
*Ontrack Data International, Inc..................... 78,700 577,953
*Onyx Acceptance Corp................................ 22,400 147,000
*Onyx Pharmacueticals, Inc........................... 41,400 274,275
*Opinion Research Corp............................... 15,500 92,516
*Opta Food Ingredients, Inc.......................... 93,600 403,650
*Optek Technology, Inc............................... 18,200 327,600
*Opti, Inc........................................... 64,200 258,806
Optical Coating Laboratory, Inc...................... 68,392 1,290,899
*Optical Sensors, Inc................................ 15,900 23,105
*Optika Imaging Systems, Inc......................... 58,500 168,188
*Orange Co., Inc..................................... 91,747 647,963
*Oravax, Inc. (Private Placement).................... 59,400 26,162
*Orbit International Corp............................ 28,000 49,875
*Orcad, Inc.......................................... 24,400 205,875
*Oregon Trail Financial Corp......................... 6,700 89,822
*Oriole Homes Corp. Class A Convertible.............. 66,300 198,900
*Oriole Homes Corp. Class B.......................... 23,000 66,125
*Orleans Homebuilders, Inc........................... 101,400 202,800
*Oroamerica, Inc..................................... 53,300 476,369
*Orphan Medical, Inc................................. 46,700 305,009
*Ortel Corp.......................................... 91,000 1,006,688
*Orthologic Corp..................................... 147,000 578,813
Oshkosh Truck Corp. Class B.......................... 44,800 1,327,200
*Oshman's Sporting Goods, Inc........................ 50,200 225,900
*Osmonics, Inc....................................... 73,500 771,750
*Osteotech, Inc...................................... 59,100 1,981,697
Ottawa Financial Corp................................ 22,764 500,808
*Outlook Group Corp.................................. 37,900 156,338
Owosso Corp.......................................... 33,200 161,850
Oxford Industries, Inc............................... 28,100 811,388
*#Oxigene, Inc....................................... 52,000 464,750
*P&F Industries, Inc. Class A........................ 600 4,706
*P-Com, Inc.......................................... 26,000 96,281
*PAM Transportation Services, Inc.................... 37,250 261,914
*PC Quote, Inc....................................... 54,100 108,200
*PC Service Source, Inc.............................. 43,400 179,025
*#PHP Healthcare Corp................................ 121,390 91,043
</TABLE>
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<CAPTION>
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*PICO Holdings, Inc.................................. 81,059 $ 263,442
*PJ America, Inc..................................... 13,000 254,313
*PLM International, Inc.............................. 43,100 253,213
*PMR Corp............................................ 63,400 465,594
*PPT Vision, Inc..................................... 46,200 248,325
PS Group Holdings, Inc............................... 2,000 22,250
*PSC, Inc............................................ 59,300 650,447
*PSW Technologies, Inc............................... 88,200 259,088
*Pacific Aerospace and Electronics, Inc.............. 54,600 168,919
*Pacific Pharmaceuticals, Inc........................ 28,200 6,909
*Palatin Technologies, Inc........................... 875 3,199
*Pameco Corp......................................... 40,700 562,169
*Pamida Holdings Corp................................ 52,000 195,000
Pamrapo Bancorp, Inc................................. 14,200 351,450
Panaco, Inc.......................................... 23,500 28,641
Pancho's Mexican Buffet, Inc......................... 47,600 43,881
*Par Technology Corp................................. 81,800 547,038
*Paracelsus Healthcare Corp.......................... 25,800 54,825
*Paragon Trade Brands, Inc........................... 42,400 119,250
*Parallel Petroleum Corp............................. 81,800 135,481
*Paris Corp.......................................... 200 425
Park Electrochemical Corp............................ 11,400 218,738
*#Parkervision, Inc.................................. 49,400 1,185,600
*Park-Ohio Holdings Corp............................. 141,225 2,325,799
Parkvale Financial Corp.............................. 69,195 1,530,939
*Parlex Corp......................................... 38,850 369,075
*Parlux Fragrances, Inc.............................. 108,200 142,013
Patina Oil & Gas Corp................................ 75,489 217,031
Patrick Industries, Inc.............................. 46,050 693,628
*Patterson Energy, Inc............................... 35,800 166,694
*Paul Harris Stores, Inc............................. 88,075 1,205,527
*Paula Financial, Inc................................ 6,300 60,638
*Paul-Son Gaming Corp................................ 32,500 250,859
*Payless Cashways, Inc............................... 2,121 3,215
*#Peapod, Inc........................................ 30,100 258,672
*Pediatric Services of America, Inc.................. 51,200 203,200
*Peerless Group, Inc................................. 5,300 40,413
Peerless Manufacturing Co............................ 9,250 104,063
*Pegasus Communications Corp. Class A................ 2,900 47,850
Penford Corp......................................... 36,700 551,647
Penn Engineering & Manufacturing Corp. Class A....... 33,600 718,200
Penn Engineering & Manufacturing Corp. Non-voting.... 100,800 2,305,800
*Penn National Gaming, Inc........................... 85,000 709,219
*#Penn Traffic Co.................................... 92,200 207,450
*Penn Treaty American Corp........................... 44,900 1,268,425
Penn Virginia Corp................................... 74,200 1,609,213
Penn-America Group, Inc.............................. 75,000 815,625
Pennfed Financial Services, Inc...................... 42,200 582,888
Pennsylvania Enterprises, Inc........................ 9,800 241,938
Penobscot Shoe Co.................................... 32,000 250,000
*Pentacon, Inc....................................... 30,000 129,375
*Penwest Pharmaceuticals Company..................... 48,150 407,770
Peoples Bancorp, Inc................................. 300 6,113
Peoples Bancshares, Inc. Massachusetts............... 28,245 567,548
*Peoples Telephone Co., Inc.......................... 128,300 569,331
*Perceptron, Inc..................................... 43,850 334,356
*Performance Food Group Co........................... 107,150 2,608,433
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Performance Technologies, Inc....................... 37,650 $ 468,272
*Perini Corp......................................... 40,100 228,069
*Periphonics Corp.................................... 124,900 1,381,706
*Petco Animal Supplies, Inc.......................... 29,700 296,072
*Petrocorp, Inc...................................... 37,000 286,750
*Petroglyph Energy, Inc.............................. 5,000 22,813
*Petroleum Development Corp.......................... 126,300 436,130
Petroleum Heat & Power Co., Inc. Class A............. 167,000 174,828
*Pharmaceutical Marketing Services, Inc.............. 117,600 1,212,750
*Pharmaceutical Resources, Inc....................... 97,755 329,923
*Pharmacopeia, Inc................................... 83,600 721,050
*Pharmacyclics....................................... 15,900 280,238
*Pharmchem Laboratories, Inc......................... 47,800 159,831
*Phar-Mor, Inc....................................... 62,400 487,500
*Pharmos Corp........................................ 88,000 159,500
*#Philadelphia Consolidated Holding Corp............. 55,000 1,151,563
*Phillips (R.H.), Inc................................ 16,800 51,450
*Phoenix Gold International, Inc..................... 13,500 24,891
*Phoenix International, Ltd.......................... 35,350 565,600
*Phoenix Technologies, Ltd........................... 84,730 595,758
*Photo Control Corp.................................. 1,000 1,438
*Photon Dynamics, Inc................................ 62,500 283,203
*Photran Corp........................................ 3,300 6,703
*Phymatrix Corp...................................... 35,300 90,456
*Physician Computer Network, Inc..................... 15,200 950
Piccadilly Cafeterias, Inc........................... 61,500 657,281
#Piedmont Bancorp, Inc............................... 250 2,313
*Piercing Pagoda, Inc................................ 70,200 1,035,450
*Pilgrim America Capital Corp........................ 63,000 1,397,813
*Pinkertons, Inc..................................... 59,350 1,187,000
Pinnacle Bancshares, Inc............................. 400 4,775
*Pinnacle Systems, Inc............................... 66,400 2,228,550
Pioneer Standard Electronics, Inc.................... 135,000 1,451,250
Pitt-Des Moines, Inc................................. 72,900 1,776,938
Pittston Co. Burlington Group........................ 128,000 1,112,000
Pittston Co. Minerals Group.......................... 72,200 198,550
*Plains Resources, Inc............................... 25,700 456,175
*Planar Systems, Inc................................. 86,100 710,325
*Plasma-Therm, Inc................................... 103,600 401,450
*Platinum Software Corp.............................. 71,900 768,431
*Play By Play Toys and Novelties, Inc................ 32,800 240,875
*Playcore, Inc....................................... 41,357 206,785
*Players International, Inc.......................... 225,200 1,330,088
*Plexus Corp......................................... 23,300 698,272
*Pluma, Inc.......................................... 64,000 84,000
*Plymouth Rubber, Inc. Class A....................... 100 650
*Plymouth Rubber, Inc. Class B
Non-Voting......................................... 5 32
*Polk Audio, Inc..................................... 5,000 68,750
*Polycom, Inc........................................ 92,800 1,653,000
*Polymedica Industries, Inc.......................... 44,150 469,094
*Pomeroy Computer Resource, Inc...................... 101,242 1,971,055
*Pool Energy Services Co............................. 22,500 252,422
Pope & Talbot, Inc................................... 94,900 937,138
*Porta Systems Corp.................................. 38,830 60,672
*#Possis Medical, Inc................................ 98,900 853,013
*Powell Industries, Inc.............................. 46,100 463,881
*Powercerv Corp...................................... 115,700 285,634
*Powerhouse Technologies, Inc........................ 88,500 1,034,344
</TABLE>
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<S> <C> <C>
*Power-One, Inc...................................... 5,000 $ 29,531
*Powerwave Technologies, Inc......................... 22,300 315,684
*Praegitzer Industries, Inc.......................... 87,100 702,244
*Precision Response, Corp............................ 102,400 860,800
*Precision Standard, Inc............................. 250 1,156
*#Premier Laser Systems, Inc. Class A................ 47,300 133,031
Premier National Bancorp............................. 91,543 1,659,217
*Premiumwear, Inc.................................... 10,145 75,453
*Price Communications Corp........................... 278,344 2,766,044
*Prima Energy Corp................................... 26,700 365,456
Prime Bancorp, Inc................................... 42,084 789,075
*Prime Medical Services, Inc......................... 106,700 823,591
Primesource Corp..................................... 24,843 170,796
*Primix Solutions, Inc............................... 7,600 17,813
*Primus Telecommunications Group, Inc................ 111,986 1,427,822
*Printrak International, Inc......................... 100,400 803,200
*Printronix, Inc..................................... 67,050 896,794
*Printware, Inc...................................... 6,800 19,975
*Prism Solutions, Inc................................ 60,400 119,856
*Procom Technology, Inc.............................. 61,100 670,191
*Procyte Corp........................................ 31,500 16,242
Professional Bancorp, Inc............................ 10,720 179,560
*Programmers Paradise, Inc........................... 24,100 261,334
Progress Financial Corp.............................. 19,369 279,035
*Progress Software Corp.............................. 49,100 1,238,241
*Project Software & Development, Inc................. 109,700 3,297,856
*ProMedCo Management Company......................... 158,900 834,225
*Protocol Systems, Inc............................... 72,600 551,306
Provena Foods, Inc................................... 200 563
Providence & Worcester Railroad Co................... 5,000 65,000
Providence Energy Corp............................... 61,950 1,304,822
*Provident American Corp............................. 83,600 862,125
*Provident Financial Holdings, Inc................... 13,700 226,050
*Proxim, Inc......................................... 54,100 1,230,775
*Proxymed, Inc....................................... 107,900 1,065,513
Psychemedics Corp.................................... 111,994 559,970
Pulaski Furniture Corp............................... 15,400 309,925
*Pulsepoint Communications Corp...................... 11,075 32,360
*Puma Technology, Inc................................ 57,900 200,841
*Pure World, Inc..................................... 66,300 617,419
*Pyramid Breweries, Inc.............................. 35,500 51,031
*QC Optics, Inc...................................... 6,400 10,000
*QEP Co., Inc........................................ 5,400 39,488
*QMS, Inc............................................ 73,500 303,188
*QRS Corp............................................ 4,400 183,975
*Qad, Inc............................................ 8,500 37,852
*Quad Systems Corp................................... 35,700 94,270
*QuadraMed Corp...................................... 13,125 314,180
Quaker Chemical Corp................................. 41,500 713,281
*Quaker City Bancorp, Inc............................ 22,656 383,736
*Quaker Fabric Corp.................................. 108,450 772,706
*Quality Dining, Inc................................. 100,100 247,122
*Quality Semiconductor, Inc.......................... 52,200 163,125
*Quality Systems, Inc................................ 44,900 210,469
*Quest Educational Corporation....................... 26,600 272,650
*Quickturn Design Systems, Inc....................... 116,450 1,299,145
*Quidel Corp......................................... 191,000 387,969
*Quigley Corp........................................ 14,800 101,981
*Quiksilver, Inc..................................... 76,800 1,862,400
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Quintel Entertainment, Inc.......................... 69,100 $ 111,208
*Quipp, Inc.......................................... 13,800 240,638
Quixote Corp......................................... 67,600 891,475
*R & B, Inc.......................................... 68,600 604,538
*RCM Technologies, Inc............................... 33,600 606,900
*RDO Equipment Co. Class A........................... 46,000 425,500
*RF Monolithics, Inc................................. 29,000 310,844
*RMH Teleservices, Inc............................... 14,100 22,031
*RTW, Inc............................................ 48,800 225,700
*Racing Champions Corp............................... 7,000 102,375
*Radiant Systems, Inc................................ 27,900 197,044
*Rag Shops, Inc...................................... 33,000 90,750
*Ragan (Brad), Inc................................... 40,900 1,595,100
*Ragen Mackenzie Group, Inc.......................... 1,250 15,859
*Railamerica, Inc.................................... 57,200 412,913
*Railtex, Inc........................................ 46,000 554,875
*Rainbow Technologies, Inc........................... 74,850 1,174,209
*Rainforest Cafe, Inc................................ 27,300 190,247
Ramapo Financial Corp................................ 39,800 276,113
*Ramsay Health Care, Inc............................. 74,866 159,090
*Ramtron International Corp.......................... 294,850 257,994
Range Resources Corp................................. 9,000 37,688
*Rare Hospitality International, Inc................. 68,424 851,024
Raritan Bancorp, Inc. DE............................. 1,125 39,094
Raven Industries, Inc................................ 99,150 1,710,338
*Rawlings Sporting Goods, Inc........................ 69,200 791,475
*Raytech Corp. DE.................................... 27,795 85,122
*Raytel Med Corp..................................... 9,900 48,881
*Reading Entertainment, Inc.......................... 17,300 154,619
*Recoton Corp........................................ 91,916 1,723,425
*Recovery Engineering, Inc........................... 20,500 139,656
*#Recycling Industries, Inc.......................... 74,400 98,813
*Red Brick Systems, Inc.............................. 29,000 90,172
*Redhook Ale Brewery, Inc............................ 45,200 197,750
Redwood Empire Bancorp............................... 12,300 215,250
*Reeds Jewelers, Inc................................. 22,990 103,455
*Refac Technology Development Corp................... 45,597 341,978
*Regeneron Pharmaceuticals, Inc...................... 243,300 1,992,019
*Rehabcare Group, Inc................................ 31,700 567,628
*Rehabilicare, Inc................................... 33,000 99,000
*Reliability, Inc.................................... 120,000 671,250
Reliv International, Inc............................. 52,260 160,046
*Relm Wireless Corp.................................. 50,941 73,228
*Remec, Inc.......................................... 12,000 165,000
*Remington Oil and Gas Corp. Class B................. 129,100 508,331
*Renex Corp.......................................... 3,400 19,763
*#Reno Air, Inc...................................... 86,600 623,791
*Rentrak Corp........................................ 59,300 164,002
*#Rent-Way, Inc...................................... 52,500 1,424,063
*Repligen Corp....................................... 54,000 89,438
*#Reptron Electronics, Inc........................... 42,800 189,925
Republic Bancorp, Inc................................ 58,315 971,309
*Republic Bankshares, Inc............................ 16,540 293,585
*Republic First Bancorp, Inc......................... 18,880 193,520
Republic Group, Inc.................................. 112,904 1,940,538
Republic Security Financial Corp..................... 170,135 1,908,702
*#Res-Care, Inc...................................... 96,000 2,334,000
*Research Partners International, Inc................ 17,400 43,500
Research, Inc........................................ 25,250 92,320
*Resound Corp........................................ 134,300 700,878
</TABLE>
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Resource America, Inc................................ 47,980 $ 583,257
*Response Oncology, Inc.............................. 92,740 423,126
*Restrac, Inc........................................ 42,500 289,531
*Rex Stores Corp..................................... 72,600 871,200
*Rexhall Industries, Inc............................. 11,576 87,905
*Rexx Environmental Corp............................. 21,600 48,600
*Ribi Immunochem Research, Inc....................... 181,000 480,781
*Ribozyme Pharmaceuticals............................ 54,500 292,938
Richardson Electronics, Ltd.......................... 86,200 738,088
*Richey Electronics, Inc............................. 46,600 474,738
*Richton International Corp.......................... 1,500 12,750
*Riddell Sports, Inc................................. 39,182 137,137
*Ride, Inc........................................... 46,700 49,619
*Right Management Consultants, Inc................... 49,950 719,592
*Right Start, Inc.................................... 48,600 80,494
*Rightchoice Managed Care, Inc. Class A.............. 28,100 256,413
*Rimage Corp......................................... 43,500 636,188
Rival Co............................................. 38,700 412,397
*Riverside Group, Inc................................ 1,300 2,275
Riverview Bancorp, Inc............................... 19,600 237,650
*Riviera Holdings Corporation........................ 6,200 32,163
*Roadhouse Grill, Inc................................ 26,000 127,156
Roanoke Electric Steel Corp.......................... 63,450 927,956
*Roberds, Inc........................................ 32,600 70,294
*Robertson-Ceco Corp................................. 71,957 575,656
Robinson Nugent, Inc................................. 42,100 161,822
*Robocom Systems, Inc................................ 1,100 1,341
*#Robotic Vision Systems, Inc........................ 50,745 229,938
*Rochester Medical Corp.............................. 43,600 568,163
*Rock Bottom Restaurants, Inc........................ 56,900 332,509
*Rock of Ages Co..................................... 3,500 43,313
*Rockford Industries, Inc............................ 33,500 375,828
*Rockshox, Inc....................................... 100,900 264,863
*Rocky Mountain Chocolate Factory.................... 25,000 133,594
*Rocky Shoes & Boots, Inc............................ 28,300 199,869
*Rofin-Sinar Technologies, Inc....................... 62,500 623,047
*Rogers Corp......................................... 122,100 3,311,963
*Rogue Wave Software, Inc............................ 36,200 311,094
Rohn Industries, Inc................................. 432,200 1,208,809
*#Ross Systems, Inc.................................. 146,937 486,729
*Rottlund, Inc....................................... 19,250 81,813
Rouge Industries, Inc. Class A....................... 11,700 96,525
Rowe Furniture Corp.................................. 115,062 1,215,342
*Royal Appliance Manufacturing Co.................... 197,500 913,438
Royal Bancshares of Pennsylvania Class A............. 1,616 26,967
*Royal Energy, Inc................................... 17,400 66,338
*Royal Gold, Inc..................................... 114,700 491,059
*Royal Precision, Inc................................ 5,600 19,250
*Rural Cellular Corp. Class A........................ 54,800 582,250
*Rural/Metro Corp.................................... 21,600 218,700
*Rush Enterprises, Inc............................... 20,700 198,591
*S&K Famous Brands, Inc.............................. 32,200 313,950
*S3, Inc............................................. 132,500 703,906
*SBE, Inc............................................ 13,700 116,450
*SBM Industries, Inc................................. 500 1,563
*SBS Technologies, Inc............................... 33,800 593,613
*SCP Pool Corp....................................... 400 6,100
*SDL, Inc............................................ 50,900 1,135,706
*SED International Holdings, Inc..................... 48,100 225,469
SEMCO Energy, Inc.................................... 65,020 1,052,511
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*SEMX Corp........................................... 49,100 $ 128,888
*SGV Bancorp, Inc.................................... 2,300 30,188
SI Handling, Inc..................................... 41,625 541,125
SIS Bancorp, Inc..................................... 24,600 1,140,056
SJNB Financial Corp.................................. 9,100 259,350
SJW Corp............................................. 16,600 1,016,750
SL Industries, Inc................................... 96,685 1,184,391
*SM&A Corp........................................... 36,000 441,000
*SMC Corp............................................ 52,200 228,375
*SOS Staffing Services, Inc.......................... 54,500 410,453
*SPSS, Inc........................................... 45,100 845,625
*SRS Labs, Inc....................................... 46,500 143,859
*SSE Telecom, Inc.................................... 31,600 65,175
*STB Systems, Inc.................................... 93,150 548,712
*STM Wireless, Inc. Class A.......................... 40,600 222,031
*STV Group, Inc...................................... 35,000 182,656
*SYNC Research, Inc.................................. 148,800 144,150
*#Sabratek Corp...................................... 10,500 176,859
*Safeguard Health Enterprises, Inc................... 84,600 423,000
*Safety 1st, Inc..................................... 62,400 327,600
*Safety Components International, Inc................ 41,100 542,006
*Saga Communications, Inc. Class A................... 86,071 1,635,349
Salient 3 Communications, Inc. Class A............... 45,000 471,094
*Salton/Maxim Housewares, Inc........................ 73,100 1,375,194
*San Filippo (John B.) & Son, Inc.................... 67,400 254,856
Sanderson Farms, Inc................................. 60,200 959,438
*Sandisk Corp........................................ 192,000 2,262,000
Sandwich Bancorp, Inc................................ 15,400 945,175
*Santa Cruz Operation, Inc........................... 174,400 790,250
*Satcon Technology Corp.............................. 53,700 370,866
*Saucony, Inc. Class A............................... 56,700 359,691
*Saucony, Inc. Class B............................... 63,800 414,700
*Savoir Technology Group, Inc........................ 79,000 666,563
*Scan-Optics, Inc.................................... 56,200 194,944
*ScanSource, Inc..................................... 26,300 493,125
Schawk, Inc. Class A................................. 5,800 83,375
*Scheid Vineyards, Inc............................... 9,900 46,406
*Scherer Healthcare, Inc............................. 200 875
*#Schick Technologies, Inc........................... 10,000 149,688
*Schieb (Earl), Inc.................................. 74,400 390,600
*Schlotzskys, Inc.................................... 37,700 386,425
*Schmitt Industries, Inc............................. 32,100 112,350
Schnitzer Steel Industries, Inc. Class A............. 15,500 285,781
*Schuff Steel Company................................ 37,000 238,188
*Schuler Homes, Inc.................................. 157,200 1,095,488
Schultz Sav-O Stores, Inc............................ 60,000 967,500
*#Sciclone Pharmaceuticals, Inc...................... 133,000 168,328
*Scientific Games Holdings Corp...................... 15,000 285,000
Scientific Technologies, Inc......................... 25,700 147,775
*Scios-Nova, Inc..................................... 145,700 1,097,303
Scope Industries, Inc................................ 18,650 1,212,250
Scotsman Industries, Inc............................. 1,000 20,563
*Scott Technologies, Inc. Class A.................... 76,000 1,170,875
Scott's Liquid Gold, Inc............................. 84,000 126,000
*Seachange International, Inc........................ 129,500 971,250
Seacoast Banking Corp. Class A....................... 22,100 625,706
*Seattle Filmworks, Inc.............................. 173,375 547,215
Seaway Food Town, Inc................................ 24,000 364,500
*Secom General Corp.................................. 5,000 1,875
</TABLE>
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<TABLE>
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Second Bancorp, Inc.................................. 600 $ 14,719
*Secure Computing Corp............................... 70,700 1,305,741
*Security Capital Corp............................... 5 15
*Security First Technologies Corp.................... 13,700 248,741
*Segue Software, Inc................................. 41,000 903,281
*Seibels Bruce Group, Inc............................ 7,100 29,509
Selas Corp. of America............................... 44,700 363,188
*#Selfcare, Inc...................................... 58,500 149,906
*Semitool, Inc....................................... 86,000 585,875
*Semtech Corp........................................ 95,400 2,814,300
*Seneca Foods Corp. Class A.......................... 200 2,463
*Seneca Foods Corp. Class B.......................... 6,800 83,300
*Sequus Pharmaceuticals, Inc......................... 180,800 3,576,450
*Sergagen Inc. (Escrow Shares)....................... 51,600 0
*Servico, Inc........................................ 180,000 1,170,000
*Servotronics, Inc................................... 24,804 181,379
Sevenson Environmental Services, Inc................. 13,280 106,240
*#Shaman Pharmaceuticals............................. 158,200 420,219
*#Sharper Image Corp................................. 67,300 1,419,609
*Shaw Group, Inc..................................... 54,250 481,469
*Sheffield Medical Technologies, Inc................. 72,700 109,050
Shelby Williams Industries, Inc...................... 74,600 876,550
*#Sheldahl, Inc...................................... 84,650 544,934
*Shells Seafood Restaurants, Inc..................... 2,800 13,125
*Sheridan Healthcare, Inc............................ 46,000 370,875
*Shiloh Industries, Inc.............................. 111,500 1,623,719
*Shiva Corp.......................................... 28,800 168,300
*Shoe Carnival, Inc.................................. 86,000 841,188
*Sholodge, Inc....................................... 52,300 369,369
*Shoney's, Inc....................................... 419,000 707,063
Shoreline Financial Corp............................. 12,537 326,746
*Showscan Entertainment, Inc......................... 44,350 10,201
*Shuffle Master, Inc................................. 58,100 403,069
Sierrawest Bancorp................................... 21,835 564,981
Sifco Industries, Inc................................ 46,275 659,419
*Sight Resource Corp................................. 46,500 95,180
*#Sigma Designs, Inc................................. 61,400 188,997
*Sigmatron International, Inc........................ 13,000 44,688
*#Signal Apparel Co., Inc. Class A................... 73,600 124,200
Signal Corporation................................... 30,040 1,025,115
*Signal Technology Corp.............................. 62,000 189,875
*#Silicon Gaming, Inc................................ 33,800 66,544
*Silicon Storage Technology, Inc..................... 99,500 233,203
*Silverleaf Resorts, Inc............................. 63,500 722,313
*Simione Central Holdings, Inc....................... 67,900 140,044
Simmons First National Corp. Class A................. 13,650 554,531
*Simon Transportation Services, Inc.................. 33,000 209,344
Simpson Industries, Inc.............................. 143,400 1,501,219
*Simula, Inc......................................... 77,250 555,234
*Sirena Apparel Group, Inc........................... 25,100 156,875
*Sitel Corp.......................................... 545,000 1,362,500
*Sizzler International, Inc.......................... 218,400 641,550
Skaneateles Bancorp, Inc............................. 25,200 348,075
*SkyMall, Inc........................................ 13,000 60,531
Skywest, Inc......................................... 43,900 1,189,416
*#Smartalk Teleservices, Inc......................... 29,000 146,359
*Smartflex Systems, Inc.............................. 32,200 231,438
*Smithway Motor Express Corp. Class A................ 15,000 134,063
*Sodak Gaming, Inc................................... 100,100 816,441
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
*Softech, Inc........................................ 39,100 $ 155,178
*#Softnet Systems, Inc............................... 38,136 624,477
*#Software Spectrum, Inc............................. 36,100 634,006
Somerset Group, Inc.................................. 312 5,753
Sonesta International Hotels Corp. Class A........... 200 2,863
*Sonic Solutions..................................... 42,250 176,922
*#Sonus Pharmaceuticals, Inc......................... 99,100 749,444
*Sound Advice, Inc................................... 60,425 135,956
*#Source Media, Inc.................................. 26,700 439,716
*Southern Energy Homes, Inc.......................... 127,125 873,984
*#Southern Mineral Corp.............................. 11,800 12,906
*#Southern Pacific Funding Corp...................... 48,000 2,640
*Southwall Technologies, Inc......................... 74,600 352,019
Southwest Bancorp, Inc............................... 12,000 336,750
Southwest National Corp.............................. 6,000 423,750
Southwest Securities Group, Inc...................... 97,335 1,916,283
Southwest Water Co................................... 21,331 317,299
Southwestern Energy Co............................... 12,000 90,000
*Spacehab, Inc....................................... 30,800 267,575
*Spacelabs Medical, Inc.............................. 42,000 740,250
*Spacetec IMC Corp................................... 34,200 80,691
*Spaghetti Warehouse, Inc............................ 51,900 379,519
Span-American Medical System, Inc.................... 40,500 217,688
Spartan Motors, Inc.................................. 119,300 749,353
*Sparton Corp........................................ 69,200 397,900
*Spatial Technology, Inc............................. 5,800 18,125
*Special Devices, Inc................................ 34,300 1,128,684
*#SpectraLink Corp................................... 51,800 169,969
*Spectran Corp....................................... 52,000 286,000
*Spectranetics Corp.................................. 133,302 274,935
*Spectrian Corp...................................... 54,600 720,038
*Spectrum Control, Inc............................... 84,400 356,063
*#SpectRx, Inc....................................... 14,100 95,175
*Speedfam International, Inc......................... 1,500 22,641
*Speizman Industries, Inc............................ 28,900 162,563
*Spice Entertainment Companies, Inc.................. 71,600 372,544
*Spire Corp.......................................... 56,200 182,650
*Sport Chalet, Inc................................... 55,000 378,125
*Sport Supply Group, Inc............................. 42,000 294,000
*Sport-Haley, Inc.................................... 22,800 236,550
*Sports Club Co., Inc................................ 136,700 666,413
*Sportsman's Guide, Inc.............................. 34,000 210,375
*Spyglass, Inc....................................... 27,900 653,034
St. Francis Capital Corp............................. 24,400 1,025,563
St. Joseph Light & Power Co.......................... 55,000 979,688
St. Mary Land & Exploration Co....................... 14,000 265,563
*Staar Surgical Co................................... 87,675 772,636
*#Stac, Inc.......................................... 41,400 209,588
*Stacey's Buffet, Inc................................ 13,900 279
*Stage II Apparel Corp............................... 14,600 16,425
Standard Commercial Corp............................. 89,908 730,503
*Standard Management Corp............................ 30,715 203,487
*Standard Microsystems Corp.......................... 87,700 646,788
Standard Motor Products, Inc. Class A................ 10,600 241,813
*Stanford Telecommunications, Inc.................... 108,100 1,209,369
*Stanley Furniture, Inc.............................. 62,400 1,056,900
*Star Multi Care Services, Inc....................... 37,229 55,844
*Starcraft Corp...................................... 16,500 40,219
*Starmet Corp........................................ 126,100 1,119,138
Starrett (L.S.) Co. Class A.......................... 14,100 431,813
</TABLE>
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<S> <C> <C>
*Startec Global Communications Corp.................. 5,000 $ 53,125
*Starter Corp........................................ 109,300 177,613
State Financial Services Corp. Class A............... 16,280 307,285
*Steel of West Virginia, Inc......................... 50,700 535,519
Steel Technologies, Inc.............................. 91,800 760,219
*Steinway Musical Instruments, Inc................... 13,500 313,031
Stepan Co............................................ 26,700 745,931
Stephan Co........................................... 24,700 293,313
*Stericycle, Inc..................................... 24,700 439,197
*Sterigenics Intl, Inc............................... 11,600 299,425
Sterling Bancorp..................................... 150,400 3,186,600
Sterling Bancshares.................................. 92,062 1,449,977
*Sterling Financial Corp. WA......................... 38,050 684,900
*#Sterling Vision, Inc............................... 67,900 206,883
Stifel Financial Corp................................ 31,088 338,082
*Stimsonite Corp..................................... 58,400 448,950
*#Storage Computer Corp.............................. 73,792 341,288
*#Stormedia, Inc. Class A............................ 40,500 41
*#Stratasys, Inc..................................... 31,700 197,134
*Strategia Corp...................................... 4,700 4,994
*Strategic Diagnostics, Inc.......................... 48,000 108,000
*Strategic Distribution, Inc......................... 293,548 834,777
*Strattec Security Corp.............................. 24,100 680,825
*Stratus Properties, Inc............................. 65,400 212,550
Strawbridge and Clothier Liquidating Trust........... 5,200 3,166
*Strouds, Inc........................................ 72,800 143,325
*Suburban Lodges of America, Inc..................... 56,000 455,000
*Success Bancshares, Inc............................. 2,100 25,988
*Successories, Inc................................... 32,900 69,913
Suffolk Bancorp...................................... 20,700 587,363
*Sugen, Inc.......................................... 74,800 1,075,250
*Sulcus Computer Corp................................ 81,500 183,375
*Summa Industries, Inc............................... 200 2,063
Summit Bancshares, Inc............................... 23,000 448,500
*Summit Design, Inc.................................. 115,800 998,775
*Summitt Medical Systems, Inc........................ 89,300 103,253
Sun Hydraulics, Inc.................................. 12,600 131,513
*Sun Television and Appliances, Inc.................. 147,300 2,578
*Sunair Electronics, Inc............................. 33,900 65,681
*Sundance Homes, Inc................................. 50,000 81,250
*Sunquest Information Systems, Inc................... 47,900 544,863
*Sunrise Resources, Inc.............................. 39,100 141,738
*Superconductor Technologies, Inc.................... 41,750 172,219
*#Supergen, Inc...................................... 12,400 82,538
*Superior Energy Services, Inc....................... 90,000 278,438
*Superior National Insurance Group, Inc.............. 39,400 699,350
#Superior Surgical Manufacturing Co., Inc............ 90,100 1,238,875
*Supertex, Inc....................................... 177,300 1,845,028
*Suprema Specialties, Inc............................ 37,300 179,506
*Supreme Industries, Inc............................. 74,710 719,084
*Supreme International Corp.......................... 34,200 369,788
*Surety Capital Corp................................. 24,350 57,831
*#Surgical Laser Technologies, Inc................... 54,500 22,992
*Swift Energy Corp................................... 67,000 623,938
*Swisher International, Inc.......................... 8,500 6,375
*Swiss Army Brands, Inc.............................. 65,500 659,094
*Sybron Chemicals, Inc............................... 34,300 540,225
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Sylvan, Inc......................................... 63,500 $ 827,484
*Symix Systems, Inc.................................. 54,600 1,103,944
*Symmetricom, Inc.................................... 136,600 849,481
*Symons International Group, Inc..................... 93,900 892,050
*Symphonix Devices, Inc.............................. 19,500 76,172
*Syms Corp........................................... 86,900 847,275
Synalloy Corp. DE.................................... 89,158 824,712
*Synaptic Pharmaceutical Corp........................ 65,700 932,119
*Synbiotics Corp..................................... 49,400 111,150
*Syncor International Corp. DE....................... 62,800 1,511,125
*Syntellect, Inc..................................... 114,200 296,206
*Synthetech, Inc..................................... 58,900 338,675
*Synthetic Industries, Inc........................... 46,000 776,250
*Sypris Solutions, Inc............................... 27,000 192,375
*System Software Associates, Inc..................... 17,700 121,134
*T-Netix, Inc........................................ 75,200 432,400
TB Woods Corp........................................ 8,900 122,375
*TBA Entertainment Corp.............................. 70,000 339,063
*TBC Corp............................................ 201,700 1,386,688
TCBY Enterprises, Inc................................ 97,400 754,850
*TCC Industries, Inc................................. 23,800 78,838
*TCI International, Inc.............................. 32,060 76,143
*TCSI Corp........................................... 189,900 436,177
*TEAM America Corp................................... 10,300 62,444
*TESSCO Technologies, Inc............................ 43,200 966,600
TF Financial Corp.................................... 9,500 185,844
*TFC Enterprises, Inc................................ 101,000 220,938
*TII Industries, Inc................................. 36,520 83,311
*TII Industries, Inc. Class B........................ 13,440 30,660
*TMBR/Sharp Drilling, Inc............................ 40,500 159,469
*TRC Companies, Inc.................................. 60,400 286,900
*TRM Copy Centers Corp............................... 61,000 564,250
*#TRO Learning, Inc.................................. 33,000 287,719
TSI, Inc. MN......................................... 93,200 739,775
*TSR, Inc............................................ 106,400 837,900
*TST/Impreso, Inc.................................... 23,800 73,259
Tab Products Co. DE.................................. 41,750 297,469
*Taco Cabana, Inc.................................... 134,700 930,272
*Tandy Brand Accessories, Inc........................ 55,977 846,652
*Tandy Crafts, Inc................................... 138,200 535,525
*Targeted Genetics Corp.............................. 138,500 240,211
Tasty Baking Co...................................... 66,500 1,068,156
*#Tatham Off-Shore, Inc.............................. 12,900 16,528
*Tava Technologies, Inc.............................. 9,200 52,469
Team, Inc............................................ 45,000 157,500
Tech/Ops Sevcon, Inc................................. 61,400 897,975
*Techdyne, Inc....................................... 13,700 39,388
Teche Holding Co..................................... 1,100 16,500
*Techforce Corp...................................... 31,700 226,853
*Technical Chemicals & Products, Inc................. 85,900 182,538
*Technical Communications Corp....................... 7,300 31,025
Technology Research Corp............................. 40,100 48,872
*Tech-Sym Corp....................................... 67,300 1,686,706
*Tegal Corp.......................................... 53,900 165,911
*Tei, Inc............................................ 19,800 32,175
*Telco Systems, Inc.................................. 92,800 1,125,200
*Telcom Semiconductor, Inc........................... 108,200 402,369
*Telegroup, Inc...................................... 111,500 261,328
*Teltrend, Inc....................................... 27,900 552,769
*Temtex Industries, Inc.............................. 34,100 110,292
*Tera Computer Co.................................... 29,400 241,631
*Tesseract Group, Inc................................ 50,500 168,859
</TABLE>
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<S> <C> <C>
*Tetra Technologies, Inc............................. 92,100 $ 1,162,763
*Texas Biotechnology Corp............................ 145,100 553,194
*Texas Micro, Inc.................................... 75,900 268,022
*Thackeray Corp...................................... 74,700 252,113
*Theratech, Inc. UT.................................. 158,000 2,172,500
*Thermatrix, Inc..................................... 13,300 47,381
*Thermo Bioanalysis Corp............................. 31,900 336,944
*Thermo Fibergen, Inc................................ 16,500 139,219
*Thermo Power Corp................................... 105,100 932,763
*Thermo Sentron, Inc................................. 72,400 678,750
*Thermo Terratech, Inc............................... 78,200 351,900
*Thermo Voltek Corp.................................. 120,450 813,038
*Thermolase Corp..................................... 14,100 72,263
Thermoretec Corporation.............................. 77,800 209,088
*#Thermospectra Corp................................. 24,500 275,625
*Thermwood Corp...................................... 920 6,843
*Thomas Group, Inc................................... 50,800 504,825
Thomaston Mills, Inc................................. 12,000 38,250
*Thoratec Laboratories Corp.......................... 37,500 222,656
*Thorn Apple Valley, Inc............................. 49,900 163,734
*Three-Five Systems, Inc............................. 44,200 442,000
*Thrustmaster, Inc................................... 20,500 74,313
Timberline Software Corp............................. 46,941 582,366
*Tipperary Corp...................................... 56,500 105,938
*#Titan Corp......................................... 192,903 1,036,854
Toastmaster, Inc..................................... 41,100 259,444
*Today's Man, Inc.................................... 63,600 90,431
*Todd Shipyards Corp................................. 43,600 218,000
Todd-AO Corp. Class A................................ 12,100 102,094
*Toddhunter International, Inc....................... 48,000 369,000
*Tokheim Corp........................................ 108,800 938,400
*Tollgrade Communications, Inc....................... 39,300 663,188
Tompkins County Trustco, Inc......................... 330 10,725
*Topps, Inc.......................................... 273,600 1,427,850
*Tops Appliance City, Inc............................ 32,000 143,000
*Toreador Royalty Corp............................... 41,700 144,647
*Torotel, Inc........................................ 24,235 48,470
*Total Entertainment Restaurant Corp................. 3,000 8,906
*Total-Telephone USA Communications, Inc............. 20,400 306,000
*Tower Air, Inc...................................... 129,000 320,484
*Track 'n Trail, Inc................................. 2,400 6,150
*Tractor Supply Co................................... 68,500 1,768,156
*Trak Auto Corp...................................... 92,000 741,750
*Transact Technologies, Inc.......................... 40,199 213,557
*Transaction Network Services, Inc................... 107,800 2,614,150
*Transcend Services, Inc............................. 56,600 141,500
*Transcoastal Marine Services, Inc................... 47,000 182,125
*#Transcrypt International, Inc...................... 9,000 21,375
*Transfinancial Holdings, Inc........................ 27,800 137,263
*Transition Analysis Component Technology............ 2,538 22,208
*Transition Systems, Inc............................. 129,700 1,288,894
*Transmation, Inc.................................... 17,700 69,141
*Transmedia Network, Inc............................. 58,150 207,159
Transport Industries, Inc............................ 1,000 9,375
#Transport Lux Corp.................................. 14,245 128,205
Transpro, Inc........................................ 18,900 114,581
Transtechnology Corp................................. 99,100 2,266,913
*Transtexas Gas Corp................................. 81,000 172,125
*Transwitch Corp..................................... 114,000 3,181,313
*Transworld Healthcare, Inc.......................... 89,400 388,331
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Travel Ports of America, Inc........................ 30,390 $ 92,120
*Travis Boats & Motors, Inc.......................... 8,600 166,088
*Treadco, Inc........................................ 43,900 271,631
*TreeSource Industries, Inc.......................... 52,840 33,025
*Trega Biosciences, Inc.............................. 63,700 149,297
*Trend-Lines, Inc. Class A........................... 50,650 148,784
*Triad Guaranty, Inc................................. 35,700 785,400
*Triathlon Broadcasting Co. Class A.................. 1,200 13,425
Trico Bancshares..................................... 16,950 296,625
*Trico Marine Services, Inc.......................... 42,700 237,519
*Trident International, Inc.......................... 28,600 284,213
*#Trident Microsystems, Inc.......................... 98,400 475,088
*#Trident Rowan Group, Inc........................... 7,000 32,156
*Tridex Corp......................................... 44,300 161,972
Trigen Energy Corp................................... 102,000 1,453,500
*Trimark Holdings, Inc............................... 7,100 17,528
*Trimedyne, Inc...................................... 48,800 59,475
*Trimeris, Inc....................................... 5,400 37,125
*Trinitec Systems, Inc. Class A...................... 43,900 400,588
Trion, Inc........................................... 67,550 196,317
*Triple S Plastics, Inc.............................. 7,800 41,681
*Tripos, Inc......................................... 17,700 146,025
*Triquint Semiconductor, Inc......................... 52,200 1,001,588
*Trism, Inc.......................................... 37,100 51,013
*#Tristar Corp....................................... 3,300 21,450
*Trump Hotels & Casino Resorts, Inc.................. 184,400 933,525
*Tultex Corp......................................... 129,400 137,488
*Turner Corp......................................... 65,850 1,115,334
Tuscarora, Inc....................................... 43,050 554,269
Twin Disc, Inc....................................... 41,200 896,100
Tyler Corp........................................... 21,450 143,447
U.S. Bancorp, Inc.................................... 26,175 521,046
*U.S. Bioscience, Inc................................ 88,000 665,500
*U.S. Diagnostic, Inc................................ 142,800 142,800
*U.S. Home & Garden, Inc............................. 14,100 73,144
*U.S. Vision, Inc.................................... 14 125
*UFP Technologies, Inc............................... 6,700 22,298
*URS Corp............................................ 51,984 1,055,925
*US Can Corp......................................... 112,300 1,972,269
*US Xpress Enterprises, Inc. Class A................. 18,400 284,050
*USA Detergents, Inc................................. 66,000 612,563
*USA Floral Products, Inc............................ 3,200 37,400
*USA Truck, Inc...................................... 5,600 66,500
*#USANA, Inc......................................... 5,200 61,588
*USCI, Inc........................................... 64,500 7,055
*USData Corp......................................... 44,100 146,081
*UTI Energy Corp..................................... 74,500 623,938
*Ubics, Inc.......................................... 50,500 246,188
*#Ugly Duckling Corp................................. 40,000 226,250
*Ultimate Electronics, Inc........................... 69,200 393,575
*Ultradata Corp...................................... 21,800 89,244
*Ultradata Systems, Inc.............................. 13,600 40,800
*Ultrafem, Inc....................................... 62,400 1,529
*Ultrak, Inc......................................... 67,600 583,050
*Ultralife Batteries, Inc............................ 48,200 315,559
*#Unapix Entertainment, Inc.......................... 28,800 63,000
Unico American Corp.................................. 117,600 1,242,150
*UniComp, Inc........................................ 39,200 131,075
Unifirst Corp........................................ 16,900 371,800
*Uniflex, Inc........................................ 20,850 127,706
*Unify Corp.......................................... 37,900 249,903
*Unigene Laboratories, Inc........................... 207,400 330,544
</TABLE>
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<S> <C> <C>
*Unilab Corp......................................... 29,900 $ 54,194
*Unimark Group, Inc.................................. 64,300 188,881
*Uni-Marts, Inc...................................... 64,600 197,838
*Unimed Pharmaceuticals, Inc......................... 39,100 146,625
*Union Acceptance Corp. Class A...................... 22,300 119,863
*Unique Casual Restaurants, Inc...................... 49,067 326,602
*Unique Mobility, Inc................................ 79,600 427,850
*Uniroyal Technology Corp............................ 130,900 1,317,181
*Unit Corp........................................... 167,100 793,725
*Unit Instruments, Inc............................... 35,680 309,970
*United American Healthcare Corp.,................... 53,850 80,775
*United Capital Corp................................. 50,754 932,605
*#United Companies Financial Corp.................... 21,000 85,313
United Financial Corp. MN............................ 700 15,925
*United Foods, Inc. Class A.......................... 1,496 4,208
*United Foods, Inc. Class B.......................... 13,166 39,498
United Guardian, Inc................................. 41,020 210,228
United Industrial Corp............................... 104,800 1,041,450
United National Bancorp.............................. 38,969 886,545
*United Retail Group, Inc............................ 67,900 666,269
*United States Energy Corp........................... 62,870 178,787
United States Lime & Minerals, Inc................... 14,300 108,144
*Unitel Video, Inc................................... 23,200 71,050
Unitil Corp.......................................... 39,552 1,077,792
Unitog Co............................................ 11,850 254,775
*Universal American Financial Corp................... 3,600 9,225
*Universal Electronics, Inc.......................... 32,400 352,350
Universal Forest Products, Inc....................... 126,700 2,478,569
*Universal International, Inc........................ 16,000 41,500
*Universal Seismic Association, Inc.................. 17,800 1,335
*Universal Stainless & Alloy Products, Inc........... 28,700 198,209
*Universal Standard Medical Labs, Inc................ 27,300 46,069
*Uno Restaurant Corp................................. 231,491 1,519,160
*Urban Outfitters, Inc............................... 46,000 648,313
*Urocor, Inc......................................... 56,100 312,056
*Urogen Corp. (Restricted)........................... 28,200 10,716
*Urologix, Inc....................................... 82,000 349,781
*Uromed Corp. New.................................... 45,660 90,607
*Uroquest Medical Corp............................... 52,400 68,775
*Utah Medical, Inc................................... 37,900 265,300
*Utilx Corp.......................................... 144,800 271,500
*#V-ONE Corp......................................... 133,000 407,313
*VDI Media........................................... 9,000 72,563
*VTEL Corp........................................... 130,906 400,900
*#Valence Technology, Inc............................ 172,900 1,647,953
*Vallen Corp......................................... 62,400 1,216,800
Valley Forge Corp.................................... 3,525 45,825
Valley Resources, Inc................................ 37,487 468,588
*Valuevision International, Inc. Class A............. 127,300 688,216
*Vans, Inc........................................... 99,000 733,219
*Vantive Corp........................................ 151,000 1,297,656
*#Vari L Co., Inc.................................... 46,300 306,738
*Variflex, Inc....................................... 51,100 269,872
*Vaughn Communications, Inc.......................... 28,100 212,506
*Vectra Technologies, Inc............................ 34,500 207
*Ventana Medical Systems, Inc........................ 78,500 1,704,922
*Venture Stores, Inc................................. 153,800 1,461
*Venturian Corp...................................... 21,000 196,875
*Veramark Technologies, Inc.......................... 37,500 199,219
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Verdant Brands, Inc................................. 76,600 $ 120,884
*Verilink Corp....................................... 68,700 341,353
*Verity, Inc......................................... 95,500 1,650,359
*Versant Object Technology Corp...................... 29,800 84,744
*Versar, Inc......................................... 46,100 100,844
*Versatility, Inc.................................... 1,000 1,469
*Vertel Corp......................................... 108,700 254,766
*Vertex Communications Corp.......................... 43,300 765,869
Vesta Insurance Group, Inc........................... 28,000 162,750
*Vestcom Int'l, Inc.................................. 20,700 157,191
*Veterinary Centers of America, Inc.................. 1,300 23,725
*Viagrafix Corp...................................... 21,500 130,344
*Viasat, Inc......................................... 10,600 98,713
*Viasoft, Inc........................................ 35,700 261,056
*Viatel, Inc......................................... 80,000 1,190,000
*Vical, Inc.......................................... 100,100 1,626,625
*Vicon Industries, Inc............................... 46,250 349,766
*Vicorp Restaurants, Inc............................. 64,900 939,022
*Vidamed, Inc........................................ 500 1,172
*Video Display Corp.................................. 41,750 268,766
*Video Services Corp................................. 15,000 33,750
*Videonics, Inc...................................... 32,400 31,894
*Vidioserver, Inc.................................... 110,900 1,511,013
*View Technology, Inc................................ 33,900 83,691
*Viisage Technology, Inc............................. 21,000 21,000
*Vincam Group, Inc................................... 11,500 166,750
Virco Manufacturing Corp............................. 114,389 2,387,870
*Virtualfund.Com, Inc................................ 123,500 316,469
*#Vision Sciences, Inc............................... 23,250 21,797
*Vista Medical Technologies, Inc..................... 145,000 357,969
Vital Signs, Inc..................................... 101,500 1,719,156
*Vitalcom, Inc....................................... 68,800 199,950
*#Vitech America, Inc................................ 15,680 272,440
*Vivid Technologies, Inc............................. 92,200 737,600
*#Vivus, Inc......................................... 32,900 101,270
*Vodavi Technology, Inc.............................. 13,000 32,500
*Voice Control Systems, Inc.......................... 96,700 220,597
Vulcan International Corp............................ 10,951 390,129
*WFS Financial, Inc.................................. 26,800 169,175
*#WHX Corp........................................... 32,600 344,338
*WLR Foods, Inc...................................... 56,786 500,427
*WMS Industries, Inc................................. 43,000 319,813
*WPI Group, Inc...................................... 50,550 357,009
WSFS Financial Corp.................................. 12,200 204,350
Wainwright Bank & Trust Co........................... 200 1,563
Walbro Corp.......................................... 49,600 368,900
*Walker Interactive Systems, Inc..................... 109,000 875,406
*Wall Data, Inc...................................... 79,050 1,348,791
*Wall Street Deli, Inc............................... 14,800 54,113
Walshire Assurance Co................................ 36,963 296,859
*Warrantech Corp..................................... 82,600 260,706
Warren Bancorp, Inc.................................. 162,800 1,505,900
*Washington Homes, Inc............................... 63,600 310,050
Washington Savings Bank FSB Waldorf, MD.............. 28,912 133,718
*Waste Industries, Inc............................... 6,700 117,669
*Waterlink, Inc...................................... 93,800 351,750
Waters Instruments, Inc.............................. 500 2,938
Watkins-Johnson Co................................... 41,300 753,725
*Wave Technologies International, Inc................ 18,200 64,838
*#Wavephore, Inc..................................... 103,800 807,694
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Waxman Industries, Inc.............................. 54,700 $ 68,375
*Waxman Industries, Inc. Class B..................... 9,750 12,188
*Webco Industries, Inc............................... 27,850 191,469
*Weirton Steel Corp.................................. 188,400 353,250
Wellco Enterprises, Inc.............................. 12,300 133,763
*Wells-Gardner Electronics Corp...................... 35,000 96,250
West Coast Bancorp................................... 27,005 578,076
*West Coast Entertainment Corp....................... 71,000 44,375
*West Marine, Inc.................................... 25,000 286,719
*Westaff, Inc........................................ 66,000 420,750
*#Westbridge Capital Corp............................ 33,700 1,685
Westco Bancorp, Inc.................................. 1,600 55,000
*Westell Technologies, Inc........................... 130,000 800,313
*Westerbeke Corp..................................... 20,000 57,500
Westerfed Financial Corp............................. 25,800 500,681
*Western Beef, Inc................................... 42,386 315,246
Western Ohio Financial Corp.......................... 6,600 148,500
*Western Power & Equipment Corp...................... 9,900 42,384
*Western Water Co.................................... 42,800 235,400
*Weston (Roy F.), Inc. Class A....................... 37,500 108,984
Westwood Homestead Financial Corp.................... 600 6,413
*White Cap Industries, Inc........................... 15,500 207,313
*White Electronics Designs Corp...................... 55,800 76,725
*Whitman Education Group, Inc........................ 118,700 459,963
*Whittaker Corp...................................... 89,500 1,230,625
*Wickes Lumber Co.................................... 66,500 301,328
*Williams Clayton Energy, Inc........................ 51,800 437,063
*Williams Controls, Inc.............................. 70,500 158,625
*Willis Lease Finance Corp........................... 14,800 280,275
*Wilshire Financial Services Group, Inc.............. 77,400 73,772
*Wilshire Oil Co. of Texas........................... 142,975 714,875
*Windmere Corp....................................... 20,000 122,500
Winnebago Industries, Inc............................ 136,400 1,636,800
*Winsloew Furniture, Inc............................. 36,500 725,438
*Winston Resources, Inc.............................. 3,900 14,625
Wireless Telecom Group, Inc.......................... 149,200 307,725
Wiser Oil Co......................................... 57,400 186,550
Wolf (Howard B.), Inc................................ 6,000 27,375
Wolohan Lumber Co.................................... 49,100 636,766
Woodhead Industries, Inc............................. 176,550 2,306,184
*Workgroup Technology Corp........................... 36,500 71,289
*World Acceptance Corp............................... 174,000 891,750
*#World Airways, Inc................................. 35,000 63,438
World Fuel Services Corp............................. 102,970 1,254,947
*Worldtalk Communications Corp....................... 31,200 102,375
*Worldtex, Inc....................................... 141,800 531,750
Worthington Foods, Inc............................... 102,921 1,958,715
*Wyant Corp.......................................... 666 2,456
X-Rite, Inc.......................................... 18,100 158,375
*XCL, Ltd............................................ 56,500 155,375
*Xeta Corp........................................... 5,200 90,513
*Xetel Corp.......................................... 29,900 84,094
*Xicor, Inc.......................................... 121,600 250,800
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
*Xionics Document Technologies, Inc.................. 47,000 $ 189,469
*#Xoma Corp.......................................... 353,000 1,141,734
Yardville National Bancorp........................... 17,167 233,900
York Financial Corp.................................. 40,851 699,573
York Group, Inc...................................... 19,900 221,388
*York Research Corp.................................. 74,400 281,325
*Youth Services International, Inc................... 105,250 424,289
*Zamba Corporation................................... 144,300 216,450
*Zaring National Corp................................ 19,800 179,438
*Zebra Technologies Corp. Class B.................... 47,520 1,590,435
*Zemex Corp.......................................... 54,172 358,890
*Zevex International, Inc............................ 9,900 60,019
Ziegler Co., Inc..................................... 2,500 45,313
*#Zila, Inc.......................................... 6,435 47,961
*Zing Technologies, Inc.............................. 13,300 101,413
*#Zitel Corp......................................... 80,200 288,219
*Zoll Medical Corp................................... 50,500 564,969
*#Zonagen, Inc....................................... 23,000 444,188
*Zoran Corp.......................................... 45,100 584,891
*Zygo Corp........................................... 49,200 602,700
--------------
TOTAL COMMON STOCKS
(Cost $1,249,021,269)................................ 1,323,885,372
--------------
RIGHTS/WARRANTS -- (0.0%)
*Buell Industries, Inc. Contingent Payment Rights.... 59,800 0
*National Mercantile Bancorp Warrants 06/02/99....... 50 0
*Xinetix Inc Warrants (03/17/03)..................... 4,556 0
*Xytronyx, Inc. Warrants 08/11/01.................... 492 0
--------------
TOTAL RIGHTS/WARRANTS
(Cost $406,566)...................................... 0
--------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (0.9%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.25%, 08/31/02, valued at $12,719,263) to be
repurchased at $12,528,722. (Cost $12,527,000)..... $ 12,527 12,527,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,261,954,835)++.............................. $1,336,412,372
--------------
--------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
180
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THE DFA INTERNATIONAL VALUE SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
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<S> <C> <C>
JAPAN -- (22.8%)
COMMON STOCKS -- (22.8%)
Aichi Bank, Ltd...................................... 10,500 $ 707,289
Aisin Seiki Co., Ltd................................. 137,000 1,471,200
Amada Co., Ltd....................................... 376,000 1,881,223
Amano Corp........................................... 115,000 982,346
#Aomori Bank, Ltd.................................... 170,000 652,782
Aoyama Trading Co., Ltd.............................. 41,100 1,130,149
Asahi Glass Co., Ltd................................. 420,000 2,446,469
#Ashikaga Bank, Ltd.................................. 808,000 1,354,116
Autobacs Seven Co., Ltd.............................. 700 20,501
Awa Bank, Ltd........................................ 189,600 883,833
Bank of Ikeda, Ltd................................... 13,000 537,260
Bank of Iwate, Ltd................................... 18,590 855,999
Bank of Kinki, Ltd................................... 225,000 527,172
Bank of Kyoto, Ltd................................... 347,400 1,783,350
Bank of Nagoya, Ltd.................................. 185,000 967,743
#Bank of Saga, Ltd................................... 215,000 769,606
Bank of Yokohama, Ltd................................ 978,000 2,068,662
#Best Denki Co., Ltd................................. 153,000 1,009,461
Canon Sales Co., Inc................................. 124,900 1,792,414
Casio Computer Co., Ltd.............................. 60,000 464,692
Chiba Bank, Ltd...................................... 941,000 3,552,098
#Chiyoda Fire and Marine Insurance Co., Ltd.......... 444,150 1,445,330
Chudenko Corp........................................ 82,000 1,734,461
Chugai Pharmaceutical Co., Ltd....................... 114,000 974,731
Chugoku Bank, Ltd.................................... 199,000 2,642,108
Chukyo Coca-Cola Bottling Co., Ltd................... 22,000 186,137
Chukyo Sogo Bank, Ltd................................ 67,000 225,659
Citizen Watch Co., Ltd............................... 317,000 2,024,446
#Cosmo Oil Co., Ltd.................................. 764,000 1,149,853
Dai Tokyo Fire & Marine Insurance Co., Ltd........... 529,000 1,747,266
Daicel Chemical Industries, Ltd...................... 485,000 1,203,425
Daikin Industries, Ltd............................... 218,000 1,915,392
Dainippon Pharmaceutical Co., Ltd.................... 203,000 850,512
#Daisan Bank, Ltd.................................... 131,000 477,449
#Daishi Bank, Ltd.................................... 350,000 1,181,663
Daito Trust Construction Co., Ltd.................... 180,784 1,467,803
#Daiwa Bank, Ltd..................................... 726,000 1,228,506
Daiwa House Industry Co., Ltd........................ 655,000 6,953,911
Daiwa Kosho Lease Co., Ltd........................... 193,000 745,810
#Daiwa Securities Co., Ltd........................... 1,673,000 5,974,999
Denki Kagaku Kogyo KK................................ 469,000 744,020
Dowa Fire & Marine Insurance Co., Ltd................ 383,000 1,327,351
Ehime Bank, Ltd...................................... 143,000 542,125
#Eighteenth Bank, Ltd................................ 226,000 919,297
Ezaki Glico Co., Ltd................................. 174,600 894,874
Fuji Fire & Marine Insurance Co., Ltd................ 173,000 320,892
Fuji Photo Film Co., Ltd............................. 355,000 13,285,060
Fujisawa Pharmaceutical Co., Ltd..................... 170,000 2,039,944
#Fukui Bank, Ltd..................................... 343,000 756,207
#Fukuoka City Bank, Ltd.............................. 264,532 1,071,729
#Fukuyama Transporting Co., Ltd...................... 266,000 1,203,189
Futaba Corp.......................................... 16,000 576,635
<CAPTION>
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<S> <C> <C>
Futaba Industrial Co., Ltd........................... 85,000 $ 1,127,156
Hanshin Electric Railway Co., Ltd.................... 141,000 429,011
Higo Bank, Ltd....................................... 308,000 1,280,410
#Hino Motors, Ltd.................................... 398,000 1,110,592
Hiroshima Bank, Ltd.................................. 575,000 1,997,437
Hiroshima-Sogo Bank, Ltd............................. 136,000 652,782
#Hitachi Construction Machinery Co., Ltd............. 64,000 205,662
#Hitachi Maxell, Ltd................................. 96,000 1,620,566
Hitachi Metals, Ltd.................................. 360,000 1,060,201
#Hitachi Transport System, Ltd....................... 138,000 926,212
Hitachi, Ltd......................................... 3,691,000 22,250,491
#Hokuetsu Bank....................................... 275,330 768,290
#Hokuetsu Paper Mills, Ltd........................... 162,000 767,035
#Hokuriku Bank, Ltd.................................. 891,000 1,587,447
House Foods Corp..................................... 115,000 1,758,867
#Hyakugo Bank, Ltd. (105th Bank)..................... 258,000 1,131,321
Hyakujishi Bank, Ltd................................. 314,000 1,726,846
Inax Corp............................................ 309,000 1,699,349
Itochu Corp.......................................... 1,198,000 2,290,351
Itoham Foods, Inc.................................... 284,000 1,356,231
#Japan Pulp and Paper Co., Ltd....................... 93,000 310,202
Joyo Bank, Ltd....................................... 19,000 69,557
Jsr Corp., Tokyo..................................... 150,000 694,354
Juroku Bank, Ltd..................................... 349,000 1,476,407
Kagawa Bank, Ltd..................................... 40,650 202,390
Kagoshima Bank, Ltd.................................. 262,000 1,012,447
#Kajima Corp......................................... 826,000 2,204,100
Kamigumi Co., Ltd.................................... 357,000 1,617,710
Kandenko Co., Ltd.................................... 266,000 1,774,487
Kaneka Corp.......................................... 344,000 2,468,336
Kansai Paint Co., Ltd., Osaka........................ 108,000 272,372
Katokichi Co., Ltd................................... 72,000 1,037,943
Kawasaki Steel Corp.................................. 500,000 752,522
Kikkoman Corp........................................ 256,000 1,647,380
Kinden Corp.......................................... 67,000 899,365
Kirin Brewery Co., Ltd............................... 150,000 1,559,551
Kissei Pharmaceutical Co., Ltd....................... 40,000 592,906
Koa Fire & Marine Insurance Co., Ltd................. 45,000 146,071
#Kobe Steel, Ltd..................................... 2,632,000 1,969,931
Koito Manufacturing Co., Ltd......................... 146,000 610,511
#Kokusai Denshin Denwa Co., Ltd...................... 48,400 1,744,321
#Kokusai Securities Co., Ltd......................... 330,000 2,789,374
Komatsu, Ltd......................................... 1,279,000 6,565,643
#Komori Corp......................................... 74,000 1,538,154
Konica Corp.......................................... 66,000 291,018
Koyo Seiko Co........................................ 198,000 1,158,168
Kureha Chemical Industry Co., Ltd.................... 263,000 691,092
Lion Corp............................................ 311,000 1,214,448
Long Term Credit Bank of Japan, Ltd.................. 994,000 16,173
Makita Corp.......................................... 209,000 2,312,398
Marubeni Corp........................................ 1,942,000 3,538,951
Maruichi Steel Tube, Ltd............................. 117,000 1,398,251
Matsushita Electric Industrial Co., Ltd.............. 1,933,000 31,136,829
#Matsushita Electric Works, Ltd...................... 286,000 2,745,525
</TABLE>
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<TABLE>
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<S> <C> <C>
Matsushita Refrigeration Co.......................... 222,000 $ 812,723
Matsushita Seiko Co., Ltd............................ 72,000 246,014
#Matsuzakaya Co., Ltd................................ 30,000 151,318
*Mazda Motor Corp.................................... 400,000 1,545,720
Meija Seika Kaisha, Ltd. Tokyo....................... 366,000 1,384,559
Michinoku Bank, Ltd.................................. 187,000 947,779
#Mitsubishi Chemical Corp............................ 2,129,000 3,983,647
Mitsubishi Electric Corp............................. 1,683,000 4,271,851
Mitsubishi Gas Chemical Co., Inc..................... 548,000 1,462,284
Mitsubishi Materials Corp............................ 975,000 1,745,037
#Mitsubishi Motors Corp.............................. 866,000 2,479,921
Mitsui Chemicals, Inc................................ 1,030,800 3,522,095
*#Mitsui Engineering and Shipbuilding Co., Ltd....... 781,000 787,862
#Mitsui Trust & Banking Co., Ltd..................... 1,030,000 1,382,606
Mori Seiki Co., Ltd.................................. 121,000 1,294,459
Musashino Bank, Ltd.................................. 26,000 1,053,368
NGK Spark Plug Co., Ltd.............................. 201,000 1,860,868
NHK Spring Co., Ltd.................................. 315,000 948,177
NKK Corp............................................. 2,612,000 1,869,964
NSK, Ltd............................................. 467,000 1,842,621
NTN Corp............................................. 398,000 1,233,631
*#Namihaya Bank Ltd.................................. 27 51,180
Nanto Bank, Ltd...................................... 288,000 1,370,647
National House Industrial Co., Ltd................... 95,000 741,946
Nichicon Corp........................................ 100,000 1,231,695
Nichirei Corp........................................ 366,000 866,466
Nifco, Inc........................................... 45,000 360,600
Nihon Unisys, Ltd.................................... 41,000 430,280
#Nikko Securities Co., Ltd........................... 1,910,000 6,464,040
*Nippon Credit Bank, Ltd............................. 1,683,000 2,382,378
Nippon Flour Mills Co., Ltd.......................... 21,000 55,524
Nippon Meat Packers, Inc., Osaka..................... 140,000 1,949,886
#Nippon Oil Co., Ltd................................. 1,598,000 5,265,130
Nippon Sanso Corp.................................... 367,000 1,098,731
Nippon Sheet Glass Co., Ltd.......................... 567,000 1,259,282
Nippon Shokubai Co., Ltd............................. 163,000 958,745
Nishimatsu Construction Co., Ltd..................... 359,000 1,971,404
#Nishi-Nippon Bank, Ltd.............................. 23,540 92,881
Nissei Sangyo Co., Ltd............................... 110,050 914,099
Nisshin Flour Milling Co., Ltd....................... 89,000 724,772
Nisshin Steel Co., Ltd............................... 1,318,000 1,458,249
Nisshinbo Industries, Inc............................ 305,000 1,106,654
#Nissho Iwai Corp.................................... 544,000 482,395
#Obayashi Corp....................................... 499,000 2,257,110
Ogaki Kyoritsu Bank, Ltd............................. 50,000 218,435
Oita Bank, Ltd....................................... 145,000 743,166
Oji Paper Co., Ltd................................... 275,000 1,237,186
#Oki Electric Industry Co., Ltd...................... 740,000 2,028,799
Okumura Corp......................................... 322,000 1,388,382
#Penta-Ocean Construction Co., Ltd................... 438,000 951,399
Pioneer Electronic................................... 182,000 2,998,291
#Q.P. Corp........................................... 168,000 1,182,232
Royal Co., Ltd....................................... 41,000 512,000
Ryosan Co., Ltd...................................... 53,000 881,752
Ryoyo Electro Corp................................... 26,000 243,248
#Sakura Bank, Ltd.................................... 758,000 1,936,316
San In Godo Bank, Ltd................................ 222,000 1,399,690
Sanyo Electric....................................... 2,536,000 7,179,692
Sapporo Breweries, Ltd............................... 33,000 146,315
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
#Seino Transportation Co., Ltd....................... 197,000 $ 1,097,828
Sekisui Chemical Co., Ltd............................ 557,000 3,398,551
#Seksui House........................................ 928,000 9,044,449
Sharp Corp. Osaka.................................... 460,000 4,064,106
#Shiga Bank, Ltd..................................... 268,000 1,118,483
Shimachu Co., Ltd.................................... 20,200 377,969
Shimadzu Corp........................................ 181,000 633,176
Shimizu Bank, Ltd.................................... 6,300 316,230
#Shimizu Corp........................................ 997,000 3,284,941
#Shinwa Bank, Ltd.................................... 157,000 480,247
Shionogi & Co., Ltd.................................. 455,000 3,198,177
Showa Electric Wire & Cable Co., Ltd., Kawasaki...... 64,000 104,133
Showa Shell Sekiyu KK................................ 75,000 437,480
Snow Brand Milk Products Co., Ltd.................... 419,000 1,619,142
#Stanley Electric Co., Ltd........................... 246,000 842,548
Sumitomo Corp........................................ 918,000 5,026,146
#Sumitomo For........................................ 136,000 940,449
#Sumitomo Metal Industries, Ltd. Osaka............... 1,481,000 1,771,127
Sumitomo Metal Mining Co., Ltd....................... 313,000 1,130,589
Sumitomo Realty & Development Co., Ltd............... 488,000 1,778,587
#Sumitomo Warehouse Co., Ltd......................... 67,000 273,080
#Suruga Bank, Ltd.................................... 256,000 1,260,006
TEC Corp............................................. 345,000 990,766
TOC Co., Ltd......................................... 66,950 570,262
#Taiheiyo Cement Corp................................ 746,000 1,753,937
#Taisei Corp......................................... 1,325,000 2,533,151
Takara Standard Co., Ltd............................. 175,000 1,267,084
Takashimaya Co., Ltd................................. 206,000 1,719,459
Tanabe Seiyaku Co., Ltd.............................. 164,000 893,915
*Teijin, Ltd......................................... 917,000 3,289,919
Teikoku Oil Co., Ltd................................. 346,000 1,027,416
Toagosei Co., Ltd.................................... 353,000 649,024
#Toda Corp........................................... 418,000 1,938,333
Toho Bank, Ltd....................................... 236,000 833,257
Tokuyama Corp........................................ 248,000 728,343
*Tokyo Sowa Bank..................................... 199,000 467,873
Tokyo Steel Manufacturing Co., Ltd................... 202,800 940,416
Tokyo Style Co., Ltd................................. 133,000 1,428,246
#Tokyo Tomin Bank, Ltd............................... 30,900 904,979
Tostem Corp.......................................... 188,000 3,135,372
#Toto, Ltd........................................... 247,000 1,848,682
Towa Bank, Ltd....................................... 73,000 243,492
#Toyo Seikan Kaisha, Ltd............................. 287,600 4,796,452
Toyo Suisan Kaisha, Ltd.............................. 116,000 755,906
#Toyo Trust & Banking Co., Ltd....................... 715,000 2,222,014
Toyobo Co., Ltd...................................... 468,000 574,910
Toyota Auto Body Co., Ltd............................ 86,000 545,721
Toyota Tsusho Corp................................... 314,000 896,632
#Victor Co. of Japan, Ltd............................ 246,000 1,771,152
Wacoal Corp.......................................... 149,000 1,686,129
#Yakult Honsha Co., Ltd.............................. 228,000 1,341,067
Yamagata Bank, Ltd................................... 153,700 670,218
Yamaguchi Bank....................................... 133,000 1,255,125
Yamatake-Honeywell Co., Ltd.......................... 87,000 879,767
*#Yasuda Trust & Banking Co., Ltd.................... 1,434,000 1,364,936
Yodogawa Steel Works, Ltd............................ 296,000 1,119,752
Yokogawa Electric Corp............................... 337,000 1,677,871
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
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<S> <C> <C>
Yokohama Rubber Co., Ltd............................. 404,000 $ 963,000
--------------
TOTAL COMMON STOCKS
(Cost $564,071,652).................................. 391,123,816
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Japanese Yen (Cost $12,312)......................... 12,330
--------------
TOTAL -- JAPAN
(Cost $564,083,964).................................. 391,136,146
--------------
UNITED KINGDOM -- (19.9%)
COMMON STOCKS -- (19.9%)
ASDA Group P.L.C..................................... 1,719,300 4,469,656
Abbey National P.L.C................................. 240,000 4,852,764
Aggreko P.L.C........................................ 32,000 101,149
Allied Domecq P.L.C.................................. 142,317 1,212,128
*Anglian Water P.L.C................................. 151,281 2,154,949
Antofagasta Holdings P.L.C........................... 38,000 110,706
Arcadia Group P.L.C.................................. 110,588 537,570
Arjo Wiggins Appleton P.L.C.......................... 659,100 1,240,218
Associated British Foods P.L.C....................... 733,200 7,418,648
Associated British Ports Holdings P.L.C.............. 369,200 1,916,568
BAA P.L.C............................................ 1,028,463 11,373,793
BG P.L.C............................................. 2,574,617 17,657,349
BOC Group P.L.C...................................... 139,300 2,024,521
BPB P.L.C............................................ 217,300 746,045
BTR P.L.C............................................ 697,300 1,427,195
Barclays P.L.C....................................... 640,523 14,537,150
Bardon Group P.L.C................................... 1,033,471 1,249,533
Barratt Developments P.L.C........................... 222,000 831,803
Bass P.L.C........................................... 600,000 8,279,410
Beazer Group P.L.C................................... 167,257 472,087
Berkeley Group P.L.C................................. 78,622 634,592
Blue Circle Industries P.L.C......................... 326,000 1,646,573
British Airways P.L.C................................ 347,331 2,350,549
British Land Co. P.L.C............................... 462,081 3,981,351
British Steel P.L.C.................................. 1,575,000 2,547,701
British Telecommunications P.L.C..................... 1,200,000 16,449,880
British Vita P.L.C................................... 212,300 791,955
Brixton Estate P.L.C................................. 235,685 686,623
Burford Holdings P.L.C............................... 337,000 478,377
Capital Shopping Centres P.L.C....................... 381,375 2,234,716
Caradon P.L.C........................................ 214,000 363,825
*Centrica P.L.C...................................... 2,662,900 5,527,194
Chelsfield P.L.C..................................... 230,258 999,568
Commercial Union P.L.C............................... 1,181,319 18,738,396
Cookson Group P.L.C.................................. 258,000 570,645
Debenhams P.L.C...................................... 115,175 727,163
Diageo P.L.C......................................... 73,440 823,084
Elementis P.L.C...................................... 604,112 747,860
English China Clays P.L.C............................ 249,062 709,150
Glynwed International P.L.C.......................... 140,000 388,221
Grantchester Holdings P.L.C.......................... 12,930 30,626
Great Portland Estates P.L.C......................... 197,275 631,707
Great Universal Stores P.L.C......................... 814,600 8,477,569
Greenalls Group P.L.C................................ 283,846 1,681,973
Guardian Royal Exchange P.L.C........................ 853,882 4,651,078
Hambro Countrywide P.L.C............................. 102,322 192,538
Hanson P.L.C......................................... 624,950 4,641,941
Hyder P.L.C.......................................... 84,763 1,136,767
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Imperial Chemical Industries P.L.C................... 477,000 $ 4,409,083
Inchcape P.L.C....................................... 508,000 1,048,131
Johnson Matthey P.L.C................................ 93,000 633,211
Ladbroke Group P.L.C................................. 966,745 3,741,938
Lasmo P.L.C.......................................... 613,035 1,414,096
Lex Service P.L.C.................................... 109,433 730,649
Lonrho P.L.C......................................... 197,094 984,916
Mersey Docks & Harbour Co. P.L.C..................... 53,050 445,702
Meyer International P.L.C............................ 102,281 568,096
Millennium and Copthorne Hotels P.L.C................ 85,000 575,936
Mirror Group P.L.C................................... 403,000 971,180
National Westminster Bank P.L.C...................... 1,159,229 21,162,463
Norwich Union P.L.C.................................. 170,000 1,192,558
Peel Holdings P.L.C.................................. 45,400 397,167
Pilkington P.L.C..................................... 995,666 1,076,457
Pillar Property Investments P.L.C.................... 25,000 104,607
Powergen P.L.C....................................... 443,177 6,126,379
RMC Group P.L.C...................................... 223,000 2,907,862
Racal Electronics P.L.C.............................. 274,000 1,438,201
Rank Group P.L.C..................................... 793,530 2,816,071
*Rexam P.L.C......................................... 165,665 534,588
Rio Tinto P.L.C...................................... 336,900 3,948,219
Rolls-Royce P.L.C.................................... 322,674 1,304,884
Royal & Sun Alliance Insurance Group, Inc. P.L.C..... 1,518,386 12,681,615
Rugby Group P.L.C.................................... 417,000 560,965
Safeway P.L.C........................................ 744,840 3,676,004
Sainsbury (J.) P.L.C................................. 968,542 8,113,278
Scottish & Newcastle P.L.C........................... 168,500 2,149,915
Scottish Hydro-Electric P.L.C........................ 374,000 4,339,791
Severn Trent P.L.C................................... 210,597 3,597,778
Shell Transport & Trading Co., P.L.C................. 2,222,545 13,408,487
*Signet Group P.L.C.................................. 552,000 289,284
Slough Estates P.L.C................................. 376,100 1,688,551
Smith (David S.) Holdings P.L.C...................... 298,000 573,039
Somerfield P.L.C..................................... 165,142 1,241,617
South West Water P.L.C............................... 42,833 789,014
Stakis P.L.C......................................... 733,194 1,282,823
Standard Chartered P.L.C............................. 69,000 733,461
Storehouse P.L.C..................................... 420,380 974,900
Tarmac P.L.C......................................... 948,643 1,769,388
Tate & Lyle P.L.C.................................... 241,900 1,525,250
Taylor Woodrow P.L.C................................. 388,747 1,033,082
*Telewest Communications P.L.C....................... 845,915 1,829,110
Tesco P.L.C.......................................... 4,364,755 12,895,992
*Thames Water PLC.................................... 157,951 3,021,674
*Thistle Hotels P.L.C................................ 268,421 598,125
Trinity P.L.C........................................ 58,430 420,498
Unigate P.L.C........................................ 229,400 1,800,469
Unilever P.L.C....................................... 1,600,000 16,651,253
United Assurance Group P.L.C......................... 331,000 3,045,893
United Biscuits Holdings P.L.C....................... 452,411 1,799,667
United Utilities P.L.C............................... 265,595 3,870,993
Vickers P.L.C........................................ 194,300 575,677
Whitbread P.L.C...................................... 478,879 6,481,589
Wilson Bowden P.L.C.................................. 96,900 878,088
Wimpey (George) P.L.C................................ 236,750 451,350
Wolseley P.L.C....................................... 100,000 632,180
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
Yorkshire Water P.L.C................................ 161,510 $ 1,456,906
--------------
TOTAL COMMON STOCKS
(Cost $242,283,166).................................. 340,824,964
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*British Pound Sterling (Cost $227,337).............. 227,345
--------------
TOTAL -- UNITED KINGDOM
(Cost $242,510,503).................................. 341,052,309
--------------
GERMANY -- (10.8%)
COMMON STOCKS -- (10.8%)
AGIV AG fuer Industrie & Verkehrswesen............... 57,800 1,329,812
*Ava Allgemeine Handelsgesellschaft der Verbraucher
AG, Bielefeld...................................... 3,700 1,461,810
BASF AG.............................................. 640,050 24,700,589
BHF Bank AG.......................................... 116,900 4,632,359
BHW Holding AG, Berlin............................... 167,300 2,770,556
Bankgesellschaft Berlin AG........................... 233,550 4,005,814
Bayer AG............................................. 146,900 6,290,328
Bayerische Vereinsbank AG............................ 311,250 28,073,212
Berliner Kraft & Licht Bewag AG...................... 88,800 4,884,373
Bilfinger & Berger Bau AG, Mannheim.................. 46,500 1,072,582
Commerzbank AG....................................... 408,050 13,635,615
DBV-Winterthur Holding AG, Wiesbaden................. 4,400 1,509,363
Deutsche Bank AG..................................... 298,400 19,360,579
Deutsche Hypoteken Bank AG, Frankfurt/Hamburg........ 5,000 161,168
Deutsche Lufthansa AG................................ 305,250 6,788,228
Deutsche Pfandbrief und Hypothekenbank AG, Depfa..... 46,400 3,842,014
Deutsche Telekom AG.................................. 313,200 9,261,997
Dresdner Bank AG, Frankfurt.......................... 315,000 14,587,646
Dyckerhoff AG........................................ 2,275 719,187
FPB Holding AG....................................... 5,789 1,078,517
Fresenius Medical Care AG............................ 4,000 242,492
Heidelberger Zement AG, Heidelberg................... 23,800 1,844,001
Hochtief AG.......................................... 90,300 3,484,826
*#Holzmann (Philipp) AG.............................. 1,860 214,516
IVG Holding AG....................................... 5,500 265,114
Karstadt AG.......................................... 8,350 4,000,225
Lahmeyer AG, Frankfurt............................... 38,500 1,878,571
Linde AG............................................. 5,600 3,232,591
Man AG, Muechen...................................... 14,000 4,131,821
Merck KGAA........................................... 58,000 2,418,410
PWA Papierwerke Waldhof-Aschaffenburg AG............. 3,550 678,178
Siemens AG........................................... 87,800 6,236,636
Thuega AG............................................ 267 109,751
#Thyssen AG.......................................... 7,750 1,436,985
Thyssen Industrie AG Essen........................... 2,500 561,871
Vereins & Westbank AG................................ 67,960 2,049,918
Volkswagen AG........................................ 20,000 1,684,430
--------------
TOTAL COMMON STOCKS
(Cost $130,895,316).................................. 184,636,085
--------------
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
INVESTMENT IN
CURRENCY -- (0.0%)
*German Marks (Cost $129,339)........................ $ 130,721
--------------
RIGHTS/WARRANTS -- (0.0%)
*Holzmann (Philipp) AG Rights 12/07/98 (Cost $0)..... 1,860 440
--------------
TOTAL -- GERMANY
(Cost $131,024,655).................................. 184,767,246
--------------
FRANCE -- (8.8%)
COMMON STOCKS -- (8.8%)
AGF (Assurances Generales de France SA).............. 48,014 2,853,133
AXA-UAP.............................................. 5,000 648,010
Accor SA............................................. 1,500 330,617
Banque Nationale de Paris............................ 193,531 14,844,449
*Banque Paribas...................................... 90,572 8,097,038
Bongrain SA.......................................... 1,653 714,690
Bouygues............................................. 4,000 747,636
Christian Dior SA.................................... 31,100 3,394,496
*Club Mediterranee SA................................ 7,000 580,493
Colas SA............................................. 5,070 1,127,320
Credit Commercial de France.......................... 50,191 4,331,258
ECIA (Equipements et Composants pour l'Industrie
Automobile)........................................ 3,000 426,893
Elf Aquitaine........................................ 140,000 17,502,438
Eridania Beghin-Say SA............................... 18,900 3,512,584
Esso SA.............................................. 8,476 747,283
*#Euro Disney SCA.................................... 551,700 778,247
Filipacchi Medias SA................................. 300 63,214
Fonciere Lyonnaise SA................................ 868 141,575
Fromageries Bel la Vache qui Rit..................... 275 225,966
#GTM Entrepose....................................... 21,077 2,385,987
Generale des Establissements Michelin SA Series B.... 17,600 761,883
Groupe Danone........................................ 42,500 12,440,026
Imetal............................................... 11,000 1,027,999
LaFarge SA........................................... 74,595 7,050,157
Labinal SA........................................... 3,200 807,447
Lyonnais des Eaux SA................................. 57,442 11,374,533
Pechiney SA Series A................................. 55,475 1,852,685
Pernod-Ricard........................................ 38,900 2,538,592
Peugeot SA........................................... 36,550 5,800,350
#Rallye SA........................................... 17,220 1,138,342
*#Remy Cointreau SA.................................. 27,400 480,726
Rhone-Poulenc SA Series A............................ 176,126 8,804,421
Saint-Gobain......................................... 64,336 9,529,226
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)........................ 200 38,793
Societe Generale Paris............................... 70,432 11,127,620
Sommer-Allibert SA................................... 14,800 420,157
Sophia SA............................................ 7,700 323,005
*Thomson-CSF......................................... 87,203 3,290,557
Total SA............................................. 40,000 4,972,484
Union Assurances Federales SA........................ 5,900 783,378
Usinor............................................... 167,800 1,893,635
--------------
TOTAL COMMON STOCKS
(Cost $102,282,755).................................. 149,909,343
--------------
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*AGF (Assurances Generales de France SA) Warrants
06/15/00........................................... 41,214 $ 340,833
*Fonciere Lyonnaise SA Warrants 07/30/02............. 868 1,102
--------------
TOTAL RIGHTS/WARRANTS
(Cost $180,304)...................................... 341,935
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*French Francs (Cost $17,509)........................ 17,230
--------------
TOTAL -- FRANCE
(Cost $102,480,568).................................. 150,268,508
--------------
SWITZERLAND -- (8.1%)
COMMON STOCKS -- (8.1%)
Ascom Holding AG, Bern............................... 1,410 2,512,990
Baloise-Holding, Basel............................... 26,676 24,922,062
Banca del Gotthard................................... 5,470 4,548,211
Banque Cantonale Vaudois............................. 5,795 2,082,300
Bobst SA, Prilly..................................... 2,553 3,485,975
Danzas Holding AG.................................... 7,700 2,346,262
Financiere Richemont AG Units -A-.................... 8,813 13,135,676
Fischer (Georg) AG, Schaffhausen (Namen)............. 12,987 4,442,585
*Forbo Holding AG, Eglisau........................... 6,381 2,820,225
Helvetia Patria Holding, St. Gallen.................. 4,830 4,512,429
Holderbank Financiere Glarus AG, Glarus.............. 900 1,045,211
Intershop Holding AG, Zuerich........................ 6,840 4,379,794
Jelmoli Holding AG, Zuerich.......................... 500 574,923
Oerlikon-Buehrle Holding AG, Zuerich................. 44,781 5,728,405
Pargesa Holding SA, Geneve........................... 1,935 3,267,900
Roche Holding AG, Basel.............................. 892 16,042,012
*Sairgroup, Zuerich.................................. 37,480 8,309,496
Schindler Holding AG, Hergiswil...................... 3,469 5,733,925
Schweizerische National Versicherungs Gesellschaft,
Basel.............................................. 1,606 3,860,660
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall............................. 8,066 5,216,998
Sika Finanz AG, Baar................................. 1,280 362,432
Sulzer AG, Winterthur................................ 8,280 4,694,910
*United Bank of Switzerland.......................... 43,001 12,979,195
Von Roll Holding AG, Gerlafingen..................... 15,045 419,511
--------------
TOTAL COMMON STOCKS
(Cost $105,839,774).................................. 137,424,087
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Swiss Francs (Cost $386,306)........................ 393,304
--------------
TOTAL -- SWITZERLAND
(Cost $106,226,080).................................. 137,817,391
--------------
NETHERLANDS -- (6.5%)
COMMON STOCKS -- (6.5%)
ABN Amro Holding NV.................................. 1,286,318 26,582,115
Asr Verzekeringsgroep NV............................. 40,139 3,273,723
Bijenkorf Beheer KBB NV, Amsterdam................... 10,648 921,503
*Buhrmann NV......................................... 77,840 1,269,721
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
DSM NV............................................... 39,466 $ 3,699,071
Fortis Amev NV....................................... 273,660 20,166,597
Ing Groep NV......................................... 730,272 41,941,478
KLM (Koninklijke Luchtvaart Mij NV).................. 79,274 2,174,590
Koninklijke Hoogovens NV............................. 33,566 1,052,800
Nationale Investeringsbank NV........................ 45,925 1,264,601
Pakhoed NV........................................... 37,037 913,016
Philips Electronics NV............................... 110,000 6,981,087
Stork NV............................................. 27,615 705,373
--------------
TOTAL COMMON STOCKS
(Cost $59,345,479)................................... 110,945,675
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Netherlands Guilder (Cost $4)....................... 4
--------------
TOTAL -- NETHERLANDS
(Cost $59,345,483)................................... 110,945,679
--------------
ITALY -- (5.9%)
COMMON STOCKS -- (5.9%)
Banca Commerciale Italiana SpA....................... 3,565,000 24,467,251
*#Banca di Roma...................................... 7,168,500 12,438,844
Banca Toscana........................................ 607,000 2,867,945
*CIR SpA (Cie Industriale Riunite), Torino........... 885,000 973,730
Cartiere Burgo SpA................................... 235,000 1,473,882
Cia Assicuratrice Unipol SpA......................... 116,134 491,132
#Fiat SpA............................................ 3,967,399 12,204,464
*Finmeccanica SpA.................................... 4,331,475 4,010,265
Ifil Finanziaria Partecipazioni SpA, Torino.......... 1,020,375 4,181,090
*Ing C.Olivetti & C SpA, Ivrea....................... 2,400,000 6,307,678
#Italcementi Fabbriche Riunite Cemento SpA,
Bergamo............................................ 364,000 3,676,636
Italmobiliare SpA, Milano............................ 14,330 453,657
Magneti Marelli SpA.................................. 700,000 1,223,009
Montedison SpA....................................... 5,375,000 6,437,222
San Paolo-Imi SpA.................................... 1,003,500 16,513,708
Sirti SpA............................................ 25,000 144,252
#Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA......................................... 168,350 2,730,163
--------------
TOTAL COMMON STOCKS
(Cost $53,907,829)................................... 100,594,928
--------------
RIGHTS/WARRANTS -- (0.0%)
*Finmeccanica SpA Warrants 06/30/00 (Cost $0)........ 2,406,375 188,296
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Italian Lira (Cost $962)............................ 963
--------------
TOTAL -- ITALY
(Cost $53,908,791)................................... 100,784,187
--------------
SPAIN -- (3.7%)
COMMON STOCKS -- (3.7%)
Acerinox SA.......................................... 154,740 3,688,894
Autopistas Concesionaria Espanola SA................. 432,180 6,608,255
Autopistas del Mare Nostrum SA....................... 176,800 4,300,805
Azucarera Ebro Agricolas SA.......................... 111,600 2,644,953
Banco Pastor SA, La Coruna........................... 39,600 2,477,064
</TABLE>
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<TABLE>
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<S> <C> <C>
Cementos Portland SA................................. 26,000 $ 1,145,677
Compania Espanola de Petroleos SA, Madrid............ 149,794 5,413,738
Corporacion Mapfre Compania Internacional de
Reaseguros SA, Majadah Onda........................ 36,300 1,009,174
Cristaleria Espanola SA, Madrid...................... 40,544 2,817,911
DRACONSA (Dragados y Construcciones SA).............. 152,189 4,934,400
FESCA (Fuerzas Electricas de Cataluna SA) Series A... 180,000 2,082,985
Hidroelectrica del Cantabrico SA, Oviedo............. 99,900 4,846,412
Iberdrola SA......................................... 535,000 8,886,917
Metrovacesa SA....................................... 89,964 2,482,325
Portland Valderrivas SA.............................. 2,784 113,001
Sevillana de Electricidad SA......................... 210,000 2,955,587
Union Electrica Fenosa SA............................ 230,000 3,412,913
Uralita SA........................................... 24,500 271,598
Vallehermoso SA...................................... 240,000 2,835,696
--------------
TOTAL COMMON STOCKS
(Cost $46,442,580)................................... 62,928,305
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Spanish Peseta (Cost $9,200)........................ 9,150
--------------
TOTAL -- SPAIN
(Cost $46,451,780)................................... 62,937,455
--------------
AUSTRALIA -- (2.6%)
COMMON STOCKS -- (2.6%)
Amcor, Ltd........................................... 505,844 2,207,439
#Boral, Ltd.......................................... 978,032 1,463,669
CSR, Ltd............................................. 842,897 2,029,953
Fosters Brewing Group, Ltd........................... 1,570,209 4,117,241
GIO Australia Holdings, Ltd.......................... 480,488 1,568,060
George Weston Foods, Ltd............................. 65,489 280,021
MIM Holdings......................................... 1,367,660 670,788
News Corp., Ltd...................................... 1,166,134 8,192,774
North, Ltd........................................... 411,303 770,710
Pacific Dunlop, Ltd.................................. 756,467 1,346,137
Pioneer International, Ltd........................... 658,231 1,398,968
Publishing and Broadcasting, Ltd..................... 176,912 770,353
Qantas Airways, Ltd.................................. 889,612 1,578,594
#Rio Tinto, Ltd...................................... 481,023 6,200,582
*Stockland Trust Group............................... 5,261 12,240
Stockland Trust Group................................ 151,831 379,021
#Suncorp Metway Limited.............................. 35,000 183,987
WMC, Ltd............................................. 844,189 2,664,217
Westpac Banking Corp................................. 1,327,595 8,865,493
--------------
TOTAL COMMON STOCKS
(Cost $44,621,954)................................... 44,700,247
--------------
RIGHTS/WARRANTS -- (0.0%)
*Suncorp Metway, Limited Rights 12/23/98 (Cost $0)... 17,500 36,973
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Australian Dollar (Cost $14,375).................... 14,143
--------------
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
PREFERRED STOCKS -- (0.0%)
Village Roadshow, Ltd. 2.2% Class A
(Cost $6,026)...................................... 1,867 $ 2,700
--------------
TOTAL -- AUSTRALIA
(Cost $44,642,355)................................... 44,754,063
--------------
SWEDEN -- (2.4%)
COMMON STOCKS -- (2.4%)
Assidomaen AB........................................ 164,500 2,879,384
*Asticus AB.......................................... 30,685 260,988
Electrolux AB Series B............................... 44,500 680,185
*Fastighets AB Balder................................ 8,000 75,932
Kinnevik Industrifoervaltnings AB Series A........... 3,200 88,752
Kinnevik Industrifoervaltnings AB Series B........... 36,000 1,025,085
Mo Och Domsjoe AB Series A........................... 6,300 145,997
Mo Och Domsjoe AB Series B........................... 118,300 2,712,333
NCC AB Series A...................................... 45,400 391,741
NCC AB Series B...................................... 95,000 819,723
SSAB Swedish Steel Series A.......................... 129,900 1,168,900
SSAB Swedish Steel Series B.......................... 48,000 443,760
Skandinaviska Enskilda Banken Series A............... 100,000 1,140,216
Stora Kopparbergs Bergslags AB Series A.............. 340,300 4,194,761
Stora Kopparbergs Bergslags AB Series B.............. 79,400 978,736
Svedala Industri..................................... 28,700 428,068
Svenska Cellulosa AB Series A........................ 57,000 1,243,636
#Svenska Cellulosa AB Series B....................... 217,600 4,787,870
Svenska Handelsbanken Series A....................... 80,000 3,234,515
Svenska Kullagerfabriken AB Series A................. 68,400 876,869
#Svenska Kullagerfabriken AB Series B................ 89,700 1,160,986
Sydkraft AB Series C................................. 6,600 134,237
Trelleborg AB Series B............................... 146,400 1,236,166
Volvo AB Series A.................................... 192,600 4,356,499
Volvo AB Series B.................................... 305,100 7,108,031
--------------
TOTAL COMMON STOCKS
(Cost $44,388,488)................................... 41,573,370
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Swedish Krona (Cost $1,987)......................... 2,011
--------------
TOTAL -- SWEDEN
(Cost $44,390,475)................................... 41,575,381
--------------
HONG KONG -- (2.0%)
COMMON STOCKS -- (2.0%)
Amoy Properties, Ltd................................. 4,570,500 3,305,541
HKR International, Ltd............................... 1,077,384 723,543
Hang Lung Development Co., Ltd....................... 2,126,000 2,457,407
Hysan Development Co., Ltd........................... 1,646,000 2,402,144
Kerry Properties, Ltd................................ 1,261,000 1,017,855
New World Development Co. Ltd........................ 1,502,105 3,647,110
Shangri-la Asia, Ltd................................. 2,982,000 2,657,342
Sino Hotels (Holdings), Ltd.......................... 391,653 47,547
Sino Land Co., Ltd................................... 4,915,200 2,523,301
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
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<S> <C> <C>
Swire Pacific, Ltd. Series A......................... 1,018,000 $ 4,614,723
Tsim Sha Tsui Properties, Ltd........................ 1,174,000 1,743,639
Wharf Holdings, Ltd.................................. 3,672,000 5,809,376
#Wheelock and Co., Ltd............................... 3,243,000 2,952,751
--------------
TOTAL COMMON STOCKS
(Cost $52,390,260)................................... 33,902,279
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $3)......................... 3
--------------
TOTAL -- HONG KONG
(Cost $52,390,263)................................... 33,902,282
--------------
BELGIUM -- (1.9%)
COMMON STOCKS -- (1.9%)
*Banque Bruxelles Lambert VVPR....................... 128 4
Bekaert SA........................................... 3,400 1,832,041
#Credit Communal Holding Dexia Belgium............... 5,400 910,059
Electrabel SA........................................ 4,600 1,793,062
Electrafina SA....................................... 8,000 1,098,308
Fortis AG............................................ 32,270 10,266,454
Fortis AG VVPR....................................... 32,270 925
*Fortis AG CVG....................................... 32,270 184,056
Generale de Banque SA VVPR........................... 630 18
#Glaverbel SA........................................ 14,812 1,914,647
Glaverbel SA VVPR.................................... 22 1
#Groupe Bruxelles Lambert SA, Bruxelles.............. 6,300 1,186,327
Nationale a Portefeuille............................. 4,700 422,313
Sofina SA............................................ 10,500 556,749
Solvay SA............................................ 101,490 7,155,779
Suez Lyonnaise des Eaux.............................. 19,080 3,828,027
*Suez Lyonnaise des Eaux SA VVPR..................... 19,080 547
*Suez Lyonnaise ds Eaux CVG.......................... 19,080 136,715
Union Miniere SA..................................... 40,200 1,843,506
--------------
TOTAL COMMON STOCKS
(Cost $23,211,779)................................... 33,129,538
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Belgian Francs...................................... 11,575
--------------
TOTAL -- BELGIUM
(Cost $23,314,256)................................... 33,141,113
--------------
DENMARK -- (1.3%)
COMMON STOCKS -- (1.3%)
Den Danske Bank A.S.................................. 44,140 5,699,445
Forsikringsselskabet Codan A.S....................... 7,662 893,975
Jyske Bank A.S....................................... 9,990 948,020
#Kapital Holdings A.S................................ 32,497 1,819,985
Tele Danmark A.S. Series B........................... 70,184 7,861,270
Tryg Baltica Forsikring A.S.......................... 56,055 1,395,264
Unidanmark A.S. Series A............................. 51,864 4,243,985
--------------
TOTAL COMMON STOCKS
(Cost $16,803,513)................................... 22,861,944
--------------
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
INVESTMENT IN
CURRENCY -- (0.0%)
*Danish Krone (Cost $8,726).......................... $ 9,017
--------------
TOTAL -- DENMARK
(Cost $16,812,239)................................... 22,870,961
--------------
FINLAND -- (0.7%)
COMMON STOCKS -- (0.7%)
#Asko Oyj............................................ 48,100 763,348
#Enso Oy Series A.................................... 74,500 659,257
#Enso Oy Series R.................................... 157,400 1,392,847
Kemira Oyj........................................... 197,000 1,329,484
#Kesko Oyj........................................... 88,600 1,188,968
#Metsa-Serla Oyj Series B............................ 214,600 1,673,638
Outokumpu Oyj Series A............................... 190,500 1,815,426
Rauma Oyj............................................ 25,900 365,195
#Rautaruukki Oy Series K............................. 203,800 1,307,993
#Upm-Kymmene Oyj..................................... 48,900 1,283,896
Valmet Corp.......................................... 20,000 272,280
--------------
TOTAL COMMON STOCKS
(Cost $15,587,453)................................... 12,052,332
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Finnish Markka (Cost $1,470)........................ 1,542
--------------
TOTAL -- FINLAND
(Cost $15,588,923)................................... 12,053,874
--------------
SINGAPORE -- (0.5%)
COMMON STOCKS -- (0.5%)
Fraser & Neave, Ltd.................................. 682,000 2,360,320
Industrial & Commercial Bank, Ltd.................... 13,000 21,312
Keppel Corp., Ltd.................................... 1,011,000 2,664,112
*Sembcorp Industries, Ltd............................ 272,112 323,829
Singapore Airlines, Ltd. (Foreign)................... 40,000 279,299
Singapore Land, Ltd.................................. 1,048,000 2,507,086
--------------
TOTAL COMMON STOCKS
(Cost $12,184,739)................................... 8,155,958
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Singapore Dollars (Cost $4,255)..................... 4,462
--------------
TOTAL -- SINGAPORE
(Cost $12,188,994)................................... 8,160,420
--------------
NORWAY -- (0.4%)
COMMON STOCKS -- (0.4%)
Bergesen Dy ASA Series A............................. 105,892 1,305,119
Den Norske Bank ASA Series A......................... 589,194 2,289,052
Kvaerner ASA......................................... 59,851 906,044
Norsk Hydro ASA...................................... 31,700 1,193,342
Norske Skogindustrier ASA Series A................... 52,781 1,449,542
--------------
TOTAL COMMON STOCKS
(Cost $10,772,769)................................... 7,143,099
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Norwegian Krone (Cost $182)......................... 180
--------------
TOTAL -- NORWAY
(Cost $10,772,951)................................... 7,143,279
--------------
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
MALAYSIA -- (0.3%)(##)
COMMON STOCKS -- (0.3%)
Berjaya Group Berhad................................. 1,302,500 $ 155,916
*Berjaya Industrial Berhad........................... 691,000 58,538
Berjaya Leisure Berhad............................... 235,000 80,064
Genting Berhad....................................... 750,000 1,111,878
Golden Hope Plantations Berhad....................... 1,340,000 769,945
Hap Seng Consolidated Berhad......................... 70,000 32,615
Highlands and Lowlands Berhad........................ 607,000 279,466
Hong Leong Credit Berhad............................. 309,000 168,442
IOI Corp. Berhad..................................... 436,000 167,816
Kuala Lumpur Kepong Berhad........................... 677,000 660,792
Malaysian Resources Corp. Berhad..................... 332,000 95,381
*Renong Berhad....................................... 783,000 183,133
Sime Darby Berhad (Malaysia)......................... 621,000 404,851
Southern Bank Berhad (Foreign)....................... 292,500 95,345
Tenaga Nasional Berhad............................... 193,000 179,494
--------------
TOTAL -- MALAYSIA
(Cost $15,724,172)................................... 4,443,676
--------------
NEW ZEALAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Carter Holt Harvey, Ltd.............................. 1,176,400 1,123,517
Lion Nathan, Ltd..................................... 372,400 951,045
--------------
TOTAL COMMON STOCKS
(Cost $2,576,882).................................... 2,074,562
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*New Zealand Dollar (Cost $102)...................... 107
--------------
TOTAL -- NEW ZEALAND
(Cost $2,576,984).................................... 2,074,669
--------------
IRELAND -- (0.1%)
COMMON STOCKS -- (0.1%)
Greencore Group P.L.C................................ 51,690 220,228
<CAPTION>
SHARES VALUE+
------------ --------------
<S> <C> <C>
Independent Newspapers P.L.C......................... 67,749 $ 243,859
Irish Life P.L.C..................................... 60,824 518,289
Jefferson Smurfit Group P.L.C........................ 292,012 583,457
--------------
TOTAL COMMON STOCKS
(Cost $1,461,157).................................... 1,565,833
--------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Irish Punt (Cost $7,838)............................ 7,673
--------------
TOTAL -- IRELAND
(Cost $1,468,995).................................... 1,573,506
--------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.2%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.125%, 12/31/01, valued at $20,240,325) to be
repurchased at $19,936,741.
(Cost $19,934,000)................................. $ 19,934 19,934,000
--------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $1,565,836,431)++.............................. $1,711,336,145
--------------
--------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $1,570,276,932.
## Illiquid securities fair valued by the Board of Trustees.
</TABLE>
See accompanying Notes to Financial Statements.
188
<PAGE>
THE JAPANESE SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
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JAPAN -- (98.7%)
COMMON STOCKS -- (98.7%)
ASK Corp., Yokohama................................... 64,000 $ 89,554
Achilles Corp......................................... 549,000 736,943
Aica Kogyo Co., Ltd................................... 164,000 544,354
Aichi Corp............................................ 57,000 171,575
Aichi Machine Industry Co., Ltd....................... 157,000 357,631
Aichi Steel Works, Ltd................................ 249,000 417,296
Aichi Tokei Denki Co., Ltd............................ 67,000 138,993
Aida Engineering, Ltd................................. 160,000 572,730
#Akai Electric Co., Ltd............................... 401,000 440,408
#Akebono Brake Industry Co., Ltd...................... 141,000 277,595
Amada Metrecs Co., Ltd................................ 90,000 423,202
Amada Sonoike Co., Ltd................................ 132,000 357,598
*Amada Wasino Co., Ltd................................ 122,000 160,787
Ando Corp............................................. 120,000 204,035
Anest Iwata Corp...................................... 74,000 163,749
*#Aoki Corp........................................... 70,000 42,141
Aoki International Co., Ltd........................... 58,200 284,087
Arai-Gumi, Ltd........................................ 49,300 110,295
#Araya Industrial Co., Ltd............................ 84,000 116,173
#Asahi Denka Kogyo KK................................. 169,000 734,185
Asahi Diamond Industrial Co., Ltd..................... 80,000 359,909
Asahi Kogyosha Co., Ltd............................... 48,000 163,228
Asahi Optical Co., Ltd................................ 162,000 593,068
#Asahi Organic Chemicals Industry Co., Ltd............ 259,000 752,221
*Asahi Tec Corp....................................... 86,000 153,921
Asanuma Corp.......................................... 145,000 218,231
Ashimori Industry Co., Ltd............................ 84,000 152,392
*Asics Corp........................................... 333,000 322,380
#Atsugi Nylon Industrial Co., Ltd..................... 254,000 241,767
Azel Corp., Tokyo..................................... 89,000 174,496
Bando Chemical Industries, Ltd........................ 213,000 519,850
*Bank of Okinawa, Ltd................................. 19,300 389,391
*#Bank of Osaka, Ltd.................................. 393,000 613,863
#Bank of the Ryukyus, Ltd............................. 20,280 250,778
Bunka Shutter Co., Ltd................................ 134,000 307,419
C.I. Kasei Co., Ltd................................... 46,000 111,520
#CKD Corp............................................. 113,000 307,964
*#Cabin Co., Ltd...................................... 67,000 115,555
Calpis Co., Ltd....................................... 194,000 787,553
Central Finance Co., Ltd.............................. 180,000 322,161
Central Glass Co., Ltd................................ 384,000 656,036
#Cesar Co............................................. 79,000 152,961
#Chiba Kogyo Bank, Ltd................................ 38,100 626,114
Chino Corp............................................ 70,000 154,328
*Chisan Tokan Co., Ltd................................ 64,000 59,356
*#Chiyoda Corp........................................ 275,000 635,372
*Chori Co., Ltd....................................... 175,000 223,519
Chuetsu Pulp and Paper Co., Ltd....................... 172,000 272,860
Chugai Ro Co., Ltd.................................... 139,000 316,629
Chugoku Marine Paints, Ltd............................ 111,000 262,781
Chugokukogyo Co., Ltd................................. 45,000 68,459
Chukyo Coca-Cola Bottling Co., Ltd.................... 84,000 710,706
Chukyo Sogo Bank, Ltd................................. 145,000 488,366
*Chuo Paperboard Co., Ltd............................. 62,000 39,847
Chuo Spring Co., Ltd., Nagoya......................... 99,000 264,977
#Cleanup Corp......................................... 72,000 374,878
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*Co-Op Chemical Co., Ltd.............................. 80,000 $ 65,734
*#Copal Co., Ltd...................................... 78,000 314,107
*Cosmo Securities Co., Ltd............................ 446,000 250,358
D'urban, Inc.......................................... 114,000 168,793
*Dai Nippon Toryo, Ltd................................ 193,000 307,745
Dai-Dan Co., Ltd...................................... 80,000 520,664
*Daido Concrete Co., Ltd.............................. 33,000 0
*Daido Hoxan, Inc..................................... 196,000 430,524
Daido Kogyo Co., Ltd.................................. 60,000 114,221
Daido Steel Sheet Corp................................ 84,000 234,396
Daidoh, Ltd........................................... 54,000 145,412
*#Daiei OMC, Inc...................................... 371,000 401,424
#Daihen Corp.......................................... 205,000 353,563
Daiho Corp............................................ 96,000 185,096
Daiichi Cement Co., Ltd............................... 33,000 38,122
*Daiichi Chuo Kisen Kaisha............................ 390,000 247,478
*Dai-Ichi Hotel, Ltd., Tokyo.......................... 52,000 56,264
Daiichi Jitsugyo Co., Ltd............................. 80,000 158,152
*#Dai-Ichi Katei Denki Co., Ltd....................... 91,000 59,225
*Dai-Ichi Kogyo Seiyaku Co., Ltd...................... 47,000 95,591
*Dai-Ichi Securities Co., Ltd......................... 228,000 133,550
#Daiken Corp.......................................... 187,000 486,821
#Daiki Co., Ltd....................................... 28,000 259,681
*#Daikyo, Inc......................................... 268,000 353,205
Daimei Telecom Engineering Corp....................... 66,000 393,573
Dainichiseika Colour & Chemicals Manufacturing Co.,
Ltd................................................. 163,000 534,404
Daiso Co., Ltd........................................ 112,000 228,702
*#Daisue Construction Co., Ltd........................ 185,000 135,454
*Daito Woolen Spinning & Weaving Co., Ltd., Tokyo..... 42,000 47,836
*#Daiwa Danchi Co., Ltd............................... 202,000 443,703
#Daiwa Seiko, Inc..................................... 145,000 326,757
Daiwabo Co., Ltd...................................... 262,000 289,880
*#Dantani Corp........................................ 68,000 77,449
Danto Corp............................................ 42,000 205,011
Denki Kogyo Co., Ltd.................................. 89,000 510,454
#Deodeo Corp.......................................... 14,200 113,096
Descente, Ltd......................................... 133,000 244,533
Dijet Industrial Co., Ltd............................. 34,000 52,831
Dynic Corp............................................ 52,000 109,144
Eagle Industry Co., Ltd............................... 43,000 110,893
*Enshu, Ltd........................................... 69,000 117,882
*FDK Corp............................................. 94,000 237,829
*First Baking Co., Ltd................................ 67,000 100,838
#France Bed Co., Ltd.................................. 193,000 579,377
Fudo Construction Co., Ltd............................ 201,000 367,922
*#Fuji Car Manufacturing Co., Ltd..................... 36,000 48,617
Fuji Denki Reiki Co., Ltd............................. 81,800 298,132
Fuji Kiko Co., Ltd.................................... 51,000 89,204
*Fuji Kosan Co., Ltd.................................. 130,000 135,373
Fuji Kyuko Co., Ltd................................... 178,000 579,238
Fuji Oil Co., Ltd..................................... 135,000 706,191
*Fuji Spinning Co., Ltd., Tokyo....................... 163,000 194,932
*Fujii & Co., Ltd..................................... 44,000 46,892
Fujiko Co., Ltd....................................... 55,000 45,192
Fujirebio, Inc........................................ 75,000 236,129
*#Fujiya Co., Ltd..................................... 190,000 400,342
Fukuda Corp........................................... 65,000 172,388
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Fukushima Bank, Ltd................................... 80,000 $ 180,931
*#Fukusuke Corp....................................... 95,000 149,935
*#Furukawa Battery Co., Ltd........................... 45,000 75,415
#Furukawa Co., Ltd.................................... 152,000 233,713
Fuso Pharmaceutical Industries, Ltd................... 231,000 975,341
*Ga-jo-en Kanko KK.................................... 37,000 0
*Gakken Co., Ltd...................................... 158,000 200,521
Gastec Service, Inc................................... 41,000 155,101
Godo Shusei Co., Ltd.................................. 74,000 190,840
*Godo Steel, Ltd...................................... 245,000 219,248
*Goldwin, Inc......................................... 47,000 47,795
Gourmet Kineya Co., Ltd............................... 28,000 195,900
*#Graphtec Corp....................................... 39,000 64,725
Gun-Ei Chemical Industry Co., Ltd..................... 164,000 274,845
*Gunze Sangyo, Inc., Tokyo............................ 90,000 113,488
*Hakone Tozan Railway Co., Ltd........................ 52,000 131,565
Hakuyosha Co., Ltd.................................... 57,000 150,708
*#Hanshin Sogo Bank, Ltd.............................. 189,000 372,096
*#Hanwa Co., Ltd...................................... 358,000 352,408
Harima Chemicals, Inc................................. 37,000 136,658
*Hayashikane Sangyo Co., Ltd.......................... 128,000 148,910
*#Hazama Corp......................................... 19,000 13,448
Heiwado Co., Ltd...................................... 74,000 478,604
Hibiya Engineering, Ltd............................... 60,000 233,811
Hisaka Works, Ltd..................................... 48,000 205,011
Hisamitsu Pharmaceutical Co., Inc..................... 50,000 563,374
*Hitachi Electronics, Ltd............................. 100,000 463,716
Hitachi Medical Corp.................................. 28,000 281,093
Hitachi Plant Engineering & Construction Co., Ltd..... 204,000 547,673
Hitachi Powdered Metal Co., Ltd....................... 41,000 183,453
Hitachi Seiki Co., Ltd................................ 141,000 240,888
Hochiki Corp.......................................... 42,000 135,991
*Hodogaya Chemical Co., Ltd........................... 100,000 158,640
*Hohsui Corp.......................................... 56,000 53,303
Hokkai Can Co., Ltd., Tokyo........................... 116,000 251,025
*Hokkaido Bank, Ltd................................... 100,000 125,285
Hokkaido Gas Co., Ltd................................. 87,000 157,127
Hokko Chemical Industry Co., Ltd...................... 41,000 96,730
*Hoko Fishing Co., Ltd................................ 79,000 73,267
*#Hokuriku Electric Industry Co., Ltd................. 112,000 145,786
Hokuriku Electrical Construction Co., Ltd............. 36,000 88,448
Hokushin Co., Ltd..................................... 39,900 94,784
Honen Corp............................................ 128,000 239,505
#Horiba, Ltd.......................................... 54,000 549,138
#Hosokawa Micron Corp................................. 40,000 273,348
#Howa Machinery, Ltd.................................. 181,000 207,623
*Ichida and Co., Ltd.................................. 78,000 70,436
Ichikawa Co., Ltd..................................... 49,000 87,699
Ichiken Co., Ltd...................................... 48,000 57,794
Ichikoh Industries, Ltd............................... 141,000 234,006
Idec Izumi Corp....................................... 60,000 305,076
Ihara Chemical Industry Co., Ltd...................... 80,000 278,555
Iino Kaiun Kaisha, Ltd................................ 161,000 289,465
Ikegai Corp........................................... 90,000 107,631
#Ikegami Tsushinki Co., Ltd........................... 102,000 214,090
Inabata and Co., Ltd., Osaka.......................... 85,000 232,346
Inageya Co., Ltd...................................... 80,000 637,813
Intec, Inc............................................ 67,000 580,499
*Inui Steamship Co., Ltd.............................. 31,000 25,220
*#Iseki & Co., Ltd.................................... 322,000 348,405
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*Ishihara Sangyo Kaisha, Ltd.......................... 193,000 $ 314,025
Ishii Iron Works Co., Ltd............................. 52,000 97,299
*#Ishikawa Seisakusho, Ltd............................ 75,000 172,673
Ishizuka Glass Co., Ltd............................... 49,000 105,638
Itochu Fuel Corp...................................... 192,000 618,548
Itoki Crebio Corp..................................... 56,000 111,617
Iwasaki Electric Co., Ltd............................. 110,000 212,089
*Iwatsu Electric Co., Ltd............................. 145,000 212,333
Izumi Co., Ltd........................................ 64,000 426,944
Izutsuya Co., Ltd..................................... 118,000 199,675
#JDC Corp............................................. 256,000 135,373
JGC Corp.............................................. 172,000 432,379
JMS Co., Ltd.......................................... 59,000 187,195
*Janome Sewing Machine Co., Ltd....................... 224,000 287,927
Japan Aircraft Manufacturing Co., Ltd................. 70,000 183,371
Japan Aviation Electronics Industry, Ltd.............. 130,000 391,311
Japan Carlit Co., Ltd................................. 28,000 79,954
*#Japan Coated Paper Manufacturing Co., Ltd........... 132,000 137,455
Japan Digital Laboratory Co., Ltd..................... 42,500 508,257
Japan Foundation Engineering Co., Ltd................. 49,200 344,224
*#Japan Metals & Chemicals Co., Ltd................... 201,000 395,721
Japan Oil Transportation Co., Ltd..................... 45,000 84,933
Japan Paperboard Industries Co., Ltd., Tokyo.......... 127,000 247,966
Japan Pulp and Paper Co., Ltd......................... 195,000 650,423
*Japan Steel Works, Ltd............................... 226,000 294,175
Japan Storage Battery Co., Ltd........................ 173,000 346,225
Japan Transcity Corp.................................. 90,000 207,208
Japan Vilene Co., Ltd................................. 101,000 205,418
Japan Wool Textile Co., Ltd........................... 57,000 268,955
#Jeol, Ltd............................................ 97,000 442,702
Joban Kosan Co., Ltd.................................. 101,000 193,093
#Joshin Denki Co., Ltd................................ 98,000 239,977
*Jujiya Co., Ltd...................................... 161,000 165,034
Juken Sangyo Co., Ltd................................. 86,000 233,680
Juki Corp............................................. 153,000 311,178
Kagawa Bank, Ltd...................................... 129,350 644,014
Kagome Co., Ltd....................................... 109,000 842,418
Kahma Co., Ltd........................................ 42,000 239,180
Kaken Pharmaceutical Co., Ltd......................... 138,000 461,422
*#Kakuei (L.) Corp.................................... 100,000 81,354
#Kamei Corp........................................... 59,000 259,193
#Kanaden Corp......................................... 50,000 215,587
Kanagawa Chuo Kotsu Co., Ltd.......................... 90,000 311,178
Kanematsu Corp........................................ 409,000 389,302
Kanematsu Electronics, Ltd............................ 38,000 173,430
Kanematsu-NNK Corp.................................... 60,000 202,571
*Kansai Kisen Kaisha.................................. 184,000 97,299
Kansei Corp........................................... 93,000 261,023
Kanto Auto Works, Ltd., Yokosuka...................... 122,000 391,051
Kanto Bank, Ltd....................................... 13,400 163,521
Kanto Denka Kogyo Co., Ltd............................ 83,000 212,699
Kanto Natural Gas Development Co., Ltd................ 104,000 523,723
*Kanto Special Steel Works, Ltd....................... 84,000 85,421
Kasho Co., Ltd., Tokyo................................ 46,000 321,835
#Kasumi Co., Ltd...................................... 132,000 495,054
Katakura Industries Co., Ltd.......................... 49,000 213,269
Kato Works Co., Ltd................................... 82,000 172,112
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Katsumura Construction Co., Ltd....................... 48,600 $ 62,074
#Kawada Industries, Inc............................... 76,000 157,663
Kawai Musical Instruments Manufacturing Co., Ltd...... 99,000 240,010
Kawashima Textile Manufacturers, Ltd.................. 126,000 179,385
#Kawasho Corp......................................... 208,000 241,978
Kawasho Gecoss Corp................................... 46,000 150,065
Kayaba Industry Co., Ltd.............................. 284,000 436,674
Keihin Co., Ltd....................................... 100,000 139,115
#Keiyo Co., Ltd....................................... 104,900 516,307
*Kimmon Manufacturing Co., Ltd........................ 41,000 65,376
#Kimura Chemical Plants Co., Ltd...................... 27,000 47,445
*Kinki Nippon Tourist Co., Ltd........................ 101,000 212,813
#Kinki Sharyo Co., Ltd., Nagaokakyo................... 101,000 163,513
Kinseki, Ltd.......................................... 56,000 258,770
*Kinsho-Mataichi Corp................................. 42,000 44,761
*Kinugawa Rubber Industrial Co., Ltd.................. 83,000 82,379
Kioritz Corp.......................................... 96,000 135,893
#Kitagawa Iron Works Co., Ltd......................... 124,000 206,801
Kita-Nippon Bank, Ltd................................. 14,306 663,392
Kitano Construction Corp.............................. 116,000 226,489
Kitz Corp............................................. 234,000 321,721
Koa Corp.............................................. 53,000 475,154
Koatsu Gas Kogyo Co., Ltd............................. 78,000 212,577
*Kobe Kiito Co., Ltd.................................. 53,000 39,237
Kokune Corp........................................... 42,000 44,419
Kokusai Kogyo Co., Ltd................................ 60,000 254,312
Komai Tekko, Inc...................................... 53,000 117,279
Komatsu Construction Co., Ltd......................... 29,000 40,107
Komatsu Forklift Co., Ltd............................. 153,000 241,474
Komatsu Seiren Co., Ltd............................... 75,000 277,620
Komatsu Zenoah Co..................................... 75,000 176,334
Kosei Securities Co., Ltd............................. 137,000 201,733
*Krosaki Corp......................................... 96,000 111,682
*#Kumiai Chemical Industry Co., Ltd., Tokyo........... 153,000 314,912
Kurabo Industries, Ltd................................ 331,000 371,607
#Kuraya Corp.......................................... 53,500 627,619
Kyodo Printing Co., Ltd............................... 88,000 411,650
Kyodo Shiryo Co., Ltd................................. 145,000 175,765
Kyoei Tanker Co., Ltd................................. 53,000 53,466
Kyokuto Kaihatsu Kogyo Co., Ltd....................... 38,300 140,213
*#Kyokuyo Co., Ltd.................................... 167,000 225,529
Kyosan Electric Manufacturing Co., Ltd................ 94,000 217,947
Kyowa Leather Cloth Co., Ltd.......................... 32,000 98,926
#Kyushu Bank, Ltd..................................... 146,000 472,730
Life Corp............................................. 83,000 374,756
#MR Max Corp.......................................... 50,300 186,599
Maezawa Industries, Inc............................... 30,700 287,219
Magara Construction Co., Ltd.......................... 61,000 88,334
Marudai Food Co., Ltd................................. 232,000 481,289
Maruei Department Store Co., Ltd...................... 72,000 181,581
Maruetsu, Inc......................................... 43,000 130,483
Maruha Corp........................................... 434,000 451,936
Marusan Securities Co., Ltd........................... 93,000 312,471
Maruwn Corp........................................... 44,000 163,228
*Maruyama Manufacturing Co., Inc...................... 73,000 146,095
#Maruzen Co., Ltd..................................... 179,000 428,132
Maruzen Showa Unyu Co., Ltd........................... 175,000 318,907
Matsui Construction Co., Ltd.......................... 40,000 97,624
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Matsuo Bridge Co., Ltd................................ 37,000 $ 65,921
#Matsuya Co., Ltd..................................... 74,000 225,155
Meiden Engineering Co., Ltd........................... 31,000 149,553
*Meiji Shipping Co., Ltd.............................. 47,000 72,649
Meisei Industrial Co., Ltd............................ 29,000 49,544
Meito Sangyo Co., Ltd................................. 38,000 333,876
*Meiwa Trading Co., Ltd............................... 55,000 100,675
Melco, Inc............................................ 32,000 501,139
#Misawa Homes Co., Ltd................................ 159,000 452,733
Misawa Resort Co., Ltd................................ 40,000 84,608
#Mitsuba Corp......................................... 67,000 257,818
Mitsubishi Cable Industries, Ltd...................... 238,000 406,606
*Mitsubishi Kakoki Kaisha, Ltd........................ 117,000 266,515
Mitsubishi Pencil Co., Ltd............................ 61,000 459,038
*Mitsubishi Plastics, Inc............................. 310,000 378,295
Mitsubishi Rayon Co. Ltd.............................. 81,200 216,674
*Mitsubishi Shindoh Co., Ltd.......................... 82,000 108,070
*#Mitsubishi Steel Manufacturing Co., Ltd............. 253,000 246,990
Mitsuboshi Belting, Ltd............................... 153,000 443,117
#Mitsui Construction Co., Ltd......................... 314,000 319,313
Mitsui Home Co., Ltd.................................. 93,000 491,783
#Mitsui Matsushima Co., Ltd........................... 90,000 112,024
*#Mitsui Mining Co., Ltd.............................. 225,000 223,316
Mitsui Sugar Co., Ltd................................. 116,000 197,234
Mitsui Wood Systems, Inc.............................. 41,500 86,093
Mitsui-Soko Co., Ltd.................................. 85,000 300,114
Mitsuuroko Co., Ltd................................... 106,000 483,778
Miura Co., Ltd........................................ 65,000 877,806
Miyaji Iron Works Co. Ltd............................. 90,000 151,562
*Miyakoshi Corp....................................... 18,000 19,037
#Miyoshi Oil & Fat Co., Ltd........................... 120,000 224,536
Miyuki Keori Co., Ltd................................. 50,000 187,927
*#Morinaga & Co., Ltd................................. 374,000 480,735
Morita Corp........................................... 72,000 158,152
*Morozoff, Ltd., Osaka................................ 50,000 85,015
Mory Industries, Inc.................................. 66,000 108,998
Mos Food Services, Inc................................ 20,000 252,196
*Mutoh Industries, Ltd................................ 61,000 66,498
Mutow Co., Ltd........................................ 38,000 185,177
NOF Corp.............................................. 54,000 100,602
Nabco, Ltd............................................ 120,000 208,916
Nachi-Fujikoshi Corp.................................. 65,000 106,289
*#Nagasakiya Co., Ltd. (Tokyo)........................ 231,000 328,872
Nagatanien Co., Ltd................................... 53,000 444,541
Naigai Co., Ltd....................................... 109,000 123,259
Nakabayashi Co., Ltd.................................. 92,000 234,266
Nakamuraya Co., Ltd................................... 85,000 227,506
*#Nakano Corp......................................... 66,000 83,225
#Nakayama Steel Works, Ltd............................ 206,000 383,778
*#Namihaya Bank Ltd................................... 177 335,511
*National Securities Co., Ltd......................... 146,000 79,580
*#Navix Line, Ltd..................................... 599,000 277,766
Nemic-Lambda KK....................................... 26,000 575,333
Neturen Co., Ltd., Tokyo.............................. 67,000 171,152
*New Japan Securities Co., Ltd........................ 263,000 248,194
Nichia Steel Works, Ltd............................... 64,900 243,401
Nichias Corp.......................................... 237,000 501,302
#Nichiban Co., Ltd.................................... 58,000 160,429
*Nichiboshin, Ltd..................................... 119,000 97,779
Nichiha Corp.......................................... 46,000 377,969
*Nichimo Co., Ltd..................................... 54,000 72,047
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Nichimo Corp.......................................... 85,000 $ 87,130
Nichireki Co., Ltd.................................... 44,000 164,660
#Nichiro Corp......................................... 289,000 399,691
Nifco, Inc............................................ 87,000 697,161
*Nihon Kentetsu Co., Ltd.............................. 27,000 68,972
Nihon Kohden Corp..................................... 85,000 257,932
Nihon Matai Co., Ltd.................................. 50,000 122,031
#Nihon Nohyaku Co., Ltd............................... 103,000 215,351
#Nihon Nosan Kogyo KK................................. 201,000 292,702
#Nihon Parkerizing Co., Ltd........................... 92,000 299,382
*Nihon Spindle Manufacturing Co., Ltd................. 56,000 87,016
Nihon Tokushu Toryo Co., Ltd.......................... 35,000 64,920
Niigata Chuo Bank, Ltd................................ 130,000 266,515
*Niigata Engineering Co., Ltd......................... 586,000 471,965
Nikken Chemicals Co., Ltd............................. 130,000 399,772
#Nikkiso Co., Ltd..................................... 114,000 732,671
Nikko Co., Ltd., Akashi............................... 65,000 134,844
#Nippon Beet Sugar Manufacturing Co., Ltd............. 265,000 433,331
#Nippon Carbide Industries Co., Inc., Tokyo........... 101,000 245,680
*#Nippon Carbon Co., Ltd.............................. 177,000 276,472
#Nippon Chemical Industrial Co., Ltd.................. 131,000 360,218
Nippon Chemi-Con Corp................................. 155,000 585,096
Nippon Chemiphar Co., Ltd............................. 49,000 115,604
#Nippon Chutetsukan KK................................ 44,000 83,404
Nippon Columbia Co., Ltd.............................. 99,000 206,183
#Nippon Concrete Industries Co., Ltd.................. 65,000 97,828
Nippon Conlux Co., Ltd................................ 63,000 265,490
*Nippon Conveyor Co., Ltd............................. 43,000 44,077
#Nippon Denko Co., Ltd................................ 159,000 240,595
Nippon Densetsu Kogyo Co., Ltd........................ 118,000 374,390
#Nippon Dry-Chemical Co., Ltd......................... 40,500 168,366
*Nippon Electric Industry Co., Ltd.................... 67,000 142,263
Nippon Felt Co., Ltd.................................. 28,000 75,171
Nippon Flour Mills Co., Ltd........................... 95,000 251,180
Nippon Formula Feed Manufacturing Co., Ltd............ 100,000 117,149
Nippon Gas Co., Ltd................................... 62,000 217,393
Nippon Hume Pipe Co., Ltd............................. 43,000 95,501
*#Nippon Kasei Chemical Co., Ltd...................... 113,000 160,877
Nippon Kinzoku Co., Ltd............................... 93,000 115,758
Nippon Koei Co., Ltd., Tokyo.......................... 146,000 358,705
*#Nippon Koshuha Steel Co., Ltd....................... 151,000 173,210
*Nippon Lace Co., Ltd................................. 26,000 37,862
*Nippon Metal Industry Co., Ltd....................... 282,000 312,008
Nippon Pipe Manufacturing Co., Ltd.................... 35,000 58,371
Nippon Piston Ring Co., Ltd........................... 133,000 200,171
Nippon Road Co., Ltd.................................. 147,000 252,335
Nippon Seisen Co., Ltd................................ 39,000 68,532
#Nippon Sharyo, Ltd................................... 132,000 353,303
Nippon Shinpan Co., Ltd............................... 189,000 345,957
Nippon Shinyaku Co., Ltd.............................. 174,000 1,019,199
Nippon Signal Co., Ltd................................ 109,000 487,715
*Nippon Steel Chemical Co., Ltd....................... 422,000 418,841
*Nippon Suisan Kaisha, Ltd............................ 276,000 307,615
Nippon Synthetic Chemical Industry Co., Ltd........... 152,000 323,983
Nippon Thompson Co., Ltd.............................. 92,000 434,103
Nippon Valqua Industries, Ltd......................... 119,000 184,909
*Nippon Yakin Kogyo Co., Ltd.......................... 243,000 166,059
Nippon Yusen KK....................................... 54,750 167,029
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Nippon Yusoki Co., Ltd................................ 49,000 $ 103,645
#Nissan Construction Co., Ltd......................... 128,000 166,612
*Nissan Diesel Motor Co., Ltd......................... 229,000 437,805
Nissan Shatai Co., Ltd................................ 351,000 765,278
*#Nisseki House Industry Co., Ltd..................... 260,000 361,699
Nissha Printing Co., Ltd.............................. 81,000 486,316
Nisshin Oil Mills, Ltd................................ 179,000 493,662
Nissin Corp........................................... 150,000 292,873
Nissin Electric Co., Ltd.............................. 187,000 394,020
#Nitsuko Corp......................................... 157,000 524,951
Nittetsu Mining Co., Ltd.............................. 147,000 393,451
Nitto Electric Works, Ltd............................. 59,000 431,988
Nitto Flour Milling Co., Ltd.......................... 54,000 113,781
Nitto Seiko Co., Ltd.................................. 56,000 111,617
*Nitto Seimo Co., Ltd................................. 32,000 36,446
#Nittoc Construction Co., Ltd......................... 61,000 166,246
Nohmi Bosai, Ltd...................................... 59,000 232,794
Noritz Corp........................................... 53,000 353,563
North Pacific Bank, Ltd............................... 146,000 577,253
*Nozaki and Co., Ltd.................................. 28,000 17,312
O-M, Ltd.............................................. 46,000 76,717
*OKK Corp............................................. 101,000 198,023
Obayashi Road Corp.................................... 65,000 126,912
Odakyu Construction Co., Ltd.......................... 29,000 77,855
*Odakyu Real Estate Co., Ltd.......................... 58,000 112,301
Ohki Corp............................................. 73,000 112,838
*Ohkura Electric Co., Ltd............................. 34,000 58,087
Okabe Co., Ltd........................................ 39,000 126,594
Okamoto Industries, Inc............................... 222,000 480,410
Okamura Corp.......................................... 197,000 479,198
*Okasan Securities Co., Ltd........................... 342,000 528,636
Oki Electric Cable Co., Ltd........................... 56,000 97,950
*#Okuma and Howa Machinery, Ltd....................... 69,000 182,997
*Okura and Co., Ltd................................... 128,000 67,686
Okura Industrial Co., Ltd............................. 96,000 210,869
Ono Sokki Co., Ltd.................................... 43,000 144,826
*Optec Dai-Ichi Denko Co., Ltd........................ 59,333 69,026
Organo Corp........................................... 101,000 410,836
Oriental Construction Co., Ltd........................ 39,000 144,362
Origin Electric Co., Ltd.............................. 54,000 235,031
Osaka Oxygen Industries, Ltd.......................... 190,000 332,330
Osaki Electric Co., Ltd............................... 56,000 171,754
P.S.C. Corp........................................... 35,000 131,264
#Pacific Industrial Co., Ltd.......................... 78,000 260,169
*Pacific Metals Co., Ltd.............................. 299,000 209,193
Parco Co., Ltd........................................ 82,000 327,546
*#Pasco Corp.......................................... 150,000 524,731
Pilot Corp............................................ 32,000 103,352
Pokka Corp............................................ 48,000 287,016
Press Kogyo Co., Ltd.................................. 143,000 159,380
*Prima Meat Packers, Ltd.............................. 230,000 263,830
Raito Kogyo Co., Ltd.................................. 72,700 618,648
#Rasa Industries, Ltd................................. 119,000 362,073
*Renown Look, Inc..................................... 50,000 52,066
*Renown, Inc.......................................... 402,000 281,256
Rheon Automatic Machinery Co., Ltd.................... 40,000 148,064
Rhythm Watch Co., Ltd................................. 344,000 478,555
#Riken Corp........................................... 193,000 303,034
Riken Keiki Co., Ltd.................................. 33,000 120,273
#Riken Vinyl Industry Co., Ltd........................ 123,000 405,263
Rohto Pharmaceutical Co., Ltd......................... 68,000 489,033
#Ryobi, Ltd........................................... 218,000 416,775
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Ryoden Trading Co., Ltd............................... 80,000 $ 258,379
Ryoyo Electro Corp.................................... 42,000 392,938
S.T. Chemical Co., Ltd................................ 48,000 175,724
SMK Corp.............................................. 127,000 419,476
SS Pharmaceutical Co., Ltd., Tokyo.................... 188,000 695,900
#SXL Corp............................................. 148,000 326,293
Saeki Kensetsu Kogyo Co., Ltd......................... 71,000 109,746
Sagami Co., Ltd....................................... 60,000 134,722
Sakai Chemical Industry Co., Ltd...................... 184,000 470,029
Sakai Heavy Industries, Ltd........................... 60,000 139,115
*Sakai Ovex Co., Ltd.................................. 85,000 121,014
Sakata Inx Corp....................................... 92,000 285,161
Sakurada Co., Ltd..................................... 38,000 59,046
San-Ai Oil Co., Ltd................................... 118,000 297,592
Sankei Building Co., Ltd.............................. 97,000 302,237
*Sanko Metal Industrial Co., Ltd., Tokyo.............. 54,000 61,064
*Sankyo Aluminum Industry Co., Ltd.................... 359,000 347,551
Sankyo Seiki Manufacturing Co., Ltd................... 84,000 354,670
Sankyo Seiko Co., Ltd................................. 86,000 230,882
#Sankyu, Inc., Tokyo.................................. 164,000 213,472
Sanshin Electronics Co., Ltd.......................... 51,000 343,126
*#Sansui Electric Co., Ltd............................ 353,000 129,230
Sanyo Industries, Ltd., Tokyo......................... 48,000 80,443
Sanyo Special Steel Co., Ltd.......................... 339,000 308,884
*Sasaki Glass Co., Ltd................................ 56,000 58,314
#Sasebo Heavy Industries Co., Ltd., Tokyo............. 257,000 307,346
Sata Construction Co., Ltd., Gumma.................... 61,000 93,793
#Sato Kogyo Co., Ltd.................................. 34,000 29,320
Sato Shoji Corp....................................... 31,000 80,703
*Sawafugji Electric Co., Ltd.......................... 31,000 47,917
#Seika Corp........................................... 145,000 294,907
*Seikitokyu Kogyo Co., Ltd............................ 86,000 74,162
Seiko Corp............................................ 43,000 188,903
Seiren Co., Ltd....................................... 81,000 243,817
Seiyo Food Systems, Inc............................... 137,000 498,202
Sekisui Jushi Co., Ltd................................ 85,000 359,583
Sekisui Plastics Co., Ltd............................. 150,000 203,791
Senko Co., Ltd........................................ 205,000 333,550
Senshukai Co., Ltd.................................... 71,000 457,468
*#Settsu Corp......................................... 324,000 121,250
Shibaura Engineering Works Co., Ltd................... 45,000 186,707
Shibusawa Warehouse Co., Ltd.......................... 119,000 306,891
Shibuya Kogyo Co., Ltd................................ 54,000 335,633
*Shikibo, Ltd......................................... 155,000 134,925
#Shikoku Chemicals Corp............................... 89,000 246,176
Shimizu Bank, Ltd..................................... 11,400 572,226
#Shimura Kako Co., Ltd................................ 55,000 85,015
Shin Nippon Air Technologies Co., Ltd................. 37,180 148,212
Shinagawa Fuel Co., Ltd............................... 160,000 559,713
#Shinagawa Refractories Co., Ltd...................... 116,000 389,749
Shindengen Electric Manufacturing Co., Ltd............ 50,000 233,078
Shin-Etsu Polymer Co., Ltd............................ 143,000 721,282
*#Shinko Electric Co., Ltd............................ 257,000 464,155
Shinko Shoji Co., Ltd................................. 41,000 214,139
*Shin-Kobe Electric Machinery Co., Ltd................ 71,000 175,016
Shinmaywa Industries, Ltd............................. 168,000 321,184
#Shinsho Corp......................................... 110,000 150,342
<CAPTION>
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<S> <C> <C>
*Shintom Co., Ltd..................................... 83,000 $ 61,446
*Shinwa Kaiun Kaisha, Ltd............................. 238,000 174,260
Shinyei Kaisha........................................ 54,000 74,243
Shiroki Co., Ltd...................................... 132,000 289,945
*#Shochiku Co., Ltd................................... 134,000 491,653
Shoko Co., Ltd........................................ 156,000 223,365
*#Shokusan Jutaku Sogo Co., Ltd....................... 207,000 117,882
#Showa Corp........................................... 117,000 671,998
Showa Electric Wire & Cable Co., Ltd., Kawasaki....... 132,000 214,774
Showa Highpolymer Co., Ltd............................ 79,000 236,511
Showa Sangyo Co., Ltd................................. 185,000 374,756
*Silver Seiko, Ltd.................................... 87,000 71,485
#Sintokogio, Ltd., Nagoya............................. 108,000 331,240
Soda Nikka Co., Ltd................................... 35,000 62,642
*#Sogo Co., Ltd....................................... 263,000 408,664
*Sokkisha Co., Ltd.................................... 40,000 61,829
#Sotetsu Rosen Co., Ltd............................... 42,000 189,635
Star Micronics Co., Ltd............................... 84,000 403,189
Subaru Enterprise Co., Ltd............................ 36,000 119,785
*Suminoe Textile Co., Ltd............................. 142,000 207,940
#Sumitomo Coal Mining Co., Ltd........................ 107,000 190,636
#Sumitomo Construction Co., Ltd....................... 320,000 385,291
*Sumitomo Corporation's Leasing, Ltd.................. 35,000 174,829
Sumitomo Densetsu Co., Ltd............................ 44,700 176,371
*#Sumitomo Light Metal Industries, Ltd................ 493,000 525,407
#Sumitomo Precision Products Co., Ltd., Amagasaki
City................................................ 78,000 243,671
#Sumitomo Seika Chemicals Co., Ltd.................... 102,000 258,070
#Sun Wave Corp........................................ 88,000 215,490
Sun-S, Inc............................................ 26,300 105,910
SunTelephone Co., Ltd................................. 65,000 166,043
*#Suzutan Co., Ltd.................................... 62,000 83,225
#TYK Corp............................................. 67,000 174,967
Tabai Espec Corp...................................... 34,000 154,897
Tadano, Ltd........................................... 23,000 61,935
Taihei Dengyo Kaisha, Ltd............................. 66,000 215,848
Taihei Kogyo Co., Ltd................................. 114,000 177,140
*#Taiheiyo Kaiun Co., Ltd............................. 72,000 39,831
*Taiheiyo Kouhatsu, Inc............................... 90,000 92,987
*Taiheiyo Securities Co., Ltd......................... 218,000 154,295
Taikisha, Ltd......................................... 97,000 751,253
Taisei Fire & Marine Insurance Co., Ltd............... 118,000 232,314
*Taisei Prefab Construction Co., Ltd.................. 134,000 160,251
Taisei Rotec Corp..................................... 127,000 207,672
Taito Co., Ltd........................................ 70,000 216,970
#Taiyo Toyo Sanso Co., Ltd............................ 232,000 394,468
Takada Kiko Co., Ltd.................................. 31,000 121,054
#Takaoka Electric Manufacturing Co., Ltd., Tokyo...... 156,000 260,169
*Taka-Q Co., Ltd...................................... 69,500 107,428
Takara Co., Ltd....................................... 39,000 212,260
*Takarabune Corp...................................... 52,000 57,956
Takasago International Corp........................... 116,000 594,533
*#Takasaki Paper Manufacturing Co., Ltd............... 157,000 136,666
Takashima & Co., Ltd.................................. 60,000 110,804
Takiron Co., Ltd...................................... 140,000 317,768
#Tamura Corp.......................................... 137,000 635,291
Tamura Electric Works, Ltd............................ 74,000 211,308
#Tasaki Shinju Co., Ltd............................... 53,000 155,654
</TABLE>
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CONTINUED
<TABLE>
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<S> <C> <C>
*Tateho Chemical Industries Co., Ltd.................. 26,500 $ 50,232
#Tatsuta Electric Wire & Cable Co., Ltd............... 106,000 156,948
*Tayca Corp........................................... 74,000 167,361
*Teac Corp............................................ 109,000 512,545
Teijin Seiki Co., Ltd................................. 138,000 314,351
Teikoku Hormone Manufacturing Co., Ltd................ 33,000 195,713
*Teikoku Sen-I Co., Ltd............................... 39,000 63,456
Teikoku Tsushin Kogyo Co., Ltd........................ 73,000 193,606
Teisan KK............................................. 219,000 548,747
#Tekken Corp.......................................... 274,000 414,611
Ten Allied Co., Ltd................................... 37,000 130,939
Tenma Corp............................................ 44,000 476,082
*Tesac Corp........................................... 92,000 89,814
#Tetra Co., Ltd., Tokyo............................... 28,000 47,836
The Daito Bank, Ltd................................... 72,000 207,940
Titan Kogyo KK........................................ 36,000 79,076
Toa Corp.............................................. 110,000 206,720
Toa Doro Kogyo Co., Ltd............................... 85,000 141,759
*Toa Wool Spinning & Weaving Co., Ltd................. 73,000 83,143
*#Tobishima Corp...................................... 100,000 70,778
*Tobu Store Co., Ltd.................................. 71,000 110,901
Tochigi Bank, Ltd..................................... 105,000 486,902
Tochigi Fuji Industrial Co., Ltd...................... 51,000 106,215
#Toda Kogyo Corp...................................... 88,000 425,252
Todentu Corp.......................................... 57,000 166,010
Toenec Corp........................................... 170,000 622,356
*#Toho Rayon Co., Ltd................................. 174,000 294,435
#Toho Real Estate Co., Ltd............................ 98,000 389,066
#Toho Zinc Co., Ltd................................... 205,000 578,710
*#Tohpe Corp.......................................... 36,000 57,110
Tohto Suisan Co., Ltd................................. 54,000 79,954
#Tokai Carbon Co., Ltd................................ 125,000 280,670
#Tokai Corp........................................... 108,000 478,848
*Tokai Kanko Co., Ltd................................. 198,000 107,924
Tokai Maruman Securities Co., Ltd..................... 99,000 167,524
#Tokai Pulp Co., Ltd.................................. 88,000 246,990
Tokai Rika Co., Ltd................................... 127,000 494,899
*Tokai Senko KK, Nagoya............................... 47,000 77,237
Tokico, Ltd........................................... 189,000 252,164
Tokimec, Inc.......................................... 119,000 201,367
Tokin Corp............................................ 82,000 435,617
Toko Electric Corp.................................... 39,000 106,606
Toko, Inc............................................. 90,000 363,163
#Tokushima Bank, Ltd.................................. 58,000 366,157
#Tokushu Paper Manufacturing Co., Ltd................. 119,000 710,592
Tokyo Denki Komusho Co., Ltd.......................... 57,000 199,862
Tokyo Kikai Seisakusho, Ltd........................... 94,400 587,504
*Tokyo Nissan Auto Sales Co., Ltd..................... 63,000 91,743
Tokyo Rakutenchi Co., Ltd............................. 92,000 260,462
#Tokyo Rope Manufacturing Co., Ltd.................... 286,000 404,849
Tokyo Sangyo Co., Ltd................................. 36,500 108,680
*Tokyo Securities Co., Ltd............................ 193,000 177,424
#Tokyo Tanabe Co., Ltd., Tokyo........................ 119,000 430,809
*Tokyo Tatemono Co., Ltd.............................. 212,000 375,984
*Tokyo Tekko Co., Ltd................................. 67,000 49,056
Tokyo Theatres Co., Inc., Tokyo....................... 116,000 156,655
Tokyotokeiba Co., Ltd................................. 77,000 104,613
*#Tokyu Car Corp...................................... 213,000 251,261
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
#Tokyu Construction Co., Ltd.......................... 356,000 $ 289,619
Tokyu Hotel Chain Co., Ltd............................ 189,000 230,638
Tokyu Store Chain Corp................................ 175,000 723,234
*Tokyu Tourist Corp................................... 38,000 46,372
#Toli Corp............................................ 101,000 193,915
Tomoe Corp............................................ 56,000 112,528
*Tomoegawa Paper Co., Ltd............................. 55,000 138,708
Tomoku Co., Ltd....................................... 185,000 365,726
Tonami Transportation Co., Ltd........................ 173,000 323,706
Topcon Corp........................................... 68,000 232,346
Topre Corp............................................ 85,000 345,753
#Topy Industries, Ltd................................. 286,000 386,235
Torishima Pump Manufacturing Co., Ltd., Osaka......... 45,000 180,117
Toshiba Ceramics Co., Ltd............................. 142,000 427,432
Toshiba Engineering & Construction Co., Ltd........... 89,000 219,387
#Toshiba Machine Co., Ltd............................. 294,000 660,137
Toshiba Tungaloy Co.,Ltd.............................. 124,000 334,917
Tosho Printing Co., Ltd............................... 94,000 225,594
*Tostem Viva Corp..................................... 119,000 201,367
Totenko Co., Ltd...................................... 35,000 190,774
Totetsu Kogyo Co., Ltd................................ 53,000 112,105
Totoku Electric Co., Ltd., Tokyo...................... 62,000 110,462
*#Towa Real Estate Development Co., Ltd............... 160,000 119,753
Toyo Aluminium KK..................................... 81,000 252,384
Toyo Chemical Co., Ltd................................ 52,000 187,406
Toyo Communication Equipment Co., Ltd................. 79,000 321,347
Toyo Construction Co., Ltd............................ 290,000 323,218
Toyo Corp............................................. 41,000 296,860
*Toyo Electric Co., Ltd............................... 67,000 81,760
Toyo Engineering Corp................................. 247,000 307,444
*Toyo Kanetsu KK...................................... 206,000 232,948
Toyo Kohan Co., Ltd................................... 123,000 486,316
Toyo Radiator Co., Ltd................................ 104,000 144,679
*Toyo Securities Co., Ltd............................. 113,000 135,137
Toyo Shutter Co., Ltd................................. 77,000 231,777
#Toyo Sugar Refining Co., Ltd......................... 60,000 99,577
#Toyo Tire & Rubber Co., Ltd.......................... 301,000 526,480
#Toyo Umpanki Co., Ltd................................ 146,000 313,570
Toyo Wharf & Warehouse Co., Ltd....................... 118,000 192,955
Tsubaki Nakashima Co., Ltd............................ 98,000 562,073
Tsubakimoto Machinery & Engineering Co., Ltd.......... 44,000 74,455
Tsudakoma Corp........................................ 101,000 175,016
*Tsugami Corp......................................... 124,000 146,274
*Tsukamoto Co., Ltd................................... 44,000 94,858
Tsukishima Kikai Co., Ltd............................. 64,000 420,696
#Tsumura & Co., Inc................................... 124,000 456,980
Tsurumi Manufacturing Co., Ltd........................ 42,000 187,927
Tsutsumi Jewelry Co., Ltd............................. 24,900 352,473
Tsutsunaka Plastic Industry Co., Ltd.................. 71,000 178,482
#Uchida Yoko Co., Ltd................................. 72,000 187,439
Ueki Corp............................................. 47,000 72,649
Unisia Jecs Corp...................................... 215,000 362,065
Utoc Corp............................................. 38,000 46,990
#Wakachiku Construction Co., Ltd...................... 194,000 356,687
#Wakamoto Pharmaceutical Co., Ltd..................... 48,000 165,181
Xebio Co., Ltd........................................ 34,000 652,782
Yahagi Construction Co., Ltd.......................... 59,000 191,995
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Yahagi Corp.......................................... 40,000 $ 325
Yamamura Glass Co., Ltd............................... 213,000 280,719
Yamatane Corp......................................... 131,000 325,049
*#Yamatane Securities Co., Ltd........................ 203,000 151,936
Yamato International, Inc............................. 43,000 50,724
Yamazen Co., Ltd...................................... 140,000 222,096
Yaskawa Electric Corp................................. 145,000 277,213
Yokogawa Bridge Corp.................................. 70,400 215,347
*Yokohama Matsuzakaya, Ltd............................ 27,000 28,994
Yokohama Reito Co., Ltd............................... 111,000 645,664
Yomeishu Seizo Co., Ltd............................... 46,000 296,388
#Yomiuri Land Co., Ltd................................ 157,000 383,176
#Yondenko Corp........................................ 58,800 240,615
#Yonekyu Corp......................................... 35,500 515,518
#Yorozu Corp.......................................... 26,800 169,626
Yoshihara Oil Mill, Ltd............................... 36,000 74,683
Yoshimoto Kogyo Co., Ltd.............................. 60,000 371,949
*#Yuasa Corp.......................................... 307,000 779,238
Yuasa Trading Co., Ltd................................ 174,000 261,878
Yuken Kogyo Co., Ltd.................................. 60,000 114,710
Yurtec Corp........................................... 62,000 361,145
#Zenchiku Co., Ltd.................................... 126,000 312,642
------------
TOTAL COMMON STOCKS
(Cost $398,577,229).................................. 186,827,302
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $15,302).......................... 15,399
------------
TOTAL -- JAPAN
(Cost $398,592,531).................................. 186,842,701
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.3%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.125%, 12/31/01, valued at $2,566,650) to be
repurchased at $2,522,347 (Cost $2,522,000)......... $ 2,522 2,522,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $401,114,532)++.... $189,364,700
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $412,679,124.
</TABLE>
See accompanying Notes to Financial Statements.
195
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SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
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MALAYSIA -- (26.0%)(##)
COMMON STOCKS -- (26.0%)
A&M Realty Berhad..................................... 49,000 $ 10,829
ACP Industries Berhad................................. 35,000 15,341
AMMB Holdings Berhad.................................. 964,000 688,825
Actacorp Holdings Berhad.............................. 26,000 8,906
*Advance Synergy Berhad............................... 913,800 143,886
Affin Holdings Berhad................................. 1,380,000 447,293
Ajinimoto (Malaysia) Berhad........................... 44,000 23,823
Aluminum Co. of Malaysia.............................. 139,000 27,902
Amalgamated Containers Berhad......................... 47,000 8,050
Amalgamated Industrial Steel Berhad................... 125,000 41,897
Amway (Malaysia) Holdings Berhad...................... 310,000 451,013
Anakku Corp. Berhad................................... 10,000 4,512
Ancom Berhad.......................................... 373,000 104,413
Angkasa Marketing Berhad.............................. 164,000 24,162
*Anson Perdana Berhad................................. 116,000 24,994
Antah Holding Berhad.................................. 755,000 117,491
*Aokam Perdana Berhad................................. 213,000 24,124
*Arab Malaysia Corp. Berhad........................... 448,000 108,081
Arab Malaysia Finance Berhad.......................... 1,076,000 255,624
Arab Malaysian Development Berhad..................... 1,082,000 135,499
Arensi Holdings (Malaysia) Berhad..................... 33,000 2,492
*Asas Dunia Berhad.................................... 226,000 45,366
*Asia Pacific Land Berhad............................. 1,718,100 174,025
Asiatic Development Berhad............................ 1,794,000 383,249
*Austral Amalgamated Berhad........................... 291,333 38,093
Austral Enterprises Berhad............................ 349,499 270,331
Autoways Holdings Berhad.............................. 10,000 2,376
Ayer Hitam Planting Syndicate Berhad.................. 51,000 145,580
*Ayer Hitam Tin Dredging Malaysia Berhad.............. 36,000 7,492
*Ayer Molek Rubber Co. Berhad......................... 1,000 9,392
Ban Hin Lee Bank Berhad............................... 198,500 171,083
Bandar Raya Developments Berhad....................... 1,176,000 233,901
Batu Kawan Berhad..................................... 394,500 334,199
Berjaya Capital Berhad................................ 248,000 73,989
*Berjaya Industrial Berhad............................ 473,000 40,070
Berjaya Singer Berhad................................. 142,000 43,149
*Berjuntai Tin Dredging Berhad........................ 36,000 28,906
*Best World Land Berhad............................... 120,100 10,838
Bimb Holdings BHD..................................... 1,058,600 341,169
Bina Puri Holdings Berhad............................. 49,000 14,980
*Bolton Properties Berhad............................. 207,000 35,453
Boustead Holdings Berhad.............................. 767,000 477,433
CCM Bioscience........................................ 550 365
*CHG Industries Berhad................................ 33,000 8,934
CI Holdings Berhad.................................... 72,000 45,083
Cahya Mata Sarawak Berhad............................. 975,000 448,895
Cement Industries of Malaysia Berhad.................. 419,000 192,910
*Chase Perdana Berhad................................. 34,000 19,536
Chemical Co. of Malaysia Berhad....................... 333,000 275,967
Chin Teck Plantations Berhad.......................... 134,000 159,171
Chocolate Products (Malaysia) Berhad.................. 500,100 47,892
Choo Bee Metal Industries Berhad...................... 120,000 23,867
<CAPTION>
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<S> <C> <C>
Cold Storage (Malaysia) Berhad........................ 199,000 $ 71,464
*Computer Forms Malaysia Berhad....................... 19,000 14,696
*Concrete Engineering Products Berhad................. 29,000 9,934
*Construction & Supplies House Berhad................. 242,000 52,589
Country Heights Holdings Berhad....................... 211,600 117,685
Cycle & Carriage Bintang Berhad....................... 242,000 195,204
DMIB Berhad........................................... 234,000 49,989
DNP Holdings Berhad................................... 732,000 121,326
Daibochi Plastic & Packaging Industry Berhad.......... 32,200 11,148
Daiman Development Berhad............................. 110,000 27,348
*Damansara Realty Berhad.............................. 1,397,000 140,215
*Dataprep Holdings Berhad............................. 36,000 16,044
*Datuk Keramik Holdings Berhad........................ 763,000 151,757
*Denko Industrial Corp. Berhad........................ 38,000 14,766
Diethelm Holdings (Malaysia) Berhad................... 52,000 9,576
Diperdana Corp. Berhad................................ 43,000 23,282
Diversified Resources Berhad.......................... 636,000 242,453
Dutch Baby Milk Industry (Malaysia) Berhad............ 22,000 38,085
Eastern & Oriental Berhad............................. 181,500 51,475
Eastern Pacific Industrial Corp. Berhad............... 43,000 10,136
*Econstates Berhad.................................... 144,000 36,066
*Ekran Berhad......................................... 164,000 40,169
*FA Peninsular Berhad................................. 95,000 13,122
*FACB Berhad.......................................... 1,217,000 117,666
FCW Holdings Berhad................................... 224,000 37,540
*Faber Group Berhad................................... 469,000 52,687
Far East Holdings Berhad.............................. 74,000 37,477
Federal Flour Mills Berhad............................ 271,250 172,841
Fima Corp. Berhad..................................... 39,000 17,597
Fraser & Neave Holdings Berhad........................ 265,000 244,015
Gadek (Malaysia) Berhad............................... 256,000 145,208
*Gadek Capital Berhad................................. 48,000 10,077
Gamuda Berhad......................................... 798,000 555,514
*General Corp. Berhad................................. 423,000 52,583
*George Kent (Malaysia) Berhad........................ 122,998 19,707
*George Town Holdings Berhad.......................... 147,000 27,884
Glenealy Plantations (Malaysia) Berhad................ 171,000 100,773
Goh Ban Huat Berhad................................... 75,000 17,956
Gold Coin (Malaysia) Berhad........................... 52,000 44,052
Golden Frontier Berhad................................ 29,000 9,346
*Golden Pharos Berhad................................. 74,000 11,924
*Golden Plus Holdings Berhad.......................... 77,000 18,151
Gopeng Berhad......................................... 262,500 47,376
*Granite Industries Berhad............................ 274,000 55,002
*Gula Perak Berhad.................................... 812,000 139,072
Guthrie Ropel Berhad.................................. 284,000 164,228
H&R Johnson (Malaysia) Berhad......................... 27,000 5,867
HLG Capital Berhad.................................... 212,000 52,317
Hap Seng Consolidated Berhad.......................... 501,000 233,431
Hexza Corp. Berhad.................................... 163,000 21,313
Hicom Holdings Berhad................................. 900,000 308,287
*Hil Industries Berhad................................ 22,000 7,414
</TABLE>
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<TABLE>
<CAPTION>
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*Ho Hup Construction Co. Berhad....................... 80,000 $ 29,761
Hock Hua Bank Berhad (Foreign)........................ 280,000 252,670
Hong Leong Bank Berhad................................ 1,153,000 501,120
Hong Leong Industries Berhad.......................... 714,000 348,453
Hong Leong Properties Berhad.......................... 1,695,000 274,696
Hume Industries (Malaysia) Berhad..................... 589,000 379,650
Hwang-DBS (Malaysia) Berhad........................... 41,000 16,158
IGB Corp. Berhad...................................... 1,144,000 282,313
IJM Corp. Berhad...................................... 1,129,000 390,888
IOI Properties Berhad................................. 52,700 29,116
*Idris Hydraulic (Malaysia) Berhad.................... 1,265,000 184,042
*Inchcape Timuran Berhad.............................. 215,250 39,443
*Innovest Berhad...................................... 1,055,000 204,006
*Insas Berhad......................................... 1,551,200 208,541
*Instangreen Corp. Berhad............................. 15,000 2,652
Integrated Logistics Berhad........................... 59,000 13,691
Intria Berhad......................................... 1,470,500 176,027
Ipmuda Berhad......................................... 119,000 29,805
Island & Peninsular Berhad............................ 356,000 183,573
*Jasa Megah Industries Berhad......................... 170,000 24,107
Jaya Netting Industries Berhad........................ 21,000 6,459
Jeram Kuantan (Malaysia) Berhad....................... 64,000 10,018
Johan Holdings Berhad................................. 580,000 71,031
Johor Land Berhad..................................... 47,800 14,525
Johor Port Berhad..................................... 1,110,000 286,188
Johore Tenggara Oil Palm Berhad....................... 173,000 44,923
KFC Holdings (Malaysia) Berhad........................ 593,666 371,725
*KIG Glass Industrial Berhad.......................... 279,000 36,994
KPJ Healthcare Berhad................................. 59,000 28,250
*Kamunting Corp. Berhad............................... 2,371,000 259,806
Kanzen Berhad......................................... 105,000 23,204
Keck Seng (Malaysia) Berhad........................... 430,500 141,122
Kedah Cement Holdings Berhad.......................... 1,125,000 464,088
*Kelanamas Industries Berhad.......................... 142,000 15,429
Kelang Container Terminal Berhad...................... 302,000 166,851
Kemayan Corp. Berhad.................................. 665,000 62,459
*Khong Guan Holdings (Malaysia) Berhad................ 21,000 11,022
Kian Joo Can Factory Berhad........................... 367,500 351,934
Kim Hin Industry Berhad............................... 119,900 20,977
Kluang Rubber Co. (Malaysia) Berhad................... 2,000 28,453
*Kramat Tin Dredging Berhad........................... 1,800 4,740
*Kretam Holdings Berhad............................... 152,500 56,169
*Kuala Lumpur Industries Holdings Berhad.............. 138,000 12,580
Kuala Sidim Berhad.................................... 301,000 321,510
*Kuantan Flour Mills Berhad........................... 19,000 6,648
Kuchai Development Berhad............................. 1,600 6,394
Kulim Malaysia Berhad................................. 447,800 175,656
*Kumpulan Belton Berhad............................... 44,100 11,939
*Kumpulan Emas Berhad................................. 301,000 39,080
*Kym Holdings Berhad.................................. 46,000 13,554
Ladang Perbadanan-Fima Berhad......................... 130,000 74,217
*Land -- General Berhad............................... 1,601,000 291,895
Landmarks Berhad...................................... 872,000 126,866
*Larut Consolidated Berhad............................ 661,000 117,471
*Leader Universal Holdings Berhad..................... 1,055,000 211,777
*Leisure Management Berhad............................ 77,999 247,069
*Leong Hup Holdings Berhad............................ 186,000 24,320
*Lien Hoe Corp. Berhad................................ 250,000 34,991
Lim Kim Hai Holdings Berhad........................... 97,000 19,114
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Lingkaran Trans Kota Holdings Berhad................. 725,000 $ 375,184
Lingui Development Berhad............................. 955,000 399,236
Lion Corp. Berhad..................................... 179,400 35,021
Lion Land Berhad...................................... 1,610,151 170,504
*Long Huat Group Berhad............................... 33,000 10,271
*MBF Holdings Berhad.................................. 2,228,250 131,315
*MBF Land Berhad...................................... 2,735,000 239,250
MCB Holdings Berhad................................... 199,000 30,418
MMC Engineering Group Berhad.......................... 43,000 17,422
MUI Properties Berhad................................. 1,696,800 196,866
MWE Holdings Berhad................................... 184,500 31,090
Malayan Cement Berhad................................. 980,500 265,439
Malayan Flour Mills Berhad............................ 92,400 23,143
Malayawata Steel Berhad............................... 398,000 83,558
Malaysia Aica Berhad.................................. 126,000 28,773
Malaysia Assurance Alliance Berhad.................... 350,938 243,007
*Malaysia British Assurance Berhad.................... 53,000 40,994
Malaysia Building Society Berhad...................... 638,000 159,794
Malaysia Industrial Development Finance Berhad........ 1,578,000 374,884
Malaysia Smelting Corp. Berhad........................ 87,000 42,939
Malaysian Helicopter Services Berhad.................. 1,726,000 314,685
Malaysian Mosaics Berhad.............................. 819,000 208,144
Malaysian Packaging Industry.......................... 14,000 4,589
*Malaysian Plantations Berhad......................... 777,000 126,638
Malaysian Resources Corp. Berhad...................... 2,407,000 691,514
Malaysian Tobacco Co. Berhad.......................... 378,000 135,050
Malex Industries Berhad............................... 643,500 314,047
Mamee-Double Decker (Malaysia) Berhad................. 30,000 12,431
*Mancon Berhad........................................ 197,000 31,382
Maruichi Malaysia Steel Tube Berhad................... 139,000 74,748
Matsushita Electric Co. (Malaysia) Berhad............. 86,400 208,442
Mechmar Corp. Berhad.................................. 94,000 18,350
Mega First Corp. Berhad............................... 268,000 29,613
*Menang Corp.......................................... 272,000 23,794
*Mentiga Corp. Berhad................................. 41,000 13,969
Metacorp Berhad....................................... 193,333 111,086
Metrojaya Berhad...................................... 153,000 26,486
Metroplex Berhad...................................... 2,629,000 367,963
*Minho (Malaysia) Berhad.............................. 70,000 11,215
Mintye Industries Berhad.............................. 45,000 18,978
Muda Holdings Berhad.................................. 208,125 34,496
Muhibbah Engineering Berhad........................... 58,000 19,974
Mulpha International Berhad........................... 2,529,750 291,177
*Mun Loong Berhad..................................... 40,000 4,309
*NCK Corp. Berhad..................................... 18,000 5,867
Nam Fatt Berhad....................................... 112,000 31,558
Nanyang Press (Malaya) Berhad......................... 107,400 71,996
Negara Properties (Malaysia) Berhad................... 86,000 71,271
Negri Sembilan Oil Palms Berhad....................... 34,000 30,306
New Straits Times Press (Malaysia) Berhad............. 630,000 348,066
Notth Borneo Timbers Berhad........................... 30,000 38,122
Nylex (Malaysia) Berhad............................... 713,500 214,181
OSK Holdings.......................................... 656,000 205,378
Olympia Industries Berhad............................. 808,000 86,306
PJ Development Holdings Berhad........................ 345,800 52,857
PSC Industries Berhad................................. 104,664 323,822
*PWE Industries Berhad................................ 39,200 51,617
</TABLE>
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CONTINUED
<TABLE>
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SHARES VALUE+
------------ ------------
<S> <C> <C>
Pacific & Orient Berhad............................... 236,000 $ 129,083
Pacific Bank Berhad................................... 1,000 645
*Pacific Chemicals Berhad............................. 105,000 38,674
Palmco Holdings Berhad................................ 179,000 42,525
Pan Pacific Asia Berhad............................... 217,000 65,140
*Panglobal Berhad..................................... 134,000 17,645
Paramount Corp. Berhad................................ 73,000 14,788
Parit Perak Holdings Berhad........................... 200,000 32,781
*Park May Berhad...................................... 48,000 13,348
Peladang Kimia Berhad................................. 188,000 69,245
Pelangi Berhad........................................ 808,250 220,297
*Perdana Industrial Holdings Berhad................... 46,000 2,626
Pernas International Holdings Berhad.................. 1,565,950 288,389
Petaling Garden Berhad................................ 460,000 186,372
*Petaling Tin Berhad.................................. 23,000 16,265
Phileo Allied Berhad.................................. 827,250 254,421
Phileo Land Berhad.................................... 767,000 186,453
Pilecon Engineering Berhad............................ 482,500 119,070
*Poly Glass Fibre (Malaysia) Berhad................... 90,000 25,856
Prime Utilities Berhad................................ 145,000 110,018
Projek Penyelenggaraan Lebuhraya Berhad............... 44,000 22,689
*Promet Berhad........................................ 1,143,000 61,044
Public Finance Berhad................................. 798,000 243,956
Putera Capital Berhad................................. 82,000 22,350
*Rahman Hydraulic Tin Berhad.......................... 111,000 13,594
*Rashid Hussain Berhad................................ 941,000 526,821
*Red Box (Malaysia) Berhad............................ 41,000 3,058
Riverview Rubber Estates Berhad....................... 5,400 13,028
Road Builders (Malaysia) Holdings Berhad.............. 413,000 250,994
SCB Developments Berhad............................... 240,500 85,924
*SCK Group Berhad..................................... 22,000 0
SP Settia Berhad...................................... 298,000 102,626
*SPK Sentosa Corp. Berhad............................. 51,000 12,961
Samanda Holdings Berhad............................... 261,000 319,641
*Sanda Plastics Industries Berhad..................... 11,000 4,963
Sanyo Industries (Malaysia) Berhad.................... 33,600 23,885
Sapura Telecommunications Berhad...................... 187,000 45,459
Sarawak Oil Palms Berhad.............................. 229,600 85,413
*Sateras Resources (Malaysia) Berhad.................. 379,000 40,483
Scientex, Inc. Berhad................................. 75,000 26,243
Selangor Dredging Berhad.............................. 355,000 44,130
Selangor Properties Berhad............................ 1,092,000 331,823
Setegap Berhad........................................ 33,332 10,067
*Setron (Malaysia) Berhad............................. 61,666 13,287
Shangri-la Hotels (Malaysia) Berhad................... 831,000 209,663
Siah Brothers Corp. Berhad............................ 64,000 12,494
Sime UEP Properties Berhad............................ 710,000 460,258
*Sin Heng Chan Berhad................................. 20,000 20,810
Sistem Television Malaysia Berhad..................... 321,000 79,215
*Sitt Tatt Berhad..................................... 85,000 26,924
*South East Asia Lumber, Inc. Berhad.................. 286,500 59,094
*South Johore Amalgamated Holding Berhad.............. 40,500 12,530
*South Malaysia Industries Berhad..................... 157,500 15,953
Southern Acids (Malaysia) Berhad...................... 80,700 26,603
Southern Bank Berhad (Foreign)........................ 587,500 191,506
Southern Steel Berhad................................. 648,000 179,006
Sriwani Holdings Berhad............................... 143,800 45,020
Star Publications (Malaysia) Berhad................... 379,000 352,477
Store Corp. Berhad.................................... 110,000 47,606
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sungei Bagan Rubber Co. (Malaysia) Berhad............. 2,000 $ 25,783
*Sungei Way Holdings Berhad........................... 1,279,000 313,273
*Sunrise Berhad....................................... 190,000 61,234
*Suria Capital Holdings Berhad........................ 578,000 141,573
Ta Enterprise Berhad.................................. 1,732,000 347,676
*Tai Wah Garments Manufacturing Berhad (Foreign)...... 60,000 4,862
*Taiping Consolidated Berhad.......................... 232,000 25,422
*Tajo Berhad.......................................... 32,000 8,958
Talam Corp. Berhad.................................... 622,000 113,976
Tan & Tan Developments Berhad......................... 479,000 117,324
Tan Chong Motor Holdings Berhad....................... 2,136,000 440,575
Tasek Cement Berhad................................... 235,000 129,834
*Tenggara Capital Berhad.............................. 99,200 14,889
*Time Engineering Berhad.............................. 1,395,000 269,751
Tiong Nam Transport Holdings Berhad................... 17,000 5,948
*Tongkah Holdings Berhad.............................. 300,000 75,138
Tractors Malaysia Holdings Berhad..................... 541,000 154,429
Tradewinds (Malaysia) Berhad.......................... 543,000 194,000
*Trengganu Development & Management Berhad............ 120,000 40,663
Tronoh Mines Malaysia Berhad.......................... 77,000 83,665
*U-Wood Holdings Berhad............................... 20,000 6,519
UAC Berhad............................................ 67,000 30,230
UMW Holdings Berhad................................... 842,000 451,238
*Union Paper Holdings Berhad.......................... 20,000 10,975
Uniphone Telecommunications Berhad.................... 185,000 31,685
*United Chemical Industries Berhad.................... 18,000 8,453
United Malacca Rubber Estates Berhad.................. 211,000 219,549
United Malayan Land Berhad............................ 327,000 148,746
*United Merchant Group Berhad......................... 746,000 164,862
United Plantations Berhad............................. 356,000 285,849
Utusan Melayu (Malaysia) Berhad....................... 34,000 7,825
*Wembley Industries Holdings Berhad................... 138,000 0
*Westmont Industries Berhad........................... 223,520 36,636
*Westmont Land (Asia) Berhad.......................... 254,600 42,195
*Wing Tiek Holdings Berhad............................ 95,800 15,702
Worldwide Holdings Berhad............................. 213,800 48,430
Yee Lee Corp. Berhad.................................. 27,000 15,912
Yeo Hiap Seng (Malaysia) Berhad....................... 103,000 52,354
------------
TOTAL COMMON STOCKS
(Cost $81,047,622)................................... 36,287,752
------------
RIGHTS/WARRANTS -- (0.0%)
*Mechmar Corp. Berhad Rights 12/01/98 (Cost $0)....... 94,000 173
------------
TOTAL -- MALAYSIA
(Cost $81,047,622)................................... 36,287,925
------------
HONG KONG -- (26.0%)
COMMON STOCKS -- (26.0%)
ABC Communications (Holdings), Ltd.................... 930,000 219,799
ALCO Holdings, Ltd.................................... 314,000 12,571
ASM Pacific Technology, Ltd........................... 874,000 332,985
AWT World Transport Holdings, Ltd..................... 250,800 1,490
Allied Group, Ltd..................................... 7,298,000 292,184
Allied Properties (Hong Kong), Ltd.................... 6,786,000 297,978
*Anex International Holdings, Ltd..................... 152,000 2,238
</TABLE>
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<TABLE>
<CAPTION>
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<S> <C> <C>
*Applied International Holdings, Ltd.................. 1,243,000 $ 28,093
*Asia Commercial Holdings, Ltd........................ 72,800 5,265
Asia Financial Holdings, Ltd.......................... 1,729,179 310,417
*Asia Securities International, Ltd................... 2,386,600 117,126
Asia Standard International Group, Ltd................ 890,000 117,241
Associated International Hotels, Ltd.................. 898,000 318,933
Beauforte Investors Corp., Ltd........................ 72,000 75,785
*Beijing Development (Hong Kong), Ltd................. 166,000 25,083
*Benelux International, Ltd........................... 30,000 143
*Bossini International Holdings, Ltd.................. 122,000 4,727
*Burlingame International Co., Ltd.................... 990,000 92,057
Burwill Holdings, Ltd................................. 1,872,000 157,148
*CCT Telecom Holdings, Ltd............................ 1,449,700 129,187
*CIL Holdings, Ltd.................................... 2,058,000 50,500
CNT Group, Ltd........................................ 3,078,000 172,921
Cafe de Coral Holdings, Ltd........................... 1,191,000 384,541
*Capetronic International Holdings, Ltd............... 292,490 8,310
*Capital Asia, Ltd.................................... 1,974,722 7,141
*Central China Enterprises, Ltd....................... 2,104,000 58,965
Century City International Holdings, Ltd.............. 542,056 31,503
Champion Technology Holdings, Ltd..................... 7,802,576 151,154
*Cheerful Holdings, Ltd............................... 818,850 10,787
Chen Hsong Holdings, Ltd.............................. 1,515,000 183,921
Cheuk Nang Properties (Holdings), Ltd................. 750,008 82,333
*Cheung Tai Hong Holdings, Ltd........................ 2,018,400 32,584
*Cheung Wah Development Co., Ltd...................... 1,286,000 11,294
Chevalier (OA) International, Ltd..................... 1,776,251 68,820
Chevalier Construction Holdings, Ltd.................. 131,203 3,050
Chevalier Development International, Ltd.............. 899,109 197,402
Chevalier International Holdings, Ltd................. 2,550,634 207,529
*China Aerospace International Holdings, Ltd.......... 853,200 104,680
*China Development Corp., Ltd......................... 1,150,000 13,367
*China Everbright Technology, Ltd..................... 3,244,000 276,513
China Foods Holdings, Ltd............................. 1,544,000 408,782
*China Investments Holdings, Ltd...................... 175,000 3,955
China Motor Bus Co., Ltd.............................. 114,200 818,559
China Pharmaceutical Enterprise and Investment Corp.,
Ltd................................................. 2,444,000 309,327
*China Star Entertainment, Ltd........................ 838,200 28,146
*China United (Holdings), Ltd......................... 8,199,000 32,826
China-Hong Kong Photo Products Holdings, Ltd.......... 2,338,000 244,580
Chinney Investments, Ltd.............................. 1,144,000 104,900
Chow Sang Sang Holdings International, Ltd............ 1,098,400 258,180
*Chuang's China Investments, Inc...................... 3,510,000 36,265
Chuang's Consortium International, Ltd................ 1,858,884 136,842
Chun Wo Holdings, Ltd................................. 1,215,940 114,637
*Chung Hwa Devlopment Holdings, Ltd................... 3,383,425 19,226
*Cig-Wh International Holdings, Ltd................... 472,000 26,212
Citybus Group, Ltd.................................... 1,364,000 266,000
Climax International Co., Ltd......................... 296,000 2,600
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Companion Building Material (Holdings), Ltd........... 3,607,514 $ 43,795
Companion Marble (Holdings), Ltd...................... 48,848 1,546
Continental Holdings, Ltd............................. 98,825 2,808
Continental Mariner Investment Co., Ltd............... 1,629,000 235,630
Cosmos Machinery Enterprises, Ltd..................... 1,024,000 60,834
Crocodile Garments, Ltd............................... 1,539,000 34,982
Cross Harbour Tunnel Co., Ltd......................... 365,603 335,242
*Culturecom Holdings, Ltd............................. 2,161,000 29,305
*DC Finance (Holdings), Ltd........................... 1,080,000 10,601
*Dah Hwa International Holdings, Ltd.................. 1,122,000 56,513
*Daido Concrete (Hong Kong), Ltd...................... 223,000 2,131
*Dong-Jun Holdings, Ltd............................... 2,484,000 58,707
*Dransfield Holdings, Ltd............................. 190,000 1,865
Dynamic Holdings, Ltd................................. 158,000 26,935
Easyknit International Holdings, Ltd.................. 353,575 13,243
#Egana International Holdings, Ltd.................... 14,118,720 368,330
#Egana Jewelry & Pearls, Ltd.......................... 2,353,120 68,378
Elec & Eltek International Holdings, Ltd.............. 2,565,659 490,401
*Emperor (China Concept) Investments, Ltd............. 6,435,000 74,797
Emporer International Holdings, Ltd................... 644,369 58,254
*Englong International, Ltd........................... 130,000 5,037
Essential Enterprises Co., Ltd........................ 320,000 27,276
*Evergo China Holdings, Ltd........................... 2,480,000 48,364
FPB Bank Holding Co., Ltd............................. 2,994,520 730,937
*Fairwood Holdings, Ltd............................... 426,000 9,518
*Fairyoung Holdings, Ltd.............................. 482,000 44,820
Far East Consortium International, Ltd................ 1,592,235 170,677
*Far East Holdings International, Ltd................. 70,000 2,848
*Far East Hotels & Entertainment, Ltd................. 1,853,000 198,630
Fong's Industries Co., Ltd............................ 962,000 52,803
*Fortuna International Holdings, Ltd.................. 1,818,000 32,401
Fountain Set Holdings, Ltd............................ 1,274,000 176,053
Four Seas Mercantile Holdings, Ltd.................... 592,000 196,875
*Frankie Dominion International, Ltd.................. 630,173 11,394
*Fu Hui Jewelry Co. (Hong Kong), Ltd.................. 688,000 13,150
*G-Properties Holdings, Ltd........................... 562,000 7,548
Giordano International, Ltd........................... 1,650,000 270,632
Gold Peak Industries (Holdings), Ltd.................. 1,031,400 266,408
Golden Power International Holdings, Ltd.............. 562,000 33,025
Golden Resources Development International, Ltd....... 971,000 67,718
Gold-Face Holdings, Ltd............................... 2,003,600 194,072
Goldlion Holdings, Ltd................................ 2,052,000 249,113
*Goldtron (Bermuda) Holdings, Ltd..................... 51,111 620
*Golik Holdings, Ltd.................................. 1,536,500 59,531
Grand Hotel Holdings, Ltd. Series A................... 1,333,000 232,410
Grande Holdings, Ltd.................................. 420,088 112,577
Great Wall Electronic International, Ltd.............. 3,159,034 114,236
Group Sense (International), Ltd...................... 2,062,000 107,854
*H B International Holdings, Ltd...................... 396,000 2,199
Hanny Holdings, Ltd................................... 756,640 54,723
Harbour Centre Development, Ltd....................... 784,000 425,262
Harbour Ring International Holdings, Ltd.............. 2,636,000 90,216
Henderson China Holdings, Ltd......................... 911,000 414,733
</TABLE>
199
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Heng Fung Holdings Co., Ltd.......................... 390,000 $ 4,483
High Fashion International, Ltd....................... 178,000 9,195
Hon Kwok Land Investment Co., Ltd..................... 2,290,145 242,531
Hong Kong Building & Loan Agency, Ltd................. 407,000 53,089
Hong Kong Ferry (Holdings) Co., Ltd................... 771,300 926,397
*Hong Kong Parkview Group, Ltd........................ 1,130,000 286,039
Hop Hing Holdings, Ltd................................ 660,265 50,311
Hsin Chong Construction Group, Ltd.................... 1,569,658 131,768
*Hualing Holdings, Ltd................................ 1,344,000 38,187
Huey Tai International, Ltd........................... 2,363,112 141,915
Hung Hing Printing Group, Ltd......................... 934,442 398,251
*Hwa Kay Thai Holdings, Ltd........................... 2,444,238 11,364
IDT International, Ltd................................ 2,301,992 338,922
IMC Holdings, Ltd..................................... 604,000 66,305
ITC Corp., Ltd........................................ 456,354 29,174
*Ideal Pacific Holdings, Ltd.......................... 838,000 9,632
Innovative International (Holdings), Ltd.............. 1,474,003 203,691
Interform Ceramics Technologies, Ltd.................. 1,104,000 25,237
International Bank of Asia, Ltd....................... 2,811,714 682,684
International Pipe, Ltd............................... 1,926,726 134,371
*Island Dyeing & Printing Co., Ltd.................... 148,000 42,051
JCG Holdings, Ltd..................................... 1,048,333 372,325
*Jinhui Holdings Co., Ltd............................. 370,000 11,038
*Joyce Boutique Holdings, Ltd......................... 1,360,000 29,859
K Wah International Holdings, Ltd..................... 2,548,380 177,725
*KPI Co., Ltd......................................... 264,000 5,694
*KTP Holdings, Ltd.................................... 180,400 5,405
*Kader Holdings Co., Ltd.............................. 545,600 14,375
Kantone Holdings, Ltd................................. 123,902 2,896
Keck Seng Investments (Hong Kong), Ltd................ 572,400 85,014
Kee-Shing Holdings Co., Ltd........................... 886,000 99,551
King Fook Holdings, Ltd............................... 1,000,000 46,494
Kingboard Chemical Holdings, Ltd...................... 926,000 110,025
Kingmaker Footwear Holdings, Ltd...................... 770,000 68,617
*Kong Sun Holdings, Ltd............................... 480,000 9,361
*Kong Tai International Holdings Co., Ltd............. 8,300,000 103,978
*Kosonic International Holdings, Ltd.................. 198,000 6,291
Kumagai Gumi Hong Kong, Ltd........................... 970,000 435,329
*Kwong Sang Hong International, Ltd................... 1,434,000 150,012
Kwoon Chung Bus Holdings, Ltd......................... 556,000 97,657
Lai Sun Development Co., Ltd.......................... 2,506,000 401,322
Lai Sun Garment (International), Ltd.................. 465,000 96,687
Lai Sun Hotels International, Ltd..................... 3,268,000 196,257
*Lam Soon (Hong Kong), Ltd............................ 302,310 67,154
*Lam Soon Food Industries, Ltd........................ 228,000 49,469
Lamex Holdings, Ltd................................... 2,016,000 30,983
Le Saunda Holdings, Ltd............................... 236,000 16,154
Leefung-Asco Printers Holdings, Ltd................... 144,000 20,829
Legend Holdings, Ltd.................................. 1,400,000 438,461
*Leung Kee Holdings, Ltd.............................. 354,000 3,429
Lippo, Ltd............................................ 1,074,760 284,548
Liu Chong Hing Investment, Ltd........................ 635,200 471,703
*Logic International Holdings, Ltd.................... 812,000 24,434
*Luks Industrial Co., Ltd............................. 2,689,818 53,845
Lung Kee (Bermuda) Holdings, Ltd...................... 686,000 107,201
*Magnificent Estates, Ltd............................. 3,778,000 36,594
*Magnum International Holdings, Ltd................... 300,000 1,666
*Mansion Holdings, Ltd................................ 1,420,360 14,675
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Mansion House Group, Ltd.............................. 698,200 $ 53,201
*Megga (S.) International Holdings, Ltd............... 1,513,400 6,841
Melbourne Enterprises, Ltd............................ 45,500 204,494
Melco International Development, Ltd.................. 180,000 16,738
*Millenium Group, Ltd................................. 3,712,000 32,120
Min Xin Holdings, Ltd................................. 987,200 105,822
Mingly Corp., Ltd..................................... 4,032,600 588,511
Moulin International Holdings, Ltd.................... 3,012,123 396,793
*Mui Hong Kong, Ltd................................... 1,230,000 14,932
*Multi-Asia International Holdings, Ltd............... 3,980,000 22,103
Nanyang Holdings, Ltd................................. 137,500 99,445
National Electronics Holdings, Ltd.................... 2,156,000 62,929
New Island Printing Holdings, Ltd..................... 176,000 7,842
Ngai Lik Industrial Holdings, Ltd..................... 1,556,000 411,959
*Nph International Holdings, Ltd...................... 542,000 8,610
Ocean Information Holdings, Ltd....................... 122,000 5,830
Onfem Holdings, Ltd................................... 1,922,000 81,914
*Oriental Metals Holdings Co., Ltd.................... 1,237,800 28,455
Oriental Press Group, Ltd............................. 3,400,500 386,470
Oxford Properties & Finance, Ltd...................... 110,000 106,548
*Pacific Plywood Holdings, Ltd........................ 10,210,000 203,066
*Paramount Publishing Group, Ltd...................... 620,000 18,016
Paul Y. ITC Construction Holdings, Ltd................ 6,772 787
*Paul Y. Properties Group, Ltd........................ 5,044 919
Peace Mark (Holdings), Ltd............................ 6,758,122 94,263
*Pearl Oriental Holdings, Ltd......................... 2,504,000 58,857
Perfectech International Holdings, Ltd................ 519,500 69,106
Pico Far East Holdings, Ltd........................... 1,190,000 69,159
Playmate Toys Holdings, Ltd........................... 1,585,000 92,115
Pokfulam Development Co., Ltd......................... 234,000 63,464
*Poly Investments Holdings, Ltd....................... 2,670,000 98,276
Prestige Properties Holdings, Ltd..................... 965,000 50,475
Process Automation Holdings, Ltd...................... 1,052,000 70,650
QPL International Holdings, Ltd....................... 1,191,000 101,519
*Quality Healthcare Asia, Ltd......................... 1,338,000 122,689
*RJP Electronics, Ltd................................. 1,658,000 25,695
RNA Holdings, Ltd..................................... 20,600 1,995
Raymond Industrial, Ltd............................... 605,400 52,385
*Rhine Holdings, Ltd.................................. 64,000 537
*Righteous (Holdings), Ltd............................ 1,652,000 31,790
*Rivera Holdings, Ltd................................. 3,160,000 49,381
Ryoden Development, Ltd............................... 1,912,000 202,485
*S.A.S. Dragon Holdings, Ltd.......................... 1,696,000 135,803
Safety Godown Co., Ltd................................ 408,000 212,088
*Same Time Holdings, Ltd.............................. 410,000 9,637
San Miguel Brewery Hong Kong, Ltd..................... 930,800 119,010
Sea Holdings, Ltd..................................... 1,068,000 324,138
*Seapower International Holdings, Ltd................. 854,000 97,058
Seapower Resources International, Ltd................. 2,528,000 67,257
Semi-Tech (Global) Co., Ltd........................... 4,273,327 220,758
Shaw Brothers Hong Kong, Ltd.......................... 325,000 149,006
Shell Electric Manufacturing (Holdings) Co., Ltd...... 1,255,000 124,803
Shenyin Wanguo (Hong Kong), Ltd....................... 847,500 54,727
*Shenzhen International Holdings, Ltd................. 6,187,500 91,098
*Shougang Concord Century Holdings, Ltd............... 1,292,000 33,372
Shougang Concord Grand (Group), Ltd................... 1,701,000 87,873
</TABLE>
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<S> <C> <C>
*Shougang Concord International Enterprises Co.,
Ltd................................................. 4,166,000 $ 196,383
Shougang Concord Technology Holdings, Ltd............. 1,647,914 69,169
*Shun Ho Construction (Holdings), Ltd................. 1,037,452 34,836
*Shun Ho Resources Holdings, Ltd...................... 483,000 18,090
*Shun Shing Holdings, Ltd............................. 2,573,600 249,283
Shun Tak Holdings, Ltd................................ 3,642,000 663,208
Silver Grant International Industries, Ltd............ 2,087,000 258,752
Sime Darby Hong Kong, Ltd............................. 1,118,000 353,752
Sincere Co., Ltd...................................... 505,500 28,399
Sing Tao Holdings, Ltd................................ 913,000 135,600
*Singamas Container Holdings, Ltd..................... 320,000 9,009
*Sino Foundations Holdings, Ltd....................... 1,074,000 14,980
*Sinocan Holdings, Ltd................................ 350,000 4,249
South China Brokerage Co., Ltd........................ 4,060,000 27,790
South China Industries, Ltd........................... 1,124,000 60,969
*South China Strategic Investments, Ltd............... 857,400 17,828
*South Sea Development Co., Ltd....................... 578,158 10,454
*Southeast Asia Properties & Finance, Ltd............. 175,692 36,305
*Star Telecom International Holdings, Ltd............. 1,058,000 121,609
Starlight International Holdings, Ltd................. 1,049,034 49,451
*Stelux Holdings International, Ltd................... 1,307,702 48,978
*Styland Holdings, Ltd................................ 193,920 5,961
Sun Fook Kong Holdings, Ltd........................... 1,778,000 241,108
Sun Hung Kai & Co., Ltd............................... 3,338,600 314,759
Suwa International Holdings, Ltd...................... 1,062,000 33,466
*Swank International Manufacturing Co., Ltd........... 638,000 69,213
*Symphony Holdings, Ltd............................... 6,950,000 106,813
Tack Hsin Holdings, Ltd............................... 542,000 74,199
Tai Cheung Holdings, Ltd.............................. 1,445,000 382,571
Tai Sang Land Development, Ltd........................ 627,984 172,345
*Tak Sing Alliance Holdings, Ltd...................... 2,909,865 86,435
*Tak Wing Investment Holdings, Ltd.................... 432,800 24,594
Techtronic Industries Co., Ltd........................ 1,330,000 274,829
#Tem Fat Hing Fung (Holdings), Ltd.................... 5,488,000 361,472
Termbray Industries International (Holdings), Ltd..... 230,490 187,535
Tern Properties Co., Ltd.............................. 61,200 10,275
Texwinca Holdings, Ltd................................ 556,000 40,930
Tian An China Investments Co., Ltd.................... 4,355,750 149,073
Tian Teck Land, Ltd................................... 1,098,000 150,314
*Triplenic Holdings, Ltd.............................. 2,378,000 92,135
Tristate Holdings, Ltd................................ 138,000 33,863
Truly International Holdings, Ltd..................... 1,014,000 216,079
Tse Sui Luen Jewellry (International), Ltd............ 1,529,226 60,237
*Tung Fong Hung Holdings, Ltd......................... 231,549 19,737
Tungtex (Holdings) Co., Ltd........................... 976,000 110,923
Tysan Holdings, Ltd................................... 1,040,773 53,766
*UDL Holdings, Ltd.................................... 474,000 2,449
*USI Holdings, Ltd.................................... 928,999 79,186
Union Bank of Hong Kong, Ltd.......................... 719,623 604,100
*United Power Investment, Ltd......................... 1,664,000 330,952
*Universal Appliances, Ltd............................ 2,770,000 30,766
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Van Shung Chong Holdings, Ltd......................... 712,000 $ 124,138
Vanda Systems & Communications Holdings, Ltd.......... 644,000 53,230
Wah Ha Realty Co., Ltd................................ 278,600 35,261
Wah Kwong Shipping Holdings, Ltd...................... 230,500 71,445
*Wah Nam Group, Ltd................................... 1,934,800 10,995
Wai Kee Holdings, Ltd................................. 1,562,738 238,155
*Winfoong International, Ltd.......................... 1,210,000 48,444
*Wing Fai International, Ltd.......................... 3,380,000 37,541
*Wing On Co. International, Ltd....................... 565,000 204,314
Wing On International Holdings, Ltd................... 50,000 32,610
Wing Shan International, Ltd.......................... 896,000 71,745
Winsor Industrial Corp., Ltd.......................... 498,000 77,179
Winsor Properties Holdings, Ltd....................... 249,000 83,611
*Wo Kee Hong (Holdings), Ltd.......................... 1,944,000 26,362
Wong's International (Holdings), Ltd.................. 1,012,000 120,243
Wong's Kong King International (Holdings), Ltd........ 1,139,600 22,960
World Houseware (Holdings), Ltd....................... 549,212 20,215
YGM Trading, Ltd...................................... 228,000 107,478
*Yangtzekiang Garment Manufacturing Co., Ltd.......... 405,000 46,025
*Yaohan Food Processing & Trading Co., Ltd............ 124,000 8,808
*Yaohan Hong Kong Corp., Ltd.......................... 760,000 42,206
Yaohan International Caterers, Ltd.................... 512,000 42,981
*Yaohan International Holdings, Ltd................... 974,000 4,906
*Yau Lee Holdings, Ltd................................ 2,136,000 31,172
*Yeebo International Holdings, Ltd.................... 40,800 948
Yiu Wing International Holdings, Ltd.................. 1,404,200 123,319
*Yoshiya International Corp., Ltd..................... 612,300 23,723
*Yugang International, Ltd............................ 5,958,000 168,510
------------
TOTAL COMMON STOCKS
(Cost $71,612,312)................................... 36,232,930
------------
RIGHTS/WARRANTS -- (0.0%)
*Dong-Jun Holdings, Ltd. Warrants 03/31/00............ 496,800 0
*Dransfield Holdings, Ltd. Rights 12/10/98............ 95,000 0
*#Egana International Holdings Ltd. Warrants
06/30/00............................................ 1,176,560 13,676
*Far East Consortium International, Ltd. Warrants
10/31/99............................................ 89,223 115
*Fongs Industries Co., Ltd. Warrants 04/28/00......... 192,400 1,044
*Grande Holdings, Ltd. Warrants 10/15/00.............. 84,017 3,743
*Hop Hing Holdings, Ltd. Warrants 04/30/01............ 132,053 1,467
*KTP Holdings, Ltd. Warrants 09/30/99................. 18,040 23
*King Pacific International Holdings, Ltd. Warrants
12/31/98............................................ 28,200 36
*Mansion Holdings, Ltd. Warrants 07/28/01............. 30,360 106
*Ngai Lik Industrial Holdings, Ltd. Warrants
03/31/00............................................ 102,800 19,251
*Ocean Information Holdings, Ltd. Warrants 09/30/99... 24,400 126
*Paul Y. ITC Construction Holdings, Ltd. Warrants
09/30/99............................................ 12,697 56
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*Rhine Holdings, Ltd. Warrants 12/31/98............... 8,000 $ 10
*South China Strategic Investments, Ltd. Warrants
12/17/98............................................ 128,610 166
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 39,819
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $125)........................ 125
------------
TOTAL -- HONG KONG
(Cost $71,612,437)................................... 36,272,874
------------
AUSTRALIA -- (23.2%)
COMMON STOCKS -- (23.2%)
A.P. Eagers, Ltd...................................... 8,816 21,342
*AWA, Ltd............................................. 373,000 124,308
*Abednego Nickel, Ltd................................. 40,918 21,870
Abigroup, Ltd......................................... 129,710 167,201
Acacia Resources, Ltd................................. 294,603 435,329
Adelaide Bank, Ltd.................................... 53,711 202,641
Adelaide Brighton, Ltd................................ 343,923 194,633
*Airboss, Ltd......................................... 274,800 6,912
Amalgamated Holdings, Ltd............................. 57,560 154,909
*Amity Oil NL......................................... 43,079 9,210
*An Feng Kingstream Steel, Ltd........................ 764,927 48,099
*Anzoil NL............................................ 123,126 17,807
*Aquarius Platinum NL................................. 44,452 11,740
*Ariadne Australia, Ltd............................... 75,114 22,671
Ashanti Goldfields Co., Ltd........................... 16,243 144,012
*Ashanti Goldfields Co., Ltd. ADR..................... 15,990 41,446
Ashton Mining, Ltd.................................... 523,700 256,856
Asia Pacific Specialty Chemicals, Ltd................. 56,784 41,062
Atkins Carlyle, Ltd................................... 66,651 160,935
*Auridiam Consolidated NL............................. 63,097 2,103
*Aurora Gold, Ltd..................................... 226,812 183,979
Ausdoc Group, Ltd..................................... 109,394 171,967
Ausdrill, Ltd......................................... 34,222 10,759
Australian Hospital Care, Ltd......................... 215,500 142,282
*Australian Kaolin, Ltd............................... 182,145 12,599
Australian Oil & Gas Corp., Ltd....................... 86,395 77,685
Australian Provincial Newspaper Holdings, Ltd......... 329,843 447,996
*Australian Resources, Ltd............................ 141,446 19,567
Avatar Industries, Ltd................................ 264,745 131,513
BT Hotel Group BHT.................................... 430,000 210,900
Bank of Queensland, Ltd............................... 119,697 446,324
*Beach Petroleum NL................................... 165,200 4,155
*Beaconsfield Gold NL................................. 27,847 20,137
*Beyond International, Ltd............................ 54,450 33,553
*#Biota Holdings, Ltd................................. 97,808 325,959
Blackmores, Ltd....................................... 27,894 79,981
*Bligh Oil & Minerals NL.............................. 58,844 7,030
*Boulder Group NL..................................... 78,500 11,353
Brandrill, Ltd........................................ 89,500 41,083
Bridgestone Australia, Ltd............................ 49,000 89,969
Buderim Ginger, Ltd................................... 7,704 4,651
*CIM Resources, Ltd................................... 209,281 9,738
Campbell Brothers, Ltd................................ 52,778 131,088
*Cape Range, Ltd...................................... 358,746 10,377
Capral Aluminium, Ltd................................. 434,336 595,381
Carrington Cotton Corp., Ltd.......................... 22,200 58,769
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Centaur Mining & Exploration, Ltd.................... 620,579 $ 142,430
Central Equity, Ltd................................... 123,243 129,417
Central Norseman Gold Corp., Ltd...................... 409,800 154,609
Centro Properties, Ltd................................ 229,519 399,771
*Charter Pacific Corp., Ltd........................... 72,823 41,212
Cinema Plus, Ltd...................................... 29,300 25,793
*Cityview Energy Corp., Ltd........................... 4,945 2,954
Clifford Corp., Ltd................................... 161,750 26,444
*Climax Mining, Ltd................................... 134,600 18,197
Coal & Allied Industries, Ltd......................... 11,250 60,129
Coates Hire, Ltd...................................... 137,100 258,626
Colly Cotton, Ltd..................................... 123,000 103,639
*Computer Power Group, Ltd............................ 47,260 168,496
Computershare, Ltd.................................... 62,440 280,725
*Consolidated Gold NL................................. 123,748 2,412
Consolidated Paper Industries, Ltd.................... 57,585 63,367
*Consolidated Rutile, Ltd............................. 399,003 170,607
*Coolgardie Gold NL................................... 222,685 6,161
*Coplex Resources NL.................................. 231,400 10,913
*Corporate Express Australia, Ltd..................... 78,463 62,659
Coventry Group, Ltd................................... 63,616 188,008
Crane (G.E) Holdings, Ltd............................. 75,941 446,479
*Croesus Mining NL.................................... 97,100 15,569
*Cudgen RZ, Ltd....................................... 36,650 14,980
*Cultus Petroleum NL.................................. 288,808 130,754
*DJL, Ltd............................................. 277,900 1,398
Danks Holdings, Ltd................................... 10,425 49,820
Delfin Property Group, Ltd............................ 26,361 84,537
Delta Gold NL......................................... 373,100 557,422
*Denehurst, Ltd....................................... 95,000 4,361
*Devex, Ltd........................................... 205,364 43,260
Devine, Ltd........................................... 44,183 16,392
Dollar Sweets Holdings, Ltd........................... 55,000 23,863
*Dominion Mining, Ltd................................. 168,015 41,203
ERG, Ltd.............................................. 298,635 206,560
Eastern Aluminum, Ltd................................. 148,949 123,630
*Easycall Group....................................... 99,300 14,986
Eltin, Ltd............................................ 138,822 109,114
*Emporer Mines, Ltd................................... 120,600 50,050
Energy Developments, Ltd.............................. 115,447 180,757
Energy Equity Corp., Ltd.............................. 325,630 63,474
Energy Resources of Australia, Ltd. Series A.......... 231,589 269,403
*Equatorial Mining, Ltd............................... 43,214 81,519
Evans Deakin Industries, Ltd.......................... 196,596 443,794
FAI Insurances, Ltd................................... 603,749 269,543
FAI Life, Ltd......................................... 213,241 123,359
Finemore Holdings, Ltd................................ 60,000 97,716
Fleetwood Corp., Ltd.................................. 13,017 10,395
Flight Centre, Ltd.................................... 29,573 74,382
*Forbio, Inc.......................................... 27,400 33,252
*Formulab Neuronetics Corp., Ltd...................... 74,250 887
Forrester Parker Group, Ltd........................... 142,602 91,462
Freedom Furniture, Ltd................................ 123,400 114,839
Futuris Corp., Ltd.................................... 674,962 780,926
GUD Holdings, Ltd..................................... 79,652 122,709
GWA International, Ltd................................ 156,919 246,677
Gazal Corp., Ltd...................................... 25,365 23,924
*Gold Mines of Australia, Ltd......................... 55,307 2,956
Golden West Refining Corp., Ltd....................... 17,330 8,282
#Goldfields, Ltd...................................... 330,913 307,956
Gowing Bros., Ltd..................................... 54,585 75,511
</TABLE>
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Grand Hotel Group..................................... 144,700 $ 143,214
Great Central Mines, Ltd.............................. 62,162 45,732
*Greenfields Energy Corp., Ltd........................ 193,687 28,012
Gunns, Ltd............................................ 39,400 37,162
Hancock and Gore, Ltd................................. 23,420 23,562
*Haoma Mining NL...................................... 98,816 14,913
Harris Scarfe Holdings, Ltd........................... 91,384 136,760
Hartley Poynton, Ltd.................................. 20,673 10,789
*Helix Resources NL................................... 25,000 4,244
Henry Walker Group, Ltd............................... 168,957 200,794
*Herald Resources, Ltd................................ 69,910 12,748
Hills Industries, Ltd................................. 182,148 263,430
Hills Motorway Group.................................. 70,000 173,863
*Holyman, Ltd......................................... 75,312 16,101
*Hudson Conway, Ltd................................... 64,235 111,075
Iama, Ltd............................................. 100,954 130,134
Incitec, Ltd.......................................... 199,576 568,485
*Intellect Holdings, Ltd.............................. 75,070 30,211
Ipoh, Ltd............................................. 139,966 145,218
Ipswich and West Moreton Building Society, Ltd........ 11,694 21,692
*Ixla, Ltd............................................ 25,650 9,355
*Johnson's Well Mining NL............................. 20,000 47,789
Joyce Corp., Ltd...................................... 13,049 12,308
*Jubilee Gold Mines NL................................ 113,400 37,079
Just Jeans Holdings, Ltd.............................. 94,342 94,916
*Keycorp, Ltd......................................... 36,542 36,994
*Kidston Gold Mines, Ltd.............................. 246,300 78,985
*Kingsgate Consolidated NL............................ 12,587 3,641
*Kresta Holdings, Ltd................................. 56,700 4,457
Lemarne Corp., Ltd.................................... 20,790 38,957
#MMI, Ltd............................................. 176,345 239,513
*MRI Holdings, Ltd.................................... 36,169 9,666
MacMahon Holdings, Ltd................................ 192,179 60,421
Magellan Petroleum Australia, Ltd..................... 32,760 31,105
*Manettas, Ltd........................................ 74,250 20,543
Maryborough Sugar Factory, Ltd........................ 600 3,471
Maxitrans Industries, Ltd............................. 117,527 23,279
McConnell Dowell Corp., Ltd........................... 27,438 49,602
McGuigan (Brian) Wines, Ltd........................... 47,664 58,444
McPherson's, Ltd...................................... 61,500 44,472
*Meekatharra Minerals, Ltd............................ 70,200 6,401
#Metal Manufactures, Ltd.............................. 493,644 698,408
Metalcorp, Ltd........................................ 112,800 97,172
Mirvac, Ltd........................................... 406,003 421,236
Morgan and Banks, Ltd................................. 97,863 251,683
*Mosaic Oil NL........................................ 314,295 73,123
*Mount Kersey Mining NL............................... 73,076 35,382
National Can Industries, Ltd.......................... 97,017 125,059
Nautronix, Ltd........................................ 74,694 56,361
*Newcrest Mining, Ltd................................. 127,708 181,484
Normandy Mt. Leyshon, Ltd............................. 133,376 129,994
North Flinders Mines, Ltd............................. 72,906 165,036
*Novogen, Ltd......................................... 46,157 69,656
Novus Petroleum, Ltd.................................. 171,258 179,837
OPSM Protector, Ltd................................... 289,801 630,505
Oil Company of Australia, Ltd......................... 51,800 60,258
*Orbital Engine Corp., Ltd............................ 537,358 250,039
Oroton International, Ltd............................. 34,600 22,627
Pacific BBA, Ltd...................................... 294,083 832,138
Pacific Hydro, Ltd.................................... 28,424 14,298
*Pan Pacific Petroleum NL............................. 327,800 22,673
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Parbury, Ltd.......................................... 168,113 $ 31,713
*Payce Consolidated, Ltd.............................. 18,000 8,036
Penfold (W.C.), Ltd................................... 14,100 13,299
*Peptide Technology, Ltd.............................. 176,600 51,081
*Perilya Mines NL..................................... 263,500 43,079
Permanent Trustee Co., Ltd............................ 14,000 88,032
Petaluma, Ltd......................................... 29,519 81,671
Peter Lehmann Wines, Ltd.............................. 35,586 45,201
*Petroz NL............................................ 308,910 128,200
*Petsec Energy, Ltd................................... 97,992 48,678
Pirelli Cables Australia, Ltd......................... 97,420 43,493
*Polartechnics, Ltd................................... 37,205 62,463
*Portman Mining, Ltd.................................. 166,100 99,222
*Power Pacific, Ltd................................... 302,000 0
*Precious Metals Australia, Ltd....................... 75,757 20,960
*Preston Resources NL................................. 64,000 52,316
Prime Television, Ltd................................. 151,669 168,899
*Progen Industries, Ltd............................... 14,388 49,307
*Quantum Resources, Ltd............................... 115,007 26,757
Queensland Cotton Holdings, Ltd....................... 39,866 118,069
*Queensland Metals Corp., Ltd......................... 327,666 162,769
*Raptis Group, Ltd.................................... 12,000 830
Rebel Sport, Ltd...................................... 77,898 50,942
*Redfire Resources NL................................. 23,250 1,608
Reece Australia, Ltd.................................. 32,100 228,085
Resolute, Ltd......................................... 320,738 280,335
#Ridley Corp., Ltd.................................... 573,073 414,401
Rock Building Society, Ltd............................ 11,373 16,877
Ross Mining NL........................................ 296,806 192,231
Rural Press, Ltd...................................... 198,599 624,396
SGIO Insurance, Ltd................................... 289,830 382,715
#Savage Resources, Ltd................................ 861,100 481,899
Schaffer Corp., Ltd................................... 13,800 18,223
Scientific Services, Ltd.............................. 116,615 46,930
Scott Corp., Ltd...................................... 43,000 40,828
Siddons Ramset, Ltd................................... 100,809 316,944
Simeon Wines, Ltd..................................... 74,285 165,822
Simsmetal, Ltd........................................ 145,058 535,417
Singleton Group, Ltd.................................. 26,804 64,047
Sino Securities International, Ltd.................... 8,118 3,420
*Sipa Resources International NL...................... 81,000 4,126
Skilled Engineering, Ltd.............................. 112,716 102,770
*Solution 6 Holdings, Ltd............................. 34,607 18,714
Sonic Healthcare, Ltd................................. 184,902 298,805
Sons of Gwalia, Ltd................................... 199,548 606,048
Southern Cross Broadcasting (Australia), Ltd.......... 40,684 182,145
*Southern Pacific Petroleum NL........................ 82,140 95,552
Southern Star Group, Ltd.............................. 148,407 130,646
*Spectrum Network Systems, Ltd. Series B.............. 153,959 57,118
Spicers Paper, Ltd.................................... 246,300 235,408
Spotless Group, Ltd................................... 252,124 578,655
Spotless Services, Ltd................................ 613,924 432,360
*St. Barbara Mines, Ltd............................... 375,500 17,945
*Strategic Minerals Corp. NL.......................... 13,100 305
Sydney Aquarium, Ltd.................................. 24,135 60,401
Tandou, Ltd........................................... 3,100 2,865
*Tanganyika Gold NL................................... 14,760 3,527
*Tap Oil.............................................. 122,200 70,692
*Target Mining Corp., Ltd............................. 54,667 1,031
Tassal, Ltd........................................... 81,984 70,626
</TABLE>
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<S> <C> <C>
*Techniche, Ltd....................................... 17,610 $ 11,627
Telecasters Australia, Ltd............................ 20,546 79,454
Television & Media Services, Ltd...................... 122,461 104,725
Tempo Service, Ltd.................................... 49,087 49,694
*Ten Network Holdings, Ltd............................ 169,334 224,667
Thakral Holdings Group................................ 651,138 257,945
*Ticor, Ltd........................................... 347,850 157,484
Timbercorp Eucalyptus, Ltd............................ 12,700 37,134
*Titan Resources NL................................... 50,000 3,458
Toll Holdings, Ltd.................................... 59,161 104,161
*Tooth & Co., Ltd..................................... 153,000 22,609
Tourism Assets Holdings, Ltd.......................... 441,979 269,579
*Transcom International, Ltd.......................... 37,200 13,567
*Triako Resources, Ltd................................ 5,400 637
*Troy Resources NL.................................... 22,548 6,380
*Union Gold Mining Co. NL............................. 142,500 25,089
United Construction Group, Ltd........................ 81,554 143,587
*Victoria Petroleum NL................................ 147,973 5,397
Villa World, Ltd...................................... 134,700 92,322
Visions Systems, Ltd.................................. 15,334 67,301
*Walhalla Mining Company NL........................... 681 17
#Walker Corp., Ltd.................................... 419,649 179,435
Wattyl, Ltd........................................... 174,123 487,224
Webster, Ltd.......................................... 33,551 17,932
Wesfi, Ltd............................................ 76,261 65,935
Western Metals, Ltd................................... 379,766 193,426
Westralian Sands, Ltd................................. 173,114 407,114
White (Joe) Maltings, Ltd............................. 26,738 62,376
Wide Bay Capricorn Building Society, Ltd.............. 11,969 24,535
Wills (W.D. & H.O.) Holdings, Ltd..................... 259,700 571,548
Yates (Arthur) and Co. Property, Ltd.................. 136,870 86,064
*Zimbabwe Platinum Mines, Ltd......................... 74,620 15,951
------------
TOTAL COMMON STOCKS
(Cost $41,142,823)................................... 32,352,365
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Australian Dollar (Cost $9,554)...................... 9,631
------------
RIGHTS/WARRANTS -- (0.0%)
*Tanganyika Gold NL Rights 12/22/98
(Cost $0)........................................... 4,920 0
------------
TOTAL -- AUSTRALIA
(Cost $41,152,377)................................... 32,361,996
------------
SINGAPORE -- (17.5%)
COMMON STOCKS -- (17.5%)
AV Jennings Homes, Ltd................................ 30,800 8,602
Acma, Ltd............................................. 419,600 205,089
*Alliance Technology & Development, Ltd............... 48,000 10,492
Amtek Engineering, Ltd................................ 397,500 190,667
Ana Hotels Singapore, Ltd............................. 89,000 70,790
Avimo Group, Ltd...................................... 288,250 446,294
Bonvests Holdings, Ltd................................ 560,000 151,307
British-American Tobacco Co. (Singapore), Ltd......... 149,000 374,540
*Broadway Industrial Group, Ltd....................... 117,000 8,525
Bukit Sembawang Estates, Ltd.......................... 60,334 329,698
*#CK Tang, Ltd........................................ 249,000 55,939
CSA Holdings, Ltd..................................... 309,000 124,765
CWT Distribution, Ltd................................. 406,500 133,280
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Carnaudmetalbox Asia, Ltd............................. 106,000 $ 110,700
Causeway Investment, Ltd.............................. 133,000 25,034
#Central Properties, Ltd.............................. 66,000 362,664
Chemical Industries (Far East), Ltd................... 77,910 82,783
Chevalier Singapore Holdings, Ltd..................... 114,000 16,612
Chuan Hup Holdings, Ltd............................... 535,000 177,036
Comfort Group, Ltd.................................... 1,403,000 494,080
Compact Metal Industries.............................. 462,000 68,726
Cosco Investment (Singapore), Ltd..................... 196,400 62,009
Courts Singapore, Ltd................................. 423,000 148,964
Econ International, Ltd............................... 621,000 162,133
*Eltech Electronics, Ltd.............................. 237,000 23,024
Eng Wah Organisation, Ltd............................. 174,000 24,299
First Capital Corp., Ltd.............................. 575,000 457,352
Focal Finance, Ltd.................................... 95,200 98,265
Freight Links Express Holdings, Ltd................... 645,000 80,283
Fuji Offset Plates Manufacturing, Ltd................. 33,750 4,047
GB Holdings, Ltd...................................... 90,000 23,771
GK Goh Holdings....................................... 917,000 506,667
*General Magnetics, Ltd............................... 177,000 21,494
*#Goldtron, Ltd....................................... 473,000 45,951
Guthrie GTS, Ltd...................................... 1,174,400 188,962
HTP Holdings, Ltd..................................... 321,000 60,420
Hai Sun Hup Group, Ltd................................ 1,097,000 306,391
Haw Par Brothers International, Ltd................... 500,200 522,377
Hind Hotels International, Ltd........................ 112,000 74,804
Hitachi Zosen (Singapore), Ltd........................ 962,000 438,075
Hong Kok Corp., Ltd................................... 390,000 227,325
Hotel Grand Central, Ltd.............................. 437,640 138,176
Hotel Plaza, Ltd...................................... 1,015,000 265,000
Hotel Properties, Ltd................................. 1,114,000 585,077
Hotel Royal, Ltd...................................... 98,333 58,809
Hour Glass, Ltd....................................... 298,000 74,184
Hup Seng Huat, Ltd.................................... 666,200 82,922
Hwa Hong Corp., Ltd................................... 443,000 309,324
Hwa Tat Lee, Ltd...................................... 158,000 18,707
*#IPC Corp., Ltd...................................... 1,936,000 99,916
Inchcape Motors, Ltd.................................. 348,000 483,867
*Inno-Pacific Holdings, Ltd........................... 300,500 20,070
Insurance Corp. of Singapore, Ltd..................... 138,250 136,825
International Factors (Singapore), Ltd................ 169,000 47,202
Intraco, Ltd.......................................... 264,500 101,176
Isetan (Singapore), Ltd............................... 61,000 68,519
Jack Chia-MPH, Ltd.................................... 638,000 195,625
Jaya Holdings, Ltd.................................... 122,400 40,132
Jurong Cement, Ltd.................................... 80,500 139,300
Jurong Engineering, Ltd............................... 87,000 101,422
Kay Hian Holdings, Ltd. (Foreign)..................... 1,013,000 442,847
Keppel Finance, Ltd................................... 253,750 184,884
#Keppel Integrated Engineering, Ltd................... 467,000 245,270
Keppel Marine Industries, Ltd......................... 505,500 515,635
Keppel Telecommunications and Transportation, Ltd..... 974,000 697,835
Khong Guan Flour Milling, Ltd......................... 10,000 10,200
Kim Eng Holdings, Ltd................................. 1,656,200 739,115
L & M Group Investments, Ltd.......................... 337,100 120,760
LC Development, Ltd................................... 225,333 54,042
Lee Kim Tah Holdings, Ltd............................. 159,000 57,924
Liang Court Holdings, Ltd............................. 1,199,000 334,880
Liang Huat Aluminum, Ltd.............................. 722,000 78,908
Lim Kah Ngam, Ltd..................................... 350,999 62,869
*Low Keng Huat Singapore, Ltd......................... 144,000 17,049
</TABLE>
204
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Lum Chang Holdings, Ltd............................... 1,049,030 $ 340,764
Metalock (Singapore), Ltd............................. 60,000 17,122
#Metro Holdings, Ltd.................................. 266,160 302,201
*Neptune Orient Lines, Ltd............................ 1,222,000 478,567
*Nippecraft, Ltd...................................... 886,000 64,555
Orchard Parade Holdings, Ltd.......................... 737,320 432,011
*Osprey Maritime, Ltd................................. 871,000 364,904
Overseas Union Enterprise, Ltd........................ 200,000 346,088
Overseas Union Trust (Foreign)........................ 163,800 151,171
*PCI, Ltd............................................. 225,000 37,569
*Pacific Can Investment Holdings, Ltd................. 101,000 11,652
Pacific Carriers, Ltd................................. 761,000 288,786
Pan Malayan Holdings, Ltd............................. 100,000 59,503
Pan Pacific Public Co., Ltd........................... 46,500 10,729
Pan-United Corp., Ltd................................. 1,184,000 240,829
Pentex-Schweizer Circuits, Ltd........................ 183,200 89,543
Pertama Holdings, Ltd................................. 68,750 4,592
*Pokka Corp. (Singapore), Ltd......................... 79,000 9,593
Prima, Ltd............................................ 95,000 129,206
Provisions Suppliers Corp............................. 544,600 133,920
Republic Hotels and Resorts, Ltd...................... 787,000 434,838
Resources Development Corp., Ltd...................... 104,000 94,719
Robinson & Co., Ltd................................... 181,360 550,583
Rotary Engineering, Ltd............................... 230,000 49,576
SNP Corp., Ltd........................................ 68,000 15,276
*SPP, Ltd............................................. 454,000 46,862
*ST Capital, Ltd...................................... 940,553 351,213
San Teh, Ltd.......................................... 523,672 111,286
Scotts Holdings, Ltd.................................. 482,000 219,493
Sea View Hotel, Ltd................................... 44,000 120,754
Shangri-la Hotel, Ltd................................. 377,700 550,389
Sime Singapore, Ltd................................... 1,477,000 448,396
Sing Investments & Finance, Ltd. (Foreign)............ 94,500 53,361
Singapore Finance, Ltd................................ 502,000 371,856
Singapore Reinsurance Corp., Ltd...................... 200,700 107,236
Singapura Building Society, Ltd....................... 65,250 35,260
*Singatronics, Ltd.................................... 620,000 141,167
Ssangyong Cement (Singapore), Ltd..................... 201,000 173,299
Stamford Tyres Corp., Ltd............................. 62,000 11,293
Straits Trading Co., Ltd.............................. 416,000 320,781
Sunright, Ltd......................................... 338,000 168,284
Superior Metal Printing, Ltd.......................... 235,500 40,752
Tat Lee Finance, Ltd.................................. 66,000 47,687
Tibs Holdings, Ltd.................................... 203,500 137,151
Tiger Medicals, Ltd................................... 155,000 94,112
Times Publishing, Ltd................................. 334,000 504,961
*Transmarco, Ltd...................................... 12,000 22,004
Tuan Sing Holdings, Ltd............................... 3,106,000 339,458
United Engineers, Ltd................................. 431,500 277,714
United Overseas Finance, Ltd.......................... 134,500 93,914
United Overseas Insurance, Ltd........................ 75,500 54,093
United Pulp & Paper Co., Ltd.......................... 289,000 108,793
*Uraco Holdings, Ltd.................................. 347,000 58,993
*Van der Horst, Ltd................................... 309,100 137,942
Vickers Ballas Holdings, Ltd.......................... 1,314,000 925,476
WBL Corp., Ltd........................................ 280,000 210,810
Wearnes International (1994), Ltd..................... 33,000 7,914
------------
TOTAL COMMON STOCKS
(Cost $39,781,811)................................... 24,403,708
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN
CURRENCY -- (0.0%)
*Singapore Dollars (Cost $21,684)..................... $ 21,739
------------
TOTAL -- SINGAPORE
(Cost $39,803,495)................................... 24,425,447
------------
NEW ZEALAND -- (5.7%)
COMMON STOCKS -- (5.7%)
AFFCO Holdings, Ltd................................... 227,088 26,361
*Advantage Group, Ltd................................. 44,000 14,162
Baycorp Holdings, Ltd................................. 72,007 264,062
CDL Hotels NZ, Ltd.................................... 657,244 124,846
CDL Investments NZ, Ltd............................... 191,786 22,263
Cavalier Corp., Ltd................................... 43,907 77,843
Ceramco Corp., Ltd.................................... 59,127 34,318
Colonial Motor Co., Ltd............................... 37,752 35,457
Corporate Investments, Ltd............................ 807,127 366,257
*Cue Energy Resources NL.............................. 452,354 19,095
DB Group, Ltd......................................... 189,577 315,095
Donaghys, Ltd......................................... 37,239 23,579
Eastern Equities Corp., Ltd........................... 41,001 8,870
Ebos Group, Ltd....................................... 9,036 23,362
Enerco New Zealand, Ltd............................... 159,734 477,045
Ernest Adams, Ltd..................................... 20,495 22,710
*Evergreen Forests, Ltd............................... 122,501 29,087
Fernz Corp., Ltd...................................... 191,102 569,718
Fisher & Paykel Industries, Ltd....................... 155,290 487,536
Force Corp., Ltd...................................... 291,114 98,308
Hallenstein Glassons Holdings, Ltd.................... 109,038 123,698
Hellaby Holdings, Ltd................................. 61,379 63,154
*Kingsgate International Corp., Ltd................... 479,679 40,496
LWR Industries, Ltd................................... 49,137 28,001
Michael Hill International, Ltd....................... 47,040 58,329
Milburn New Zealand, Ltd.............................. 258,541 286,480
Natural Gas Corp. Holdings, Ltd....................... 42,200 42,752
New Zealand Oil & Gas, Ltd............................ 189,110 39,914
New Zealand Refining Co., Ltd......................... 42,119 360,030
Northland Port Corp. (New Zealand), Ltd............... 77,971 49,370
Nuplex Industries, Ltd................................ 164,195 242,585
*Otter Gold Mines, Ltd................................ 89,321 54,200
Owens Group, Ltd...................................... 94,922 62,607
PDL Holdings, Ltd..................................... 16,581 36,921
Pacific Retail Group, Ltd............................. 52,744 23,656
Port of Tauranga, Ltd................................. 143,746 292,013
Ports of Auckland..................................... 177,558 524,655
Progessive Enterprises, Ltd........................... 395,773 281,920
Radio Pacific, Ltd.................................... 5,200 10,838
Reid Farmers, Ltd..................................... 68,334 19,470
Richina Pacific, Ltd.................................. 137,322 43,475
Sanford, Ltd.......................................... 174,612 290,222
Scott Technology, Ltd................................. 23,274 28,245
*Seafresh Fisheries................................... 80,520 4,249
Shortland Properties, Ltd............................. 381,380 126,778
South Eastern Utilities, Ltd.......................... 73,279 42,532
South Port New Zealand, Ltd........................... 39,528 19,188
St. Lukes Group, Ltd.................................. 290,167 274,061
Steel & Tube Holdings, Ltd............................ 117,010 98,167
*Summit Gold, Ltd..................................... 107,419 8,502
Tasman Agriculture, Ltd............................... 263,200 108,324
Taylors Group, Ltd.................................... 29,646 11,419
*Tourism Holdings, Ltd................................ 62,794 36,115
</TABLE>
205
<PAGE>
THE PACIFIC RIM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Trans Tasman Properties, Ltd.......................... 593,308 $ 134,615
Warehouse Group, Ltd.................................. 251,743 700,026
Waste Management NZ, Ltd.............................. 74,544 267,465
Williams & Kettle, Ltd................................ 17,172 13,591
Wrightson, Ltd........................................ 317,720 56,999
Zuellig NZ, Ltd....................................... 148,825 34,552
------------
TOTAL COMMON STOCKS
(Cost $11,636,416)................................... 7,979,588
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*New Zealand Dollar (Cost $646)....................... 635
------------
TOTAL -- NEW ZEALAND
(Cost $11,637,062)................................... 7,980,223
------------
SOUTH KOREA -- (0.0%)
COMMON STOCKS -- (0.0%)
*Korea Green Cross Co., Ltd.
(Cost $156)......................................... 4 128
------------
CANADA -- (0.0%)
INVESTMENT IN
CURRENCY -- (0.0%)
*Canadian Dollars
(Cost $1)........................................... 1
------------
FACE
AMOUNT VALUE+
------------ ------------
(000)
TEMPORARY CASH
INVESTMENTS -- (1.6%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.125%, 12/31/01, valued at $2,231,175) to be
repurchased at $2,193,302.
(Cost $2,193,000)................................... $ 2,193 $ 2,193,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $247,446,149)++.... $139,521,594
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $248,613,662.
## Illiquid securities fair valued by the Board of Trustees.
</TABLE>
See accompanying Notes to Financial Statements.
206
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
UNITED KINGDOM -- (97.8%)
COMMON STOCKS -- (96.8%)
600 Group P.L.C....................................... 123,110 $ 133,100
*AAF Industries P.L.C................................. 53,256 45,710
*ABI Leisure Group P.L.C.............................. 73,000 0
AIM Group P.L.C....................................... 32,063 62,185
API Group P.L.C....................................... 51,500 259,268
ASDA Property Holdings P.L.C.......................... 94,000 191,618
*ASW Holdings P.L.C................................... 385,900 108,284
Abacus Polar P.L.C.................................... 125,000 223,863
Abbeycrest P.L.C...................................... 61,590 108,268
Abbot Group P.L.C..................................... 92,595 285,806
Abbott Mead Vickers P.L.C............................. 141,750 937,060
Aberdeen Trust P.L.C.................................. 38,500 62,913
Acal P.L.C............................................ 2,000 9,821
Acatos & Hutcheson P.L.C.............................. 79,000 182,556
*Acorn Computer Group P.L.C........................... 100,000 119,668
*Action Computer Supplies Holdings, Ltd............... 8,000 26,608
Adam & Harvey Group P.L.C............................. 10,500 24,264
Admiral P.L.C......................................... 48,000 774,462
Adscene Group P.L.C................................... 48,933 94,499
Adwest Group P.L.C.................................... 184,250 214,407
*African Lakes Corp. P.L.C............................ 6,208 5,380
Airflow Streamlines P.L.C............................. 20,500 45,004
Airsprung Furniture Group P.L.C....................... 58,000 60,792
Alba P.L.C............................................ 110,625 322,285
*Albemarle Property Investment P.L.C.................. 150,000 8,666
*Alexanders Holdings P.L.C............................ 188,000 47,323
Alexandra Workwear P.L.C.............................. 86,243 137,370
*Alexon Group P.L.C................................... 121,500 434,186
Allders P.L.C......................................... 16,000 24,693
Allen P.L.C........................................... 25,000 132,048
Allied Leisure P.L.C.................................. 265,166 111,609
Allied London Properties P.L.C........................ 154,852 191,699
Allied Textile Companies P.L.C........................ 156,033 283,303
Alpha Airports Group P.L.C............................ 318,263 196,997
*Alphameric P.L.C..................................... 2,046 1,418
Alumasc Group P.L.C................................... 85,000 135,390
Alvis P.L.C........................................... 150,000 445,662
Amey P.L.C............................................ 56,000 610,062
Andrew Sykes Group P.L.C.............................. 203,650 579,850
*Anglesey Mining P.L.C................................ 55,000 4,312
Anglian Group P.L.C................................... 157,850 575,809
Anglo Eastern Plantations P.L.C....................... 57,166 46,707
Anite Group P.L.C..................................... 250,000 189,819
Apollo Metals P.L.C................................... 60,000 81,210
Aquarius Group P.L.C.................................. 8,000 20,666
Arlen P.L.C........................................... 200,728 95,255
Armitage Brothers P.L.C............................... 4,000 12,941
Armour Trust P.L.C.................................... 198,500 36,860
Ascot P.L.C........................................... 38,461 160,296
Ash & Lacy P.L.C...................................... 91,098 172,921
Ashtenne Holdings P.L.C............................... 50,000 111,003
*Associated British Engineering P.L.C................. 534,500 13,234
Associated Nursing Services P.L.C..................... 50,000 113,479
*Aukett Associates P.L.C.............................. 142,375 18,213
Austin Reed Group P.L.C............................... 68,999 109,904
Avesco P.L.C.......................................... 29,998 148,049
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Avon Rubber P.L.C..................................... 60,364 $ 407,515
Avonside Group P.L.C.................................. 50,000 30,536
*Azlan Group P.L.C.................................... 185,000 172,529
BNB Resources P.L.C................................... 49,000 67,534
BPP Holdings P.L.C.................................... 77,450 597,647
BS P.L.C.............................................. 7,000 15,425
BSG International P.L.C............................... 59,597 116,078
*BWA Group P.L.C...................................... 6,300 1,222
BWI P.L.C............................................. 102,452 92,163
Babcock International Group P.L.C..................... 122,557 144,639
Baggeridge Brick P.L.C................................ 98,000 123,745
Bailey (Ben) Construction P.L.C....................... 26,000 22,316
Bailey (C.H.) P.L.C................................... 109,500 13,556
Bailey (C.H.) P.L.C. Class B.......................... 10,000 2,641
Bandt P.L.C........................................... 315,000 158,581
Banks (Sidney C.) P.L.C............................... 26,736 90,467
Barbour Index P.L.C................................... 41,000 143,809
Bardon Group P.L.C.................................... 270 326
Barlows P.L.C......................................... 50,000 38,376
Barr (A.G.) P.L.C..................................... 43,000 315,842
Baynes (Charles) P.L.C................................ 341,378 264,835
*Bearing Power International P.L.C.................... 81,757 12,145
Beattie (James) P.L.C................................. 92,247 248,950
Beauford P.L.C........................................ 1,312 92
Bellway P.L.C......................................... 93,000 438,259
Bemrose Corp. P.L.C................................... 94,500 422,710
Benchmark Group P.L.C................................. 26,892 59,924
Benson Group P.L.C.................................... 77,856 34,697
Bentalls P.L.C........................................ 91,617 109,637
Berisford P.L.C....................................... 200,000 622,276
Bespak P.L.C.......................................... 55,918 807,610
Betacom P.L.C......................................... 149,652 88,308
Bett Brothers P.L.C................................... 33,108 77,873
*Beverley Group P.L.C................................. 86,820 1,075
*Biocompatibles International P.L.C................... 11,250 17,177
Birkby P.L.C.......................................... 108,157 285,638
*Birkdale Group P.L.C................................. 33,600 693
Birse Group P.L.C..................................... 421,901 78,344
Black (A & C) P.L.C................................... 2,250 15,320
Black (Peter) Holdings P.L.C.......................... 134,495 630,473
Black Arrow Group P.L.C............................... 56,500 77,871
Blacks Leisure Group P.L.C............................ 69,959 278,293
Blagden Industries P.L.C.............................. 159,892 457,897
Blick P.L.C........................................... 68,555 436,786
Blockleys P.L.C....................................... 73,918 51,854
*Body Shop International P.L.C........................ 139,000 167,486
*Bolton Group (International), Ltd.................... 23,000 759
Boosey & Hawkes P.L.C................................. 47,500 274,412
Boot (Henry) & Sons P.L.C............................. 57,000 164,647
*Booth Industries Group P.L.C......................... 5,000 3,342
Bostrom P.L.C......................................... 36,000 107,850
Bourne End Properties P.L.C........................... 141,021 84,961
Bradstock Group P.L.C................................. 130,000 96,560
Brammer (H.) P.L.C.................................... 98,536 521,272
Brasway P.L.C......................................... 217,701 40,425
Break for the Border Group P.L.C...................... 70,000 45,061
Breedon P.L.C......................................... 65,428 92,336
Brent International P.L.C............................. 149,531 203,623
*Brent Walker Group P.L.C............................. 128,571 0
</TABLE>
207
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Bridgend Group P.L.C.................................. 93,000 $ 12,280
Bridport-Gundry P.L.C................................. 38,500 54,016
Bristol United Press P.L.C............................ 40,500 257,370
Bristol Water Holdings P.L.C.......................... 12,000 288,690
Britannia Group P.L.C................................. 50,000 28,885
*British Biotech P.L.C................................ 100,000 64,373
British Fittings Group P.L.C.......................... 62,658 76,533
British Mohair Holdings P.L.C......................... 31,500 42,375
British Polythene Industries P.L.C.................... 56,740 265,980
British Steam Specialties Group P.L.C................. 56,505 295,191
*British Thornton Holdings P.L.C...................... 35,000 13,865
British-Borneo Petroleum Syndicate P.L.C.............. 93,414 227,429
Brockhampton Holdings P.L.C........................... 12,000 37,039
Brockhampton Holdings P.L.C. Series A Non-Voting...... 48,000 68,929
Brooke Industrial Holdings P.L.C...................... 15,574 23,393
Brooks Service Group P.L.C............................ 25,500 41,669
*Brown & Jackson P.L.C................................ 522,019 680,699
Brunel Holdings P.L.C................................. 276,000 27,334
Bryant Group P.L.C.................................... 20,909 29,336
Budgens P.L.C......................................... 370,137 380,315
Bulgin (A.F.) & Co. P.L.C............................. 4,000 6,338
Bulgin (A.F.) & Co. P.L.C. Class A Non-Voting......... 52,000 10,514
*Bullers P.L.C........................................ 97 0
Bullough P.L.C........................................ 256,000 291,562
Bulmer (H.P.) Holdings P.L.C.......................... 60,500 354,508
Burford Holdings P.L.C................................ 20,000 28,390
*Burn Stewart Distillers P.L.C........................ 142,500 41,162
*Burnden Leisure P.L.C................................ 33,000 9,260
Burndene Investments P.L.C............................ 220,001 101,677
Burtonwood Brewery P.L.C.............................. 52,000 138,617
Business Post Group P.L.C............................. 25,000 150,617
CLS Holdings P.L.C.................................... 102,907 189,392
CRT Group P.L.C....................................... 22,000 52,654
Caffyns P.L.C......................................... 6,000 27,482
*Cairn Energy P.L.C................................... 13,000 24,569
Cala P.L.C............................................ 98,400 153,486
Calderburn P.L.C...................................... 107,636 79,949
*Calluna P.L.C........................................ 58,000 23,694
Camellia P.L.C........................................ 2,950 167,990
Canning (W.) P.L.C.................................... 68,354 332,834
*Cantab Pharmaceuticals P.L.C......................... 100,000 349,102
Cape P.L.C............................................ 119,518 186,426
Capital Corp. P.L.C................................... 205,000 197,948
Capital Industries P.L.C.............................. 75,937 59,537
Carclo Engineering Group P.L.C........................ 135,463 201,236
*Cardinal Business Group P.L.C........................ 25,000 2,166
*Carlisle Holdings, Ltd............................... 375,000 134,627
Carpetright P.L.C..................................... 95,000 308,126
Carr's Milling Industries P.L.C....................... 19,000 25,403
Castings P.L.C........................................ 102,000 335,881
*Cathay International P.L.C........................... 439,600 36,280
Caverdale Group P.L.C................................. 63,924 137,694
*Celltech P.L.C....................................... 7,000 49,394
Chamberlin & Hill P.L.C............................... 18,000 57,193
Channel Holdings P.L.C................................ 230,500 25,681
Chemring Group P.L.C.................................. 49,000 94,224
Chesterfield Properties P.L.C......................... 25,000 158,045
*Chiroscience Group P.L.C............................. 10,000 49,105
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Chloride Group P.L.C.................................. 535,500 $ 446,368
Christie Group P.L.C.................................. 50,846 37,347
Chrysalis Group P.L.C................................. 72,036 771,678
Church & Co. P.L.C.................................... 26,500 134,503
Churchill China P.L.C................................. 30,000 44,071
City Centre Restaurants P.L.C......................... 408,500 478,732
*City Site Estates P.L.C.............................. 20,000 8,748
City Technology Holdings P.L.C........................ 15,000 50,508
Clark (Matthew) P.L.C................................. 50,000 198,897
Clarkson (Horace) P.L.C............................... 44,733 57,961
*Clinical Computing P.L.C............................. 40,000 27,400
Clinton Cards P.L.C................................... 152,460 343,503
*Clubhaus P.L.C....................................... 31,694 34,789
Clyde Blowers P.L.C................................... 19,635 53,800
*Cohen (A.) & Co. P.L.C............................... 2,100 5,026
Colefax & Fowler Group P.L.C.......................... 60,000 70,811
*Colorvision P.L.C.................................... 50,000 0
Community Hospitals Group P.L.C....................... 81,333 588,679
Conrad Ritblat Group P.L.C............................ 64,228 248,605
*Consolidated Coal P.L.C.............................. 9,166 416
Cornwell Parker P.L.C................................. 78,333 101,498
Cosalt P.L.C.......................................... 30,700 104,641
Countryside Property P.L.C............................ 168,259 211,074
Courtaulds Textiles P.L.C............................. 75,000 194,977
Courts P.L.C.......................................... 134,722 594,845
Coutts Consulting Group P.L.C......................... 92,000 36,445
Cradley Group Holdings P.L.C.......................... 80,000 55,460
Crest Nicholson P.L.C................................. 311,250 511,180
Crestacare P.L.C...................................... 381,864 185,940
*Creston Land & Estates P.L.C......................... 5,000 6,066
Critchley Group P.L.C................................. 7,500 56,327
Cropper (James) P.L.C................................. 22,000 56,285
*Culver Holdings P.L.C................................ 338 159
Cussins Property Group P.L.C.......................... 43,750 56,327
DCS Group P.L.C....................................... 10,000 83,520
Daejan Holdings P.L.C................................. 23,000 419,500
Dagenham Motors Group P.L.C........................... 50,752 136,966
Dairy Crest Group P.L.C............................... 5,000 30,123
Danka Business Systems P.L.C.......................... 15,000 13,370
Dart Group P.L.C...................................... 74,000 216,196
Dawson Group P.L.C.................................... 100,674 320,713
Dawson International P.L.C............................ 408,769 91,086
*Deanes Holdings P.L.C................................ 4,316 178
Debenham Tewson & Chinnocks Holdings P.L.C............ 89,500 131,479
*Delaney Group P.L.C.................................. 270,000 10,027
Delphi Group P.L.C.................................... 51,993 238,150
Delyn Group P.L.C..................................... 22,500 33,425
Denby Group P.L.C..................................... 41,237 64,663
Dencora P.L.C......................................... 23,000 72,321
Denmans Electrical P.L.C.............................. 53,568 92,398
Densitron International P.L.C......................... 42,386 18,890
Derwent Valley Holdings P.L.C......................... 90,000 702,660
Development Securities P.L.C.......................... 62,000 216,955
Dewhirst Group P.L.C.................................. 275,760 409,653
Dewhurst P.L.C........................................ 9,000 8,839
Dewhurst P.L.C. Class A Non-Voting.................... 15,500 14,711
*Dialog Corp. P.L.C................................... 115,000 134,771
Diploma P.L.C......................................... 96,000 261,455
Dixon Motors P.L.C.................................... 55,408 88,255
Dolphin Packaging P.L.C............................... 49,110 172,255
Domino Printing Sciences P.L.C........................ 117,187 783,387
</TABLE>
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Domnick Hunter Group P.L.C............................ 30,000 $ 113,149
*Donelon Tyson P.L.C.................................. 322,588 0
Dorling Kindersley Holdings P.L.C..................... 20,000 93,424
Dowding & Mills P.L.C................................. 336,440 230,461
Drummond Group P.L.C.................................. 26,250 5,199
EBC Group P.L.C....................................... 30,000 25,254
*ERA Group P.L.C...................................... 400,000 29,711
Eadie Holdings P.L.C.................................. 118,000 18,990
East Surrey Holdings P.L.C............................ 36,800 173,115
Eclipse Blinds P.L.C.................................. 85,670 88,379
Edinburgh Fund Managers Group P.L.C................... 61,000 256,751
Elbief P.L.C.......................................... 23,500 7,564
Eldridge Pope & Co. P.L.C............................. 25,000 76,547
Eleco Holdings P.L.C.................................. 104,685 28,511
Electronic Data Processing P.L.C...................... 55,200 65,601
Electronics Boutique P.L.C............................ 50,000 70,151
Ellis & Everard P.L.C................................. 224,935 811,242
Emess P.L.C........................................... 288,250 97,536
English & Overseas Properties P.L.C................... 76,000 97,220
*Ennstone P.L.C....................................... 50,000 28,473
Epwin Group P.L.C..................................... 58,000 116,318
Eurocamp P.L.C........................................ 92,974 358,336
Eurocopy P.L.C........................................ 131,000 40,543
Eurodis Electron P.L.C................................ 70,000 109,765
Euromoney Publications P.L.C.......................... 20,000 544,698
European Colour P.L.C................................. 82,090 81,299
European Motor Holdings P.L.C......................... 118,325 78,123
Evans Halshaw Holdings P.L.C.......................... 70,687 188,432
Evans of Leeds P.L.C.................................. 80,000 114,222
Expamet International P.L.C........................... 139,749 273,344
*Eyecare Products P.L.C............................... 250,000 50,550
FII Group P.L.C....................................... 41,166 25,481
Fairey Group P.L.C.................................... 8,226 39,851
Falcon Holdings P.L.C................................. 5,500 13,254
Farepak P.L.C......................................... 90,000 276,310
*Farringford P.L.C.................................... 30,000 5,818
Fenner P.L.C.......................................... 215,276 364,218
*Ferguson International Holdings P.L.C................ 89,105 75,745
Field Group P.L.C..................................... 10,000 24,016
Fife Indmar P.L.C..................................... 28,000 28,423
Fine Art Developments P.L.C........................... 108,000 196,091
Finelist Group P.L.C.................................. 257,000 415,720
Finlay (James) P.L.C.................................. 220,370 267,351
First Choice Holidays................................. 671,470 1,113,870
First Technology P.L.C................................ 130,250 679,370
Firth (G.M.) Holdings P.L.C........................... 163,080 62,584
Firth Rixson P.L.C.................................... 312,666 423,191
Fitch P.L.C........................................... 15,500 11,897
*Flare Group P.L.C.................................... 20,600 2,550
Fletcher King P.L.C................................... 17,500 10,399
Folkes Group P.L.C.................................... 28,000 27,961
Folkes Group P.L.C. Non-Voting........................ 65,500 62,166
Forminster P.L.C...................................... 32,500 28,163
Forth Ports P.L.C..................................... 126,000 1,143,866
*Fortune Oil P.L.C.................................... 609,000 42,722
*Forward Technology Industries P.L.C.................. 84,260 18,776
*Foster (John) & Son P.L.C............................ 27,500 4,993
*Frederick Cooper P.L.C............................... 5,796 2,392
French Connection Group P.L.C......................... 25,000 129,985
*French P.L.C......................................... 32,000 16,902
<CAPTION>
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Friendly Hotels P.L.C................................. 51,533 $ 88,037
Frogmore Estates P.L.C................................ 51,000 321,570
Frost Group P.L.C..................................... 175,080 171,947
Fulmar P.L.C.......................................... 32,500 44,257
*GBE International P.L.C.............................. 149,628 12,966
GEI International P.L.C............................... 87,000 91,905
GWR Group P.L.C....................................... 35,698 130,220
Galliford P.L.C....................................... 239,500 68,192
Gardiner Group P.L.C.................................. 310,500 143,503
Garton Engineering P.L.C.............................. 10,248 25,542
Gaskell P.L.C......................................... 36,000 51,400
Gearhouse Group P.L.C................................. 25,000 100,068
Geest P.L.C........................................... 85,000 568,219
Gerrard Group P.L.C................................... 123,860 654,219
Gibbs & Dandy P.L.C................................... 4,500 9,805
Gleeson (M.J.) Group P.L.C............................ 22,471 301,361
Glenchewton P.L.C..................................... 50,000 51,994
Glenmorangie P.L.C.................................... 20,000 226,958
Go-Ahead Group P.L.C.................................. 4,000 44,896
Goldsmiths Group P.L.C................................ 50,000 101,925
Goode Durrant P.L.C................................... 122,500 626,815
Goodhead Group P.L.C.................................. 36,000 20,798
Gowrings P.L.C........................................ 5,000 8,913
Graham Group P.L.C.................................... 13,000 27,895
Grainger Trust, Ltd................................... 22,000 103,493
Grampian Holdings P.L.C............................... 200,324 277,750
Graystone P.L.C....................................... 327,496 167,575
Greenway Holdings P.L.C............................... 60,197 24,343
*Greenwich Resources P.L.C............................ 219,332 35,298
Greggs P.L.C.......................................... 26,000 1,072,890
Greycoat P.L.C........................................ 185,000 447,354
Guiness Peat Group P.L.C.............................. 99,901 72,554
H & C Furnishings P.L.C............................... 190,750 220,396
Haden Maclellan Holdings P.L.C........................ 250,224 191,022
Hall Engineering (Holdings) P.L.C..................... 110,528 175,140
Halstead (James) Group P.L.C.......................... 68,723 201,346
Hambro Countrywide P.L.C.............................. 624,000 1,174,171
Hamley's P.L.C........................................ 47,500 119,565
Hampden Group P.L.C................................... 25,000 17,538
Hampson Industries P.L.C.............................. 283,463 252,657
*Hampton Trust P.L.C.................................. 232,050 68,944
Hardys & Hansons P.L.C................................ 48,000 179,057
Hartstone Group P.L.C................................. 800,263 141,998
Harvey Nash Group..................................... 125,000 498,275
Havelock Europa P.L.C................................. 64,250 34,467
*Hawtal Whiting Holdings P.L.C........................ 22,588 13,981
Hawtin P.L.C.......................................... 196,500 85,951
Hay (Norman) P.L.C.................................... 48,000 33,672
Haynes Publishing Group P.L.C......................... 14,703 51,571
Headlam Group P.L.C................................... 110,773 412,309
Heath (Samuel) & Sons P.L.C........................... 7,500 15,474
Helical Bar P.L.C..................................... 35,000 284,522
Hemingway Properties P.L.C............................ 314,095 127,019
Henlys Group P.L.C.................................... 5,931 42,830
Hewetson P.L.C........................................ 31,428 67,438
Hi-Tech Sports P.L.C.................................. 132,446 42,630
Hicking Pentecost P.L.C............................... 49,096 74,150
Hickson International P.L.C........................... 387,128 383,396
*Highbury House Communications P.L.C.................. 250,000 36,107
*High-Point P.L.C..................................... 57,510 35,597
Hill & Smith Holdings P.L.C........................... 86,850 53,758
</TABLE>
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Hitachi Credit (UK) P.L.C............................. 7,000 $ 30,330
Hodder Headline P.L.C................................. 61,000 242,151
Hogg Robinson P.L.C................................... 186,000 629,374
*Hollas Group P.L.C................................... 354,000 13,147
*Holmes & Marchant Group P.L.C........................ 54,000 11,810
Holt (Joseph) P.L.C................................... 6,000 157,962
Hopkinsons Group P.L.C................................ 310,557 58,950
*Horace Small Apparel P.L.C........................... 82,500 84,428
Howard Holdings P.L.C................................. 57,730 32,875
Hozelock Group P.L.C.................................. 11,320 40,359
Hunting P.L.C......................................... 218,695 514,394
*Huntingdon Life Sciences Group P.L.C................. 357,000 76,604
IAF Group P.L.C....................................... 30,000 46,795
IBC P.L.C............................................. 96,470 667,188
IMS Group P.L.C....................................... 75,000 83,562
ISA International P.L.C............................... 95,214 62,864
Ibstock P.L.C......................................... 625,200 598,534
Iceland Group P.L.C................................... 34,000 136,092
Ideal Hardware P.L.C.................................. 20,000 81,705
Ilion Group P.L.C..................................... 6,000 4,803
Incepta Group P.L.C................................... 176,000 50,112
*Industrial Control Services Group P.L.C.............. 551,666 143,416
Inn Business Group.................................... 150,471 111,765
*Innovative Technologies Group P.L.C.................. 16,000 11,092
Intelek P.L.C......................................... 79,904 21,762
Intereurope Technology Services P.L.C................. 23,500 37,819
Isotron P.L.C......................................... 30,500 276,888
Ivory & Sime P.L.C.................................... 78,125 187,627
J.& J. Dyson P.L.C.................................... 28,500 35,046
JBA Holdings P.L.C.................................... 50,000 156,807
Jackson Group P.L.C................................... 47,237 53,409
Jacobs (John I.) P.L.C................................ 116,000 119,669
Jardine Lloyd Thompson Group P.L.C.................... 392,800 1,319,404
Jarvis Hotels P.L.C................................... 100,000 207,150
Jarvis P.L.C.......................................... 17,000 185,478
Jarvis Porter Group P.L.C............................. 99,894 153,343
John David Sports P.L.C............................... 150,000 133,699
Johnson Group Cleaners P.L.C.......................... 110,535 435,141
Johnston Group P.L.C.................................. 26,000 122,309
Johnston Press P.L.C.................................. 100,000 346,626
Jones & Shipman P.L.C................................. 29,500 3,895
Jones Stroud Holdings P.L.C........................... 38,144 98,533
Joseph (Leopold) Holdings P.L.C....................... 14,000 124,208
Jourdan (Thomas) P.L.C................................ 40,000 27,400
Kalamazoo Computer Group P.L.C........................ 56,120 38,442
Kalon Group P.L.C..................................... 19,000 28,539
Keller Group P.L.C.................................... 110,000 354,054
Kelsey Industries P.L.C............................... 7,500 36,829
*Kendell P.L.C........................................ 568,260 0
*Kenwood Appliances P.L.C............................. 100,892 205,667
Kewill Systems P.L.C.................................. 1,000 19,518
Kier Group P.L.C...................................... 7,000 25,015
Kunick P.L.C.......................................... 600,000 242,638
Laing (John) P.L.C.................................... 107,026 507,006
Laird Group P.L.C..................................... 6,000 13,568
Lambert Fenchurch P.L.C............................... 202,000 283,408
Lambert Howarth Group P.L.C........................... 34,000 82,497
Lambert Smith Hampton P.L.C........................... 3,591 8,595
<CAPTION>
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Lamont Holdings P.L.C................................. 72,231 $ 66,766
*Laura Ashley Holdings P.L.C.......................... 166,100 41,125
Lavendon Group P.L.C.................................. 4,000 17,331
Leeds Group P.L.C..................................... 86,938 74,620
Leicester City P.L.C.................................. 100,000 58,596
Leslie Wise Group P.L.C............................... 107,000 15,895
*Liberty P.L.C........................................ 51,875 122,015
Lilleshall P.L.C...................................... 80,564 89,761
*Limelight Group P.L.C................................ 42,000 20,104
Lincat Group P.L.C.................................... 4,000 18,982
Linden P.L.C.......................................... 37,500 87,894
Linton Park P.L.C..................................... 39,000 221,444
Linx Printing Technologies P.L.C...................... 36,000 81,705
Lionheart P.L.C....................................... 20,997 1,300
*Lister & Co. P.L.C................................... 41,000 0
Litho Supplies P.L.C.................................. 100,000 213,753
Locker (Thomas) Holdings P.L.C........................ 176,168 50,160
London Clubs International P.L.C...................... 125,000 287,823
London Forfeiting Co.................................. 12,000 29,711
London Scottish Bank P.L.C............................ 281,000 565,859
Lookers P.L.C......................................... 53,160 72,390
Lopex P.L.C........................................... 154,948 107,418
Lorien P.L.C.......................................... 100,000 217,054
*Lovell (Y.J.) Holdings P.L.C......................... 70,932 14,635
Low & Bonar P.L.C..................................... 65,000 175,954
Lowe (Robert H.) & Co. P.L.C.......................... 251,985 14,557
Lyles (S.) P.L.C...................................... 16,000 12,148
Lynx Holdings P.L.C................................... 100,000 297,108
M Y Holdings P.L.C.................................... 23,000 25,246
M.R. Data Management Group P.L.C...................... 123,158 182,956
MFI Furniture Group P.L.C............................. 100,000 56,120
ML Holdings P.L.C..................................... 350,132 187,827
MMT Computing P.L.C................................... 3,000 46,918
MS International P.L.C................................ 71,500 21,833
MSB International P.L.C............................... 16,000 52,819
MacDonald Hotels P.L.C................................ 9,000 23,620
MacFarlane Group Clansman P.L.C....................... 292,687 335,761
Macro 4 P.L.C......................................... 50,000 280,602
Mallett P.L.C......................................... 37,437 53,451
Manchester United P.L.C............................... 22,000 79,526
Manganese Bronze Holdings P.L.C....................... 46,184 149,795
Mansfield Brewery P.L.C............................... 143,892 555,769
Marley P.L.C.......................................... 18,857 33,460
Marshalls P.L.C....................................... 275,100 606,197
Marston Thompson & Evershed P.L.C..................... 106,000 518,767
Martin International Holdings P.L.C................... 135,800 50,434
Marylebone Warwick Balfour Group P.L.C................ 41,600 50,469
Matthews (Bernard) P.L.C.............................. 273,942 495,125
Mayflower Corp. P.L.C................................. 10,000 22,283
McAlpine (Alfred) P.L.C............................... 171,111 382,701
McBride P.L.C......................................... 10,000 26,079
McCarthy & Stone P.L.C................................ 209,968 466,141
*McDonnell Information Systems Group P.L.C............ 238,000 190,529
McKay Securities P.L.C................................ 87,000 179,503
McLeod Russel Holdings P.L.C.......................... 149,524 246,804
Meggitt P.L.C......................................... 362,576 778,008
Mentmore Abbey P.L.C.................................. 76,090 114,919
Menzies (John) P.L.C.................................. 5,000 32,682
Merchant Retail Group P.L.C........................... 224,766 141,907
</TABLE>
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Meristem P.L.C........................................ 84,250 $ 60,492
*Merrydown P.L.C...................................... 59,927 20,772
Metal Bulletin P.L.C.................................. 24,000 455,566
Metalrax Group P.L.C.................................. 338,740 533,964
*Metaltech International P.L.C........................ 401,163 19,865
Mice Group P.L.C...................................... 50,000 14,649
*Micro Focus Group P.L.C.............................. 172,500 358,758
Microgen Holdings P.L.C............................... 88,000 160,504
*Microvitec P.L.C..................................... 100,000 9,491
Mitie Group P.L.C..................................... 250,000 507,560
Molins P.L.C.......................................... 68,000 129,077
Moorfield Estates P.L.C............................... 250,000 78,404
Morland & Co. P.L.C................................... 66,380 402,658
Morrison Construction Group P.L.C..................... 5,000 28,267
Moss Brothers Group P.L.C............................. 240,500 529,954
Mowlem (John) & Co. P.L.C............................. 389,326 613,704
Mucklow (A & J) Group P.L.C........................... 175,000 426,061
*NXT P.L.C............................................ 50,000 315,677
Nestor - BNA P.L.C.................................... 180,200 1,194,214
Network Technology P.L.C.............................. 15,000 8,047
Newcastle United P.L.C................................ 48,000 79,625
*Newmarket Venture Capital P.L.C...................... 80,000 3,301
Nichols (J.N.) (Vimto) P.L.C.......................... 98,750 255,090
Nightfreight P.L.C.................................... 125,000 39,202
Norbain P.L.C......................................... 17,000 58,926
Norcros P.L.C......................................... 292,857 232,027
Nord Anglia Education P.L.C........................... 5,000 13,576
Northamber P.L.C...................................... 75,888 225,469
Northern Leisure P.L.C................................ 4,976 9,117
Novara P.L.C.......................................... 88,591 66,534
*OEM P.L.C............................................ 12,000 6,239
OMI International P.L.C............................... 173,158 23,580
Oasis Stores.......................................... 13,000 31,650
Ocean Wilson Holdings, Ltd............................ 84,250 117,508
*Oceonics Group P.L.C................................. 52,760 17,417
Ockham Holdings P.L.C................................. 122,000 138,948
*Offshore Tool & Energy Corporation................... 13,213 5,998
Old English Pub Company P.L.C......................... 25,000 116,161
*Oliver Group P.L.C................................... 68,000 17,397
Orbis P.L.C........................................... 133,333 83,630
Osborne & Little P.L.C................................ 14,500 92,145
*Osprey Communications P.L.C.......................... 23,524 4,077
*Owen & Robinson P.L.C................................ 9,485 274
Owen (H.R.) P.L.C..................................... 300,000 73,039
Oxford Instruments P.L.C.............................. 109,838 389,792
*Oxford Molecular Group P.L.C......................... 25,000 22,077
P & P P.L.C........................................... 217,250 623,952
*PGA European Tour Courses P.L.C...................... 80,000 32,352
PSD Group............................................. 70,000 340,849
PWS Holdings P.L.C.................................... 134,428 34,392
Pace Micro Technology P.L.C........................... 27,000 35,207
Paragon Group of Companies P.L.C...................... 47,000 138,865
Parity P.L.C.......................................... 56,250 450,304
Park Food Group P.L.C................................. 382,500 246,228
Parkland Group P.L.C.................................. 30,000 16,589
Partco Group P.L.C.................................... 50,000 134,111
Partridge Fine Arts P.L.C............................. 58,000 69,408
Paterson Zochonis P.L.C............................... 22,000 136,175
Paterson Zochonis P.L.C. Non-Voting................... 27,000 147,068
Pemberstone P.L.C..................................... 9,158 7,785
Pendragon P.L.C....................................... 95,750 231,536
*Peptide Therapeutics Group P.L.C..................... 35,000 61,815
<CAPTION>
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<S> <C> <C>
Perkins Foods P.L.C................................... 280,000 $ 653,968
Perry Group P.L.C..................................... 61,666 131,813
Pex P.L.C............................................. 85,517 3,882
Photo-Me International P.L.C.......................... 145,000 855,630
Pifco Holdings P.L.C.................................. 41,666 123,793
Pittards P.L.C........................................ 60,985 34,728
*Pittencrieff Resources P.L.C......................... 74,000 32,979
*Plantation & General Investment P.L.C................ 70,623 41,965
Plysu P.L.C........................................... 105,858 205,307
Polypipe P.L.C........................................ 10,281 19,855
Porter Chadburn P.L.C................................. 256,000 79,229
Portmeirion Potteries (Holdings) P.L.C................ 22,856 62,248
Portsmouth & Sunderland Newspapers P.L.C.............. 26,346 434,867
Porvair P.L.C......................................... 35,000 90,412
*Powderject Pharmaceuticals P.L.C..................... 4,000 31,857
Powerscreen International P.L.C....................... 150,000 299,584
Precoat International P.L.C........................... 25,000 55,708
*Premier Consolidated Oilfields P.L.C................. 2,488 903
*Premier Land P.L.C................................... 83,333 7,565
Pressac Holdings P.L.C................................ 181,666 532,248
Prestwick Holdings P.L.C.............................. 90,000 30,454
Princedale Group P.L.C................................ 250,000 33,012
Property Partnerships P.L.C........................... 10,000 41,678
*Prospect Industries P.L.C............................ 372,477 0
Proudfoot P.L.C....................................... 202,646 73,587
Prowting P.L.C........................................ 173,630 275,130
Psion P.L.C........................................... 7,000 54,594
*QS Holdings P.L.C.................................... 95,775 36,360
*Quadrant Group P.L.C................................. 5,662 3,972
*Quality Software Products Holdings P.L.C............. 5,000 31,361
Queensborough Holdings P.L.C.......................... 53,000 16,184
Quick Group P.L.C..................................... 82,866 90,958
Quintain Estates & Development P.L.C.................. 7,000 17,678
RCO Holdings P.L.C.................................... 27,000 70,860
RJB Mining P.L.C...................................... 16,000 16,242
*RMS Communications P.L.C............................. 15,000 5,323
Radamec Group P.L.C................................... 35,000 25,708
Raglan Property P.L.C................................. 104,631 42,744
Ransom (William) & Son P.L.C.......................... 30,000 20,055
Rea Brothers Group P.L.C.............................. 106,562 74,754
Readicut International P.L.C.......................... 494,774 208,252
Real Time Control P.L.C............................... 10,000 73,039
Rebus Group P.L.C..................................... 75,000 152,887
*Reece P.L.C.......................................... 283,750 11,709
Reed Executive P.L.C.................................. 116,500 173,065
Reg Vardy P.L.C....................................... 128,597 378,888
Regal Hotel Group P.L.C............................... 300,000 160,934
*Regent Corp. P.L.C................................... 2,488 0
Regent Inns P.L.C..................................... 85,000 156,436
Reliance Security Group P.L.C......................... 9,000 24,660
Relyon Group P.L.C.................................... 45,777 217,234
Renishaw P.L.C........................................ 160,806 972,788
Renold P.L.C.......................................... 144,000 381,487
Ricardo Group P.L.C................................... 96,709 329,632
*Richards P.L.C....................................... 61,500 11,674
Richardsons Westgarth P.L.C........................... 79,911 46,825
*Richmond Oil & Gas P.L.C............................. 220,000 0
</TABLE>
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<TABLE>
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<S> <C> <C>
*Rodime P.L.C......................................... 261,000 $ 3,231
Rolfe & Nolan P.L.C................................... 24,000 82,200
Roseby's P.L.C........................................ 33,500 48,383
*Ross Group P.L.C..................................... 13,200 599
Rotork P.L.C.......................................... 200,017 1,069,680
Rowe Evans Investments P.L.C.......................... 114,417 97,261
Roxboro Group P.L.C................................... 5,000 18,033
*Roxspur P.L.C........................................ 67,464 64,030
Royal Doulton P.L.C................................... 40,000 54,470
Russell (Alexander) P.L.C............................. 47,500 53,706
Rutland Trust P.L.C................................... 684,000 623,778
S & U P.L.C........................................... 29,040 138,528
SEP Industrial Holdings P.L.C......................... 200,000 52,819
SGB Group P.L.C....................................... 9,000 29,191
SIG P.L.C............................................. 103,200 240,182
Safeland P.L.C........................................ 25,000 11,142
Salvesen (Christian) P.L.C............................ 100,000 168,361
Sanderson Bramall Motor Group P.L.C................... 79,166 173,140
Sanderson Electronics P.L.C........................... 90,000 210,204
Saville (J.) Gordon Group P.L.C....................... 417,926 417,346
Savills P.L.C......................................... 104,000 158,788
*Scotia Holdings P.L.C................................ 6,000 8,616
Scottish Metropolitan Property P.L.C.................. 287,499 346,418
Secure Trust Group P.L.C.............................. 33,018 316,097
*Seet P.L.C........................................... 7,000 2,715
Semple Cochrane P.L.C................................. 28,000 126,634
Sennah Rubber Co., Ltd. (Guernsey).................... 1,214 134,257
Servisair P.L.C....................................... 70,000 151,360
Servomex P.L.C........................................ 30,000 50,261
Seton Healthcare Group P.L.C.......................... 64,863 927,700
Severfield-Reeve P.L.C................................ 20,000 82,530
Shaftesbury P.L.C..................................... 112,500 313,820
Shani Group P.L.C..................................... 30,000 20,550
Shanks & McEwan Group P.L.C........................... 192,000 637,000
Sharpe & Fisher P.L.C................................. 47,126 121,346
*Sheffield United P.L.C............................... 3,000 1,213
Sherwood Group P.L.C.................................. 270,000 160,438
*Shield Diagnostics Group P.L.C....................... 5,000 44,154
Shiloh P.L.C.......................................... 14,500 30,037
*ShopRite Group P.L.C................................. 204,780 63,377
Sidlaw Group P.L.C.................................... 151,077 197,000
Silentnight Holdings P.L.C............................ 129,000 398,174
Simon Engineering P.L.C............................... 348,089 290,151
*Sims Food Group P.L.C................................ 99,000 58,827
Sinclair (William) Holdings P.L.C..................... 53,000 91,856
Sindall (William) P.L.C............................... 75,500 243,010
Singapore Para Rubber Estates P.L.C................... 26,000 36,478
Singer & Friedlander Group P.L.C...................... 364,000 714,974
Sirdar P.L.C.......................................... 120,545 114,409
*Sketchley P.L.C...................................... 141,800 79,579
Smart (J.) & Co. (Contractors) P.L.C.................. 22,500 99,345
*Soco International P.L.C............................. 9,000 11,067
South Staffordshire Water Holdings P.L.C.............. 11,600 695,513
Southampton Leisure Holdings P.L.C.................... 15,000 11,265
Southnews P.L.C....................................... 5,000 30,825
Spirax-Sarco Engineering P.L.C........................ 3,000 26,046
Spring Ram Corp. P.L.C................................ 866,000 92,912
Springwood P.L.C...................................... 75,000 108,321
St. Modwen Properties P.L.C........................... 50,000 54,057
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Stadium Group P.L.C................................... 5,903 $ 12,277
Stanley (Charles) Group P.L.C......................... 19,200 109,811
Stanley Leisure Organisation P.L.C.................... 231,258 992,458
Stat-Plus Group P.L.C................................. 58,000 117,275
Staveley Industries P.L.C............................. 245,000 333,628
Steel Burrill Jones Group P.L.C....................... 121,682 68,288
Sterling Industries P.L.C............................. 76,000 298,561
Stirling Group P.L.C.................................. 193,011 73,274
Stoddard Sekers International P.L.C................... 179,100 16,998
Stoves Group P.L.C.................................... 10,000 13,205
Stratagem Group P.L.C................................. 70,315 105,036
Stylo P.L.C........................................... 127,367 72,530
*Sunleigh P.L.C....................................... 1,000,000 8,253
Sutcliffe Speakman P.L.C.............................. 180,432 29,782
Swallowfield P.L.C.................................... 15,000 16,093
Swan (John) and Sons P.L.C............................ 1,000 9,078
Swan Hill Group P.L.C................................. 109,500 80,430
Syltone P.L.C......................................... 50,400 84,438
Symonds P.L.C......................................... 145,000 77,785
T & S Stores P.L.C.................................... 158,335 714,786
TI Group P.L.C........................................ 59,560 48,663
*Tadpole Technology P.L.C............................. 100,000 16,093
*Talbex Group P.L.C................................... 38,500 1,271
Tamaris P.L.C......................................... 5,161 3,322
*Tandem Group P.L.C................................... 327,365 16,210
Tay Homes P.L.C....................................... 64,329 117,861
Taylor Nelson AGB P.L.C............................... 394,475 504,618
Telemetrix P.L.C...................................... 202,508 175,486
Telspec P.L.C......................................... 25,000 16,712
Tex Holdings P.L.C.................................... 14,000 12,825
Thorntons P.L.C....................................... 178,000 649,313
Thorpe (F.W.) P.L.C................................... 24,000 54,272
Tibbett & Britten Group P.L.C......................... 100,323 509,199
Tie Rack P.L.C........................................ 125,000 54,676
Tilbury Douglas P.L.C................................. 257,369 1,004,683
Time Products P.L.C................................... 110,242 118,278
Tinsley (Eliza) Group PLC............................. 19,844 21,127
Tomkinsons P.L.C...................................... 14,800 31,758
Topps Tiles P.L.C..................................... 6,000 21,194
Tops Estates P.L.C.................................... 10,088 19,565
*Torday & Carlisle P.L.C.............................. 97,500 56,327
Torex P.L.C........................................... 50,000 73,864
Tottenham Hotspur P.L.C............................... 150,000 179,503
Town Centre Securities (New) P.L.C.................... 142,137 151,324
*Toye & Co. P.L.C..................................... 2,000 1,816
*Trace Computers P.L.C................................ 33,552 68,395
*Trafficmaster P.L.C.................................. 5,000 42,297
Transport Development Group P.L.C..................... 19,782 82,773
Transtec P.L.C........................................ 601,525 337,578
Trifast P.L.C......................................... 1,997 16,646
Try Group P.L.C....................................... 152,247 38,951
Tudor P.L.C........................................... 25,000 25,378
Ugland International Holdings P.L.C................... 219,500 259,049
Ulster Television, Ltd................................ 115,602 415,018
*Union P.L.C.......................................... 94,000 36,462
United Carriers Group P.L.C........................... 70,000 18,487
United Industries P.L.C............................... 98,470 78,829
Vardon P.L.C.......................................... 188,000 451,505
Vega Group P.L.C...................................... 10,000 65,199
*Vert (Jacques) P.L.C................................. 45,000 9,285
Vibroplant P.L.C...................................... 113,500 110,532
Victoria Carpet Holdings P.L.C........................ 12,000 13,667
</TABLE>
212
<PAGE>
THE UNITED KINGDOM SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Videologic Group P.L.C............................... 311,666 $ 272,651
Viglen Technology P.L.C............................... 19,702 7,642
Vitec Group P.L.C..................................... 4,500 39,924
Volex Group P.L.C..................................... 66,801 537,526
Vosper Thornycroft Holdings P.L.C..................... 20,000 263,271
Vymura P.L.C.......................................... 50,000 63,961
WF Electrical P.L.C................................... 32,935 432,182
WSP Group P.L.C....................................... 50,000 120,494
*Wace Group P.L.C..................................... 195,000 104,607
Waddington (John) P.L.C............................... 229,285 637,701
Wagon Industrial Holdings P.L.C....................... 80,000 242,308
Wainhomes P.L.C....................................... 6,000 9,953
Walker Greenbank P.L.C................................ 144,462 122,801
Ward Holdings P.L.C................................... 130,000 54,717
Wardle Storeys P.L.C.................................. 58,000 337,465
Warner Estate Holdings P.L.C.......................... 70,000 248,993
Warner Howard P.L.C................................... 63,817 153,791
Waste Recycling Group P.L.C........................... 3,000 20,179
*Water Hall Group P.L.C............................... 2,484 779
Waterman Partnership Holdings P.L.C................... 45,000 40,852
*Wates City of London Properties P.L.C................ 230,000 284,729
Watson & Philip P.L.C................................. 101,504 299,901
Watts, Blake, Bearne & Co. P.L.C...................... 46,295 249,111
*Waverly Mining Finance P.L.C......................... 42,500 3,508
Wellington Holdings P.L.C............................. 9,000 13,741
Wembley P.L.C......................................... 6,053 30,323
Wescol Group P.L.C.................................... 125,000 72,214
West Trust P.L.C...................................... 145,194 125,820
Westbury P.L.C........................................ 215,522 706,145
Western Selection P.L.C............................... 35,525 4,984
Westminster Health Care Holdings P.L.C................ 12,000 38,921
Whatman P.L.C......................................... 54,387 682,261
Whitecroft P.L.C...................................... 105,000 93,589
Whittard of Chelsea P.L.C............................. 30,000 44,566
Widney P.L.C.......................................... 39,528 21,205
*Wiggins Group P.L.C.................................. 1,148,266 194,271
*Willoughby's Consolidated P.L.C...................... 9,000 18,198
Wilshaw P.L.C......................................... 223,409 188,067
Wilson (Connolly) Holdings P.L.C...................... 51,000 100,175
Wimpey (George) P.L.C................................. 17,000 32,410
Windsor P.L.C......................................... 83,441 16,527
Wintrust P.L.C........................................ 22,500 144,840
Wolstenholme Rink P.L.C............................... 15,500 126,642
Wolverhampton & Dudley Breweries P.L.C................ 50,000 351,990
Worthington Group P.L.C............................... 102,653 99,122
Wyevale Garden Centres P.L.C.......................... 5,000 26,533
Wyko Group P.L.C...................................... 155,545 179,720
Wyndeham Motor Group P.L.C............................ 338 801
Wyndeham Press Group P.L.C............................ 63,066 234,218
Yates Brothers Wine Lodges P.L.C...................... 2,994 15,493
York Waterworks P.L.C................................. 17,000 85,584
Yorklyde P.L.C........................................ 25,555 32,479
Yorkshire Group P.L.C................................. 100,804 197,169
Young & Co's Brewery P.L.C............................ 10,000 77,991
Young & Co's Brewery P.L.C. Class A................... 8,034 84,870
Young (H.) Holdings P.L.C............................. 49,542 79,730
Yule Catto & Co. P.L.C................................ 21,289 92,944
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Zetters Group P.L.C................................... 14,500 $ 26,088
Zotefoams P.L.C....................................... 12,000 18,817
------------
TOTAL COMMON STOCKS
(Cost $127,721,633).................................. 124,770,664
------------
INVESTMENT IN CURRENCY -- (1.0%)
British Pound Sterling
(Cost $1,306,211)................................... 1,284,833
------------
RIGHTS/WARRANTS -- (0.0%)
*Advanced Medical Solutions Group P.L.C. Rights
12/01/98............................................ 9,600 198
*Albemarle Property Investments P.L.C. Rights
12/07/98............................................ 450,000 1,396
------------
TOTAL RIGHTS/WARRANTS
(Cost $8,957)........................................ 1,594
------------
FACE
AMOUNT @
------------
(000)
BONDS -- (0.0%)
Viglen Technology P.L.C. 6.375%, 09/01/00............. 14 38
Viglen Technology P.L.C. 6.98%, 01/01/01.............. 71 0
------------
TOTAL BONDS
(Cost $9)............................................ 38
------------
TOTAL -- UNITED KINGDOM
(Cost $129,036,422).................................. 126,057,129
------------
SHARES
------------
UNITED STATES -- (0.3%)
COMMON STOCKS -- (0.3%)
Interpublic Group of Companies, Inc.
(Cost $481,958)..................................... 5,583 383,831
------------
NETHERLANDS -- (0.0%)
COMMON STOCKS -- (0.0%)
*Baan Company NV
(Cost $31,019)...................................... 1,035 12,487
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH INVESTMENTS -- (1.9%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.125%, 12/31/01, valued at $2,513,400) to be
repurchased at $2,476,340.
(Cost $2,476,000)................................... $ 2,476 2,476,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $132,025,400)++................................ $128,929,447
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $132,037,406.
@ Denominated in local currency.
</TABLE>
See accompanying Notes to Financial Statements.
213
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
FRANCE -- (26.2%)
COMMON STOCKS -- (26.2%)
Agricole de la Crau.................................. 449 $ 44,257
Airfeu SA............................................ 600 26,449
Apem SA.............................................. 1,000 58,189
Assystem SA.......................................... 2,657 57,392
Aurea................................................ 600 5,586
Bail-Investissement (Societe Immobiliere pour le
Commerce & l'Industrie)............................ 2,367 329,723
Bains de Mer et du Cercle des Etrangers a Monaco..... 4,615 671,351
Banque de la Reunion................................. 3,948 364,781
Banque Transatlantique............................... 3,030 132,020
Bazar de l'Hotel de Ville SA......................... 9,950 1,410,598
Berger Levrault SA................................... 476 89,472
Bioblock Scientific SA............................... 1,373 84,735
Boiron SA............................................ 3,800 307,553
#Bollore Technologies SA............................. 18,366 3,659,462
Brioche Pasquier SA.................................. 2,600 318,168
Brosse et Dupont..................................... 3,170 335,378
Burelle SA........................................... 4,030 227,394
CEGID SA............................................. 4,500 872,830
*COM 1 SA............................................ 450 9,062
Caisse Regionale de Credit Agricole Mutuel de la
Brie............................................... 248 17,339
Cambodge............................................. 1,605 849,025
Carbone Lorraine..................................... 33,245 1,729,309
*Caves & Producteurs Reunis de Roquefort............. 192 57,215
Cegedim SA........................................... 6,400 288,898
*Centrest (Societe Developpement Regional du
Centre-Est)........................................ 1,705 192
Change de la Bourse SA............................... 614 20,029
Christian Dalloz SA.................................. 2,022 168,286
Cie Fonciere Klepierre............................... 4,512 463,038
Cie Francaise des Ferrailles......................... 10,576 438,242
*Cofigeo (Cie Financiere Geo)........................ 400 63,479
Compagnie Financiere Saint-Honore.................... 1,188 76,460
*Concorde Cie d'Assurances Contre les Risques de
Toute Nature SA.................................... 2,992 1,055,154
Consortium International de Diffusion et de
Representation Sante Cider Sante................... 600 42,319
Continentale d'Assurances SA......................... 810 87,553
Continentale d'Entreprises SA........................ 20,087 793,391
Costimex SA.......................................... 700 16,231
Courtois SA.......................................... 100 11,109
Credit Foncier et Communal d'Alsace et de Lorraine... 840 138,193
*Cristalleries de Baccarat........................... 1,567 179,600
Damart SA............................................ 2,290 1,897,831
Darblay SA........................................... 305 28,450
Deveaux SA........................................... 1,040 143,955
Didot-Bottin......................................... 810 117,261
Dietrich et Cie...................................... 20,775 1,091,645
Distriborg Groupe SA................................. 1,050 62,950
Docks des Petroles d'Ambes........................... 100 10,932
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Docks Lyonnais....................................... 1,110 $ 30,533
*Dynaction SA........................................ 10,660 312,025
*EMI France SA....................................... 300 78,555
Electricite de Strasbourg............................ 7,928 1,047,056
Emin Leydier Emballages SA........................... 1,056 54,278
*Emprunt Conjoint de Banque du Batiment et des
Travaux Publics et de Financiere de Gestion et
d'Investissement SA................................ 29,814 39,954
Europe 1 Communication............................... 4,782 1,121,464
Exacompta Clairefontaine SA.......................... 1,600 179,150
Expand SA............................................ 2,060 104,249
*Explosifs et de Produits Chimiques.................. 524 115,034
Faienceries Sarreguemines Digoin et Vitry-le-Francois
SA................................................. 330 22,112
*Fichet-Bauche....................................... 910 6,739
Fimalac SA........................................... 20,820 2,463,358
*Financiere et Immobiliere de l'Etang de Berre et de
la Mediterranee SA................................. 400 8,605
Fininfo SA........................................... 976 172,097
Fives-Lille.......................................... 8,400 710,959
Fonciere Lyonnaise SA................................ 4,515 736,417
Fonderies Franco Belge............................... 492 41,208
Fraikin SA........................................... 3,284 243,207
Francaise des Magasins Uniprix....................... 2,886 274,290
France-Africaine de Recherches Petrolieres
Francarep.......................................... 3,864 204,537
*Fromagerie F. Paul Renard........................... 200 37,029
Fructivie SA......................................... 34 3,747
*GCI (Groupe Chatellier Industrie SA)................ 7,258 1,574
GFI Industries SA.................................... 6,845 260,706
Galeries Lafayette SA................................ 1,893 2,162,967
Gantois Series A..................................... 647 105,643
Gascogne SA.......................................... 6,472 511,259
Gaumont.............................................. 14,370 902,051
Gautier France SA.................................... 1,680 104,274
*Generale de Geophysique SA.......................... 14,976 1,027,235
*Generale de Transport et d'Industrie................ 11,890 849,105
Gevelot.............................................. 1,792 205,388
Gifrer Barbezat SA................................... 550 47,521
Grands Moulins de Strasbourg......................... 110 29,560
*Groupe Andre SA..................................... 5,833 697,342
Groupe du Louvre SA.................................. 6,753 499,520
Groupe Guillin SA.................................... 1,200 35,760
*Groupe Norbert Dentressangle SA..................... 6,320 226,223
Groupe Zannier SA.................................... 4,100 87,477
Groupement pour le Financement de la Construction
SA................................................. 20,401 2,435,367
Guerbet SA........................................... 1,990 46,318
Guitel-Etienne-Mobilor SA............................ 160 13,260
Guyenne et Gascogne SA............................... 5,200 2,264,772
Havas Advertising SA................................. 21,461 3,727,438
Hoteliere Lutetia Concorde........................... 2,505 264,139
Hotels et Casinos de Deauville....................... 2,055 342,427
ICBT Groupe SA....................................... 1,200 25,391
IMS International Metal Service SA................... 12,630 126,718
Immeubles de France.................................. 26,264 2,334,080
Immobanque........................................... 1,098 131,654
</TABLE>
214
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Immobiliere Marseillaise............................. 656 $ 1,249,257
Industrie des Transports............................. 600 41,790
Industrielle et Financiere d'Entreprise SA........... 300 15,076
Industrielle et Financiere d'Ingenierie SA........... 28,100 808,632
*Infogrames Entertainment SA......................... 7,750 485,126
Informatique et Realite SA........................... 2,643 148,899
#Intertechnique SA................................... 4,150 1,265,956
Jet Multimedia SA.................................... 505 81,655
Labinal SA........................................... 1,300 328,025
Lacroix SA, Saint Herbalin........................... 593 22,063
Laurent Bouillet..................................... 480 33,855
*Lectra Systemes SA.................................. 19,192 121,828
Legris Industries SA................................. 29,350 1,283,465
Locindus (Cie Financiere pour la Location d'Immeubles
Industrials et Commerciaux)........................ 1,600 226,266
*Lucia............................................... 254 3,673
*MRM................................................. 1,424 79,345
Manitou BF SA........................................ 2,773 366,721
*Marie Brizard & Roger International SA.............. 266 23,264
Matussiere et Forest SA.............................. 13,600 124,460
Mediascience SA...................................... 150 10,844
*#Metaleurop SA...................................... 58,400 278,036
Michel Thierry SA.................................... 700 103,064
Montupet SA.......................................... 32,450 1,316,033
*Moulinex SA......................................... 48,900 853,627
*Musee Grevin SA..................................... 822 13,770
*NAF NAF SA.......................................... 4,200 58,210
Nord-Est............................................. 3,240 100,950
*Nordon & Cie........................................ 800 70,109
*Olipar.............................................. 250 2,290
PSB Industries SA.................................... 1,240 125,723
Papiers Peints (Societe Francaise des)............... 200 21,301
Parisienne de Chauffage Urbain....................... 200 15,538
*Paul Predault SA.................................... 2,199 54,285
*Pier Import Europe SA............................... 12,100 125,881
Plastic Omnium....................................... 11,036 953,525
Primisteres Reynoird SA.............................. 800 40,908
Publicis SA.......................................... 10,150 1,793,321
Radiall SA........................................... 1,340 133,499
Rallye SA............................................ 5,400 356,971
Robertet SA.......................................... 269 42,168
*Rocamat............................................. 5,579 8,165
Rochefortaise Communication SA....................... 10,420 1,185,091
*Rochette............................................ 84,470 268,102
Rougier SA........................................... 2,040 109,280
*Rouleau-Guichard SA................................. 300 11,902
Rue Imperiale de Lyon................................ 450 534,807
SAMSE SA............................................. 1,100 234,306
SDCS (Societe Dauphin Office Technique
d'Affichage)....................................... 2,192 185,527
*SDR de Bretagne SA.................................. 714 7,176
SERIBO (Societe d'Etudes et de Realizations pour les
Industries du Bois)................................ 450 12,386
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*SFIM (Societe de Fabrication d'Instruments de
Mesure)............................................ 2,940 $ 279,940
SOGEPAG (Societe Exploitation de Parces et Gauges)... 379 16,707
Sabate SA............................................ 600 80,406
Sabeton.............................................. 1,350 185,675
Sagem SA............................................. 1,698 1,186,251
*Saupiquet........................................... 4,500 321,360
Sechilienne.......................................... 220 54,309
Securidev SA......................................... 1,500 18,224
*Selectibanque SA.................................... 7,100 90,265
Sidergie SA.......................................... 800 119,904
Signaux et d'Equipements Electroniques SA............ 23,983 1,911,464
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)........................ 3,064 594,300
Skis Rossignol SA.................................... 41,668 620,846
Smoby SA............................................. 500 35,266
Societe Financiere Immobail SA....................... 4,807 216,142
*Societe Financiere Interbail SA..................... 7,000 178,974
*Sodero (Societe de Developpement Regional de
l'Ouest)........................................... 4,181 14,081
Sogeparc SA.......................................... 4,312 357,356
Soie SA.............................................. 390 21,662
Solitaire Produits d'Entretien Francais Prodef....... 300 31,263
Sommer-Allibert SA................................... 12,900 366,218
#Sophia SA........................................... 11,700 490,800
Sopra Conseil et Assistance en Informatique SA....... 1,380 473,042
Strafor Facom SA..................................... 29,703 2,029,534
Sucriere de Pithiviers-le-Vieil...................... 1,825 878,838
Sylea SA............................................. 4,159 236,873
Taittinger SA........................................ 2,540 1,790,609
Tanneries de France.................................. 158 6,547
Teisseire France SA.................................. 700 18,268
Thermal de Bagnoles de l'Orne........................ 245 35,425
*Thomson-CSF......................................... 26,854 1,013,321
Touax (Touage Investissement SA)..................... 7,208 315,203
*Trouvay et Cauvin SA................................ 1,500 22,231
Unilog SA............................................ 632 273,140
Union du Credit Bail Immobiliere Unibail............. 548 76,723
Union Generale du Nord SA............................ 994 40,488
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies)................................. 31,700 1,288,411
Vermandoise de Sucreries............................. 323 345,143
*Via Banque.......................................... 20,692 634,857
Viel et Cie.......................................... 3,135 69,652
Vilmorin et Cie SA................................... 2,349 236,507
Virax................................................ 954 31,120
Virbac SA............................................ 1,713 126,862
Vulcanic SA.......................................... 400 16,575
------------
TOTAL COMMON STOCKS
(Cost $56,730,534)................................... 79,211,191
------------
</TABLE>
215
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
CORPORATE BONDS -- (0.0%)
*Cie Fonciere Klepierre Convertible Bonds 3.00%
01/01/06 (Cost $64,665)............................ 282 $ 65,239
------------
SHARES
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*French Francs (Cost $8,680)......................... 8,872
------------
RIGHTS/WARRANTS -- (0.0%)
*#Fonciere Lyonnaise SA Warrants 07/30/02............ 4,515 5,732
*Union du Credit Bail Immobiliere Unibail Warrants
09/01/99........................................... 548 1,933
------------
TOTAL RIGHTS/WARRANTS
(Cost $2,431)........................................ 7,665
------------
TOTAL -- FRANCE
(Cost $56,806,310)................................... 79,292,967
------------
GERMANY -- (19.4%)
COMMON STOCKS -- (19.4%)
AGIV AG fuer Industrie & Verkehrswesen............... 8,300 190,959
Aachener Strassenbahn und Energieversorguns AG....... 161 35,708
*Agrob AG............................................ 290 76,326
Aigner (Etienne) AG.................................. 600 138,398
*Alexanderwerk AG.................................... 60 3,549
Alsen AG, Hamburg.................................... 16,400 475,284
Alte Leipziger Versicherungs AG Series C............. 1,043 567,525
Amira Verwaltungs AG................................. 200 101,728
Andreae-Noris Zahn AG, Anzag......................... 27,200 828,493
Anterra Vermoegensverwaltungs AG..................... 1,350 98,209
Apoca Parking AG..................................... 1,650 123,937
*Augsburger Kammgarn Spinnerei AG.................... 660 13,662
*BDAG Balcke-Duerr AG................................ 3,291 437,949
Barmag AG............................................ 13,000 372,905
Bayerische Handelsbank AG............................ 25,050 785,229
Berliner Elektro Holding AG.......................... 11,061 132,147
Berliner Kindl-Brauerei AG........................... 790 177,551
Binding-Brauerei AG.................................. 2,925 804,436
Biotest AG........................................... 8,060 155,882
Blaue Quellen Mineral und Heilbrunnen AG............. 267 151,599
*Bochum-Gelsenkirchener Strassenbahnen AG............ 224 35,770
Boewe Systec AG...................................... 3,000 120,654
Boss (Hugo) AG....................................... 250 414,010
*Brau und Brunnen AG................................. 4,995 443,139
Bremer Strassenbahn AG............................... 123 13,458
Bremer Woll-Kaemmerei AG............................. 1,996 97,983
Brillant AG.......................................... 1,310 209,193
Buckau (Walther) AG.................................. 780 88,113
*Ceag Industrie-Aktien und Anlagen AG................ 2,067 391,204
*Computer 2000 AG.................................... 547 273,697
*Concordia Bau und Boden AG.......................... 43,288 354,593
DSL Holding AG....................................... 5,850 975,704
SHARES VALUE+
------------ ------------
Data Modul AG........................................ 2,400 $ 110,718
*Deutsche Babcock AG, Oberhausen..................... 2,900 159,855
Deutsche Hypoteken Bank AG, Frankfurt/Hamburg........ 27,411 883,556
Deutsche Hypotheken Bank AG, Hannover/Berlin......... 2,500 755,568
Deutsche Spezialglas AG.............................. 1,600 255,503
Deutsche Steinzeug Cremer & Breuer AG................ 43,600 567,312
Deutsche Verkehrs-Bank AG............................ 4,750 455,115
*Dierig Holding AG................................... 1,500 168,118
Doag-Holding AG...................................... 750 54,117
*Dortmunder Actien-Brauerei AG....................... 1,650 80,022
Duerr Beteiligungs AG................................ 31,750 839,391
Duerrkopp Adler AG................................... 400 52,757
Dyckerhoff & Widmann AG.............................. 4,919 576,043
Dyckerhoff AG........................................ 975 308,223
Eichbaum-Brauereien AG, Mannheim..................... 672 83,862
Erlus Baustoffwerke AG............................... 297 96,261
*Erste Kulmbacher Actien Brauerei AG................. 432 14,691
Escada AG............................................ 2,052 331,324
*Flender (A. Friedrich) AG........................... 900 125,090
Forst Ebnath AG...................................... 460 8,733
Fraenkisches Ueberlandwerk AG, Nuernberg............. 658 145,939
Fuchs Petrolub AG Oel & Chemie....................... 2,231 211,122
Fuchs Petrolub AG Oel & Chemie (Stimmrechtslos)...... 55 5,205
*G.M. Pfaff AG....................................... 80,000 269,698
Gerresheimer Glas AG................................. 23,800 333,609
Gilde Brauerei AG.................................... 1,200 496,812
*Gildemeister AG..................................... 1,400 82,802
Goldschmidt AG....................................... 3,200 1,305,906
Hagen Batterie AG.................................... 870 115,775
Hamborner AG......................................... 2,100 496,812
Hamburger Hochbahn AG Series A....................... 1,800 109,654
#Harpener AG......................................... 7,100 1,513,828
Hasen-Braeu AG....................................... 100 48,617
Heilit & Woerner Bau AG.............................. 425 32,677
Heilit & Woerner Bau AG.............................. 1,701 136,822
Heinrich Industrie & Handels AG...................... 350 106,608
*Herlitz AG.......................................... 3,462 135,140
Holsten-Brauerei AG, Hamburg......................... 3,077 646,054
*Honsel-Werke AG..................................... 350 37,468
Horten AG............................................ 3,380 469,783
Hucke AG............................................. 8,300 117,815
*Hutschenreuther AG.................................. 860 11,190
ICN (Immobilien Consult Nuernberg AG)................ 707 418,150
IFA Hotel & Touristik AG............................. 7,000 140,763
Iwka AG.............................................. 62,240 1,067,531
Jacobsen (W.) AG, Kiel............................... 37 52,520
*#KSB AG............................................. 2,387 444,709
KWS Kleinwanzlebener Saatzucht AG.................... 1,650 1,341,836
*Kali und Salz Beteiligungs AG....................... 12,950 1,853,523
Kampa-Haus AG........................................ 12,375 292,764
Kaufring AG.......................................... 2,203 87,298
Kempinski AG, Berlin................................. 686 227,209
Keramag Keramische Werke AG.......................... 1,300 682,762
</TABLE>
216
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THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Kiekert AG........................................... 12,950 $ 578,269
*Kloeckner Humboldt-Deutz AG......................... 16,750 161,479
*Kloeckner-Werke AG.................................. 23,800 1,400,596
Km-Europa Metal AG................................... 26,440 1,516,862
*Kolb und Schuele AG................................. 10,000 21,410
Kolbenschmidt Pierburg AG, Duesseldorf............... 37,500 787,359
Kraftuebertragungswerke Rheinfelden AG............... 4,684 1,454,417
Kraftwerk Altwuerttemberg AG......................... 125 86,425
Kromschroder (G.) AG................................. 765 147,048
Kupferberg (Christian Adalbert) & Cie KG A.A......... 151 86,807
Lehnkering AG........................................ 1,530 239,801
Leifheit AG.......................................... 12,500 432,493
Leonische Drahtwerke AG.............................. 2,500 854,635
MG Vermoegensverwaltungs AG.......................... 3,734 231,887
*MLF Holding fuer Umwelttechnologie AG............... 165 0
*MLF Holding fuer Umwelttechnologie AG............... 33 0
Maihak (H.) AG....................................... 143 18,607
Main Kraftwerke AG................................... 1,172 506,015
Mannheimer Versicherung AG........................... 2,758 1,631,200
Markt und Kuehlhallen AG............................. 1,400 227,292
Maternus-Kliniken AG, Bad Oyenhausen................. 2,400 38,042
*Mauser Waldeck AG................................... 1,667 174,511
Mittelschwaebische Ueberlandzentrale AG.............. 355 195,265
*Moenus Textilmaschinen AG........................... 5,250 25,462
*Moksel (A.) AG...................................... 15,800 93,448
Mueller-Weingarten AG................................ 11,580 133,554
*Neue Baumwoll-Spinnerei ud Weberei Hof AG........... 12,170 174,908
*Niedermayr Papierwarenfabrik AG..................... 60 16,004
Norddeutsche Steingutfabrik AG....................... 5,960 87,773
Nuernberger Hypothekenbank AG........................ 26,260 830,924
Otavi Minen AG....................................... 600 67,779
Otto Reichelt AG..................................... 11,950 102,482
*Parkbrauerei AG..................................... 300 28,034
Patrizier-Braeu AG................................... 75 5,323
Pfleiderer AG........................................ 8,300 156,105
Phoenix AG, Hamburg.................................. 37,500 745,218
Plettac AG........................................... 5,554 509,156
Progress-Werk Oberkirch AG........................... 500 113,853
*Reichelbraeu AG, Kulmbach........................... 550 117,106
*Reichelt (F.) AG.................................... 1,290 95,370
Reiter Ingolstadt Spinnereimaschinen AG.............. 1,200 108,660
*Renk AG............................................. 1,940 154,899
Rheinboden Hypothekenbank AG......................... 2,650 525,054
Rheinmetall Berlin AG................................ 45,000 1,037,982
Rhoen Klinikum AG.................................... 6,600 632,371
*Rothenberger AG..................................... 300 23,953
Salamander AG, Kornwesteim........................... 5,172 917,989
#Schmalbach-Lubeca AG................................ 1,000 136,623
*Schneider Rundfunkwerke AG.......................... 934 124,292
Schwaebische Zellstoff AG............................ 1,925 281,216
Scor Deutschland Rueckversicherungs AG............... 1,872 287,867
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Sektkellerei Schloss Wachenheim AG................... 15,120 $ 201,209
Sinalco AG........................................... 110 47,493
Sinn AG.............................................. 2,789 445,374
Sinner AG, Karlsruhe................................. 416 86,114
Sloman Neptune AG.................................... 700 4,347
Stern-Brauerei Carl Funke AG......................... 1,100 70,263
Stoehr & Co. AG...................................... 16,000 114,503
Stollwerck AG........................................ 1,018 364,264
*Strabag AG.......................................... 2,000 130,117
*Stumpf (Otto) AG.................................... 2,275 21,529
Stuttgarter Hofbraeu AG.............................. 1,800 604,691
Sued-Chemie AG....................................... 29,146 1,284,246
Sueddeutsche Bodencreditbank AG...................... 36,010 1,331,116
*Terrex Handels AG................................... 1,250 299,418
*Triton-Belco AG, Hamburg............................ 1,186 21,044
Tucher Braeu AG...................................... 750 40,366
VBH (Vereinigter Baubeschlag-Handel) AG.............. 9,415 189,327
VGT AG............................................... 293 77,982
*VK Muehlen AG....................................... 1,312 129,588
Varta AG............................................. 5,500 819,740
Vereinigte Deutsche Nickel-Werke AG.................. 1,380 269,343
Verseidag AG......................................... 27,530 389,150
Voegele (Joseph) AG.................................. 750 121,985
Vossloh AG........................................... 15,900 487,124
Walter AG............................................ 13,500 419,185
*Wanderer-Werke AG................................... 1,437 165,731
Weinig (Michael) AG.................................. 23,400 456,712
Weru AG.............................................. 150 63,876
Westag & Getalit..................................... 700 153,184
*Wickrather Bauelemente AG........................... 445 52,638
Wuerttembergische & Badische Versicherungs AG Series
A/B................................................ 112 180,840
Wuerttembergische Hypotheken Bank AG................. 17,922 1,250,781
Wuerttembergische Lebensversicherung AG.............. 443 213,538
Wuerttembergische Metallwarenfabrik AG............... 30,330 543,536
Wuerzburger Hofbraeu AG.............................. 133 40,904
*Zanders Feinpapiere AG.............................. 4,450 350,046
Zeag Zementwerk Lauffen-Elektrizitaetswerk Heilbronn
AG................................................. 2,091 558,992
------------
TOTAL COMMON STOCKS
(Cost $49,628,084)................................... 58,777,775
------------
PREFERRED STOCKS -- (0.0%)
Westag & Getalit AG
(Cost $38,373)..................................... 260 57,051
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*German Marks
(Cost $7,042)...................................... 7,115
------------
TOTAL -- GERMANY
(Cost $49,673,499)................................... 58,841,941
------------
ITALY -- (11.9%)
COMMON STOCKS -- (11.9%)
Acquedotto de Ferrari Galliera SpA................... 40,000 173,222
Allianz Subalpina SpA................................ 55,125 627,262
</TABLE>
217
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Ansaldo Trasporti SpA............................... 169,533 $ 303,289
*Auschem SpA (In Liquidation)........................ 82,000 0
*Banca Nazionale dell'Agricoltura SpA................ 170,000 298,540
Banco di Chiavari e della Riviera Ligure SpA,
Chiavari........................................... 120,000 425,052
Bassetti SpA......................................... 61,500 445,596
*Bastogi SpA......................................... 1,183,000 95,395
*Binda SpA........................................... 1,299,375 17,075
Boero (Bartolomeo) SpA............................... 8,925 53,844
Bonifica dei Terreni Ferraresi e per Imprese Agricole
Roma............................................... 8,600 77,825
*Brioschi Finanziaria SpA, Milano.................... 175,000 52,265
CALP (Cristalleria Artistica la Piana SpA)........... 48,000 172,028
CAMFIN (Cam Finanziaria)............................. 28,700 61,715
CEMENTIR (Cementarie del Tirreno SpA), Roma.......... 436,563 508,496
CMI SpA.............................................. 36,428 95,522
Caffaro SpA Sta per l'Industria Chimica ed
Elettrochimica..................................... 297,550 350,132
*#Calcestruzzo ed il Cemento SpA..................... 464,040 651,372
Caltagirone SpA...................................... 343,085 366,826
Cartiere Burgo SpA................................... 42,500 266,553
Cementeria di Augusta SpA............................ 105,000 215,124
Cia Assicuratrice Unipol SpA......................... 199,333 842,982
Comau SpA............................................ 121,500 333,115
Condotta Acque Potabili SpA, Torino.................. 28,000 108,712
Credito Emiliano SpA, Milano......................... 36,750 101,196
*Cucirini SpA........................................ 30,000 29,119
*Dalmine SpA......................................... 1,976,700 590,359
#Danieli & C.Officine Meccaniche SpA................. 66,500 504,465
*Dataconsyst C.G.S. SpA, Monza....................... 220 0
*Del Favero SpA...................................... 86,000 0
*FIAR (Fabbrica Italiana Apparecchiature
Radioelettriche SpA)............................... 19,990 65,792
*FMC (Fabbrica Milanese Condutorri SpA).............. 25,000 0
FONSPA (Credito Fondiaro e Industriale Istituto per i
Finanziamenti a Medio e Lungo Termine SpA)......... 171,500 467,639
#Falck (Acciaierie & Ferriere Lombarde).............. 241,200 1,883,036
Finarte Casa d'Aste SpA (Milano)..................... 56,266 70,410
*Finarte Partecipazioni Pro Arte SpA................. 162,693 116,615
*Finrex Finanziaria Immobiliaria SpA (In
Liquidation)....................................... 36,000 0
*Firs-Italiana de Assicurazioni Compagnia di
Assicurazioni Eriassicurazioni (In Liquidation).... 90,000 0
*Fochi (Filippo) SpA................................. 216,000 0
*Fornara Societa Finanziaria e di Participazioni
SpA................................................ 310,000 0
*Gabetti Holding SpA................................. 55,000 91,987
*Gerolimich SpA (In Liquidation)..................... 297,400 0
Gewiss SpA........................................... 76,000 1,607,024
*Gottardo Ruffoni SpA................................ 279,832 0
*Grassetto SpA....................................... 279,125 0
Gruppo Editoriale l'Espresso SpA, Roma............... 126,675 1,059,314
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
ITALJOLLY (Cia Italiana dei Jolly Hotels SpA)........ 34,500 $ 187,734
Immobiliare Metanopoli SpA........................... 1,062,500 1,313,726
*Impregilo SpA....................................... 532,000 452,827
Industria Macchine Automatique SpA................... 23,000 178,942
Industrie Zignago S. Margherita SpA.................. 52,000 602,574
Ipi SpA.............................................. 141,400 255,916
Linificio & Canapificio Nazionale SpA................ 88,000 50,461
Maffei SpA........................................... 52,500 85,297
Magneti Marelli SpA.................................. 431,666 754,188
*Mandelli SpA........................................ 41,000 0
Manifattura Lane Gaetano Marzotto & Figli SpA........ 138,000 1,434,280
Marangoni SpA, Rovereto.............................. 34,303 123,758
#Merloni Elettrodomestici SpA........................ 155,000 901,771
*Milano Assicurazioni SpA............................ 396,057 1,395,775
*Monrif SpA.......................................... 210,000 161,813
Montefibre SpA, Milano............................... 275,267 222,792
*Necchi SpA.......................................... 164,250 93,204
*Perlier SpA......................................... 100,700 41,503
Pininfarina SpA...................................... 62,570 1,416,482
Poligrafici Editoriale SpA........................... 226,000 507,577
*Premafin Finanziaria SpA............................ 895,000 767,150
Ratti SpA............................................ 128,400 354,334
Recordati Industria Chimica E Farmaceutica SpA....... 24,000 224,353
*#Reno de Medici SpA, Milano......................... 100,500 336,171
Risanamento di Napoli SpA............................ 22,200 388,531
Riva Finanziaria SpA................................. 47,600 170,310
*Rodriquez SpA....................................... 41,250 0
#SAES Getters SpA.................................... 14,750 154,183
SISA (Societa Imballaggi Speciali Asti SpA).......... 65,000 50,473
SMI STA Metallurgica Italiana SpA.................... 565,280 366,352
*SOPAF (Societa Partecipazioni Finanziarie SpA)...... 85,000 66,004
Safilo (Sta Azionaria Fabbrica Italiana Lavorazione
Occhiali) SpA...................................... 175,500 954,995
Saiag SpA (Industrie Articoli Gomma)................. 30,000 216,826
*Schiapparelli 1824 SpA, Milano...................... 15,000 4,050
Simint SpA........................................... 79,988 668,896
#Snia BPD SpA........................................ 131,200 188,084
Sogefi SpA........................................... 182,500 505,809
Sondel Nordelettrica SpA............................. 573,892 2,056,776
Sorin Biomedica SpA.................................. 275,610 1,210,007
*Stayer SpA.......................................... 22,500 22,713
*Stefanel SpA........................................ 180,800 389,862
Tecnost SpA.......................................... 150,000 481,140
Terme Demaniali di Acqui SpA......................... 39,900 40,516
*Tripcovich (D.) & Co. SpA Navigazione Rimorchi e
Salvataggi Trieste................................. 113,898 0
UNICEM (Unione Cementi Marchini Emiliane e di
Augusta-Casale).................................... 108,600 1,130,013
*Unione Manifatture SpA (In Liquidation)............. 156,000 0
*Unipar (Unione Nazionale di Participazione SpA) (In
Liquidation)....................................... 539,000 0
Vianini Industria SpA................................ 101,000 96,466
Vianini Lavori SpA................................... 347,600 788,985
</TABLE>
218
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Vittoria Assicurazioni SpA........................... 51,500 $ 267,628
Zucchi (Vincenzo) SpA................................ 89,000 744,258
------------
TOTAL COMMON STOCKS
(Cost $31,850,402)................................... 35,954,403
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Italian Lira
(Cost $6,686)...................................... 6,753
------------
TOTAL -- ITALY
(Cost $31,857,088)................................... 35,961,156
------------
SPAIN -- (11.8%)
COMMON STOCKS -- (11.8%)
AGF Union y Fenix Seguros y Reaseguros SA............ 26,550 310,931
*Ahorro Familiar SA.................................. 6,051 88,948
Amper SA............................................. 28,400 673,088
*Asturiana del Zinc SA............................... 33,100 337,027
Azkoyen SA........................................... 26,250 921,340
Azucarera Ebro Agricolas SA.......................... 33,215 787,205
*#BAMI SA (Inmobiliara de Construcciones y
Terrenos).......................................... 23,634 131,409
Banco de Andalucia................................... 4,200 198,791
Banco de Castilla.................................... 105,000 2,627,189
Banco de Credito Balear SA........................... 35,424 787,856
Banco de Galicia SA.................................. 75,500 1,469,280
Banco de Valencia.................................... 51,350 1,391,889
Banco de Vasconia SA................................. 89,000 1,230,956
Banco Guipuzcoano SA................................. 4,817 250,425
Banco Pastor SA, La Coruna........................... 36,200 2,264,386
Banco Zaragozano SA.................................. 37,598 1,123,654
Bodegas y Bebedas SA................................. 39,504 514,804
CAF (Construcciones y Auxiliar de Ferrocarriles
SA)................................................ 7,500 239,783
*CAI (Corporacion Alimentaria Iberica SA)............ 11,200 0
*CARTEMAR (Cartera de Valores del Mar SA)............ 4,016 22,609
*CINSA (Compania de Inversiones SA).................. 1,400 6,276
Campofrio Alimentacion S.A........................... 69,600 1,298,832
Construcciones Lain SA............................... 202,472 548,819
*Coporacion Financiera Reunida SA.................... 60,085 808,065
ERZ (Electricas Reunidas de Zaragoza)................ 39,000 2,046,497
*El Aguila SA........................................ 39,200 381,429
Elecnor SA........................................... 6,100 211,982
Empresa Nacional de Celulosa SA...................... 8,200 132,221
Energia e Industrias Aragonesas SA................... 12,340 88,339
*Ercros SA........................................... 33,200 49,380
*Erpo SA............................................. 3,289 1,577
Espanola del Zinc SA................................. 9,750 56,245
*Estacionamientos Urbanos SA......................... 4,200 0
Europistas Concesionaria Espanola SA................. 119,698 1,002,475
*Filo SA............................................. 38,297 151,719
GESA (Gas y Electricidad SA)......................... 17,000 1,654,156
*#Grupo Hispano-Suiza SA............................. 357,000 183,611
*Grupo Picking Pack SA............................... 178,500 91,806
Hullas del Coto Cortes............................... 8,666 177,681
SHARES VALUE+
------------ ------------
Iberica de Autopistas SA Concesionaria de Estado
Iberpistas......................................... 135,210 $ 1,198,170
Inbesos SA........................................... 8,050 36,367
Indo Internacional SA................................ 5,600 276,341
Inmobiliaria del Sur SA.............................. 1,380 58,507
*Inmobiliaria Urbis SA............................... 37,291 592,229
Inmobiliaria Zabalburu SA............................ 23,200 285,404
Koipe SA, San Sebastian.............................. 16,800 596,664
Koxka C.E. SA........................................ 3,000 250,208
*LSB (La Seda de Barcelona SA) Series B.............. 25,200 173,920
Lingotes Especiales SA............................... 7,360 86,450
Marco Iberica Distribucion de Ediciones Midesa....... 5,600 134,279
*Max Center Leisa SA................................. 3,000 5,734
Nicolas Correa SA.................................... 7,875 125,339
*Nueva Montana Quijano SA Series B................... 80,500 90,079
OCP Construcciones SA, Madrid........................ 4,898 171,233
Papelera de Navarra SA............................... 6,000 128,232
*Pascual Hermanos SA................................. 7,610 5,183
Pescanova SA......................................... 16,252 248,501
Portland Valderrivas SA.............................. 24,225 983,277
Prim SA.............................................. 3,100 29,733
Prosegur Cia de Seguridad SA......................... 7,000 85,140
*Radiotronica SA..................................... 3,205 234,561
*Sarrio SA........................................... 105,100 523,016
*Sindibank (Sindicato de Banqueros de Barcelona)..... 10,540 0
*Sotogrande SA....................................... 62,786 194,188
Tableros de Fibras SA Series B....................... 21,876 328,414
Tavex Algodonera SA.................................. 8,800 119,266
Transportes Ferroviarios Especiales Tranfesa......... 21,000 297,748
Uniland Cementera SA................................. 5,750 427,613
Unipapel SA.......................................... 20,968 276,892
Uralita SA........................................... 101,725 1,127,685
#Vidrala SA, Alava................................... 47,040 557,431
*Viscofan Industria Navarra de Envolturas............ 2,321 70,688
Viscofan Industria Navarra de Envolturas Celulosicas
SA................................................. 46,425 1,421,338
*Zeltia SA........................................... 3,664 348,880
------------
TOTAL COMMON STOCKS
(Cost $18,917,543)................................... 35,751,390
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Spanish Peseta
(Cost $30,829)..................................... 31,015
------------
TOTAL -- SPAIN
(Cost $18,948,372)................................... 35,782,405
------------
SWITZERLAND -- (11.8%)
COMMON STOCKS -- (11.8%)
AFG Arbonia Foster Holding AG, Arbon................. 522 303,861
*Accumulatoren-Fabrik Oerlikon, Zuerich.............. 30 20,697
Afipa SA, Vevey...................................... 20 3,593
Afipa SA, Vevey Series A............................. 80 15,465
</TABLE>
219
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Aletsch AG, Moerel................................... 50 $ 140,138
Ascom Holding AG, Bern............................... 907 1,616,512
Attisholz Holding AG, Attisholz...................... 1,079 745,186
BHB Beteiligungs und Finanzgesellschaft.............. 150 21,560
BKW FMB Energie AG, Bern............................. 600 797,706
Bank Sarasin & Cie Series B, Basel................... 274 506,062
Banque Cantonale de Geneve........................... 840 202,229
*Banque Cantonale du Jura............................ 450 46,892
Banque Privee Edmond de Rothschild SA, Geneve........ 120 655,413
Basellandschaftliche Kantonalbank.................... 500 186,850
Basler Kantonalbank.................................. 1,000 232,844
Bobst SA, Prilly..................................... 100 136,544
Bobst SA, Prilly (Namen)............................. 90 59,505
Bon Appetit Holding AG............................... 275 144,270
Bossard Holding AG, Zug.............................. 635 260,117
Brig Visp-Zermatt (Eisenbahngesellschaft) Zermatt.... 370 90,407
Bucher Holding AG, Niederweningen.................... 671 617,238
CKW (Centralschweizerische Kraftwerke), Luzern....... 670 529,648
CKW (Centralschweizerische Kraftwerke), Luzern
(Participating).................................... 1,500 109,954
Calida Holding AG.................................... 396 102,451
Canon (Schweiz) AG, Dietlikon........................ 3,706 247,690
Carlo Gavazzi Holding AG, Baar Series B.............. 83 67,104
Chocoladefabriken Lindt & Spruengli AG, Kilchberg.... 16 407,046
Cie Financiere Tradition............................. 1,250 64,679
Coop Bank, Basel..................................... 941 716,829
Crossair AG fuer Europaeischen Regionalluffverkehr... 619 389,241
Crossair AG fuer Europaeischen Regionalluftverkehr,
Basel (Genusschen)................................. 330 80,396
Daetwyler Holding AG, Atldorf........................ 348 622,478
Danzas Holding AG.................................... 1,952 594,793
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg......................................... 8,390 1,410,905
Edipresse SA, Lausanne............................... 694 199,498
*Eichhof Holding AG.................................. 188 195,905
Energie Electrique du Simplon SA..................... 350 53,324
*Escor AG, Duedingen................................. 496 8,377
Feldschloesschen-Huerlimann Holding AG,
Rheinfelden........................................ 1,602 706,888
Financiere Michelin, Granges-Paccot.................. 637 265,514
*Forbo Holding AG, Eglisau........................... 1,100 486,169
Fotolabo SA, Ropraz.................................. 1,200 373,413
Fuchs Petrolub AG.................................... 2,001 215,704
*Fuchs Petrolub AG Non-Voting Preferred.............. 2,001 172,563
Galenica Holding AG, Bern Series B................... 405 215,963
Generale d'Affichage, Geneve......................... 290 123,379
Generali (Switzerland) Holdings, Adliswil............ 1,670 598,876
Golay-Buchel Holding SA, Lausanne.................... 40 28,746
Gornergrat Monte Rasa-Bahnen Zermatt................. 70 85,520
Gurit-Heberlein AG, Wattwil SG....................... 225 557,855
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*HPI Holding SA, Yverdon-les-Bains................... 200 $ 41,682
Hero, Lenzburg....................................... 660 431,624
Hero, Lenzburg (Namen)............................... 400 60,942
Hilti AG, Schaan (Participating)..................... 600 424,293
Industrieholding Cham AG, Cham....................... 216 142,811
Jelmoli Holding AG, Zuerich.......................... 1,521 1,748,917
Jelmoli Holding AG, Zuerich (Namen).................. 2,835 647,888
Kardex AG, Zuerich................................... 693 203,693
Kardex AG, Zuerich (Participating)................... 610 162,200
*Keramik Holding AG Laufen, Laufen................... 600 195,761
Kraftwerk Laufenburg, Laufenburg..................... 8,265 1,425,522
Kuehne & Nagel International AG, Schindellegi........ 162 126,900
Lem Holding SA, Plan-les-Ovates...................... 270 52,390
Loeb Holding AG, Bern (Participating)................ 620 146,591
*Logitech International SA, Apples................... 4,805 599,119
*Maag Holding AG, Zuerich............................ 820 129,645
Mikron Holding AG, Biel.............................. 1,224 250,695
#Moevenpick-Holding, Zuerich......................... 1,320 683,009
Moevenpick-Holding, Zuerich (Participating).......... 443 222,855
*Netstal-Maschinen AG, Nafaels....................... 2 1,725
Nextrom Holding SA................................... 277 41,008
*Omnium Geneve SA, Geneve............................ 110 6,482
Orell Fuessli Graphische Betriebe AG, Zuerich........ 240 241,468
Oz Holding, Zuerich.................................. 440 449,015
*Parco Industriale e Immobiliare SA.................. 600 3,876
Phoenix Mecano AG, Stein am Rhein.................... 2,749 1,748,388
Phonak Holding AG Series B........................... 230 285,952
Publicitas Holding SA, Lausanne...................... 2,199 625,807
Sarna Kunststoff Holding AG, Sarnen.................. 176 228,808
Schweizerhall Holding AG, Basel...................... 140 129,789
Schweizerische National Versicherungs Gesellschaft,
Basel.............................................. 132 317,315
Siegfried AG, Zofingen............................... 856 959,662
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall............................. 320 206,972
*Sihl Zuercher Papierfabriek an der Sihl, Zuerich.... 10 3,967
Sika Finanz AG, Baar................................. 800 226,520
Sika Finanz AG, Baar (Namen)......................... 750 41,772
Sopracenerina........................................ 2,409 221,598
*Suedelektra Holding AG, Zug......................... 1,020 586,422
Swisslog Holding AG.................................. 2,500 235,359
*Tege SA............................................. 1,800 86,734
UMS Schweizerische Metallwerke Holding AG, Bern...... 2,560 239,168
Unigestion Holding, Geneve........................... 2,891 170,366
Usego Hofer Curti AG, Volketswil..................... 2,040 414,893
Vaudoise Assurances Holding, Lausanne................ 45 129,358
Villars Holding SA, Fribourg......................... 150 28,028
*Von Moos Holding AG, Luzern......................... 7,000 91,557
Von Roll Holding AG, Gerlafingen..................... 32,024 892,950
</TABLE>
220
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
WMH Walter Meier Holding AG, Staefa.................. 50 $ 42,401
Zehnder Holding AG................................... 193 89,739
Zellweger Luwa AG, Uster............................. 804 524,640
*Zschokke Holding SA, Geneve......................... 230 67,769
*Zueblin Holding AG, Zuerich......................... 700 14,538
Zuercher Ziegeleien Holding, Zuerich................. 1,415 1,342,302
Zuger Kantonalbank................................... 500 736,620
------------
TOTAL COMMON STOCKS
(Cost $23,382,616)................................... 35,563,502
------------
RIGHTS/WARRANTS -- (0.0%)
*Carlo Gavazzi Holding AG Rights 06/30/99 (Cost
$0)................................................ 415 1,342
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Swiss Francs
(Cost $866)........................................ 950
------------
TOTAL -- SWITZERLAND
(Cost $23,383,482)................................... 35,565,794
------------
NETHERLANDS -- (7.8%)
COMMON STOCKS -- (7.8%)
A.I.R. Holdings NV................................... 1,399 52,098
ACF Holding NV (Certificate)......................... 12,757 286,376
Aalberts Industries NV............................... 24,593 581,745
*Accell Group NV..................................... 4,476 72,073
Atag Group NV........................................ 4,476 119,731
Athlon Groep NV...................................... 34,250 939,523
Bam Groep NV......................................... 5,295 349,097
Batenburg Beheer NV.................................. 1,000 106,998
Beers NV............................................. 16,625 915,579
Begemann Groep NV.................................... 11,451 118,319
*Begemann Groep NV Series B.......................... 13,451 48,327
Bijenkorf Beheer KBB NV, Amsterdam................... 1,034 89,485
Boskalis Westminster NV.............................. 46,876 713,007
Cindu International NV............................... 3,500 218,638
Content Beheer....................................... 12,043 220,447
Delft Instruments NV................................. 13,064 176,783
Econosto NV.......................................... 16,811 176,347
Eriks Holdings NV.................................... 4,000 251,969
GTI Holding.......................................... 18,535 495,801
Gamma Holding NV..................................... 14,879 645,393
Gemeenschappeljk Bezit Crown van Gelder NV........... 12,000 193,226
Geveke NV............................................ 7,603 323,009
Grolsche NV.......................................... 32,100 867,076
Hoek's (W.A.) Machine & Zuurstoffafabriek NV......... 14,850 856,770
*Hollandia Industriele Maatschappij NV............... 520 25,556
Hollandsche Beton Groep NV........................... 52,152 604,517
Internatio-Mueller NV................................ 27,400 629,462
Kas-Associatie NV.................................... 7,730 531,935
Kempen & Co. NV...................................... 20,548 1,152,105
Koninklijke Ahrend NV................................ 31,344 739,796
Koninklijke Frans Maas Groep NV...................... 11,215 341,171
Koninklijke Ten Cate NV.............................. 9,707 272,895
*Koppelpoort Holding NV.............................. 250 29,503
SHARES VALUE+
------------ ------------
Krasnapolsky Hotels & Restaurants NV................. 3,230 $ 237,179
Landre & Glinderman NV............................... 2,171 69,460
MacIntosh NV......................................... 15,053 421,608
NBM-Amstelland NV.................................... 58,192 1,361,266
NKF Holding NV....................................... 13,396 242,404
Nagron Nationaal Grondbezit NV....................... 15,316 429,778
Nederlandsche Apparatenfabriek....................... 14,000 284,908
Nedlloyd Groep NV, Rotterdam......................... 22,900 313,488
Norit NV............................................. 24,731 258,131
Otra NV.............................................. 23,000 293,143
Polynorm NV.......................................... 3,545 275,184
Reesink NV........................................... 2,050 109,780
Roto Smeets de Boer NV............................... 1,000 40,386
Rubber Cultuur Maatschappij Amsterdam NV............. 40,800 86,668
Samas-Groep NV, Zaandam.............................. 22,112 360,689
Schuitema NV, Amersfoort............................. 300 944,099
Schuttersveld NV..................................... 20,596 455,869
Smit Internationale NV............................... 18,582 409,342
*Sphinx NV........................................... 18,968 139,282
*Textielgroep Twenthe NV............................. 1,000 40,911
*Tulip Computers NV.................................. 3,000 8,481
Twentsche Kabel Holding NV........................... 16,541 481,504
Ubbink NV............................................ 1,500 45,710
Unique International NV.............................. 10,477 266,516
Van der Mollen Holding NV............................ 17,312 1,179,509
Van Dorp Groep NV.................................... 3,261 47,036
*Van Heek-Tweka NV................................... 3,880 22,386
Vredestein NV........................................ 15,514 199,359
Wegener Arcade NV ................................... 69,015 1,361,057
------------
TOTAL COMMON STOCKS
(Cost $12,188,981)................................... 23,529,890
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Netherlands Guilder
(Cost $128)........................................ 129
------------
TOTAL -- NETHERLANDS
(Cost $12,189,109)................................... 23,530,019
------------
SWEDEN -- (5.3%)
COMMON STOCKS -- (5.3%)
Active I Malmoe AB Series A.......................... 4,160 66,663
Active I Malmoe AB Series B.......................... 4,160 66,663
#Allgon AB Series B.................................. 65,400 717,485
Alma Industri & Handel AB Series B................... 5,200 113,455
*Althin Medical AB Series B.......................... 4,800 28,105
*Anders Dioes AB..................................... 28,800 149,103
Angpannefoereningen AB Series B...................... 10,800 169,072
*Argonaut AB Series A................................ 81,000 53,917
B & N Bylock & Nordsjoefrakt AB Series B............. 41,800 98,929
BPA AB Series A...................................... 74,000 200,678
BPA AB Series B...................................... 56,700 143,279
BTL AB Series B...................................... 136,700 589,769
Beijer AB Series B................................... 11,700 169,461
Benima Ferator Engineering AB........................ 13,400 55,500
Berg (C.F.) & Co. AB Series B........................ 6,200 13,374
Bilspedition AB Series A............................. 88,300 358,098
Bong Ljungdahl AB.................................... 6,000 45,855
</TABLE>
221
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Boras Waefveri AB Series B........................... 8,600 $ 59,365
Caran AB Series B.................................... 5,200 44,228
Carbo AB............................................. 11,100 191,556
Catena AB Series A................................... 66,700 517,978
Celsius Industrier AB Series B....................... 60,100 963,082
Concordia Maritime AB Series B....................... 37,300 51,036
Eldon AB Series B.................................... 21,600 306,194
Enator AB............................................ 60,100 1,711,322
Enea Data AB Class B................................. 8,000 161,726
Esselte AB Series A.................................. 40,100 588,216
Esselte AB Series B.................................. 34,500 540,092
*Evidentia Fastigheter AB Series A................... 16,120 75,508
*Evidentia Fastigheter AB Series B................... 1,000 4,438
FFNS Gruppen AB Series B............................. 23,450 187,889
*Fagerlid Industrier AB.............................. 8,600 17,598
Fastighets AB Tornet................................. 10,800 141,116
*Fastighits AB Celtica............................... 5,800 28,026
Finnveden AB......................................... 18,100 310,126
*Firefly AB.......................................... 8,400 4,401
*#Frontec AB Series B................................ 18,200 88,616
Garphyttan Industrier AB............................. 39,000 468,721
Getinge Industrier AB Series B....................... 39,736 580,427
Geveko AB Series B................................... 8,300 95,149
Gorthon Lines AB Series B............................ 41,800 172,610
Hexagon AB Series B.................................. 3,572 77,054
ICB Shipping AB Series B............................. 61,500 477,596
*Intelligent Micro Systems Data AB................... 3,400 17,393
Iro AB............................................... 11,800 97,455
JP Bank Series A..................................... 14,000 70,755
JP Bank Series B..................................... 8,000 42,897
*Jacobson and Widmark AB............................. 13,400 66,071
*Kjessler & Mannerstrale AB.......................... 8,500 29,337
*Klippans Finpappersbruk AB.......................... 5,800 11,797
*Lifco AB............................................ 7,947 35,755
Lindex AB............................................ 16,100 581,485
Meda AB Series A..................................... 2,100 10,354
Monark Stiga AB...................................... 21,700 99,773
NCC AB Series B...................................... 10,300 88,875
NH Nordiska Holding AB............................... 17,000 20,117
Nobelpharma AB....................................... 45,460 647,227
Nolato AB Series B................................... 30,600 411,143
OEM International AB Series B........................ 7,100 99,772
Piren AB............................................. 13,488 99,757
Platzer Bygg AB Series B............................. 36,000 41,270
Prifast AB........................................... 19,000 188,536
Rottneros Bruk AB.................................... 366,600 167,201
*Scandiaconsult AB................................... 14,300 63,105
Scribona AB Series A................................. 40,100 133,461
Scribona AB Series B................................. 31,700 109,021
Segerstroem & Svensson AB............................ 15,200 100,240
*Sifo Group AB....................................... 40,100 155,704
*Sifo Group AB, New Shares........................... 31,700 130,903
*Skandigen AB, Series A.............................. 13,300 36,068
Spendrups Bryggeri AB Series B....................... 19,900 61,325
*Stena Line AB Series B.............................. 128,000 135,692
Svedala Industri..................................... 60,000 894,915
*Sweco AB Series B................................... 23,450 60,703
*Tivox AB Series B................................... 7,200 12,869
Wallenstam Byggnads AB Series B...................... 16,700 85,430
Westergyllen AB Series B............................. 4,300 78,977
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Wihlborg & Son AB Series B........................... 83,500 $ 81,313
Zeteco AB Series B................................... 10,400 178,194
------------
TOTAL COMMON STOCKS
(Cost $14,354,718)................................... 16,048,366
------------
RIGHTS/WARRANTS -- (0.0%)
*Jacobson & Widmark AB Rights 12/08/98 (Cost $0)..... 13,400 661
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Swedish Krona
(Cost $53)......................................... 54
------------
TOTAL -- SWEDEN
(Cost $14,354,771)................................... 16,049,081
------------
BELGIUM -- (4.2%)
COMMON STOCKS -- (4.2%)
*Abfin SA............................................ 2,560 0
Afrifina............................................. 3,480 607,428
BMT NV............................................... 2,040 444,367
*Banque Belgo-Zairoise Belgolaise SA................. 1,155 310,847
Banque Nationale de Belgique......................... 710 1,444,825
Belge des Betons..................................... 425 243,623
Belgo Katanga NPV.................................... 408 377,712
Belgo Katanga NPV VVPR............................... 136 125,904
CFE (Compagnie Francois d'Entreprises)............... 2,080 467,985
CMB (Cie Martime Belge).............................. 500 23,502
Carrieres Unies Porphyre............................. 20 22,413
Chimique et Metallurgique Campine, Beerse............ 370 42,949
City Hotels SA....................................... 1,290 183,388
Cofinimmo SA......................................... 4,330 547,299
Cokeries & Houilleres d'Anderlues.................... 100 7,739
Commerciale de Brasserie SA COBRHA................... 115 60,153
Creyf's SA........................................... 1,500 597,592
Creyf's SA V.V.P.R................................... 300 13
Deceuninck Plastics Industries SA.................... 6,370 1,898,765
*Electrorail SA (Reunies d'Electricite & de
Transports)........................................ 11,416 16,360
Engrais Rosier SA.................................... 655 78,848
Floridienne NV....................................... 2,033 125,278
Ford Motor Co. SA Belgium............................ 1,110 155,413
*Forges de Clabecq SA................................ 3,460 198
*Franki NV (Cie Internationale des Pieux Armes
Frankignoul SA).................................... 5,875 17,681
Glaces de Charleroi.................................. 70 290,814
Ibel (Nouvelle)...................................... 2,655 183,011
*Immobel (Cie Immobiliere de Belgique SA)............ 10,600 777,758
*Intercomfina SA..................................... 11,000 946
Mecaniver SA, Bruxelles.............................. 128 49,160
Metiers Automatiques Picanol......................... 403 222,349
*PCB SA Bruxelles.................................... 6,504 39,147
*Papeteries de Catala SA............................. 315 52,455
Plantations Nord-Sumatra SA.......................... 650 76,383
*Recticel SA......................................... 8,450 101,720
SABCA (Sa Belge de Constructions Aeronautiques)...... 4,280 244,729
</TABLE>
222
<PAGE>
THE CONTINENTAL SMALL COMPANY SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*SCF SA.............................................. 380 $ 1,960
*SCF V.V.P.R. Shares................................. 2,470 12,743
SIPEF (Societe Internationale de Plantations & de
Finance) Strip V.V.P.R............................. 370 21
SIPEF (Societe Internationale de Plantations & de
Finance), Anvers................................... 1,545 210,339
Sait Radioholland.................................... 6,088 148,317
Sait Radioholland (Precompte Reduit)................. 152 3,372
Sapec SA............................................. 3,635 247,959
Sapec SA V.V.P.R..................................... 75 47
Sidro................................................ 4,040 314,376
Spadel NPV........................................... 325 447,352
Spector Photo Group SA............................... 3,688 123,039
Surongo SA........................................... 20 5,073
#Telinfo SA.......................................... 6,948 826,431
Telinfo SA V.V.P.R................................... 1,158 33
Ter Beke NV.......................................... 2,212 195,903
UNIBRA............................................... 1,600 139,868
Uco Textiles NV...................................... 2,124 225,245
------------
TOTAL COMMON STOCKS
(Cost $8,239,195).................................... 12,740,832
------------
RIGHTS/WARRANTS -- (0.0%)
*Creyf's SA Rights 12/10/98
(Cost $0).......................................... 1,500 5,804
------------
TOTAL -- BELGIUM
(Cost $8,239,195).................................... 12,746,636
------------
DENMARK -- (0.9%)
COMMON STOCKS -- (0.9%)
Aarhus Oliefabrik A.S. Aeries A...................... 640 21,506
Alm Brand A.S. Series B.............................. 2,000 43,559
Amtssparekassen Fyn A.S.............................. 388 20,281
Bang & Olufsen Holding A.S. Series B................. 2,437 148,995
Broedrene Hartmann A.S. Series B..................... 121 16,941
Coloplast A.S. Series B.............................. 2,187 233,057
*Crisplant Industries A.S............................ 960 40,323
DFDS A.S., Copenhagen................................ 100 82,451
Dampskibsselsk et Torm A.S........................... 360 12,433
Danske Traelastko.................................... 896 59,241
*East Asiatic Co., Ltd............................... 4,283 24,320
Ejendamsselskabet Norden A.S......................... 958 46,946
Falck A.S............................................ 2,370 188,235
Fih A.S. Series B.................................... 3,090 68,260
Fluegger A.S. Series B............................... 658 14,331
#GN Great Nordic, Ltd................................ 15,000 476,040
Hoejgaard Holding A.S. Series B...................... 126 12,251
*Holm (Jacob) & Sonner Series B...................... 2,254 36,818
Incentive A.S........................................ 1,085 41,354
Kansas Ehrvervsbeklaedning Odense A.S. Series B...... 688 27,828
SHARES VALUE+
------------ ------------
*Kjobenhavns Sommer Tivoli A.S....................... 30 $ 6,534
Korn-Og Foderstof Kompagnet A.S...................... 2,428 46,082
Lauritzen (J.) Holding Series B...................... 483 39,073
Marius Pedersen B.................................... 532 10,594
*Martin Gruppen A.S.................................. 318 5,951
Neg Micon A.S........................................ 536 58,369
Nordiske Kabel og Traadfabrikker Holding A.S......... 1,498 85,060
Per Aarsleff A.S. Series B........................... 425 14,876
Radiometer A.S. Series B............................. 1,803 83,586
Sanistal A.S. Series B............................... 176 7,803
#Sas Danmark A.S..................................... 9,400 114,063
Schouw & Co. Series B................................ 340 25,389
Spar Nord Holding.................................... 1,103 52,765
Superfos A.S......................................... 6,178 90,344
Sydbank A.S.......................................... 1,742 79,945
Thorkild Kristensen.................................. 527 48,371
*Topdanmark A.S...................................... 784 142,944
Vest-Wood A.S........................................ 396 31,727
Vt Holdings Shares A................................. 44 1,609
Vt Holdings Shares B................................. 396 13,245
Wessel & Vett Magasin du Nord A.S. Series C.......... 602 28,564
------------
TOTAL COMMON STOCKS
(Cost $2,543,592).................................... 2,602,064
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Danish Krone
(Cost $8,030)...................................... 7,975
------------
TOTAL -- DENMARK
(Cost $2,551,622).................................... 2,610,039
------------
FACE AMOUNT
------------
(000)
TEMPORARY CASH
INVESTMENTS -- (0.7%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.125%, 12/31/01, valued at $2,300,400) to be
repurchased at $2,258,310 (Cost $2,258,000)........ $ 2,258 2,258,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $220,261,448)++................................ $302,638,038
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ The cost for federal income tax purposes is $220,881,209.
@ Denominated in local currency.
</TABLE>
See accompanying Notes to Financial Statements.
223
<PAGE>
THE EMERGING MARKETS SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
PORTUGAL -- (13.9%)
COMMON STOCKS -- (13.9%)
BCP (Banco Comercial Portugues SA).................... 187,257 $ 5,722,295
Banco Espirito Santo e Comercial de Lisboa............ 128,392 3,992,327
Banco Pinto & Sotto Mayor SA.......................... 237,886 4,350,141
Cimpor Cimentos de Portugal SA........................ 28,685 909,986
*Companhia de Seguros Mundial Confianca SA............ 50,700 1,663,637
Companhia de Seguros Tranquilidade SA................. 20,500 670,900
Corticeira Amorim Sociedad Gestora Participacoes
Sociais SA.......................................... 15,000 217,122
EFACEC (Empresa Fabril de Maquinas Electricas)........ 10,500 103,120
Engil Sociedade Gestora de Participacoes Sociais SA... 16,852 114,676
*Filmes Lusomundo SA.................................. 8,300 103,627
*Inapa Inv Part Ges Baby Shs.......................... 14,866 145,012
*Inparsa Industrias e Participacoes S.G.P.S. SA....... 26,162 1,148,288
Investimentos Participacoes e Gestao SA Inapa......... 22,300 220,421
Jeronimo Martins (Estabelecimentos Jeronimo Martins &
Filho Administracao e Participacoes Financeiros
SA)................................................. 78,595 3,866,181
*Lusotur Sociedad Financeira de Turismo SA............ 5,500 90,395
Mague-Gestao e Participacoes SA....................... 5,200 172,399
Modelo Continente SGPS SA............................. 39,000 961,477
*Modelo Continente SGPS SA Issue 98................... 39,000 934,488
Portucel Industrial Empresa Produtora de Celulose
SA.................................................. 40,200 258,719
Portugal Telecom SA................................... 66,928 2,915,567
Salvador Caetano Industrias Metalurgicas e Veiculos de
Transporte SA....................................... 8,164 217,936
*Sociedad Construcoes Soares da Costa SA.............. 9,730 43,206
Sociedade de Investimento e Gestao SGPS SA............ 24,700 508,514
*Sonae Industria-Sociedade Gestora de Participacoes
Sociais SA.......................................... 32,483 453,325
Sonae Investimentos Sociedade Gestora de Participacoes
Sociais SA.......................................... 41,700 1,972,396
Uniceruniao Cervejeira SA............................. 20,400 465,280
------------
TOTAL COMMON STOCKS
(Cost $14,683,900)................................... 32,221,435
------------
RIGHTS/WARRANTS -- (0.0%)
*Sociedad Construcoes Soares da Costa SA Rights
12/31/98
(Cost $0)........................................... 9,730 34,565
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN
CURRENCY -- (0.0%)
*Portuguese Escudos (Cost $4,739)..................... $ 4,919
------------
TOTAL -- PORTUGAL
(Cost $14,688,639)................................... 32,260,919
------------
PHILIPPINES -- (10.9%)
COMMON STOCKS -- (10.9%)
*Aboitiz Equity Ventures, Inc......................... 7,014,400 299,090
Ayala Corp............................................ 4,140,000 1,313,448
Ayala Land, Inc....................................... 10,952,980 3,405,423
Bacnotan Consolidated
Industries, Inc..................................... 54,567 58,168
*Belle Corp........................................... 4,916,000 318,167
*C & P Homes, Inc..................................... 10,306,500 324,366
*Centennial City, Inc................................. 3,285,000 40,020
Cosmos Bottling Corp.................................. 3,778,000 364,375
Far East Bank and Trust Co. (Foreign)................. 1,082,200 1,084,944
*Fil-Estate Land, Inc................................. 1,252,000 30,823
*Filinvest Land, Inc.................................. 9,822,000 835,117
Guoco Holdings (Philippines), Inc..................... 1,080,000 22,751
*International Container Terminal Services, Inc....... 1,059,750 94,140
Ionics Circuits, Inc.................................. 1,040,850 330,218
*La Tondena Distillers, Inc........................... 693,200 422,253
*Megaworld Properties & Holdings, Inc................. 1,695,000 32,265
*Metro Pacific Corp................................... 6,173,860 310,259
Metropolitan Bank & Trust Co.......................... 537,445 3,785,295
*Mondragon International
Philippines, Inc.................................... 408,840 5,811
*Petron Corp.......................................... 19,893,000 2,448,751
Philippine Long Distance
Telephone Co........................................ 141,940 3,710,605
*Philippine National Bank............................. 259,975 339,814
*Philippine Savings Bank.............................. 125,000 61,865
*Pilipino Telephone Corp.............................. 628,500 89,330
RFM Corp.............................................. 4,158,000 601,537
*Republic Glass Holding Corp.......................... 331,250 6,137
SM Prime Holdings, Inc................................ 22,614,000 4,247,289
*Security Bank Corp................................... 167,007 70,999
*Southeast Asia Cement Holdings, Inc.................. 3,098,780 45,617
*Union Bank of the Philippines........................ 606,500 238,597
Universal Robina Corp................................. 2,871,000 269,611
------------
TOTAL COMMON STOCKS
(Cost $42,649,293)................................... 25,207,085
------------
PREFERRED STOCKS -- (0.0%)
*RFM Corp. (Cost $31,501)............................. 177,090 23,597
------------
TOTAL -- PHILIPPINES
(Cost $42,680,794)................................... 25,230,682
------------
THAILAND -- (10.6%)
COMMON STOCKS -- (10.6%)
*Adkinson Securities Public Co., Ltd. (Foreign)....... 2,100 1,818
*Advance Agro Public Co., Ltd. (Foreign).............. 1,030,130 784,725
Advanced Info Service Public Co., Ltd. (Foreign)...... 593,100 3,450,164
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<S> <C> <C>
*Amarin Plaza Public Co., Ltd. (Foreign).............. 7,400 $ 820
Ayudhya Insurance Public Co., Ltd. (Foreign).......... 1,000 3,823
BEC World Public Co., Ltd. (Foreign).................. 132,700 830,753
*Bangkok Bank of Commerce
Public Co., Ltd. (Foreign).......................... 7,647 0
*Bangkok Expressway Public Co., Ltd. (Foreign)........ 2,333,000 2,229,597
*Bangkok Land Public Co., Ltd. (Foreign).............. 65,200 9,753
*Bangkok Metropolitan Bank Public Co., Ltd.
(Foreign)........................................... 733 53
*Bangkok Rubber Public Co., Ltd. (Foreign)............ 14,600 3,640
*Bangkok Steel Industry Public Co., Ltd. (Foreign).... 20,000 1,219
*Bank of Asia Public Co., Ltd. (Foreign).............. 12,870 10,517
Bank of Ayudhya Public Co., Ltd. (Foreign)............ 1,576,500 502,209
*Banpu Public Co., Ltd. (Foreign)..................... 26,800 50,482
Berli Jucker Public Co., Ltd. (Foreign)............... 10,100 21,823
*Ch Karnchang Public Co., Ltd. (Foreign).............. 86,300 131,482
*Christiani and Nielson (Thai) Public Co., Ltd.
(Foreign)........................................... 7,097 157
Delta Electronics (Thailand) Public Co., Ltd.
(Foreign)........................................... 302,300 1,582,678
*Dusit Thani Public Co., Ltd. (Foreign)............... 8,933 10,517
*First Bangkok City Bank Public Co., Ltd. (Foreign)... 1,613,550 129,620
*First City Investment Public Co., Ltd. (Foreign)..... 44,200 245
*Five Stars Property Public Co., Ltd. (Foreign)....... 3,800 137
*General Finance and Securities Public Co., Ltd.
(Foreign)........................................... 46,300 10,132
Grammy Entertainment Public Co., Ltd. (Foreign)....... 86,500 436,094
*Hana Microelectronics Co., Ltd. (Foreign)............ 166,000 413,850
*Hemaraj Land and Development Public Co., Ltd.
(Foreign)........................................... 27,500 9,141
*ITF Finance and Securities Public Co., Ltd........... 8,025 534
*International Broadcasting Corp. Public Co., Ltd.
(Foreign)........................................... 11,270 6,166
International Cosmetics Public Co., Ltd. (Foreign).... 3,500 9,211
*International Engineering Public Co., Ltd.
(Foreign)........................................... 2,000 294
*Juldis Develop Public Co., Ltd. (Foreign)............ 1,000 25
*Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign)........................................... 12,800 3,510
*Krisda Mahanakorn Public Co., Ltd. (Foreign)......... 23,300 2,904
*Krung Thai Bank Public Co., Ltd. (Foreign)........... 9,972,670 5,663,147
*Land and House Public Co., Ltd. (Foreign)............ 2,065 1,530
<CAPTION>
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------------ ------------
<S> <C> <C>
*MK Real Estate Development Public Co., Ltd.
(Foreign)........................................... 2,925 $ 381
Mutual Fund Public Co., Ltd. (Foreign)................ 500 1,260
*NTS Steel Group Public Co., Ltd. (Foreign)........... 35,500 2,163
*Nakornthon Bank Public Co., Ltd. (Foreign)........... 96,201 14,657
*Natural Park Public Co., Ltd. (Foreign).............. 192,700 11,743
*Padaeng Industry Public Co., Ltd (Foreign)........... 7,800 1,707
*Phoenix Pulp and Paper Public Co., Ltd. (Foreign).... 52,700 26,642
*Poonipat Finance and Securities Public Co., Ltd.
(Foreign)........................................... 4,987 1,285
*Power-P Public Co., Ltd. (Foreign)................... 1,600 80
*Premier Enterprises Public Co., Ltd. (Foreign)....... 6,000 66
*Property Perfect Public Co., Ltd. (Foreign).......... 26,050 2,309
*Quality Houses Public Co., Ltd. (Foreign)............ 18,000 4,288
Regional Container Lines Public Co., Ltd. (Foreign)... 1,500 1,278
*Robinson Department Store Public Co., Ltd.
(Foreign)........................................... 24,700 1,779
*Saha-Union Public Co. Ltd. (Foreign)................. 48,700 23,945
*Sammakorn Public Co., Ltd. (Foreign)................. 7,500 2,597
*Sanyo Universal Electric Public Co., Ltd.
(Foreign)........................................... 6,500 1,332
*Serm Suk Public Co., Ltd. (Foreign).................. 1,000 5,332
*Shinawatra Computer and Communications Public Co.,
Ltd. (Foreign)...................................... 290,500 1,231,204
*Siam Cement Public Co., Ltd. (Foreign)............... 27,000 565,429
*Siam City Bank Public Co., Ltd....................... 37,000 205
*Siam City Cement Public Co., Ltd. (Foreign).......... 212,888 589,717
*Siam Commercial Bank Public Co., Ltd. (Foreign)...... 958,166 524,204
Siam Makro Public Co., Ltd. (Foreign)................. 727,100 1,510,595
*Sino-Thai Engineering and Construction Public Co.,
Ltd. (Foreign)...................................... 2,900 659
*Somprasong Land Public Co., Ltd. (Foreign)........... 5,400 15
*Srithai Superware Public Co., Ltd. (Foreign)......... 16,400 4,316
*Swedish Motors Corp. Public Co., Ltd. (Foreign)...... 7,000 582
*Tanayong Public Co., Ltd. (Foreign).................. 46,000 8,537
*Telecomasia Corp. Public Co., Ltd. (Foreign)......... 4,574,500 2,122,516
*Thai Carbon Black Public Co., Ltd. (Foreign)......... 5,000 7,704
*Thai Danu Bank Public Co., Ltd. (Foreign)............ 100,900 65,683
*Thai German Ceramic Industry Public Co., Ltd.
(Foreign)........................................... 11,100 3,075
*Thai Military Bank Public Co., Ltd. (Foreign)........ 1,935,500 482,534
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*Thai Petrochemical Industry Public Co., Ltd.
(Foreign)........................................... 2,768,960 $ 582,939
*Thai Plastic and Chemicals Public Co., Ltd.
(Foreign)........................................... 29,300 44,640
Thai Union Frozen Products Co., Ltd................... 80,900 329,426
*Thaimex Finance and Securities Public Co., Ltd.
(Foreign)........................................... 4,100 341
*Tipco Asphalt Public Co., Ltd. (Foreign)............. 92,000 150,360
*Wattachak Public Co., Ltd. (Foreign)................. 24,300 3,029
------------
TOTAL COMMON STOCKS
(Cost $38,527,753)................................... 24,643,324
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Thailand Baht (Cost $10)............................. 12
------------
RIGHTS/WARRANTS -- (0.0%)
*Siam Commercial Bank Public Co., Ltd. (Foreign)
Warrants 12/31/02 (Cost $0)......................... 83,666 0
------------
TOTAL -- THAILAND
(Cost $38,527,763)................................... 24,643,336
------------
SOUTH KOREA -- (9.9%)
COMMON STOCKS -- (9.9%)
*A-Nam Industrial Co., Ltd............................ 9,640 30,173
*Asia Motors Co., Inc................................. 16,640 13,421
*Cho Hung Bank Co., Ltd............................... 187,940 168,935
Chong Kun Dang........................................ 1,558 28,259
Chosun Brewery Co., Ltd............................... 2,870 21,007
*Daesung Industrial Co., Ltd.......................... 1,570 23,941
*Daewoo Corp.......................................... 147,380 379,095
*Daewoo Electronics Co., Ltd.......................... 85,420 233,431
Daewoo Heavy Industries, Ltd.......................... 525,320 2,061,649
*Daewoo Motor Sales Corp.............................. 9,480 28,683
*Daewoo Securities Co., Ltd........................... 51,800 415,730
*Dong-Ah Construction Industrial Co., Ltd............. 22,290 38,283
*Hanjin Heavy Industry Co., Ltd....................... 21,910 141,026
Hankook Caprolactam Corp.............................. 590 27,464
Hankook Tire Manufacturing Co., Ltd................... 22,060 70,996
*Hyundai Engineering & Construction Co., Ltd.......... 70,112 371,380
Hyundai Fire & Marine Insurance Co., Ltd.............. 5,360 64,096
*Hyundai Motor Co., Ltd............................... 71,742 961,550
*Hyundai Securities Co., Ltd.......................... 34,944 255,209
Kookmin Bank.......................................... 217,668 1,021,956
*Korea Chemical Co., Ltd.............................. 1,020 26,196
Korea Electric Power Corp............................. 118,650 2,285,393
Korea Express Co., Ltd................................ 7,340 23,858
*Korea First Bank Inc., Ltd........................... 11,800 53,697
*Korea Long Term Credit Bank.......................... 111,110 253,252
Korea Zinc Co., Ltd................................... 8,770 152,736
*Korean Air........................................... 3,750 17,757
LG Chemical, Ltd...................................... 111,150 936,657
LG Electronics, Inc................................... 126,160 1,250,462
LG Information & Communications, Ltd.................. 22,780 546,647
LG Insurance Co., Ltd................................. 1,000 29,775
Pacific Chemical Co., Ltd............................. 4,330 54,212
Pohang Iron & Steel Co., Ltd.......................... 2,580 111,400
<CAPTION>
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<S> <C> <C>
*S1 Corporation....................................... 1,705 $ 249,729
*SK Corp., Ltd........................................ 112,340 1,108,974
SK Telecom Co., Ltd................................... 133 60,309
Sam Yang Corp......................................... 3,580 23,531
Samchully Co., Ltd.................................... 1,233 24,343
*Samsung Aerospace Industrial Co., Ltd................ 19,490 78,210
Samsung Display Devices, Ltd.......................... 52,998 1,926,813
Samsung Electro-Mechanics Co., Ltd.................... 56,009 712,474
Samsung Electronics Co., Ltd.......................... 68,083 3,639,107
*Samsung Fine Chemicals............................... 2,054 19,946
Samsung Fire & Marine Insurance....................... 3,855 1,002,424
*Seondo Electric Co., Ltd............................. 8,800 51,698
*Seoul Bank........................................... 11,800 56,822
*Shinhan Bank Co., Ltd................................ 172,044 759,424
*Ssangyong Investment Securities Co., Ltd............. 81,945 282,796
*Ssangyong Motor Co................................... 29,100 38,535
Ssangyong Oil Refining Co., Ltd....................... 32,080 447,987
Sungmi Telecom Electronics Co., Ltd................... 1,052 25,245
Tae Kwang Industrial Co., Ltd......................... 660 185,393
Tae Young Corp........................................ 3,280 48,437
*Tai Han Electric Wire Co............................. 5,990 23,556
*Trigem Computer, Inc................................. 3,210 15,586
Young Poong Mining & Construction Corp................ 3,296 48,937
------------
TOTAL COMMON STOCKS
(Cost $31,307,282)................................... 22,928,602
------------
RIGHTS/WARRANTS -- (0.0%)
*LG Electronics, Inc. Rights 12/09/98................. 20,862 59,438
*LG Information & Communications, Ltd. Rights
12/10/98............................................ 9,705 63,869
*LG Insurance Co., Ltd.
Rights 12/21/98..................................... 341 3,448
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 126,755
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Korean Won
(Cost $2)........................................... 3
------------
TOTAL -- SOUTH KOREA
(Cost $31,307,284)................................... 23,055,360
------------
ISRAEL -- (8.9%)
COMMON STOCKS -- (8.9%)
*Africa-Israel Investments, Ltd....................... 2,840 130,090
*Africa-Israel Investments, Ltd....................... 155 66,562
*Agis Industries (1983), Ltd.......................... 21,736 116,677
American Israeli Paper Mills, Ltd..................... 3,291 117,379
Bank Hapoalim B.M..................................... 1,196,240 2,294,551
Bank Leumi Le-Israel.................................. 1,373,369 1,903,648
*Bezek, Ltd........................................... 701,438 2,046,628
*Blue Square Chain Stores Properties Investment....... 29,303 346,051
CLAL Electronics Industries, Ltd...................... 3,579 505,483
CLAL Industries, Ltd.................................. 135,350 630,966
CLAL Insurance, Ltd................................... 38,684 324,861
Clal Israel, Ltd...................................... 29,607 687,281
Delek Israel.......................................... 8,643 233,830
Elbit Medical Imaging................................. 17,319 178,910
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Elbit Systems, Ltd.................................... 17,319 $ 209,899
Elbit, Ltd............................................ 17,320 53,635
*Elite Industries, Ltd................................ 5,700 181,135
Elron Electronic Industries, Ltd...................... 19,701 290,004
First International Bank of Israel.................... 48,660 243,789
First International Bank of Israel, Ltd............... 347,200 347,898
IDB Bankholding Corp., Ltd............................ 36,578 739,148
IDB Development Corp., Ltd. Series A.................. 43,928 907,575
Industrial Building Corp., Ltd........................ 277,150 340,522
Israel Chemicals, Ltd................................. 1,165,326 984,179
*Israel Corp. Series A................................ 5,500 397,584
Koor Industries, Ltd.................................. 16,466 1,410,282
*Leumi Holdings Insurance............................. 279,107 150,488
*M.A. Industries, Ltd................................. 162,937 352,574
Matav Cable Israel.................................... 19,027 174,765
Osem Investment, Ltd.................................. 77,343 329,922
Property and Building Corp., Ltd...................... 3,973 307,105
Super-Sol, Ltd. Series B.............................. 210,226 486,498
Tadiran, Ltd.......................................... 17,306 615,219
Tambour............................................... 26,898 34,011
Teva Pharmaceutical Industries, Ltd................... 60,410 2,585,560
------------
TOTAL COMMON STOCKS
(Cost $19,855,431)................................... 20,724,709
------------
INVESTMENT IN
CURRENCY -- (0.0%)
*Israel Shekel (Cost $2).............................. 2
------------
TOTAL -- ISRAEL
(Cost $19,855,433)................................... 20,724,711
------------
ARGENTINA -- (8.4%)
COMMON STOCKS -- (8.4%)
Acindar Industria Argentina de Aceros SA Series B..... 164,000 234,562
*Alpargatas SA Industrial y Comercial................. 150,000 19,504
Astra Cia Argentina de Petroleos SA................... 336,690 404,101
Bagley y Cia, Ltd. SA Series B........................ 106,228 196,557
Banco de Galicia y Buenos Aires SA Series A........... 247,526 1,331,930
*Banco del Sud Sociedad Anonima Series B.............. 29,000 122,692
Banco Frances del Rio de la Plata SA.................. 123,936 1,004,062
*Buenos Aires Embotelladora SA Series B............... 100 7,601
CIADEA SA............................................. 76,559 120,219
*Capex SA Series A.................................... 18,000 117,021
*Celulosa Argentina SA Series B....................... 75,000 15,003
Central Costanera SA Series B......................... 20,000 52,810
Central Puerto SA Series B............................ 16,000 41,607
Corcemar SA Series B.................................. 19,226 107,685
*Garovaglio y Zorraquin SA............................ 28,000 39,207
*Indupa SA Industrial y Comercial..................... 180,366 131,691
Irsa Inversiones y Representaciones SA................ 73,979 207,179
Juan Minetti SA....................................... 103,442 331,074
Ledesma SA............................................ 135,378 92,074
Metrogas SA Series B.................................. 403,115 338,678
Molinos Rio de la Plata SA Series B................... 125,287 303,249
Naviera Perez Companc SA Series B..................... 540,429 2,810,737
Nobleza-Piccardo Sdad Industrial Comercial y
Financiera Pica..................................... 25,542 94,522
*Sevel Argentina SA Series C.......................... 79,033 41,500
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Siderar SAIC Series A................................. 21,280 $ 63,426
Siderca SA Series A................................... 714,907 1,043,952
*Sociedad Comercial del Plata......................... 187,740 123,555
Telecom Argentina Stet-France SA Series B............. 317,000 1,918,195
Telefonica de Argentina SA Series B................... 738,000 2,384,169
Transportadora de Gas del Sur SA Series B............. 398,000 804,105
YPF Sociedad Anonima Yacimientos Petroliferos Fiscales
Series D............................................ 165,000 4,868,376
------------
TOTAL -- ARGENTINA
(Cost $18,371,680)................................... 19,371,043
------------
CHILE -- (7.4%)
COMMON STOCKS -- (7.4%)
Banco Bhif Sponsored ADR.............................. 6,400 63,200
Banco de A. Edwards ADR............................... 30,000 363,750
Banco de Santiago SA Santiago ADR..................... 84,800 1,293,200
Banco Santander Chile Sponsored ADR................... 52,500 669,375
Chilgener S.A. ADR.................................... 52,400 907,175
Cia Telecom de Chile ADR.............................. 142,000 3,288,187
Compania Cervecerias Uni ADR.......................... 39,400 847,100
Cristalerias de Chile SA ADR.......................... 14,500 201,187
Distribucion y Servicio D&S S.A. ADR.................. 80,500 1,116,937
Embotelladora Andina SA Andina ADR.................... 36,800 561,200
Embotelladora Andina SA Andina Series B ADR........... 57,700 815,013
Empresa Nacional de Elec ADR.......................... 267,400 2,874,550
*Empresas Telex S.A. ADR.............................. 39,400 66,488
Enersis S.A. ADR...................................... 88,000 2,065,250
Laboratorio Chile SA Labchile ADR..................... 14,000 243,250
*Lan Chile SA ADR..................................... 86,400 475,200
Madeco SA ADR......................................... 24,500 273,328
*Masisa SA ADR........................................ 16,500 135,094
Santa Isabel S.A. ADR................................. 15,500 132,719
Sociedad Quimica y Minera Chile ADR................... 15,600 599,625
Vina Concha y Toro SA Conchatoro ADR.................. 8,600 245,100
------------
TOTAL -- CHILE
(Cost $17,510,985)................................... 17,236,928
------------
BRAZIL -- (7.0%)
PREFERRED STOCKS -- (4.1%)
Aracruz Celulose SA Series B.......................... 251,999 262,289
Banco Bradesco SA..................................... 125,095,997 906,221
Banco do Brasil SA.................................... 126,670,000 990,400
Banco do Estado de Sao Paulo SA....................... 2,500,000 120,945
Banco Itau SA......................................... 2,850,000 1,589,978
Brasiliero de Petroleo Ipiranga....................... 12,300,000 88,592
Brasmotor SA.......................................... 600,000 54,951
*COFAP (Cia Fabricadora De Pecas)..................... 5,100 33,124
Centrais Electricas de Santa Catarin Celesc Series
B................................................... 180,000 113,909
Cervejaria Brahma..................................... 2,490,767 1,343,939
Cia Siderurgica Belgo-Mineira......................... 970,000 29,505
Cia Vale do Rio Doce Series A......................... 91,160 1,328,354
Cimento Portland Itau................................. 860,000 108,488
Companhia Siderurgica de Tubarao Sid Tubarao.......... 15,120,000 80,576
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<S> <C> <C>
Copene-Petroquimica do Nordeste SA Series A........... 624,000 $ 88,288
Coteminas Cia Tecidos Norte de Minas.................. 910,000 121,236
Duratex SA............................................ 2,900,000 77,272
*Embratel Participacoes SA............................ 137,922 2,239
Ericsson Telecomunicacoes SA.......................... 15,480,000 212,680
IKPC Industrias Klabin de Papel e Celulose SA......... 176,875 26,510
*Inepar SA Industria e Construcoes.................... 296,400,000 214,718
Investimentos Itau SA................................. 810,000 573,291
*Lojas Americanas SA.................................. 1,610,000 9,545
Lojas Renner SA....................................... 800,000 12,670
Multibras Eletrodomesticos SA......................... 315,000 123,276
*Paranapanema SA...................................... 2,120,000 6,531
*Renner Participacoes SA.............................. 800,000 673
Sadia Oeste SA Inclusttia e Comercio Soes............. 100,000 49,960
*Siderurgica Paulista Casipa Series B................. 65,000 8,119
Suzano de Papel e Celulose............................ 54,000 20,683
*Telecelular Sul Participacoes SA..................... 137,922 310
*Telecentro Oeste Celular Participacoes SA............ 137,922 216
*Telecentro-Sul Participacoes......................... 137,922 1,607
Telecomunicacoes Brasileiras SA....................... 137,922 24
*Teleleste Celular Participacoes SA................... 137,922 114
*Telemig Celular Participacoes SA..................... 137,922 221
*Telenordeste Celular Participacoes SA................ 137,922 181
*Telenorte Celular Participacoes SA................... 137,922 110
*Telenorte Leste Participacoes SA..................... 137,922 2,331
*Telesp Celular Participacoes......................... 137,922 1,424
*Telesp Participacoes SA.............................. 137,922 3,870
*Telesudeste Celular Participacoes SA................. 137,922 746
USIMINAS (Usinas Siderurgicas de Minas Gerais SA)..... 52,039 141,260
Unibanco-Uniao de Bancos Brasileiros SA............... 12,963,000 568,837
*Vale do Rio Doce Series B............................ 81,160 0
Votorantim Celulose e Papel SA........................ 9,467,325 102,481
------------
TOTAL PREFERRED STOCKS
(Cost $11,155,541)................................... 9,422,694
------------
COMMON STOCKS -- (2.9%)
Acos Especiais Itabira-Acesita Aces................... 25,963,524 11,242
Antarctica Paulista I.B.B.C. Anta..................... 3,000 69,944
*Banco Bamerindus do Brazil SA........................ 2,400 23,981
Banco Bradesco SA..................................... 167,012,333 1,056,899
Banco do Estado de Sao Paulo SA....................... 6,800,000 235,545
*Ceval Alimentos SA................................... 11,610,114 19,238
Compania de Electricidade da Bahia Coelba............. 3,630,000 136,016
Embraco SA............................................ 130,000 32,474
Embraer Empresa Brasileira de Aeronautica Series A.... 1,700,000 18,544
*Embratel Participacoes............................... 57,550,000 622,960
Empresa Nasional de Comercio Redito e Participacoes
SAncorpar........................................... 480,000 719
Gerdau SA............................................. 10,400,000 102,185
*Lojas Americanas SA.................................. 10,520,000 68,325
*Mannesmann SA........................................ 149,000 10,174
Petroquimica do Sul Copesul........................... 8,276,000 268,824
*Santista Alimentos SA................................ 33,115 22,059
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Siderurgica Nacional Sid Nacional..................... 26,651,000 $ 521,498
Souza Cruz Industria e Comercio....................... 71,000 461,131
*Tele Celular Sul Participacoes....................... 57,550,000 79,068
*Tele Centro Oeste Celular Participacoes.............. 57,550,000 57,504
*Tele Leste Celular Participacoes..................... 57,550,000 42,649
*Tele Norte-Leste Participacoes....................... 57,550,000 507,952
*Tele Sudeste Celular Participacoes................... 57,550,000 172,512
*Telecentro Sul Participacoes SA...................... 57,550,000 383,360
Telecomunicacoes Brasileiras SA....................... 57,550,000 6,709
*Telemig Celular Participacoes........................ 57,550,000 67,088
*Telenordeste Celular Participacoes................... 57,550,000 47,920
*Telenorte Celular Participacoes...................... 57,550,000 29,710
*Telesp Celular Participacoes SA...................... 57,550,000 345,024
*Telesp Participacoes SA.............................. 57,550,000 1,054,240
VSMA (Cia Vidraria Santa Marina)...................... 54,000 85,881
White Martins SA...................................... 208,662 119,885
------------
TOTAL COMMON STOCKS
(Cost $7,115,075).................................... 6,681,260
------------
RIGHTS/WARRANTS -- (0.0%)
*Cia Siderurgica Belgo-Mineira Rights 12/11/98 (Cost
$0)................................................. 485,000 121
------------
TOTAL -- BRAZIL
(Cost $18,270,616)................................... 16,104,075
------------
MEXICO -- (6.8%)
COMMON STOCKS -- (6.8%)
*Altos Hornos de Mexico S.A........................... 97,000 85,279
Apasco S.A. de C.V.................................... 69,000 244,028
Carso Global Telecom S.A. de C.V. Telecom Series A1... 192,000 469,953
Cementos de Mexico S.A. de C.V. Series B.............. 226,000 654,777
Cementos de Mexico S.A. de C.V. Series A.............. 6,780 16,392
*Cifra S.A. de C.V. Series C.......................... 417,000 506,590
*Cifra S.A. de C.V. Series V.......................... 137,180 169,393
Controladora Comercial Mexicana S.A. de C.V. Series
B................................................... 175,000 111,544
Desc S.A. de C.V. Series B............................ 295,000 262,301
Desc S.A. de C.V. Series C............................ 6,905 6,554
El Puerto de Liverpool S.A. Series C1................. 339,500 400,229
Empresas ICA Sociedad Controladora S.A. de C.V........ 198,000 163,788
*Empresas la Moderna S.A. de C.V. Series A............ 120,000 701,333
Fomento Economico Mexicano B & D...................... 270,000 631,200
*Gruma S.A. de C.V. Series B.......................... 88,924 219,878
Grupo Carso S.A. de C.V. Series A-1................... 203,000 636,814
Grupo Celanese S.A. Series B-1........................ 140,000 314,701
*Grupo Financiero Banamex Accival S.A. de C.V. Series
B................................................... 377,000 441,424
*Grupo Financiero Banamex Accival S.A. de C.V. Series
L................................................... 13,187 14,755
Grupo Financiero Bancomer S.A. de C.V. Series B....... 1,246,380 224,135
Grupo Financiero Bancomer S.A. de C.V. Series L....... 7,792 989
*Grupo Financiero GBM Atlantico S.A. de C.V. Series
B................................................... 30,000 17,983
Grupo Financiero Inbursa-C............................ 239,699 445,417
</TABLE>
228
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Grupo Financiero Santander Mexicano S.A. de C.V.
Sanmex Series B..................................... 24,257 $ 4,968
*Grupo Financiero Serfin S.A. de C.V. Series B........ 249,102 18,416
*Grupo Gigante S.A. Series B.......................... 341,400 81,858
Grupo Industrial Alfa S.A. Series A................... 150,290 375,368
Grupo Industrial Bimbo S.A. de C.V. Series A.......... 392,000 621,905
Grupo Industrial Maseca S.A. de C.V. Series B......... 229,000 204,531
Grupo Mexico S.A. de C.V. Series B.................... 172,000 417,563
Grupo Modelo S.A. de C.V. Series C.................... 312,000 617,173
*Grupo Televisa S.A. (Certificate Representing Series
A, Series D & Series L)............................. 70,000 901,443
Hylsamex S.A. de C.V. Series B........................ 60,000 91,353
Industrias Penoles S.A. de C.V........................ 103,000 318,997
Kimberly Clark de Mexico S.A. de C.V. Series A........ 225,000 613,666
Organizacion Soriana S.A. de C.V. Series B............ 150,000 437,584
*Seguros Comercial America S.A. de C.V. Series B...... 63,000 207,702
Telefonos de Mexico S.A. Series A..................... 50,000 121,385
Telefonos de Mexico S.A. Series L..................... 1,521,000 3,525,367
*Tolmex S.A. de C.V. Series B-2....................... 16,000 65,538
Tubos de Acero de Mexico S.A.......................... 17,000 127,379
Vitro S.A............................................. 121,600 194,375
------------
TOTAL -- MEXICO
(Cost $16,794,393)................................... 15,686,028
------------
TURKEY -- (6.1%)
COMMON STOCKS -- (6.1%)
Akbank................................................ 97,247,501 1,986,604
Akcansa Cimento Sanayi ve Ticaret SA.................. 14,800,650 273,093
Aksa.................................................. 7,151,119 86,002
Aksigorta A.S......................................... 4,050,000 120,099
Aktas Elektrik Ticaret A.S............................ 685,000 155,733
Alarko Holding........................................ 717,620 99,308
Arcelik A.S........................................... 15,754,208 456,794
Aygaz................................................. 3,888,960 214,630
Bekoteknik Sanayi A.S................................. 4,664,661 53,793
Bossa Ticaret ve Sanayi Isletmeleri A.S............... 8,625,000 55,416
Brisa Bridgestone Sanbanci Lastik San & Tic A.S....... 6,202,000 128,740
CIMSA A.S. (Cimento Sanayi ve Ticaret)................ 2,955,000 66,208
*Cimentas A.S......................................... 1,037,032 39,294
Cukurova Elektrik A.S................................. 389,000 422,965
Dogan Sirketler Grubu Holdings A.S.................... 32,336,675 266,365
Doktas................................................ 272,000 4,212
EGE Biracilik ve Malt Sanayii A.S..................... 3,062,408 257,303
*Eczacibasi Ilac...................................... 2,130,940 56,872
Enka Holding.......................................... 806,993 180,809
Erciyas Biracilik..................................... 2,333,160 171,047
*Eregli Demir ve Celik Fabrikalari Turk A.S........... 4,929,000 263,909
Good Year Lastikleri A.S.............................. 3,272,500 69,008
Guney Biracilik....................................... 1,004,640 78,617
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hurriyet Gazette...................................... 13,474,500 $ 173,148
*Ihlas Holding........................................ 1,348,057 77,730
*Izmir Demir Celik.................................... 10,231,500 19,553
Kartonsan............................................. 1,417,500 43,903
Kepez Elektrik Ticaret A.S............................ 93,000 94,992
Koc Holding A.S....................................... 12,466,998 1,170,706
Kordsa Kord Bezi Sanayi ve Ticaret A.S................ 3,542,000 115,538
Migros Turk A.S....................................... 734,225 725,758
*Netas Northern Electric Telekomunikasyon A.S......... 5,044,000 96,393
Otosan Otomobil A.S................................... 1,026,000 219,736
*Raks Elektroniks A.S................................. 216,000 30,959
Sarkuysan Elektrolitik Bakir Sanayi A.S............... 794,000 30,740
*T. Tuborg Bira ve Malt Sanayi A.S.................... 390,000 3,469
Tat Konserve.......................................... 1,782,544 58,146
Teletas Telekomunikasyon Endustri Ticaret A.S......... 1,400,000 65,733
*Tofas Turk Otomobil Fabrikasi A.S.................... 9,802,375 129,191
Trakya Cam Sanayii A.S................................ 8,270,120 89,922
Turcas Petrolculuk A.S................................ 1,691,018 25,073
Turk Demir Dokum...................................... 4,164,986 34,308
Turk Siemens Kablo ve Elektrik Sanayi A.S............. 420,500 11,638
Turk Sise Cam......................................... 12,475,592 131,538
*Turkiye Garanti Bankasi A.S.......................... 36,000,552 735,431
Turkiye Is Bankasi A.S. Series C...................... 100,432,500 2,812,771
USAS (Ucak Servisi A.S.).............................. 42,500 55,313
*Vestel Elektronik Sanayi Ticaret A.S................. 3,112,000 302,484
Yapi ve Kredi Bankasi A.S............................. 103,724,055 1,264,511
------------
TOTAL -- TURKEY
(Cost $11,991,611)................................... 14,025,505
------------
MALAYSIA -- (5.6%)(##)
COMMON STOCKS -- (5.6%)
AMMB Holdings Berhad 7.5% Unsecured Loan Stock 1999... 2,000 153
*Amsteel Corp. Berhad................................. 264,000 25,768
*Aokam Perdana Berhad................................. 10,000 1,133
Ban Hin Lee Bank Berhad............................... 20,000 17,238
Bandar Raya Developments Berhad....................... 23,000 4,575
Batu Kawan Berhad..................................... 151,000 127,919
Berjaya Group Berhad.................................. 94,000 11,252
Berjaya Leisure Berhad................................ 91,000 31,004
Berjaya Sports Toto Berhad............................ 79,000 63,433
Carlsberg Brewery Malaysia Berhad..................... 79,000 135,304
Commerce Asset Holding Berhad......................... 288,200 144,896
Country Heights Holdings Berhad....................... 40,000 22,247
DCB Sakura Merchant New Shares........................ 4,100 1,155
*Ekran Berhad......................................... 108,000 26,453
Genting Berhad........................................ 259,000 383,969
Golden Hope Plantations Berhad........................ 521,000 299,359
Guiness Anchor Berhad................................. 105,000 75,028
Highlands and Lowlands Berhad......................... 314,000 144,567
Hong Leong Bank Berhad................................ 213,125 92,629
Hong Leong Credit Berhad.............................. 232,300 126,631
IOI Corp. Berhad...................................... 439,000 168,971
Jaya Tiasa Holdings Berhad............................ 96,000 84,862
Kuala Lumpur Kepong Berhad............................ 293,500 286,473
*Land - General Berhad................................ 35,000 6,381
*Leisure Management Berhad............................ 35,000 110,866
</TABLE>
229
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THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Lion Land Berhad...................................... 1,000 $ 106
*MBF Holdings Berhad.................................. 141,000 8,309
MNI Holdings Berhad................................... 10,000 8,177
Magnum Corp. Berhad................................... 779,500 219,638
Malakoff Berhad....................................... 103,000 130,884
Malayan Banking Berhad................................ 846,000 934,807
Malayan United Industries Berhad...................... 70,000 9,475
Malaysian Airlines System............................. 298,000 136,103
Malaysian International Shipping Corp. (Foreign)...... 85,666 70,678
Malaysian Oxygen Berhad............................... 22,000 31,197
Malaysian Pacific Industries.......................... 28,000 27,330
*Multi-Purpose Holdings Berhad........................ 86,000 15,600
Nestle (Malaysia) Berhad.............................. 121,000 316,427
Notth Borneo Timbers Berhad........................... 8,000 10,166
Oriental Holdings Berhad.............................. 167,880 160,769
Oyl Industries Berhad................................. 47,000 81,363
Perlis Plantations Berhad............................. 190,500 150,155
Perusahaan Otomobil Nasional Berhad................... 282,000 255,514
Petronas Dagangan Berhad.............................. 147,000 94,751
Petronas Gas Berhad................................... 943,000 1,311,169
Phileo Land Berhad.................................... 27,000 6,564
Public Bank Berhad (Foreign).......................... 1,107,799 338,664
RHB Capital Berhad.................................... 867,000 328,917
RJ Reynolds Berhad.................................... 135,000 99,448
Ramatex Berhad........................................ 222,000 148,000
*Rashid Hussain Berhad................................ 50,000 27,993
*Renong Berhad........................................ 460,000 107,587
Resorts World Berhad.................................. 567,000 432,298
Rothmans of Pall Mall Malaysia Berhad................. 148,000 539,668
Sarawak Enterprise Corp. Berhad....................... 412,000 106,983
Shell Refining Co. Federation of Malaysia Berhad...... 156,000 118,939
*Silverstone Berhad................................... 9,240 0
Sime Darby Berhad (Malaysia).......................... 1,208,800 788,057
Southern Bank Berhad (Foreign)........................ 114,750 37,405
Technology Resources (Industries) Berhad.............. 264,000 104,530
Telekom Malaysia Berhad............................... 1,305,000 1,790,470
Tenaga Nasional Berhad................................ 1,146,000 1,065,801
*Time Engineering Berhad.............................. 276,000 53,370
Tractors Malaysia Holdings Berhad..................... 22,000 6,280
*United Engineering (Malaysia) Berhad................. 165,198 85,793
YTL Corp. Berhad...................................... 624,250 501,239
------------
TOTAL -- MALAYSIA
(Cost $35,801,818)................................... 13,052,890
------------
INDONESIA -- (3.2%)
COMMON STOCKS -- (3.2%)
*PT Asahimas Flat Glass Co., Ltd...................... 75,000 4,798
*PT Astra International Tbk........................... 1,003,000 131,707
*PT Bakrie & Brothers Tbk............................. 1,259,000 33,912
*PT Bank Danamon (Foreign)............................ 1,121,000 26,421
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*PT Bank International Indonesia
(Foreign)......................................... 1,855,993 $ 68,740
*PT Bank Niaga Tbk.................................... 151,380 6,116
*PT Barito Pacific Timber............................. 910,000 42,895
PT Bimantara Citra.................................... 589,000 23,798
*PT Charoen Pokphand Tbk.............................. 95,000 2,879
*PT Ciputra Development Tbk........................... 262,000 7,939
PT Citra Marga Nusaphala Persada...................... 960,000 35,555
*PT Dankos Laboratories............................... 21,000 778
PT Duta Pertiwi....................................... 200,000 4,714
*PT Gajah Tunggal Tbk................................. 2,058,000 69,293
*PT Gt Kabel Indonesia Tbk............................ 212,000 3,569
*PT GT Petrochem Industries Tbk....................... 70,000 1,650
*PT Hanjaya Mandala Sampoerna Tbk..................... 496,500 327,655
*PT Hero Supermarket Tbk.............................. 78,000 11,556
*PT Indah Kiat Pulp & Paper Corp...................... 2,221,601 800,372
*PT Indocement Tunggal Prakarsa....................... 1,318,000 457,083
*PT Indofood Sukses Makmur............................ 930,280 460,440
*PT Indorama Synthetics Tbk........................... 365,580 48,005
PT Indosat Tbk........................................ 600,500 865,364
*PT Inti Indorayo Utama............................... 257,000 11,249
*PT Jakarta International Hotel and
Development Tbk................................... 362,500 13,426
*PT Japfa Comfeed Indonesia Tbk....................... 29,000 488
*PT Jaya Real Property................................ 305,000 12,323
*PT Kalbe Farma Tbk................................... 150,000 10,101
*PT Kawasan Industry Jababeka Tbk..................... 407,333 15,086
*PT Lippo Bank (Foreign).............................. 557,000 52,512
*PT Lippo Land Development Tbk........................ 174,000 7,616
*PT Matahari Putra Prima Tbk.......................... 314,000 10,572
PT Mayorah Indah...................................... 288,720 18,470
*PT Modern Photo Tbk.................................. 154,000 10,630
PT Mulia Industrindo.................................. 850,680 37,235
*PT Pabrik Kertas Tjiwi Kimia Tbk..................... 765,821 167,603
*PT Pakuwon Jati Tbk.................................. 312,000 3,152
*PT Panasia Indosyntec Tbk............................ 103,600 2,791
*PT Pdni Tbk.......................................... 1,379,000 13,929
PT Perusahaan Rokok Tjap Gudang
Garam............................................. 961,500 1,243,147
*PT Polysindo Eka Perkasa Tbk......................... 481,000 34,010
*PT Putra Surya Perkasa Tbk........................... 1,296,000 13,091
*PT Sari Husada Tbk................................... 13,440 4,548
*PT Semen Cibinong Tbk................................ 231,000 10,111
PT Semen Gresik....................................... 385,500 430,928
*PT Summarecon Agung.................................. 87,838 1,922
PT Tambang Timah (Persero) Tbk........................ 327,000 255,433
PT Telekomunikasi Indonesia (Persero) Tbk............. 4,316,500 1,584,164
*PT Tempo Scan Pacific................................ 19,500 919
PT Tigaraksa Satria Tbk............................... 25,200 3,903
*PT Unggul Indah Corp. Tbk............................ 110,000 14,815
*PT United Tractors................................... 15,000 1,010
------------
TOTAL -- INDONESIA
(Cost $30,011,241)................................... 7,420,423
------------
</TABLE>
230
<PAGE>
THE EMERGING MARKETS SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (1.3%)
Repurchase Agreement, Chase Manhattan Bank N.A. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
5.50%, 03/31/03, valued at $3,087,306) to be
repurchased at $3,024,416.
(Cost $3,024,000)................................... $ 3,024 $ 3,024,000
------------
TOTAL INVESTMENTS -- (100.0%)(Cost $298,836,257)++..... $231,835,900
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $300,756,658.
## Illiquid securities fair valued by the Board of Trustees.
</TABLE>
See accompanying Notes to Financial Statements.
231
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
SOUTH KOREA -- (13.0%)
COMMON STOCKS -- (13.0%)
*Boram Bank Co., Ltd.................................. 10,990 $ 15,965
*Bu Kwang Pharmaceutical Co., Ltd..................... 5,400 21,799
*Cheil Jedang Corp.................................... 1,770 52,560
*Choong Wae Pharmaceutical............................ 1,590 16,334
*Daeduck Electronics Co., Ltd......................... 1,340 107,544
*Daeduck Industries Co., Ltd.......................... 450 31,601
*Daehan City Gas Co., Ltd............................. 2,000 60,353
Daehan Flour Mills Co., Ltd........................... 360 13,319
*Daesung Industrial Co., Ltd.......................... 1,690 25,771
*Daewoo Corp.......................................... 16,110 41,439
*Daewoo Electronics Co., Ltd.......................... 13,010 35,553
*Daewoo Precision Industries, Ltd..................... 4,090 14,328
*Daewoo Securities Co., Ltd........................... 6,900 55,377
*Daewoo Telecom Co., Ltd.............................. 8,020 30,831
*Daishin Securities Co., Ltd.......................... 8,510 47,809
*Dong Ah Tire Industrial Co., Ltd..................... 730 24,665
*Dong Bu Insurance Co., Ltd........................... 1,680 17,528
*Hae In Co., Ltd...................................... 4,970 31,910
*Han Kuk Carbon Co.................................... 500 15,730
*Han Wha Energy Co., Ltd.............................. 5,600 13,843
Hana Bank............................................. 19,600 108,697
*Hanjin Heavy Industry Co., Ltd....................... 5,840 37,590
Hankook Tire Manufacturing Co., Ltd................... 10,720 34,500
*Hankuk Glass Industries, Inc......................... 5,120 85,881
*Hanmi Pharmaceutical Co., Ltd........................ 1,014 22,461
*Hansol Paper Co., Ltd................................ 2,650 20,269
*Hotel Shilla, Ltd.................................... 6,010 32,269
*Hyundai Corp......................................... 4,900 21,236
*Hyundai Engineering & Construction Co., Ltd.......... 9,870 52,281
*Hyundai Merchant Marine Co., Ltd..................... 18,814 199,314
*Hyundai Mipo Dockyard Co., Ltd....................... 2,600 33,178
*Hyundai Precision Industry Co., Ltd.................. 9,210 43,093
*Hyundai Securities Co., Ltd.......................... 9,230 67,410
*Keum Kang Development Industry Co., Ltd.............. 2,630 19,229
*Koram Bank, Ltd...................................... 6,000 23,692
*Korea Circuit Co., Ltd............................... 780 24,445
*Korea Electronics Co., Ltd........................... 1,310 10,934
*Korea Fine Chemical Co., Ltd......................... 1,000 35,313
*Korea Green Cross Co., Ltd........................... 1,260 40,247
*Korea Iron & Steel Works Co., Ltd.................... 290 22,111
Korea Zinc Co., Ltd................................... 2,750 47,893
*Korean Air........................................... 8,760 41,480
*Korean Reinsurance Co., Ltd.......................... 3,100 21,770
*LG Cable & Machinery, Ltd............................ 6,980 35,740
LG Information & Communications, Ltd.................. 2,170 52,073
LG Insurance Co., Ltd................................. 1,210 36,028
*LG International Corp................................ 8,790 19,753
*LG Securities Co., Ltd............................... 11,700 85,731
*Lotte Confectionary Co., Ltd......................... 680 42,841
*Namhae Chemical Corporation.......................... 2,000 36,116
*Namyang Dairy Products Co., Ltd...................... 340 24,968
Nong Shim Co., Ltd.................................... 2,640 154,671
*Orion Electric Co., Ltd.............................. 5,270 21,401
*SK Securities Co., Ltd............................... 46,550 227,893
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Saehan Industries, Inc............................... 4,600 $ 20,674
*Samsung Securities Co., Ltd.......................... 3,700 58,202
*Seondo Electric Co., Ltd............................. 4,400 25,849
*Seoul City Gas Co., Ltd.............................. 2,750 65,108
Shin Young Securities Co., Ltd........................ 2,620 29,018
Shinsegae Department Store............................ 3,240 44,206
Suheung Capsule Co., Ltd.............................. 1,900 33,547
*Youngone Corporation................................. 1,140 29,598
*Yuhan Corp........................................... 840 20,562
------------
TOTAL COMMON STOCKS
(Cost $2,050,374).................................... 2,783,531
------------
RIGHTS/WARRANTS -- (0.0%)
*Hotel Shilla, Ltd. Rights 12/21/98................... 2,566 0
*Hyundai Corp. Rights 12/18/98........................ 2,130 684
*Hyundai Precision Industry Co., Ltd. Rights
12/09/98............................................ 4,657 0
*LG Information & Communications,
Ltd. Rights 12/10/98................................ 924 6,081
*LG Insurance Co., Ltd. Rights 12/21/98............... 413 4,176
*Orion Electric Co., Ltd. Rights 12/10/98............. 4,404 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 10,941
------------
TOTAL -- SOUTH KOREA
(Cost $2,050,375).................................... 2,794,472
------------
PHILIPPINES -- (13.0%)
COMMON STOCKS -- (13.0%)
*Alaska Milk Corp..................................... 1,404,000 83,385
*Alsons Consolidated Resources, Inc................... 2,058,000 39,959
*Anglo Philippine Holdings Corp....................... 546,000 6,097
Bacnotan Cement Corp.................................. 214,700 33,240
Bacnotan Consolidated Industries, Inc................. 41,700 44,452
*Bankard, Inc......................................... 145,000 4,858
*Belle Corp........................................... 5,167,000 334,412
*Cebu Holdings, Inc................................... 1,925,000 31,758
Cosmos Bottling Corp.................................. 878,000 84,680
*DMCI Holdings, Inc................................... 4,372,000 219,709
*EEI Corporation...................................... 282,000 10,163
*East Asia Power Resources Corp....................... 431,000 6,563
*Fil-Estate Land, Inc................................. 2,630,000 64,749
*Global Equities, Inc................................. 717,000 8,553
*Gotesco Land, Inc. Series B.......................... 170,000 1,251
Guoco Holdings (Philippines), Inc..................... 1,620,000 34,127
*House of Investments, Inc............................ 258,000 6,024
*International Container Terminal Services, Inc....... 466,087 41,404
Ionics Circuits, Inc.................................. 103,125 32,717
*Kepphil Shipyard, Inc................................ 597,585 14,257
*Kuok Philippine Properties, Inc...................... 2,150,500 25,107
Lepanto Consolidated Mining Co. Series B.............. 1,540,000 15,244
MUI Resources (Philippines), Inc...................... 1,121,000 38,125
*Mabuhay Holdings Corp................................ 516,000 3,929
*Macroasia Corp....................................... 129,000 7,530
*Manila Jockey Club, Inc.............................. 18,800 4,951
</TABLE>
232
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Megaworld Properties & Holdings, Inc................. 4,440,000 $ 84,518
*Metro Pacific Corp................................... 4,040,000 203,025
*Mondragon International Philippines, Inc............. 218,040 3,099
*Negros Navigation Co., Inc........................... 311,000 3,789
*PDCP Development Bank................................ 77,000 24,917
*Philippine Bank of Communications.................... 14,726 44,851
*Philippine National Construction Corp................ 75,000 8,756
*Philippine Realty & Holdings Corp.................... 4,499,000 37,682
*Philippine Savings Bank.............................. 288,375 142,723
*Picop Resources, Inc................................. 225,000 2,513
*Pilipino Telephone Corp.............................. 1,692,000 240,487
*Pryce Properties Corp................................ 1,352,900 25,753
RFM Corp.............................................. 335,000 48,464
*Republic Glass Holding Corp.......................... 176,250 3,266
*Robinson's Land Corp. Series B....................... 3,402,000 207,228
SM Development Corp................................... 3,525,000 78,731
*Security Bank Corp................................... 153,835 65,399
Selecta Dairy Products, Inc........................... 378,000 23,025
Solidbank Corp........................................ 3,040 11,689
*Soriano (A.) Corp.................................... 3,430,211 74,872
*Southeast Asia Cement Holdings, Inc.................. 9,524,000 140,201
*Steniel Manufacturing Corp........................... 250,000 5,076
*United Paragon Mining Corp........................... 645,000 3,929
*Universal Rightfield Property Holdings, Inc.......... 1,062,000 11,590
Urban Bank, Inc....................................... 5,658 15,150
*Vantage Equities Inc................................. 516,000 11,132
*Victorias Milling Co., Inc........................... 48,000 1,060
*Vitarich Corp........................................ 176,000 1,697
*William, Gothong & Aboitiz, Inc...................... 1,390,000 45,863
------------
TOTAL COMMON STOCKS
(Cost $4,292,819).................................... 2,767,729
------------
PREFERRED STOCKS -- (0.0%)
*RFM Corp. (Cost $10,835)............................. 60,909 8,116
------------
TOTAL -- PHILIPPINES
(Cost $4,303,654).................................... 2,775,845
------------
ISRAEL -- (13.0%)
COMMON STOCKS -- (13.0%)
*Agis Industries (1983), Ltd.......................... 27,000 144,934
Azorim Investment Development & Construction Co.,
Ltd................................................. 15,422 121,784
Baran................................................. 9,500 74,793
*Beit Shemesh Motor................................... 3,351 11,632
*Dead Sea Periclase................................... 13,028 27,818
Delek Automotive Systems, Ltd......................... 75,000 110,042
*Discount Mortgage Bank, Ltd.......................... 1,320 59,582
Elco Industries (1975)................................ 6,000 51,532
Electra Consumer...................................... 20,300 142,870
Electra Israel, Ltd................................... 3,000 128,830
Electric Wire & Cable Co. of Israel, Ltd.............. 12,800 35,973
Feuchtwanger Industies................................ 224 21,590
*Formula Systems...................................... 6,570 162,856
*Israel General Bank, Ltd............................. 3,222 67,029
*Israel Land Development Co., Ltd..................... 26,000 117,235
Israel Petrochemical Enterprises, Ltd................. 32,500 155,849
Israel Salt Industries................................ 38,139 181,889
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*J.O.E.L. Jerusalem Oil Exploration, Ltd.............. 61,782 $ 11,055
Maman Cargo Terminals & Handling, Ltd................. 33,600 38,076
Matav Cable Israel.................................... 14,000 128,591
Mehadrin, Ltd......................................... 3,887 120,090
*Middle East Tube Co.................................. 19,000 11,332
*Miloumor............................................. 12,658 47,050
*Mishkan Hapoalim Mortgage Bank, Ltd. Series B........ 1,440 213,343
Mul-t-lock, Ltd....................................... 20,500 30,176
*Naphta Israel Petroleum Corp......................... 105,630 7,560
*Nice Systems, Ltd.................................... 5,785 111,378
*Ormat Industries..................................... 54,000 61,581
Rapac Electronics, Ltd................................ 6,000 34,355
Tambour............................................... 64,000 80,924
*Tefahot Israel Mortgage Bank, Ltd.................... 330 143,288
Ytong Industries, Ltd................................. 52,500 119,490
------------
TOTAL COMMON STOCKS
(Cost $2,887,304).................................... 2,774,527
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Israel Shekel (Cost $1).............................. 1
------------
TOTAL -- ISRAEL
(Cost $2,887,305).................................... 2,774,528
------------
THAILAND -- (12.4%)
COMMON STOCKS -- (12.4%)
*Aromatics (Thailand) Public Co., Ltd. (Foreign)...... 140,000 17,452
Ayudhya Insurance Public Co., Ltd. (Foreign).......... 4,000 15,291
*Bangkok Agro Industrial Products Public Co., Ltd.
(Foreign)........................................... 2,700 4,076
*Banpu Public Co., Ltd. (Foreign)..................... 40,000 75,346
*Big C Supercenter Public Co., Ltd. (Foreign)......... 87,000 19,280
*Capetronic International (Thailand) Public Co.,
Ltd................................................. 83,200 11,985
*Capital Nomura Securities Public Co., Ltd.
(Foreign)........................................... 46,000 87,285
*Castle Peak Holdings Public Co., Ltd. (Foreign)...... 6,800 640
*Central Paper Industry Public Co., Ltd. (Foreign).... 19,800 30,920
*Ch Karnchang Public Co., Ltd. (Foreign).............. 62,800 95,679
*Charoen Pokphand Feedmill Public Co., Ltd.
(Foreign)........................................... 46,000 59,889
Compass East Industry (Thailand) Public Co., Ltd.
(Foreign)........................................... 12,200 69,280
*Dynamic Eastern Finance Thailand (1991) Co., Ltd.
(Foreign)........................................... 46,200 3,711
*First City Investment Public Co., Ltd. (Foreign)..... 45,000 249
*GSS Array Technology Public Co., Ltd. (Foreign)...... 3,200 4,166
*Golden Land Property Development Public Co., Ltd.
(Foreign)........................................... 68,800 6,861
Grammy Entertainment Public Co., Ltd. (Foreign)....... 30,000 151,246
</TABLE>
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<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Hana Microelectronics Co., Ltd. (Foreign)............ 12,000 $ 29,917
*Hemaraj Land and Development Public Co., Ltd.
(Foreign)........................................... 19,000 6,316
*Jasmine International Public Co., Ltd. (Foreign)..... 200,000 55,402
*K.R. Precision Public Co., Ltd....................... 16,400 11,357
*KCE Electronics Public Co., Ltd. (Foreign)........... 6,000 10,471
Kang Yong Electric Public Co., Ltd. (Foreign)......... 7,200 6,931
*Kiatnakin Finance and Securities Public Co., Ltd.
(Foreign)........................................... 12,000 3,291
*Krisda Mahanakorn Public Co., Ltd. (Foreign)......... 23,800 2,967
*LPN Development Public Co., Ltd. (Foreign)........... 15,100 1,255
*Laem Thong Bank Public Co., Ltd. (Foreign)........... 68,575 12,347
*Laguna Resorts & Hotels Public, Ltd. Foreign......... 32,200 13,268
*Land and House Public Co., Ltd. (Foreign)............ 150,100 111,224
*Lanna Lignite Public Co., Ltd. (Foreign)............. 11,500 14,972
*Loxley Public Co., Ltd. (Foreign).................... 12,500 5,800
*Media of Medias Public Co., Ltd. (Foreign)........... 9,100 983
*Modern Home Development Public Co., Ltd. (Foreign)... 23,700 1,444
Muramoto Electronic (Thailand) Public Co., Ltd........ 9,900 16,866
*Nakornthon Bank Public Co., Ltd. (Foreign)........... 53,850 8,204
*Nation Multimedia Group Public Co., Ltd. (Foreign)... 13,000 5,132
*National Finance and Securities Public Co., Ltd.
(Foreign)........................................... 630,150 209,468
*National Petrochemical Public Co., Ltd. (Foreign).... 447,300 254,007
*New Imperial Hotel Public Co., Ltd. (Foreign)........ 30,000 23,684
*Nithipat Finance Public Co., Ltd. (Foreign).......... 35,600 19,476
*PAE (Thailand) Public Co., Ltd. (Foreign)............ 6,600 384
Patum Rice Mill & Granary Public Co., Ltd............. 5,500 2,780
*Phoenix Pulp and Paper Public Co., Ltd. (Foreign).... 35,700 18,048
Pizza Public Co., Ltd. (Foreign)...................... 21,000 65,734
*Prasit Development Public Co., Ltd. (Foreign)........ 29,700 3,455
Regional Container Lines Public Co., Ltd. (Foreign)... 9,000 7,666
*SCF Finance and Securities Co., Ltd. (Foreign)....... 17,000 5,886
*Saha Pathana Inter-Holding Public Co., Ltd.
(Foreign)........................................... 16,000 8,199
*Sahaviriya Steel Industries Public Co., Ltd.
(Foreign)........................................... 168,300 12,588
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Securities One Public Co., Ltd. (Foreign)............ 255,431 $ 62,973
*Shinawatra Satellite Public Co., Ltd. (Foreign)...... 332,500 165,789
*Siam City Credit Finance and Securities Public Co.,
Ltd. (Foreign)...................................... 18,200 8,823
*Siam Pulp & Paper Co., Ltd. (Foreign)................ 75,900 70,959
*Siam Sanwa Industrial Credit Public Co., Ltd.
(Foreign)........................................... 17,500 3,515
*Siam Tyre Public Co., Ltd. (Foreign)................. 2,500 9,349
Songkla Canning Public Co., Ltd. (Foreign)............ 24,400 47,313
Sri Trang Agro Industry Public Co., Ltd............... 13,500 14,585
*Srithai Superware Public Co., Ltd. (Foreign)......... 6,000 1,579
*Sun Tech Group Public Co., Ltd. (Foreign)............ 27,200 1,130
*Supalai Public Co., Ltd. (Foreign)................... 17,300 2,252
*TCJ Motor Public Co., Ltd. (Foreign)................. 7,300 829
*TPI Polene Public Co., Ltd. (Foreign)................ 258,476 62,292
*Thai Danu Bank Public Co., Ltd. (Foreign)............ 41,200 26,820
*Thai Military Bank Public Co., Ltd. (Foreign)........ 500,000 124,654
*Thai Modern Plastic Industry Public Co., Ltd.
(Foreign)........................................... 15,700 696
*Thai Pineapple Public Co., Ltd. (Foreign)............ 12,200 2,670
*Thai Plastic and Chemicals Public Co., Ltd.
(Foreign)........................................... 12,200 18,587
Thai Reinsurance Public Co., Ltd. (Foreign)........... 19,300 51,324
Thai Rung Union Carbide Public Co., Ltd. (Foreign).... 13,200 8,684
*Thai Telephone & Telecommunication Public Co., Ltd.
(Foreign)........................................... 450,000 78,532
Thai Union Frozen Products Co., Ltd................... 22,500 91,620
*Thai-Germany Products Public Co., Ltd. (Foreign)..... 37,050 1,026
*Tipco Asphalt Public Co., Ltd. (Foreign)............. 68,000 111,136
*Tuntex (Thailand) Public Co., Ltd. (Foreign)......... 126,728 43,881
*Vanachai Group Public Co., Ltd. (Foreign)............ 22,100 1,653
*Vinythai Public Co., Ltd. (Foreign).................. 355,700 37,442
*Wall Street Finance and Securities Public Co., Ltd.
(Foreign)........................................... 13,400 5,290
*Wattachak Public Co., Ltd. (Foreign)................. 49,500 6,170
------------
TOTAL COMMON STOCKS
(Cost $3,584,626).................................... 2,664,451
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Thailand Baht (Cost $0).............................. 1
------------
TOTAL -- THAILAND
(Cost $3,584,626).................................... 2,664,452
------------
TURKEY -- (10.1%)
COMMON STOCKS -- (10.1%)
Adana Cimento Sanayi Ticaret A.S...................... 5,019,000 15,214
</TABLE>
234
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Akal Tekstil A.S...................................... 926,625 $ 6,641
Aksa.................................................. 3,545,000 42,633
Aksigorta A.S......................................... 3,067,500 90,964
Aksu Iplik Dokuma ve Boya Apre Fab A.S................ 824,850 5,096
Alarko Holding........................................ 498,000 68,916
Alarko Sanayii ve Ticaret A.S......................... 841,499 39,510
Altinyildiz Mensucat ve Konfeksiyan Fabrikalari
A.S................................................. 1,464,000 17,848
*Anadolu Anonim Turk Sigorta Sirketi.................. 2,508,000 27,270
Bagfas Bandirma Gubre Fabrik.......................... 1,100,000 48,023
Bandirma Vitaminli Yem Sanayii Ticaret A.S............ 535,000 30,848
*Bati Cimento A.S..................................... 642,000 30,672
Bekoteknik Sanayi A.S................................. 2,712,888 31,285
Bolu Cimento Sanayi A.S............................... 2,580,287 16,578
Borusan............................................... 385,000 12,305
Bossa Ticaret ve Sanayi Isletmeleri A.S............... 4,510,000 28,977
Bursa Cimento Fabrikasi A.S........................... 1,100,000 45,305
CIMSA A.S. (Cimento Sanayi ve Ticaret)................ 1,800,000 40,329
Carsi Buyuk Magazacilik............................... 589,000 26,685
*Cimentas A.S......................................... 1,145,000 43,385
*Deva Holding A.S..................................... 2,717,333 9,625
Doktas................................................ 1,100,000 17,035
*Eczacibasi Ilac...................................... 1,547,000 41,287
*Eczacibasi Yapi Gere................................. 750,000 6,425
Ege Seramik Co., Inc.................................. 1,582,680 4,120
Egeplast.............................................. 386,000 6,232
Erciyas Biracilik..................................... 500,000 36,656
*Es Kisehir Bankasi Esbank............................ 9,343,710 24,013
Finansbank............................................ 14,364,994 94,662
Good Year Lastikleri A.S.............................. 2,261,000 47,678
Gubre Fabrikalari Ticaret A.S......................... 216,000 11,565
Gunes Sigorta A.S..................................... 2,190,000 9,561
Guney Biracilik....................................... 634,400 49,644
Hektas Ticaret A.S.................................... 1,788,145 9,427
*Ihlas Holding........................................ 1,035,000 59,679
*Izmir Demir Celik.................................... 9,942,500 19,000
*Karsu Tekstil........................................ 1,136,000 8,235
Kartonsan............................................. 998,750 30,933
Kav Orman Sanayii A.S................................. 3,003,000 10,389
Kent Gida Maddeleri Sanayii ve Ticaret A.S............ 544,000 25,990
Kepez Elektrik Ticaret A.S............................ 61,000 62,306
*Kerevitas Gida Sanayi ve Ticaret A.S................. 2,532,000 35,456
Konya Cimento......................................... 1,110,000 16,092
Kordsa Kord Bezi Sanayi ve Ticaret A.S................ 2,060,000 67,196
Marshall Boya ve Vernik Sanayii A.S................... 317,000 28,201
*Medya Holdings A.S. Series C......................... 7,924,500 33,291
*Merko Gida Sanayi ve Ticaret A.S. Series A........... 1,058,000 10,458
*Milliyet Gazetecilik A.S............................. 7,840,800 48,440
*Mutlu Aku............................................ 509,000 6,708
Nergis Holding A.S.................................... 892,000 47,025
*Net Holding A.S...................................... 4,918,032 21,471
*Net Turizm........................................... 1,496,000 11,953
*Netas Northern Electric Telekomunikasyon A.S......... 2,315,000 44,241
Peg Profilo A.S....................................... 1,647,200 31,479
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Pinar Su Sanayi ve Ticaret A.S........................ 771,000 $ 19,561
*Raks Elektroniks A.S................................. 130,000 18,633
Sarkuysan Elektrolitik Bakir Sanayi A.S............... 745,000 28,843
*T. Tuborg Bira ve Malt Sanayi A.S.................... 1,670,000 14,857
Tansas Izmir Buyuksehir Belediyesi Ic ve dis Ticaret
A.S................................................. 267,000 27,272
Tat Konserve.......................................... 1,229,250 40,097
Tekstil Bankasi A.S................................... 3,705,876 21,674
Teletas Telekomunikasyon Endustri Ticaret A.S......... 1,354,000 63,573
*Tofas Turk Otomobil Fabrikasi A.S.................... 4,498,000 59,282
Trakya Cam Sanayii A.S................................ 2,000,000 21,746
Turcas Petrolculuk A.S................................ 2,386,647 35,387
Turk Demir Dokum...................................... 2,519,998 20,758
*Turk Dis Ticaret Bankasi A.S......................... 6,337,029 42,804
Turk Siemens Kablo ve Elektrik Sanayi A.S............. 622,500 17,229
USAS (Ucak Servisi A.S.).............................. 30,000 39,044
Vakif Finansal Kiralama A.S........................... 1,994,623 6,572
*Yasarbank A.S........................................ 6,205,101 18,196
Yunsa Yunlu Sanayi ve Ticaret A.S..................... 619,000 8,056
------------
TOTAL COMMON STOCKS
(Cost $3,327,501).................................... 2,158,541
------------
INVESTMENT IN CURRENCY -- (0.0%)
Turkish Lira (Cost $0)................................ 0
------------
RIGHTS/WARRANTS -- (0.0%)
*Es Kisehir Bankasi Esbank Rights
12/03/98............................................ 5,928,750 0
*Yasarbank A.S. Rights 12/11/98....................... 5,601,268 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- TURKEY
(Cost $3,327,501).................................... 2,158,541
------------
MEXICO -- (10.0%)
COMMON STOCKS -- (10.0%)
*Abaco Grupo Financiero S.A. de C.V. Series B......... 108,000 0
*Altos Hornos de Mexico S.A........................... 33,000 29,013
*Bufete Industrial S.A. (Certificates representing 3
shares Series L & 1 share Series B)................. 24,000 40,761
Cintra S.A. de C.V.................................... 87,000 47,805
*Corporacion Geo S.A. de C.V. Series B................ 37,000 103,871
*Embotelladoras Argos S.A. de C.V..................... 98,000 117,488
*Embotelladores del Valle Anahuac S.A. de C.V. Series
B................................................... 39,000 19,092
Empresas ICA Sociedad Controladora S.A. de C.V........ 106,000 87,685
Farmacias Benavides S.A. de C.V. Series B............. 54,000 62,041
Grupo Casa Autrey S.A. de C.V......................... 104,000 67,951
Grupo Cementos de Chihuahua S.A. de C.V. Series B..... 152,000 80,484
Grupo Continental S.A................................. 65,000 150,007
Grupo Fernandez Editores S.A. de C.V. Series B........ 103,000 9,261
</TABLE>
235
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THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Grupo Financiero Banorte S.A. de C.V. Series B....... 187,000 $ 130,776
*Grupo Financiero BBV Probursa S.A. de C.V. Series
B................................................... 758,644 75,034
*Grupo Financiero GBM Atlantico S.A. de C.V. Series
L................................................... 124,000 68,135
*Grupo Financiero Santander Mexicano S.A. de C.V.
Sanmex Series B..................................... 34,513 7,069
*Grupo Financiero Serfin S.A. de C.V. Series B........ 236,000 17,447
Grupo Herdez S.A. de C.V. Series B.................... 107,000 26,083
Grupo Industrial Maseca S.A. de C.V. Series B......... 68,000 60,734
*Grupo Posadas S.A. de C.V. Series L.................. 199,000 66,403
*Grupo Tribasa S.A. de C.V............................ 64,000 63,811
Hylsamex S.A. de C.V. Series B........................ 42,000 63,947
*Industrias S.A. de C.V. Series B..................... 33,000 67,586
*Jugos del Valle S.A. de C.V. Series B................ 20,000 16,984
Nacional de Drogas S.A. de C.V. Series L.............. 210,000 119,586
Pepsi-Gemex SA de CV Pepsigx.......................... 81,000 96,784
Sanluis Corporacion S.A. de C.V.(Certificates
representing 1 share Series B, 1 share Series C & 1
share Series D)..................................... 27,000 38,573
Sigma Alimentos S.A. de C.V........................... 21,000 33,568
Sistema Argos S.A. de C.V. Series B................... 98,000 23,694
*Tablex S.A. de C.V. Series 2......................... 33,000 56,376
*Transportacion Maritima Mexicana S.A. de C.V. Series
L................................................... 24,000 129,237
Tubos de Acero de Mexico S.A.......................... 10,000 74,929
Vitro S.A............................................. 51,000 81,523
------------
TOTAL COMMON STOCKS
(Cost $3,424,585).................................... 2,133,738
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Mexican Peso (Cost $195)............................. 195
------------
RIGHTS/WARRANTS -- (0.0%)
*Group Posadas S.A. de C.V. Series L Rights 12/02/98
(Cost $0)........................................... 13,354 0
------------
TOTAL -- MEXICO
(Cost $3,424,780).................................... 2,133,933
------------
BRAZIL -- (9.5%)
PREFERRED STOCKS -- (8.2%)
*Acos Villares SA..................................... 120,000 2,698
Alpargatas-Santista Textil SA......................... 300,000 8,868
*BS Continental SA Utilidades Domesticas.............. 1,500,000 7,182
*Banco America do Sul SA.............................. 610,000 4,622
*Banco Bandeirantes SA................................ 700,000 1,580
Banco Mercantil do Brasil SA.......................... 130,000 12,015
*Banco Noroeste SA.................................... 70,000 50,127
Banco Real SA......................................... 66,000 76,938
*Belgo Mineira Baby Shares............................ 550,000 12,690
*CELG Series B........................................ 357,316 2,755
*COFAP (Cia Fabricadora De Pecas)..................... 6,000 38,969
*Cambuci SA........................................... 84,000 1,742
Cent Elet Cachoeira Doura............................. 722,683 72,210
Cia Siderurgica Belgo-Mineira......................... 1,100,000 33,459
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Confab Industrial SA.................................. 27,000 $ 25,405
Consorcio Real Brasileiro de Administracao SA Series
F................................................... 19,000 27,686
Coteminas Cia Tecidos Norte de Minas.................. 263,426 35,095
Distribuidora de Produtos Petreleo Ipirangi SA........ 3,900,000 31,500
*ENERSUL Empresa Energetjica de Mato Grosso do Sul SA
Series B............................................ 13,156,000 53,020
Electrolux do Brasil SA............................... 40,600,000 23,664
Embraer Empresa Brasileira de Aeronautica Series A.... 7,200,000 78,537
Forca Luz Cataguazes Leopoldina Series A.............. 23,400,000 32,734
Francisco Stedile SA Series A......................... 20,200,000 15,895
Gerdau SA............................................. 15,623,172 153,505
*Gradiente Eletronica SA.............................. 2,600 3,799
Industria de Bebidas Antarctica Minas Gerais
Antarctic........................................... 171,000 29,901
Industria de Bebidas Antarctica Polar SA.............. 23,000 25,854
Industrias Villares SA................................ 58,000 241
*Inepar SA Industria e Construcoes.................... 31,500,000 22,819
*Iven SA.............................................. 148,000 25,879
Lojas Renner SA....................................... 900,000 14,254
Manah SA.............................................. 900,000 7,869
Marcopolo SA.......................................... 20,000 18,652
Marisol SA Industria do Vestuario..................... 36,000 15,737
Metalurgica Barbara................................... 25,300,000 36,866
Metalurgica Gerdau SA................................. 2,862,847 51,252
Mineracao da Trinidade Samitri........................ 2,758,800 23,546
Oxiteno SA Industria e Comercio....................... 12,160 28,351
*Paranapanema SA...................................... 6,200,000 19,101
Perdigao SA NPV....................................... 55,000,000 57,246
Pirelli Cabos SA...................................... 29,000 84,274
Pirelli Pneus SA...................................... 33,000 68,695
Randon Participacoes SA............................... 51,000,000 7,644
Refinaria de Petroleo Ipiranga SA..................... 3,600,000 27,878
Renner Herrmann SA.................................... 28,000 14,572
*Renner Participacoes SA.............................. 900,000 757
Sadia Oeste SA Inclusttia e Comercio Soes............. 75,000 37,470
Serrana SA............................................ 55,000 27,478
*Sharp SA Equipamentos Eletronicos.................... 30,200,000 4,778
*Siderurgica Paulista Casipa Series B................. 107,000 13,364
Sociedade de Participacoes............................ 55,000 109,454
Tam Transportes Aereos Regionais SA................... 1,150,000 59,130
Varig SA Viacao Aerea Riograndense.................... 16,000 11,857
Weg SA................................................ 165,000 68,695
Wembley Roupas SA..................................... 10,300,000 35,163
------------
TOTAL PREFERRED STOCKS
(Cost $2,740,330).................................... 1,755,472
------------
COMMON STOCKS -- (1.3%)
Acos Especiais Itabira-Acesita Aces................... 42,900,000 18,575
Avipal SA Avicultura e Agropecua...................... 15,900,000 22,507
Brasiliero de Petroleo Ipiranga....................... 3,000,000 21,608
Companhia Siderurgica de Tubarao Sid Tubarao.......... 5,200,000 27,711
Copene-Petroquimica do Nordeste SA Series A........... 180,000 25,468
</TABLE>
236
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THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Elevadores Atlas S.A.................................. 3,710 $ 43,249
Makro Atacadista SA................................... 47,000 36,200
*Mannesmann SA........................................ 215,000 14,680
Metalurgica Gerdau.................................... 161,519 2,152
Monteiro Aranha SA.................................... 2,868,168 16,718
*Rhodia Ster SA....................................... 124,000 3,097
Sao Paulo Alpargatas SA............................... 510,000 35,243
*Telecentro Oeste Celular Participacoes SA Pref....... 5,700,000 8,923
------------
TOTAL COMMON STOCKS
(Cost $426,784)...................................... 276,131
------------
TOTAL -- BRAZIL
(Cost $3,167,114).................................... 2,031,603
------------
MALAYSIA -- (9.2%)(##)
COMMON STOCKS -- (9.2%)
AMMB Holdings Berhad.................................. 86,000 61,451
Affin Holdings Berhad................................. 113,000 36,626
Amalgamated Industrial Steel Berhad................... 10,000 3,352
*Anson Perdana Berhad................................. 10,000 2,155
Antah Holding Berhad.................................. 23,000 3,579
*Aokam Perdana Berhad................................. 22,000 2,492
Arab Malaysian Development Berhad..................... 58,000 7,263
*Asas Dunia Berhad.................................... 16,000 3,212
*Asia Pacific Land Berhad............................. 70,000 7,090
Asiatic Development Berhad............................ 118,000 25,208
Austral Enterprises Berhad............................ 31,000 23,978
Ayer Hitam Planting Syndicate Berhad.................. 2,000 5,709
*Berjaya Industrial Berhad............................ 55,000 4,659
Berjaya Singer Berhad................................. 28,000 8,508
Bimb Holdings BHD..................................... 134,600 43,379
*Bolton Properties Berhad............................. 18,000 3,083
CCM Bioscience........................................ 833 552
Cahya Mata Sarawak Berhad............................. 66,000 30,387
Cement Industries of Malaysia Berhad.................. 13,000 5,985
Chemical Co. of Malaysia Berhad....................... 51,000 42,265
Chin Teck Plantations Berhad.......................... 10,000 11,878
Country Heights Holdings Berhad....................... 20,800 11,568
Cycle & Carriage Bintang Berhad....................... 15,000 12,099
DMIB Berhad........................................... 30,000 6,409
DNP Holdings Berhad................................... 34,000 5,635
*Damansara Realty Berhad.............................. 65,000 6,524
*Datuk Keramik Holdings Berhad........................ 24,000 4,774
Diperdana Corp. Berhad................................ 3,000 1,624
Edaran Otomobil Nasional Berhad....................... 18,000 20,553
*Esso Malaysia Berhad................................. 43,000 27,558
*FACB Berhad.......................................... 66,000 6,381
FCW Holdings Berhad................................... 16,000 2,681
*Faber Group Berhad................................... 32,000 3,595
Federal Flour Mills Berhad............................ 20,000 12,744
Fraser & Neave Holdings Berhad........................ 27,000 24,862
Gadek (Malaysia) Berhad............................... 11,000 6,239
Gamuda Berhad......................................... 60,000 41,768
*Golden Plus Holdings Berhad.......................... 16,000 3,772
Gopeng Berhad......................................... 17,000 3,068
*Granite Industries Berhad............................ 22,000 4,416
Guthrie Ropel Berhad.................................. 11,000 6,361
HLG Capital Berhad.................................... 12,000 2,961
Hap Seng Consolidated Berhad.......................... 67,000 31,217
Hock Hua Bank Berhad (Foreign)........................ 21,000 18,950
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hong Leong Industries Berhad.......................... 47,000 $ 22,937
Hong Leong Properties Berhad.......................... 112,000 18,151
Hume Industries (Malaysia) Berhad..................... 52,000 33,518
IGB Corp. Berhad...................................... 90,000 22,210
IJM Corp. Berhad...................................... 56,000 19,389
*Idris Hydraulic (Malaysia) Berhad.................... 89,000 12,948
*Insas Berhad......................................... 56,000 7,529
Island & Peninsular Berhad............................ 57,000 29,392
Johan Holdings Berhad................................. 30,000 3,674
KFC Holdings (Malaysia) Berhad........................ 29,000 18,158
*Kamunting Corp. Berhad............................... 40,000 4,383
Keck Seng (Malaysia) Berhad........................... 23,000 7,540
Kedah Cement Holdings Berhad.......................... 111,000 45,790
Kelang Container Terminal Berhad...................... 12,000 6,630
Kemayan Corp. Berhad.................................. 31,000 2,912
Kian Joo Can Factory Berhad........................... 29,000 27,772
*Kretam Holdings Berhad............................... 30,000 11,050
Kuala Sidim Berhad.................................... 31,000 33,112
Kulim Malaysia Berhad................................. 53,000 20,790
Ladang Perbadanan-Fima Berhad......................... 11,000 6,280
Landmarks Berhad...................................... 78,000 11,348
*Larut Consolidated Berhad............................ 18,000 3,199
*Leader Universal Holdings Berhad..................... 69,000 13,851
*Lingkaran Trans Kota Holdings Berhad................. 87,000 45,022
Lion Corp. Berhad..................................... 15,600 3,045
*MBF Holdings Berhad.................................. 106,000 6,247
*MBF Land Berhad...................................... 65,000 5,686
MUI Properties Berhad................................. 75,200 8,725
Malayan Cement Berhad................................. 65,750 17,800
Malayawata Steel Berhad............................... 21,000 4,409
Malaysia Assurance Alliance Berhad.................... 20,800 14,403
Malaysia Building Society Berhad...................... 35,000 8,766
Malaysia Industrial Development Finance Berhad........ 133,000 31,597
Malaysia Mining Corp. Berhad.......................... 181,000 67,667
Malaysian Airlines System............................. 167,000 76,273
Malaysian Helicopter Services Berhad.................. 110,000 20,055
Malaysian Mosaics Berhad.............................. 27,000 6,862
Malaysian Pacific Industries.......................... 45,000 43,923
*Malaysian Plantations Berhad......................... 28,000 4,564
Malaysian Tobacco Co. Berhad.......................... 20,000 7,145
Malex Industries Berhad............................... 58,000 28,306
*Mancon Berhad........................................ 12,000 1,912
Maruichi Malaysia Steel Tube Berhad................... 8,000 4,302
Matsushita Electric Co. (Malaysia) Berhad............. 3,520 8,492
Mulpha International Berhad........................... 133,750 15,395
Nam Fatt Berhad....................................... 9,000 2,536
Negara Properties (Malaysia) Berhad................... 5,000 4,144
Nylex (Malaysia) Berhad............................... 12,000 3,602
OSK Holdings.......................................... 28,000 8,766
Olympia Industries Berhad............................. 104,000 11,109
*Pacific Chemicals Berhad............................. 11,000 4,052
Pan Pacific Asia Berhad............................... 12,000 3,602
*Panglobal Berhad..................................... 14,000 1,843
Parit Perak Holdings Berhad........................... 13,000 2,131
Peladang Kimia Berhad................................. 14,000 5,157
Pelangi Berhad........................................ 106,000 28,891
Pernas International Holdings Berhad.................. 71,000 13,076
Petaling Garden Berhad................................ 47,000 19,042
Phileo Allied Berhad.................................. 54,000 16,608
</TABLE>
237
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Phileo Land Berhad.................................... 12,000 $ 2,917
Pilecon Engineering Berhad............................ 21,000 5,182
Prime Utilities Berhad................................ 3,000 2,276
*Promet Berhad........................................ 52,000 2,777
*Rashid Hussain Berhad................................ 47,000 26,313
SP Settia Berhad...................................... 7,000 2,411
Samanda Holdings Berhad............................... 23,000 28,168
Selangor Properties Berhad............................ 89,000 27,044
Shangri-la Hotels (Malaysia) Berhad................... 110,000 27,753
Sime UEP Properties Berhad............................ 84,000 54,453
Southern Bank Berhad (Foreign)........................ 151,000 49,221
Southern Steel Berhad................................. 45,000 12,431
Sriwani Holdings Berhad............................... 12,000 3,757
*Sungei Way Holdings Berhad........................... 63,000 15,431
Ta Enterprise Berhad.................................. 107,000 21,479
Talam Corp. Berhad.................................... 14,000 2,565
Tan & Tan Developments Berhad......................... 77,000 18,860
Tasek Cement Berhad................................... 37,000 20,442
*Tongkah Holdings Berhad.............................. 14,000 3,506
Tradewinds (Malaysia) Berhad.......................... 49,000 17,506
UMW Holdings Berhad................................... 54,800 29,368
United Malacca Rubber Estates Berhad.................. 9,000 9,365
United Malayan Land Berhad............................ 13,000 5,913
United Plantations Berhad............................. 33,000 26,497
*Westmont Industries Berhad........................... 23,000 3,770
*Westmont Land (Asia) Berhad.......................... 20,000 3,315
*Wing Tiek Holdings Berhad............................ 8,000 1,311
Worldwide Holdings Berhad............................. 16,000 3,624
------------
TOTAL -- MALAYSIA
(Cost $4,493,025).................................... 1,963,943
------------
ARGENTINA -- (5.4%)
COMMON STOCKS -- (5.4%)
Acindar Industria Argentina de Aceros SA Series B..... 50,000 71,513
*Alpargatas SA Industrial y Comercial................. 140,000 18,203
*Atanor Cia Nacional para la Industria Quimica SA
Series D............................................ 36,000 23,764
Bagley y Cia, Ltd. SA Series B........................ 62,000 114,721
*Celulosa Argentina SA Series B....................... 25,500 5,101
Central Puerto SA Series B............................ 43,000 111,820
Cinba SA Cia de Bebidao y Alimentos SA................ 15,000 10,202
Corcemar SA Series B.................................. 19,000 106,419
Cresud SA Comercial Industrial Financiera y
Agropecuaria........................................ 61,250 79,027
Dycasa Dragados y Construcciones Argentina SA Series
B................................................... 11,052 17,355
*Ferrum SA de Ceramica y Metalurgica Series B......... 15,000 19,504
*Fiplasto SA Comercial y Industrial Series B.......... 6,000 5,941
*Garovaglio y Zorraquin SA............................ 14,160 19,828
Importadora y Exportadora de la Patagonia Series B.... 11,500 108,119
*Introductora de Buenos Aires SA Series A............. 14,736 17,244
Massalin Particulares SA Series B..................... 41,000 239,893
*Morixe Hermanos SA................................... 9,000 6,481
Nobleza-Piccardo Sdad Industrial Comercial y
Financiera Pica..................................... 22,000 81,415
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Polledo SA Industrial y Constructora y Financiera.... 26,000 $ 34,326
*Quimica Estrella SA Series B......................... 27,200 32,102
*Sol Petroleo SA...................................... 25,662 18,223
------------
TOTAL COMMON STOCKS
(Cost $1,440,719).................................... 1,141,201
------------
PREFERRED STOCKS -- (0.0%)
Quimica Estrella SA 10% Cumulative Convertible Series
B (Cost $3,163)..................................... 3,260 3,071
------------
RIGHTS/WARRANTS -- (0.0%)
*Quimica Estrella SA Series B 12/09/98 (Cost $0)...... 27,200 0
------------
TOTAL -- ARGENTINA
(Cost $1,443,882).................................... 1,144,272
------------
INDONESIA -- (1.6%)
COMMON STOCKS -- (1.6%)
*Medco Energi Corporation Tbk......................... 48,000 8,889
*PT Aneka Kimia Raya Tbk.............................. 49,000 1,320
*PT Anwar Sierad Tbk.................................. 58,000 879
*PT Apac Centretex Corporation Tbk.................... 122,000 3,697
*PT Argha Karya Prima Industry Tbk.................... 90,666 1,679
*PT Asahimas Flat Glass Co., Ltd...................... 65,000 4,158
PT Asuransi Lippo Life Insurance Tbk.................. 448,500 28,692
PT Bakrie Sumatra Plantations Tbk..................... 49,000 5,444
*PT Bank Bira Tbk..................................... 162,800 4,933
*PT Bank International Indonesia (Foreign)............ 78,329 2,901
*PT Bank Mashill Utama Tbk............................ 88,400 1,935
*PT Bank Niaga Tbk.................................... 55,926 2,260
*PT Bank PDFCI (Foreign).............................. 44,000 1,037
*PT Bank Tiara Asia (Foreign)......................... 43,000 724
PT Batu Buana......................................... 77,715 1,047
*PT Bdni Capital Corp. Tbk............................ 364,000 8,579
PT Berlian Laju Tanker Tbk............................ 36,400 6,250
*PT Branta Mulia Tbk.................................. 66,000 1,444
*PT Bukaka Teknik Utam................................ 36,000 606
*PT Ciputra Development Tbk........................... 75,000 2,273
PT Citra Marga Nusaphala Persada...................... 150,000 5,556
*PT Darya-Varia Laboratoria........................... 33,000 1,222
*PT Davomas Adabi..................................... 40,000 2,424
*PT Dharmal Sakti Sejahtera Tbk....................... 258,666 2,613
*PT Dharmala Agrifood Tbk............................. 92,500 934
*PT Dharmala Intiland................................. 277,400 4,670
*PT Duta Anggada Realty Tbk........................... 132,000 3,556
PT Duta Pertiwi....................................... 132,000 3,111
*PT Ever Shine Textile................................ 75,000 2,273
*PT Fajar Surya Wisesa Tbk............................ 53,000 3,034
*PT Ficorinvest Bank (Foreign)........................ 77,000 778
*PT Gajah Tunggal Tbk................................. 236,000 7,946
*PT Great River International......................... 93,000 3,444
*PT GT Petrochem Industries Tbk....................... 246,000 5,798
*PT Hero Supermarket Tbk.............................. 33,000 4,889
*PT Indal Aluminium Industry.......................... 47,000 1,266
*PT Inti Indorayo Utama............................... 63,000 2,758
*PT Jakarta International Hotel and Development Tbk... 57,000 2,111
*PT Kalbe Farma Tbk................................... 64,000 4,310
*PT Karwell Indonesia................................. 138,000 12,081
*PT Kawasan Industry Jababeka Tbk..................... 47,000 1,741
*PT Keramika Indonesia Assosiasi Tbk.................. 100,000 2,020
</TABLE>
238
<PAGE>
THE EMERGING MARKETS SMALL CAP SERIES
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
PT Lippo Securities Tbk............................... 659,600 $ 19,988
*PT Matahari Putra Prima Tbk.......................... 66,000 2,222
PT Mayorah Indah...................................... 114,000 7,293
*PT Miwon Indonesia................................... 20,000 1,885
*PT Modern Bank Tbk................................... 72,333 731
*PT Modern Photo Tbk.................................. 40,000 2,761
*PT Mutlipolar Corporation Tbk........................ 455,000 7,660
*PT Ometraco Corporation Tbk.......................... 38,000 6,397
*PT Pabrik Kertas Tjiwi Kimia Tbk..................... 90,000 19,697
*PT Pakuwon Jati Tbk.................................. 63,000 636
*PT Panasia Indosyntec Tbk............................ 79,000 2,128
*PT Perdan Inti Investama Tbk......................... 69,333 467
*PT Plaza Indonesia Realty Tbk........................ 20,000 3,737
*PT Prasidha Aneka Niaga Tbk.......................... 84,000 2,263
PT Pudjiadi Prestige, Ltd. Tbk........................ 45,500 1,072
*PT Putra Sejahtera Pioneerindo....................... 29,000 586
*PT Sekar Bumi Tbk.................................... 60,000 1,212
*PT Sinar Mas Agro Resources and Technology
Corporation Tbk..................................... 74,400 15,531
*PT Sorini Corporation................................ 43,000 1,013
*PT Surabaya Agung Industri Pulp & Paper.............. 64,500 3,040
*PT Suryamas Dutamakmur............................... 125,000 8,838
*PT Tempo Scan Pacific................................ 22,000 1,037
*PT Texmaco Jaya Tbk.................................. 93,000 41,646
*PT Ultrajaya Milk Industry & Trading Co.............. 52,000 5,953
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*PT Unggul Indah Corp. Tbk............................ 38,000 $ 5,118
*PT United Tractors................................... 20,000 1,347
*PT Wicaksana Overseas International.................. 28,560 721
Tamara Bank TBK....................................... 89,120 2,402
------------
TOTAL -- INDONESIA
(Cost $3,288,353).................................... 334,663
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH
INVESTMENTS -- (2.8%)
Repurchase Agreement, Chase Manhattan Bank N.A. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
5.50%, 03/31/03, valued at $619,544) to be
repurchased at $607,083.
(Cost $607,000)..................................... $ 607 607,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $32,577,615)++................................. $ 21,383,252
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
++ The cost for federal income tax purposes is $32,748,041.
## Illiquid securities fair valued by the Board of Trustees.
</TABLE>
See accompanying Notes to Financial Statements.
239
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
COMMERCIAL PAPER -- (86.8%)
BP America C.P.
5.100%, 12/11/98................................... $ 26,000 $ 25,964,393
Barton Capital Corp. C.P.
5.220%, 12/11/98................................... 5,427 5,419,568
5.550%, 01/11/99................................... 3,000 2,982,131
5.420%, 01/13/99................................... 4,000 3,975,012
5.370%, 01/14/99................................... 3,300 3,278,905
5.400%, 02/09/99................................... 10,400 10,297,068
Bayer Corp. C.P.
5.070%, 01/20/99................................... 16,600 16,479,419
Bayerische Vereinsbank AG C.P.
5.260%, 01/06/99................................... 17,500 17,408,475
BellSouth Capital Funding C.P.
5.120%, 01/20/99................................... 24,500 24,323,735
Beta Finance, Inc. C.P.
5.350%, 01/12/99................................... 2,000 1,987,797
CC (USA), Inc. C.P.
5.350%, 02/16/99................................... 17,000 16,814,921
5.200%, 02/22/99................................... 9,000 8,894,382
Caisse Centrale des Jardins du Quebec C.P.
5.250%, 01/26/99................................... 3,500 3,471,798
Caisse Depot C.P.
5.130%, 12/03/98................................... 12,000 11,996,713
Caisse des Depots et Consignations C.P.
5.140%, 01/22/99................................... 15,500 15,384,024
Canadian Wheat Board C.P.
5.150%, 01/08/99................................... 30,000 29,834,382
Ciesco L.P. C.P.
5.150%, 12/11/98................................... 21,600 21,570,419
5.250%, 01/14/99................................... 5,000 4,968,038
Coca-Cola Co. C.P.
4.870%, 12/03/98................................... 2,100 2,099,425
5.070%, 01/12/99................................... 17,000 16,896,271
5.030%, 01/15/99................................... 7,000 6,954,237
Commerzbank U.S. Finance, Inc. C.P.
4.990%, 12/22/98................................... 20,000 19,993,246
5.240%, 01/04/99................................... 6,000 5,970,363
Corporate Asset Funding Corp. C.P.
5.150%, 12/07/98................................... 3,000 2,997,535
5.370%, 01/07/99................................... 23,000 22,876,368
Eksportfinans C.P.
5.120%, 12/01/98................................... 2,000 2,000,000
Electricite de France C.P.
5.050%, 01/27/99................................... 16,000 15,868,773
4.950%, 02/22/99................................... 10,000 9,882,647
Enterprise Funding Corp. C.P.
5.000%, 12/04/98................................... 11,000 10,995,453
5.050%, 12/10/98................................... 10,276 10,263,258
5.250%, 12/11/98................................... 5,014 5,007,092
Equipment Intermediate C.P.
5.350%, 12/07/98................................... 26,000 25,978,636
Gannett Co. C.P.
5.030%, 01/15/99................................... 26,000 25,829,050
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
General Electric Capital Corp. C.P.
5.180%, 12/04/98................................... $ 500 $ 499,795
5.290%, 01/19/99................................... 9,500 9,433,019
5.300%, 01/22/99................................... 11,500 11,413,954
5.120%, 01/28/99................................... 4,500 4,462,445
Govco, Inc. C.P.
5.300%, 01/12/99................................... 15,000 14,907,600
5.380%, 01/15/99................................... 11,000 10,927,400
Halifax Building Society C.P.
5.110%, 01/19/99................................... 3,000 2,978,848
5.120%, 01/19/99................................... 11,000 10,922,443
KFW International Financial Corp. C.P.
5.100%, 12/03/98................................... 24,000 23,993,426
Koch Industries, Inc. C.P.
5.250%, 12/01/98................................... 16,500 16,500,000
Louis Dreyfus Corp. C.P.
5.200%, 12/01/98................................... 9,150 9,150,000
4.930%, 12/14/98................................... 5,000 4,991,080
5.000%, 12/14/98................................... 2,000 1,996,432
5.000%, 12/18/98................................... 5,000 4,988,312
Metlife Funding, Inc. C.P.
5.140%, 12/02/98................................... 4,500 4,499,383
National Rural Utilities C.P.
5.050%, 02/18/99................................... 1,000 988,720
Nestle Capital C.P.
5.100%, 12/01/98................................... 22,000 22,000,000
Oesterreich Kontrollbank C.P.
5.250%, 12/14/98................................... 5,725 5,714,808
5.000%, 02/22/99................................... 17,000 16,800,500
Paccar Financial Corp. C.P.
4.900%, 12/04/98................................... 5,000 4,997,946
5.150%, 12/07/98................................... 6,000 5,995,070
5.050%, 01/21/99................................... 8,000 7,941,293
Sheffield Receivables Corp. C.P.
5.500%, 01/27/99................................... 13,000 12,893,378
5.340%, 01/27/99................................... 8,000 7,934,386
5.300%, 02/12/99................................... 5,000 4,948,393
Shell Financial U.K. C.P.
5.160%, 02/17/99................................... 26,000 25,713,262
Sigma Finance Corp. C.P.
5.500%, 01/11/99................................... 5,000 4,970,218
5.300%, 02/16/99................................... 8,000 7,912,904
Smithklein Beecham Corp.
4.880%, 12/02/98................................... 700 699,904
St. Michael Finance, Ltd. C.P.
5.250%, 12/08/98................................... 1,000 999,036
5.280%, 01/14/99................................... 11,427 11,353,537
5.100%, 01/15/99................................... 4,000 3,973,700
Swedish Export Credit Corp. C.P.
5.230%, 01/08/99................................... 22,300 22,176,891
Teco Finance, Inc. C.P.
4.900%, 12/18/98................................... 7,500 7,482,327
5.220%, 01/04/99................................... 6,000 5,970,080
5.250%, 01/19/99................................... 1,500 1,489,322
5.200%, 01/28/99................................... 2,700 2,677,249
Triple-A One Plus Funding Corp. C.P.
5.050%, 12/02/98................................... 3,000 2,999,589
</TABLE>
240
<PAGE>
THE DFA ONE-YEAR FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
USAA Capital Corp. C.P.
5.120%, 12/17/98................................... $ 10,500 $ 10,476,946
5.100%, 01/08/99................................... 9,500 9,447,554
5.100%, 01/14/99................................... 6,000 5,961,646
------------
TOTAL COMMERCIAL PAPER
(Cost $754,772,714).................................. 754,846,330
------------
VARIABLE RATE
OBLIGATIONS -- (10.0%)
American Express Centurion Bank
***5.310% 12/07/98................................. 14,000 14,000,000
***5.312% 12/07/98................................. 9,000 9,000,000
Bayerische Landesbank
***5.144% 12/10/98................................. 10,000 9,995,824
Chase Manhattan Corp.
***5.500%, 02/24/99................................ 26,000 26,000,000
First USA Bank
***5.550%, 01/21/99................................ 9,000 9,023,400
Key Bank N.A.
***5.469%, 02/02/99................................ 15,000 14,995,539
NationsBank Corporation
***5.567%, 02/09/99................................ 4,000 4,010,000
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $87,043,478)................................... 87,024,763
------------
BONDS -- (2.1%)
Ford Motor Credit Co. Corporate Bonds
7.250%, 05/15/99................................... 5,800 5,854,642
Illinois Tool Works, Inc. Corporate Bonds
7.500%, 12/01/98................................... 5,000 5,000,000
FACE
AMOUNT VALUE+
------------ ------------
(000)
Sara Lee Corp. Medium Term Notes
5.500%, 12/01/98................................... $ 1,250 $ 1,250,000
St. Paul Companies, Inc. Medium Term Notes
7.590%, 05/19/99................................... 6,000 6,064,708
------------
TOTAL BONDS
(Cost $18,105,640)................................... 18,169,350
------------
AGENCY OBLIGATIONS -- (1.0%)
Federal National Mortgage Association
5.700%, 12/18/98
(Cost $8,099,851)................................ 8,100 8,102,218
------------
TEMPORARY CASH
INVESTMENTS -- (0.1%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.25%, 08/31/02, valued at $1,254,313) to be
repurchased at $1,230,169 (Cost $1,230,000)......... 1,230 1,230,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $869,251,683)++................................ $869,372,661
------------
------------
- --------------------
+ See Note B to Financial Statements.
++ Approximates cost for federal income tax purposes.
*** Rates shown are the rates as of November 30, 1998, and maturities shown
are the next interest readjustment date.
</TABLE>
See accompanying Notes to Financial Statements.
241
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
SCHEDULE OF INVESTMENTS
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
UNITED STATES -- (30.0%)
COMMERCIAL PAPER -- (23.5%)
Barton Capital Holdings, Ltd.
5.180%, 12/08/98................................... 6,187 $ 6,180,768
CC (USA), Inc. C.P.
5.200%, 02/22/99................................... 12,000 11,859,176
Ciesco L.P. C.P
5.250%, 01/14/99................................... 10,000 9,935,833
Coca-Cola Co. C.P.
5.070%, 01/12/99................................... 6,000 5,964,510
Corporate Asset Funding Corp. C.P.
5.450%, 01/05/99................................... 12,000 11,936,417
Dresdner U.S. Finance C.P.
5.120%, 01/25/99................................... 12,000 11,906,133
Equipment Intermediation Partnership C.P.
5.350%, 12/07/98................................... 12,000 11,989,300
Govco, Inc. C.P.
5.300%, 01/12/99................................... 12,500 12,422,708
St. Michael Finance, Ltd. C.P.
5.250%, 12/08/98................................... 9,000 8,991,320
Statoll Corp. C.P.
5.250%, 01/22/99................................... 10,000 9,923,156
------------
TOTAL COMMERCIAL PAPER
(Cost $101,105,771).................................. 101,109,321
------------
VARIABLE RATE OBLIGATIONS -- (5.6%)
Chase Manhattan Corp.
5.500%, 02/24/99................................... 12,000 12,000,000
Key Bank N.A.
5.469%, 02/02/99................................... 12,000 11,996,431
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $24,000,000)................................... 23,996,431
------------
BONDS -- (0.9%)
Associates Corp. of North America Corporate Bonds
6.750%, 06/28/99................................... 4,000 4,030,400
------------
TOTAL -- UNITED STATES
(Cost $129,112,286).................................. 129,136,152
------------
FRANCE -- (27.4%)
BONDS -- (27.2%)
Administration des Postes Telegraphes et Telephones
8.900%, 04/21/00................................... 23,270 4,403,944
Caisse Autonome de Refinancement SA
7.750%, 12/06/99................................... 67,990 12,481,356
Charbonnages de France
10.000%, 05/09/00.................................. 47,095 9,042,470
Comptoir des Entrepreneurs SA
6.500%, 08/09/00................................... 38,110 7,026,334
Credit Local de France SA
9.250%, 12/07/99................................... 11,000 2,048,240
8.900%, 05/28/00................................... 58,000 10,996,172
Denmark (Kingdom of)
5.500%, 10/26/99................................... 68,000 12,205,014
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
Eurofima Societe Europeene pour le Financement de
Material Ferrovaire, Bale
8.625%, 09/01/99................................... 65,000 $ 11,883,178
European Investment Bank
6.250%, 07/28/99................................... 55,000 9,866,854
France (Republic of)
7.750%, 04/12/00................................... 62,000 11,558,838
France Telecom SA
6.500%, 07/19/99................................... 21,000 3,769,936
8.600%, 02/17/00................................... 49,335 9,202,016
Regie Autonome des Transports Parisienne SA
7.250%, 09/19/99................................... 21,995 3,990,446
Union Nationale Interprofessionnelle pour Emploi Dans
Commerce Industrie SA
5.250%, 10/25/99................................... 25,000 4,474,354
Ville de Paris
8.250%, 12/15/99................................... 11,240 2,076,083
World Bank
8.125%, 11/24/99................................... 10,540 1,940,284
------------
TOTAL BONDS
(Cost $113,948,528).................................. 116,965,519
------------
INVESTMENT IN CURRENCY -- (0.2%)
*French Francs
(Cost $1,038,114)................................... 1,037,926
------------
TOTAL -- FRANCE
(Cost $114,986,642).................................. 118,003,445
------------
GERMANY -- (26.6%)
BONDS -- (26.5%)
Allgemeine Hypotheken-Bank AG
4.500%, 12/20/99................................... 9,000 5,379,943
5.750%, 03/13/00................................... 10,000 6,097,777
Autobahnen und Schnellstrassenfinanzierungs AG Asfinag
7.125%, 12/22/99................................... 3,500 2,155,958
Baden-Wuerttemberg L-Finance NV
7.000%, 03/08/00................................... 21,374 13,159,804
Bank Austria Investment Bank AG
4.500%, 12/30/99................................... 4,000 2,382,332
Bayerische Landesbank Girozentrale
5.250%, 01/14/00................................... 15,000 9,031,335
Belgium (Kingdom of)
7.250%, 10/18/99................................... 10,140 6,190,943
Council of Europe
6.375%, 05/16/00................................... 10,368 6,387,176
DSL Finance NV
7.375%, 02/15/00................................... 10,008 6,176,053
6.125%, 08/01/00................................... 11,000 6,759,602
Dresdner Finance BV
6.500%, 05/22/00................................... 8,000 4,916,074
Federal National Mortgage Association
6.000%, 08/23/00................................... 18,680 11,490,081
Hypothekenbank AG, Essen
3.500%, 01/28/00................................... 16,000 9,453,625
</TABLE>
242
<PAGE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
International Finance Corp.
5.750%, 07/11/00................................... 21,000 $ 12,830,173
Kreditanstalt fuer Wiederaufbau
4.000%, 02/02/00................................... 7,000 4,168,668
NV Bank Nederlandse Gemeenten BNG, Den Haag
7.000%, 02/03/00................................... 12,000 7,402,501
------------
TOTAL BONDS
(Cost $110,904,894).................................. 113,982,045
------------
INVESTMENT IN CURRENCY -- (0.1%)
*German Marks (Cost $421,443)......................... 424,818
------------
TOTAL -- GERMANY
(Cost $111,326,337).................................. 114,406,863
------------
AUSTRALIA -- (6.0%)
BONDS -- (6.0%)
ABN-AMRO Australia, Ltd.
9.500%, 09/08/99................................... 4,000 2,598,203
7.500%, 03/08/00................................... 5,000 3,244,610
DB Australia, Ltd.
9.000%, 10/05/99................................... 5,000 3,198,393
International Finance Corp.
8.250%, 08/12/99................................... 2,894 1,833,032
J.P. Morgan Australia, Ltd.
6.750%, 02/24/00................................... 5,000 3,205,310
State Bank of New South Wales
14.250%, 09/28/99.................................. 3,196 2,167,001
Toronto Dominion Australia, Ltd.
8.750%, 07/20/99................................... 3,000 1,904,888
Toyota Finance Australia, Ltd.
8.250%, 07/26/99................................... 11,626 7,478,572
------------
TOTAL -- AUSTRALIA
(Cost $29,047,848)................................... 25,630,009
------------
NETHERLANDS -- (4.3%)
BONDS -- (4.3%)
ABN-AMRO Bank NV
6.625%, 04/05/00................................... 8,000 4,359,639
6.375%, 04/21/00................................... 3,000 1,631,718
Netherlands (Kingdom of)
7.750%, 01/15/00................................... 23,000 12,624,437
------------
TOTAL BONDS
(Cost $18,323,124)................................... 18,615,794
------------
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
INVESTMENT IN CURRENCY -- (0.0%)
*Netherlands Guilder
(Cost $1)........................................... $ 1
------------
TOTAL -- NETHERLANDS
(Cost $18,323,125)................................... 18,615,795
------------
SWEDEN -- (4.3%)
BONDS -- (4.3%)
KFW International Finance, Inc.
7.500%, 05/30/00................................... 15,600 2,016,222
Oesterreichische Kontrollbank AG
9.250%, 07/15/99................................... 25,000 3,183,359
Swedish Government Bond
10.250%, 05/05/00.................................. 98,000 13,155,254
------------
TOTAL BONDS
(Cost $18,569,116)................................... 18,354,835
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swedish Krona
(Cost $150)......................................... 149
------------
TOTAL -- SWEDEN
(Cost $18,569,266)................................... 18,354,984
------------
TEMPORARY CASH INVESTMENTS -- (1.4%)
Repurchase Agreement, PNC Capital Markets Inc. 4.95%,
12/01/98 (Collateralized by U.S. Treasury Notes
6.125%, 12/31/01, valued at $6,182,325) to be
repurchased at $6,085,837.
(Cost $6,085,000)................................... 6,085 6,085,000
------------
TOTAL INVESTMENTS -- (100.0%) (Cost $427,450,504)++.... $430,232,248
------------
------------
- --------------------
+ 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.
243
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
THE U.S. THE ENHANCED THE U.S. THE U.S.
LARGE U.S. LARGE LARGE CAP 4-10
COMPANY COMPANY VALUE VALUE
SERIES SERIES SERIES SERIES
----------- -------------- ------------ ------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value.................................... $ 1,561,901 $ 62,070 $ 1,748,696 $ 179,974
Collateral for Securities Loaned........................ 6,673 -- 9,885 --
Receivables
Dividends and Interest.............................. 2,274 1,201 4,466 280
Investment Securities Sold.......................... -- -- 13,411 724
Fund Shares Sold.................................... 113 4 112 --
Unrealized Gain on Forward Currency Contracts........... -- 42 -- --
Prepaid Expenses and Other Assets....................... 7 7 1 --
----------- -------------- ------------ ------------
Total Assets.................................... 1,570,968 63,324 1,776,571 180,978
----------- -------------- ------------ ------------
LIABILITIES:
Payable for Securities Loaned........................... 6,673 -- 9,885 --
Payable for Investment Securities Purchased............. 7,013 116 9,191 1,714
Payable for Fund Shares Redeemed........................ -- -- 1,281 --
Payable for Futures Margin Variation.................... -- 1,506 -- --
Unrealized Loss on Swap Contract........................ -- 155 -- --
Accrued Expenses and Other Liabilities.................. 108 25 307 22
----------- -------------- ------------ ------------
Total Liabilities............................... 13,794 1,802 20,664 1,736
----------- -------------- ------------ ------------
NET ASSETS.............................................. $ 1,557,174 $ 61,522 $ 1,755,907 $ 179,242
----------- -------------- ------------ ------------
----------- -------------- ------------ ------------
SHARES OUTSTANDING $.01 PAR VALUE....................... N/A 4,750,801 93,435,456 20,783,115
----------- -------------- ------------ ------------
----------- -------------- ------------ ------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................. N/A $ 12.95 $ 18.79 $ 8.62
----------- -------------- ------------ ------------
----------- -------------- ------------ ------------
Investments at Cost..................................... $ 1,001,540 $ 59,989 $ 1,417,070 $ 197,405
----------- -------------- ------------ ------------
----------- -------------- ------------ ------------
</TABLE>
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE U.S. THE DFA
6-10 6-10 SMALL 9-10 SMALL INTERNATIONAL
VALUE COMPANY COMPANY VALUE
SERIES SERIES SERIES SERIES
------------ ------------ ------------ -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value..................................... $ 2,450,105 $ 546,207 $ 1,336,412 $ 1,711,336
Collateral for Securities Loaned......................... 87,880 50,554 138,531 135,315
Receivables
Dividends, Interest and Tax Reclaims................. 2,050 425 875 5,610
Investment Securities Sold........................... 3,757 1,058 3,751 5,025
Fund Shares Sold..................................... -- -- -- 136
Prepaid Expenses and Other Assets........................ -- 1 19 1
------------ ------------ ------------ -------------
Total Assets..................................... 2,543,792 598,245 1,479,588 1,857,423
------------ ------------ ------------ -------------
LIABILITIES:
Payable for Securities Loaned............................ 87,880 50,554 138,531 135,315
Payable for Investment Securities Purchased.............. 16,938 547 1,103 503
Payable for Fund Shares Redeemed......................... 2,631 249 89 899
Accrued Expenses and Other Liabilities................... 609 92 241 457
------------ ------------ ------------ -------------
Total Liabilities................................ 108,058 51,442 139,964 137,174
------------ ------------ ------------ -------------
NET ASSETS............................................... $2,435,734 $546,803 $1,339,624 $1,720,249
------------ ------------ ------------ -------------
------------ ------------ ------------ -------------
SHARES OUTSTANDING $.01 PAR VALUE........................ 141,121,877 47,734,457 151,178,298 143,915,476
------------ ------------ ------------ -------------
------------ ------------ ------------ -------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE.................................................. $ 17.26 $ 11.46 $ 8.86 $ 11.95
------------ ------------ ------------ -------------
------------ ------------ ------------ -------------
Investments at Cost...................................... $ 2,383,658 $ 563,542 $ 1,261,955 $ 1,565,836
------------ ------------ ------------ -------------
------------ ------------ ------------ -------------
</TABLE>
See accompanying Notes to Financial Statements.
244
<PAGE>
DFA INVESTMENT TRUST COMPANY
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1998
<TABLE>
<CAPTION>
THE THE THE UNITED THE
JAPANESE PACIFIC RIM KINGDOM CONTINENTAL
SMALL SMALL SMALL SMALL
COMPANY COMPANY COMPANY COMPANY
SERIES SERIES SERIES SERIES
----------- ----------- ----------- -----------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value......................................... $ 189,365 $ 139,522 $ 128,929 $ 302,638
Collateral for Securities Loaned............................. 32,590 2,600 -- 12,422
Receivables
Dividends, Interest and Tax Reclaims..................... 737 468 701 1,041
Investment Securities Sold............................... -- 39 124 562
Fund Shares Sold......................................... -- -- -- 365
Prepaid Expenses and Other Assets............................ 15 30 18 16
----------- ----------- ----------- -----------
Total Assets......................................... 222,707 142,659 129,772 317,044
----------- ----------- ----------- -----------
LIABILITIES:
Payable for Securities Loaned................................ 32,590 2,600 -- 12,422
Payable for Investment Securities Purchased.................. 22 2,232 126
Payable for Fund Shares Redeemed............................. 55 114 15 --
Accrued Expenses and Other Liabilities....................... 58 42 40 94
----------- ----------- ----------- -----------
Total Liabilities.................................... 32,703 2,778 2,287 12,642
----------- ----------- ----------- -----------
NET ASSETS................................................... $ 190,004 $ 139,881 $ 127,485 $ 304,402
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
Investments at Cost.......................................... $ 401,115 $ 247,446 $ 132,025 $ 220,261
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
</TABLE>
<TABLE>
<CAPTION>
THE DFA
THE THE EMERGING THE DFA TWO-YEAR
EMERGING MARKETS ONE-YEAR GLOBAL
MARKETS SMALL CAP FIXED INCOME FIXED INCOME
SERIES SERIES SERIES SERIES
----------- -------------- ------------- -------------
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<S> <C> <C> <C> <C>
ASSETS:
Investments at Value................................. $ 231,836 $ 21,383 $ 869,373 $ 430,232
Receivables
Dividends, Interest and Tax Reclaims............. 261 27 727 11,252
Investment Securities Sold....................... 12 33 -- --
Fund Shares Sold................................. 13 1 62 --
Unrealized Gain on Forward Currency Contracts........ -- -- -- 607
Prepaid Expenses and Other Assets.................... 25 127 -- 20
----------- -------------- ------------- -------------
Total Assets................................. 232,147 21,571 870,162 442,111
----------- -------------- ------------- -------------
LIABILITIES:
Payable for Investment Securities Purchased.......... 163 129 -- 1,190
Payable for Fund Shares Redeemed..................... 237 -- 52 --
Accrued Expenses and Other Liabilities............... 115 43 117 79
----------- -------------- ------------- -------------
Total Liabilities............................ 515 172 169 1,269
----------- -------------- ------------- -------------
NET ASSETS........................................... $ 231,632 $ 21,399 $ 869,993 $ 440,842
----------- -------------- ------------- -------------
----------- -------------- ------------- -------------
SHARES OUTSTANDING $.01 PAR VALUE.................... N/A N/A 86,816,771 43,183,463
----------- -------------- ------------- -------------
----------- -------------- ------------- -------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE.............................................. N/A N/A $ 10.02 $ 10.21
----------- -------------- ------------- -------------
----------- -------------- ------------- -------------
Investments at Cost.................................. $ 298,836 $ 32,578 $ 869,252 $ 427,450
----------- -------------- ------------- -------------
----------- -------------- ------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
245
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1998
(Amounts in thousands)
<TABLE>
<CAPTION>
THE U.S. THE ENHANCED THE U.S.
LARGE U.S. LARGE LARGE CAP THE U.S. THE U.S.
COMPANY COMPANY VALUE 4-10 VALUE 6-10 VALUE
SERIES SERIES SERIES SERIES(1) SERIES
----------- --------------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends................................................ $ 17,663 $ 1 $ 29,635 $ 1,215 $ 21,050
Interest................................................. 276 2,432 775 260 2,460
Income from Securities Lending........................... 85 -- 210 -- 1,196
----------- --------------- ----------- ----------- -----------
Total Investment Income............................ 18,024 2,433 30,620 1,475 24,706
----------- --------------- ----------- ----------- -----------
EXPENSES
Investment Advisory Services............................. 293 26 1,667 86 4,743
Accounting & Transfer Agent Fees......................... 176 54 688 14 979
Custodian's Fees......................................... 134 15 246 12 351
Legal Fees............................................... 12 1 21 -- 29
Audit Fees............................................... 18 1 31 1 45
Shareholders' Reports.................................... 18 1 30 1 43
Trustees' Fees and Expenses.............................. 4 -- 7 -- 9
Other.................................................... 84 10 26 2 38
----------- --------------- ----------- ----------- -----------
Total Expenses..................................... 739 108 2,716 116 6,237
----------- --------------- ----------- ----------- -----------
NET INVESTMENT INCOME.................................... 17,285 2,325 27,904 1,359 18,469
----------- --------------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment Securities........ 1,283 (42) 136,077 971 204,982
Net Realized Loss on Foreign Currency Transactions....... -- (1,368) -- -- --
Net Realized Gain on Futures............................. -- 1,793 -- -- --
Net Realized Gain on Swap Contracts...................... -- 1,096 -- -- --
Change in Unrealized Appreciation (Depreciation) of
Investment Securities and Foreign Currency............. 265,133 2,561 12,481 (17,431) (454,998)
Translation of Foreign Currency Denominated Amounts.... -- (306) -- -- --
Futures................................................ -- 5,481 -- -- --
Swap Contracts......................................... -- (214) -- -- --
----------- --------------- ----------- ----------- -----------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY............................................... 266,416 9,001 148,558 (16,460) (250,016)
----------- --------------- ----------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS............................................... $ 283,701 $ 11,326 $ 176,462 $ (15,101) $(231,547)
----------- --------------- ----------- ----------- -----------
----------- --------------- ----------- ----------- -----------
</TABLE>
- ------------------
(1) For the period February 6, (commencement of operations) to November 30,
1998.
See accompanying Notes to Financial Statements.
246
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. THE U.S. THE DFA THE PACIFIC
6-10 SMALL 9-10 SMALL INTERNATIONAL THE JAPANESE RIM SMALL
COMPANY COMPANY VALUE SMALL COMPANY COMPANY
SERIES SERIES SERIES SERIES SERIES
----------- ----------- ------------- -------------- -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes Withheld of $0,
$0, $3,217, $396 and $107, respectively)...... $ 3,709 $ 8,696 $ 35,489 $ 2,246 $ 5,425
Interest........................................ 585 1,565 1,070 177 273
Income from Securities Lending.................. 571 1,331 1,385 418 128
----------- ----------- ------------- -------------- -----------
Total Investment Income................... 4,865 11,592 37,944 2,841 5,826
----------- ----------- ------------- -------------- -----------
EXPENSES
Investment Advisory Services.................... 150 1,458 3,466 181 133
Accounting & Transfer Agent Fees................ 206 606 837 223 163
Custodian's Fees................................ 74 216 547 77 197
Legal Fees...................................... 6 19 39 3 2
Audit Fees...................................... 9 29 34 4 3
Shareholders' Reports........................... 9 28 32 4 3
Trustees' Fees and Expenses..................... 2 6 7 1 1
Other........................................... 13 19 109 12 8
----------- ----------- ------------- -------------- -----------
Total Expenses............................ 469 2,381 5,071 505 510
----------- ----------- ------------- -------------- -----------
NET INVESTMENT INCOME........................... 4,396 9,211 32,873 2,336 5,316
----------- ----------- ------------- -------------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities.................................... 49,168 124,420 11,162 (10,275) (1,183)
Net Realized Gain (Loss) on Foreign Currency
Transactions.................................. -- -- 895 (236) (172)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... (109,532) (302,212) 151,571 5,881 (37,439)
Translation of Foreign Currency Denominated
Amounts..................................... -- -- 158 107 (2)
----------- ----------- ------------- -------------- -----------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY.............................. (60,364) (177,792) 163,786 (4,523) (38,796)
----------- ----------- ------------- -------------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS................................. $ (55,968) $(168,581) $ 196,659 $ (2,187) $ (33,480)
----------- ----------- ------------- -------------- -----------
----------- ----------- ------------- -------------- -----------
</TABLE>
See accompanying Notes to Financial Statements.
247
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED NOVEMBER 30, 1998
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE UNITED THE
KINGDOM CONTINENTAL THE EMERGING THE DFA THE DFA
SMALL SMALL THE EMERGING MARKETS ONE-YEAR TWO-YEAR
COMPANY COMPANY MARKETS SMALL CAP FIXED INCOME GLOBAL FIXED
SERIES SERIES SERIES SERIES SERIES INCOME SERIES
----------- ----------- -------------- --------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes
Withheld of $960, $384, $477, $63,
$0 and $0, respectively)............ $ 5,504 $ 6,476 $ 4,336 $ 557 -- --
Interest.............................. 183 191 475 39 $ 47,906 $ 18,982
Income from Securities Lending........ -- 109 -- -- -- --
----------- ----------- -------------- ------- ------------- -------------
Total Investment Income......... 5,687 6,776 4,811 596 47,906 18,982
----------- ----------- -------------- ------- ------------- -------------
EXPENSES
Investment Advisory Services.......... 157 334 220 37 420 214
Accounting & Transfer Agent Fees...... 193 389 270 23 213 386
Custodian's Fees...................... 42 144 623 70 80 75
Legal Fees............................ 3 4 3 13 10 5
Audit Fees............................ 3 6 4 -- 15 8
Shareholders' Reports................. 3 6 4 -- 15 8
Trustees' Fees and Expenses........... 1 1 1 -- 3 2
Other................................. 11 20 31 21 15 7
----------- ----------- -------------- ------- ------------- -------------
Total Expenses.................. 413 904 1,156 164 771 705
----------- ----------- -------------- ------- ------------- -------------
NET INVESTMENT INCOME................. 5,274 5,872 3,655 432 47,135 18,277
----------- ----------- -------------- ------- ------------- -------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain (Loss) on Investment
Securities.......................... 10,257 23,994 (23,765) 1,465 1,543 619
Net Realized Gain (Loss) on Foreign
Currency Transactions............... (136) (112) (370) (76) -- 122
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and Foreign
Currency.......................... (33,198) 32,006 (9,240) (5,203) (855) 10,856
Translation of Foreign Currency
Denominated Amounts............... (8) 243 9 1 -- (3,047)
----------- ----------- -------------- ------- ------------- -------------
NET GAIN (LOSS) ON INVESTMENT
SECURITIES AND FOREIGN CURRENCY..... (23,085) 56,131 (33,366) (3,813) 688 8,550
----------- ----------- -------------- ------- ------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............. $ (17,811) $ 62,003 $ (29,711) $ (3,381) $ 47,823 $ 26,827
----------- ----------- -------------- ------- ------------- -------------
----------- ----------- -------------- ------- ------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
248
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE U.S. LARGE COMPANY THE ENHANCED U.S.
SERIES LARGE COMPANY SERIES THE U.S. LARGE CAP VALUE
----------------------- --------------------- SERIES THE U.S. 4-10
YEAR YEAR YEAR ------------------------- VALUE SERIES
YEAR ENDED ENDED ENDED ENDED YEAR ENDED YEAR ENDED -------------
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, FEB. 6 TO
1998 1997 1998 1997 1998 1997 NOV. 30, 1998
----------- --------- --------- --------- ----------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............ $ 17,285 $ 11,179 $ 2,325 $ 1,529 $ 27,904 $ 24,622 $ 1,359
Net Realized Gain (Loss) on
Investment Securities.......... 1,283 975 (42) 120 136,077 82,623 971
Net Realized Gain (Loss) on
Foreign Currency
Transactions................... -- -- (1,368) 536 -- -- --
Net Realized Gain on Futures..... -- -- 1,793 7,354 -- -- --
Net Realized Gain on Swap
Contracts...................... -- -- 1,096 967 -- -- --
Change in Unrealized Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency............... 265,133 147,979 2,561 (388) 12,481 172,274 (17,431)
Translation of Foreign Currency
Denominated Amounts.......... -- -- (306) 24 -- -- --
Futures........................ -- -- 5,481 (2,550) -- -- --
Swap Contracts................. -- -- (214) (322) -- -- --
----------- --------- --------- --------- ----------- ----------- -------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations................. 283,701 160,133 11,326 7,270 176,462 279,519 (15,101)
----------- --------- --------- --------- ----------- ----------- -------------
Distributions From:
Net Investment Income............ -- -- (2,417) (1,590) (28,682) (23,401) (1,136)
Net Realized Gains............... -- -- (6,017) (3,438) (82,634) (52,566) --
----------- --------- --------- --------- ----------- ----------- -------------
Total Distributions.......... -- -- (8,434) (5,028) (111,316) (75,967) (1,136)
----------- --------- --------- --------- ----------- ----------- -------------
Capital Share Transactions (1):
Shares Issued.................... -- -- 17,062 27,476 281,067 320,473 194,343
Shares Issued in Lieu of Cash
Distributions.................. -- -- 6,608 3,358 91,193 64,945 1,136
Shares Redeemed.................. -- -- (12,656) (14,673) (171,495) (86,916) --
----------- --------- --------- --------- ----------- ----------- -------------
Net Increase from Capital
Share Transactions......... -- -- 11,014 16,161 200,765 298,502 195,479
----------- --------- --------- --------- ----------- ----------- -------------
Transactions in Interest:
Contributions.................... 604,903 269,144 -- -- -- -- --
Withdrawals...................... (153,923) (73,225) -- -- -- -- --
----------- --------- --------- --------- ----------- ----------- -------------
Net Increase from
Transactions in Interest... 450,980 195,919 -- -- -- -- --
----------- --------- --------- --------- ----------- ----------- -------------
Total Increase............... 734,681 356,052 13,906 18,403 265,911 502,054 179,242
NET ASSETS
Beginning of Period.............. 822,493 466,441 47,616 29,213 1,489,996 987,942 --
----------- --------- --------- --------- ----------- ----------- -------------
End of Period.................... $ 1,557,174 $ 822,493 $ 61,522 $ 47,616 $ 1,755,907 $ 1,489,996 $ 179,242
----------- --------- --------- --------- ----------- ----------- -------------
----------- --------- --------- --------- ----------- ----------- -------------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................... N/A N/A 1,427 2,322 15,137 19,550 20,653
Shares Issued in Lieu of Cash
Distributions................. 602 314 5,270 4,236 130
Shares Redeemed................. (1,070) (1,330) (9,356) (5,069) --
--------- --------- ----------- ----------- -------------
959 1,306 11,051 18,717 20,783
--------- --------- ----------- ----------- -------------
--------- --------- ----------- ----------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
249
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE U.S.
9-10
SMALL
THE U.S. 6-10 THE U.S. 6-10 SMALL COMPANY THE DFA INTERNATIONAL
VALUE SERIES COMPANY SERIES SERIES VALUE SERIES
------------------------ ------------------------ ----------- -------------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1998 1997 1998 1998 1997
----------- ----------- ----------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income.......... $ 18,469 $ 15,275 $ 4,396 $ 3,259 $ 9,211 $ 32,873 $ 31,305
Net Realized Gain on Investment
Securities................... 204,982 201,107 49,168 31,886 124,420 11,162 6,023
Net Realized Gain (Loss) on
Foreign Currency
Transactions................. -- -- -- -- -- 895 (1,666)
Change in Unrealized
Appreciation (Depreciation)
of:..........................
Investment Securities and
Foreign Currency............. (454,998) 300,802 (109,532) 42,885 (302,212) 151,571 (107,773)
Translation of Foreign Currency
Denominated Amounts.......... -- -- -- -- -- 158 (44)
----------- ----------- ----------- ----------- ----------- ----------- ------------
Net Increase (Decrease) in
Net Assets Resulting from
Operations............... (231,547) 517,184 (55,968) 78,030 (168,581) 196,659 (72,155)
----------- ----------- ----------- ----------- ----------- ----------- ------------
Distributions From:
Net Investment Income.......... (20,925) (12,192) (4,534) (2,966) (8,876) (39,352) (29,074)
Net Realized Gains............. (201,111) (57,267) (33,011) (30,080) -- (4,181) (27,255)
----------- ----------- ----------- ----------- ----------- ----------- ------------
Total Distributions........ (222,036) (69,459) (37,545) (33,046) (8,876) (43,533) (56,329)
----------- ----------- ----------- ----------- ----------- ----------- ------------
Capital Share Transactions (1):
Shares Issued.................. 554,989 578,927 264,712 154,761 1,711,220 161,527 409,256
Shares Issued in Lieu of Cash
Distributions................ 215,595 63,693 35,644 31,055 8,876 43,533 56,329
Shares Redeemed................ (105,535) (114,290) (92,873) (66,368) (203,015) (220,023) (111,867)
----------- ----------- ----------- ----------- ----------- ----------- ------------
Net Increase (Decrease)
from Capital Share
Transactions............. 665,049 528,330 207,483 119,448 1,517,081 (14,963) 353,718
----------- ----------- ----------- ----------- ----------- ----------- ------------
Total Increase............. 211,466 976,055 113,970 164,432 1,339,624 138,163 225,234
NET ASSETS
Beginning of Period............ 2,224,268 1,248,213 432,833 268,401 -- 1,582,086 1,356,852
----------- ----------- ----------- ----------- ----------- ----------- ------------
End of Period.................. $ 2,435,734 $ 2,224,268 $ 546,803 $ 432,833 $ 1,339,624 $ 1,720,249 $1,582,086
----------- ----------- ----------- ----------- ----------- ----------- ------------
----------- ----------- ----------- ----------- ----------- ----------- ------------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................. 29,754 32,037 20,734 12,630 171,341 13,637 34,790
Shares Issued in Lieu of Cash
Distributions............... 11,637 3,798 2,923 2,751 1,001 3,743 4,875
Shares Redeemed............... (5,674) (5,731) (7,232) (5,446) (21,164) (18,668) (9,587)
----------- ----------- ----------- ----------- ----------- ----------- ------------
35,717 30,104 16,425 9,935 151,178 (1,288) 30,078
----------- ----------- ----------- ----------- ----------- ----------- ------------
----------- ----------- ----------- ----------- ----------- ----------- ------------
</TABLE>
See accompanying Notes to Financial Statements.
250
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
THE PACIFIC RIM THE UNITED KINGDOM THE CONTINENTAL
THE JAPANESE SMALL SMALL COMPANY SMALL COMPANY SMALL
COMPANY SERIES SERIES SERIES COMPANY SERIES
---------------------- ---------------------- ---------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1998 1997 1998 1997 1998 1997
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
Operations:
Net Investment Income....... $ 2,336 $ 2,392 $ 5,316 $ 5,645 $ 5,274 $ 5,153 $ 5,872 $ 6,452
Net Realized Gain (Loss) on
Investment Securities..... (10,275) (1,552) (1,183) 3,120 10,257 13,056 23,994 17,533
Net Realized Gain (Loss) on
Foreign Currency
Transactions.............. (236) 15 (172) (468) (136) 136 (112) (454)
Change in Unrealized
Appreciation
(Depreciation) of:
Investment Securities and
Foreign Currency........ 5,881 (180,902) (37,439) (101,332) (33,198) (3,301) 32,006 20,901
Translation of Foreign
Currency Denominated
Amounts................. 107 (28) (2) (10) (8) -- 243 (203)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease)
in Net Assets
Resulting from
Operations............ (2,187) (180,075) (33,480) (93,045) (17,811) 15,044 62,003 44,229
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Transactions in Interest
Contributions........... 41,191 104,691 45,429 48,364 23,056 30,978 17,001 52,536
Withdrawals............. (24,342) (78,956) (19,863) (39,005) (49,610) (56,796) (98,212) (109,037)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Net Increase (Decrease)
from Transactions in
Interest.............. 16,849 25,735 25,566 9,359 (26,554) (25,818) (81,211) (56,501)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Total Increase
(Decrease)............ 14,662 (154,340) (7,914) (83,686) (44,365) (10,774) (19,208) (12,272)
NET ASSETS
Beginning of Period......... 175,342 329,682 147,795 231,481 171,851 182,625 323,610 335,882
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
End of Period............... $ 190,004 $ 175,342 $ 139,881 $ 147,795 $ 127,485 $ 171,851 $ 304,402 $ 323,610
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
</TABLE>
See accompanying Notes to Financial Statements.
251
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in thousands)
<TABLE>
<CAPTION>
THE DFA TWO-YEAR
THE EMERGING THE EMERGING MARKETS THE DFA ONE-YEAR GLOBAL FIXED INCOME
MARKETS SERIES SMALL CAP SERIES FIXED INCOME SERIES SERIES
------------------- ---------------------- --------------------- -------------------
YEAR YEAR YEAR DEC 2, 1996 YEAR YEAR YEAR YEAR
ENDED ENDED ENDED TO ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1998 1997 1998 1997 1998 1997
-------- -------- -------- ----------- --------- --------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income............ $ 3,655 $ 3,681 $ 432 $ 452 $ 47,135 $ 45,925 $ 18,277 $ 17,177
Net Realized Gain (Loss) on
Investment Securities.......... (23,765) 153 1,465 89 1,543 1,165 619 861
Net Realized Gain (Loss) on
Foreign Currency
Transactions................... (370) 693 (76) (39) -- -- 122 13,543
Change in Unrealized Appreciation
(Depreciation) of Investment
Securities and Foreign
Currency....................... (9,240) (61,201) (5,203) (5,991) (855) (2,454) 10,856 (11,785)
Translation of Foreign Currency
Denominated Amounts.......... 9 (19) 1 (1) -- -- (3,047) 1,402
-------- -------- -------- ----------- --------- --------- -------- --------
Net Increase (Decrease) in
Net Assets Resulting from
Operations................. (29,711) (56,693) (3,381) (5,490) 47,823 44,636 26,827 21,198
-------- -------- -------- ----------- --------- --------- -------- --------
Distributions From:
Net Investment Income............ -- -- -- -- (47,176) (46,321) (25,765) (25,358)
Net Realized Gains............... -- -- -- -- -- -- (898) (251)
-------- -------- -------- ----------- --------- --------- -------- --------
Total Distributions.......... -- -- -- -- (47,176) (46,321) (26,663) (25,609)
-------- -------- -------- ----------- --------- --------- -------- --------
Capital Share Transactions (1):
Shares Issued.................... -- -- -- -- 296,278 282,650 84,005 122,794
Shares Issued in Lieu of Cash
Distributions.................. -- -- -- -- 36,947 37,665 26,663 23,253
Shares Redeemed.................. -- -- -- -- (246,115) (395,687) (88,897) (42,001)
-------- -------- -------- ----------- --------- --------- -------- --------
Net Increase (Decrease) from
Capital Share
Transactions............... -- -- -- -- 87,110 (75,372) 21,771 104,046
-------- -------- -------- ----------- --------- --------- -------- --------
Transactions in Interest:
Contributions.................... 79,412 130,588 5,772 24,940 -- -- -- --
Withdrawals...................... (39,010) (15,029) (441) (1) -- -- -- --
-------- -------- -------- ----------- --------- --------- -------- --------
Net Increase from
Transactions in Interest... 40,402 115,559 5,331 24,939 -- -- -- --
-------- -------- -------- ----------- --------- --------- -------- --------
Total Increase (Decrease).... 10,691 58,866 1,950 19,449 87,757 (77,057) 21,935 99,635
NET ASSETS
Beginning of Period.............. 220,941 162,075 19,449 -- 782,236 859,293 418,907 319,272
-------- -------- -------- ----------- --------- --------- -------- --------
End of Period.................... $231,632 $220,941 $21,399 $19,449 $ 869,993 $ 782,236 $440,842 $418,907
-------- -------- -------- ----------- --------- --------- -------- --------
-------- -------- -------- ----------- --------- --------- -------- --------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued................... N/A N/A N/A N/A 29,600 28,307 8,348 11,943
Shares Issued in Lieu of Cash
Distributions................. 3,702 3,778 2,679 2,278
Shares Redeemed................. (24,593) (39,644) (8,840) (4,088)
--------- --------- -------- --------
8,709 (7,559) 2,187 10,133
--------- --------- -------- --------
--------- --------- -------- --------
</TABLE>
See accompanying Notes to Financial Statements.
252
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
THE PACIFIC RIM SMALL COMPANY SERIES
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED NOVEMBER 30, 1998
<TABLE>
<S> <C>
Cash provided by (used in) Operating Activities
Investment income received.......................................................... $ 5,755,484
Operating expenses paid............................................................. (586,899)
-------------
Net increase in cash from operating activities........................................ 5,168,585
-------------
Cash provided by (used in) investing activities
Purchases of investment securities.................................................. (140,769,314)
Proceeds from disposition of investment securities.................................. 107,990,576
Net purchases/maturities of short-term investments.................................. 8,080,000
-------------
Net decrease in cash from investing activities........................................ (24,698,738)
Cash provided by (used in) financing activities
Proceeds from contributions......................................................... 45,437,103
Withdrawals......................................................................... (25,996,811)
-------------
Net increase in cash from financing activities........................................ 19,440,292
Net increase (decrease) in cash....................................................... (89,861)
Cash at beginning of year............................................................. 120,545
-------------
Cash at end of year................................................................... $ 30,684
-------------
-------------
Net decrease in net assets resulting from operations.................................. $ (33,479,576)
Adjustments:
Decrease in dividend and interest receivable........................................ 70,820
Decrease in accrued expenses........................................................ 77,339
Net loss on investment securities and foreign currency................................ (38,796,320)
-------------
Total adjustments..................................................................... (38,648,161)
-------------
NET INCREASE IN CASH FROM OPERATING ACTIVITIES........................................ $ 5,168,585
-------------
-------------
</TABLE>
See accompanying Notes to Financial Statements.
253
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. LARGE COMPANY SERIES THE ENHANCED U.S.
------------------------------------------------------------ LARGE COMPANY SERIES
YEAR ------------------------------
YEAR YEAR YEAR ENDED YEAR YEAR YEAR JULY 3
ENDED ENDED ENDED NOV. ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1998 1997 1996
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period (1).................. N/A N/A $ 13.48 $ 10.11 $ 10.27 $ 12.56 $ 11.76 $ 10.00
INCOME FROM INVESTMENT
OPERATIONS (1)
Net Investment Income....... -- -- 0.15 0.30 0.28 0.29 0.51 0.16
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... -- -- 1.41 3.36 (0.14) 2.13 2.25 1.74
----------- -------- -------- ------- ------------ -------- -------- --------
Total From Investment
Operations.............. -- -- 1.56 3.66 0.14 2.42 2.76 1.90
- -----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS (1)
Net Investment Income....... -- -- (0.16) (0.29) (0.29) (0.45) (0.54) (0.14)
Net Realized Gains.......... -- -- (0.08) -- (0.01) (1.58) (1.42) --
----------- -------- -------- ------- ------------ -------- -------- --------
Total Distributions....... -- -- (0.24) (0.29) (0.30) (2.03) (1.96) (0.14)
- -----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period
(1)......................... N/A N/A $ 14.80 $ 13.48 $ 10.11 $ 12.95 $ 12.56 $ 11.76
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
Total Return (1).............. N/A N/A 11.60%# 36.77% 1.30% 24.00% 27.63% 18.95%#
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 1,557,174 $822,493 $466,441 $97,118 $ 48,657 $61,522 $47,616 $29,213
Ratio of Expenses to Average
Net Assets.................. 0.06% 0.07% 0.12% 0.02%(a) 0.02%(a) 0.21% 0.25% 0.29%*
Ratio of Net Investment Income
to Average Net Assets....... 1.47% 1.75% 2.12% 2.61%(a) 2.83%(a) 4.42% 4.59% 4.60%*
Portfolio Turnover Rate....... 9.31% 4.28% 14.09% 2.38% 8.52% 86.98% 193.78% 211.07%*
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(a) Had certain assumption of expenses not been in effect the ratios of expenses to average net assets for the years ended
November 30, 1995 and 1994 would have been 0.18% and 0.33%, respectively, and the ratios of net investment income to
average net assets for the years ended November 30, 1995 and 1994 would have been 2.45% and 2.52%, respectively.
(1) For the U.S. Large Company Series, items are calculated for the period December 1, 1995 through May 31, 1996. Effective
June 1, 1996, this Series was reorganized as a partnership, and these items are no longer applicable.
</TABLE>
See accompanying Notes to Financial Statements.
254
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S.
4-10
VALUE
THE U.S. LARGE CAP VALUE SERIES SERIES
------------------------------------------------------------- ---------
YEAR YEAR YEAR YEAR YEAR FEB. 6
ENDED ENDED ENDED ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1998
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 18.09 $ 15.52 $ 13.29 $ 9.92 $ 10.59 $ 10.00
----------- ----------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income....... 0.31 0.32 0.31 0.32 0.33 0.07
Net Gains (Losses) on
Securities (Realized and
Unrealized)............... 1.71 3.38 2.57 3.53 (0.65) (1.39)
----------- ----------- --------- --------- --------- ---------
Total From Investment
Operations.............. 2.02 3.70 2.88 3.85 (0.32) (1.32)
- ---------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income....... (0.32) (0.31) (0.31) (0.31) (0.35) (0.06)
Net Realized Gains.......... (1.00) (0.82) (0.34) (0.17) -- --
----------- ----------- --------- --------- --------- ---------
Total Distributions....... (1.32) (1.13) (0.65) (0.48) (0.35) (0.06)
- ---------------------------------------------------------------------------------------------------------
Net Asset Value, End of
Period...................... $ 18.79 $ 18.09 $ 15.52 $ 13.29 $ 9.92 $ 8.62
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
Total Return.................. 11.93% 25.31% 22.48% 39.26% (3.13)% (13.26)%#
- ---------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)................. $ 1,755,907 $ 1,489,996 $ 987,942 $ 423,027 $198,848 $ 179,242
Ratio of Expenses to Average
Net Assets.................. 0.16% 0.18% 0.19% 0.21% 0.22% 0.17%(a)*
Ratio of Net Investment Income
to Average Net Assets....... 1.67% 1.96% 2.37% 2.84% 3.72% 1.95%(a)*
Portfolio Turnover Rate....... 24.70% 17.71% 20.12% 29.41% 39.33% 10.46%*
- ---------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(a) Because of commencement of operations and related preliminary transaction costs, these ratios are not necessarily
indicative of future ratios.
</TABLE>
See accompanying Notes to Financial Statements.
255
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S. 6-10 VALUE SERIES
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period........................ $ 21.10 $ 16.58 $ 14.02 $ 11.15 $ 11.04
----------- ----------- ----------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income..................................... 0.14 0.15 0.15 0.14 0.12
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................. (1.92) 5.23 2.88 3.06 0.16
----------- ----------- ----------- --------- ---------
Total From Investment Operations........................ (1.78) 5.38 3.03 3.20 0.28
- -----------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income..................................... (0.16) (0.12) (0.15) (0.14) (0.12)
Net Realized Gains........................................ (1.90) (0.74) (0.32) (0.19) (0.05)
----------- ----------- ----------- --------- ---------
Total Distributions..................................... (2.06) (0.86) (0.47) (0.33) (0.17)
- -----------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.............................. $ 17.26 $ 21.10 $ 16.58 $ 14.02 $ 11.15
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
Total Return................................................ (9.05)% 33.93% 22.14% 28.81% 2.52%
- -----------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)....................... $ 2,435,734 $ 2,224,268 $ 1,248,213 $ 624,343 $350,277
Ratio of Expenses to Average Net Assets..................... 0.26% 0.28% 0.29% 0.32% 0.32%
Ratio of Net Investment Income to Average Net Assets........ 0.78% 0.86% 1.11% 1.22% 1.50%
Portfolio Turnover Rate..................................... 22.51% 25.47% 14.91% 20.62% 8.22%
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE U.S. 6-10 SMALL COMPANY SERIES
---------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- ------------------------------------------------------------ ---------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period........................ $ 13.82 $ 12.56 $ 11.26 $ 9.54 $ 10.39
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income..................................... 0.10 0.11 0.13 0.12 0.12
Net Gains (Losses) on Securities (Realized and
Unrealized)............................................. (1.28) 2.81 1.92 2.50 (0.07)
--------- --------- --------- --------- ---------
Total From Investment Operations........................ (1.18) 2.92 2.05 2.62 0.05
- ------------------------------------------------------------ ---------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income..................................... (0.10) (0.10) (0.13) (0.12) (0.11)
Net Realized Gains........................................ (1.08) (1.56) (0.62) (0.78) (0.79)
--------- --------- --------- --------- ---------
Total Distributions..................................... (1.18) (1.66) (0.75) (0.90) (0.90)
- ------------------------------------------------------------ ---------------------------------------------------------
Net Asset Value, End of Period.............................. $ 11.46 $ 13.82 $ 12.56 $ 11.26 $ 9.54
- ------------------------------------------------------------ ---------------------------------------------------------
- ------------------------------------------------------------ ---------------------------------------------------------
Total Return................................................ (8.98)% 26.47% 19.17% 29.19% 0.59%
- ------------------------------------------------------------ ---------------------------------------------------------
Net Assets, End of Period (thousands)....................... $ 546,803 $ 432,833 $ 268,401 $ 221,984 $ 143,630
Ratio of Expenses to Average Net Assets..................... 0.09% 0.11% 0.13% 0.15% 0.17%
Ratio of Net Investment Income to Average Net Assets........ 0.88% 0.96% 1.05% 1.18% 1.11%
Portfolio Turnover Rate..................................... 29.15% 30.04% 32.38% 21.16% 27.65%
- ------------------------------------------------------------ ---------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
256
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE U.S.
9-10 SMALL
COMPANY
SERIES THE DFA INTERNATIONAL VALUE SERIES
----------- ---------------------------------------------------------------
YEAR YEAR FEB. 16
ENDED YEAR ENDED YEAR ENDED YEAR ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1998 1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... $ 10.00 $ 10.90 $ 11.79 $ 10.55 $ 10.06 $ 10.00
----------- ----------- ----------- ----------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. 0.06 0.22 0.24 0.23 0.20 0.13
Net Gains (Losses) on Securities
(Realized and Unrealized)........... (1.14) 1.13 (0.67) 1.32 0.52 0.07
----------- ----------- ----------- ----------- --------- ---------
Total From Investment Operations.... (1.08) 1.35 (0.43) 1.55 0.72 0.20
- -----------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. (0.06) (0.27) (0.22) (0.23) (0.21) (0.13)
Net Realized Gains.................... -- (0.03) (0.24) (0.08) (0.02) (0.01)
----------- ----------- ----------- ----------- --------- ---------
Total Distributions................. (0.06) (0.30) (0.46) (0.31) (0.23) (0.14)
- -----------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... $ 8.86 $ 11.95 $ 10.90 $ 11.79 $ 10.55 $ 10.06
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
Total Return............................ (10.81)% 12.50% (3.84)% 14.85% 7.20% 1.99%#
- -----------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $1,339,624 $ 1,720,249 $ 1,582,086 $ 1,356,852 $ 609,386 $348,381
Ratio of Expenses to Average Net
Assets................................ 0.16% 0.29% 0.32% 0.36% 0.42% 0.45%*(a)
Ratio of Net Investment Income to
Average Net Assets.................... 0.63% 1.90% 2.09% 2.23% 2.14% 1.84%*(a)
Portfolio Turnover Rate................. 26.44% 15.41% 22.55% 12.23% 9.75% 1.90%*
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE JAPANESE SMALL COMPANY SERIES
-----------------------------------
YEAR
YEAR ENDED ENDED AUG. 9 TO
NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996
- ---------------------------------------- -----------------------------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period.... N/A+ N/A+ N/A+
----------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized)........... -- -- --
----------- --------- ---------
Total From Investment Operations.... -- -- --
- ---------------------------------------- -----------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. -- -- --
Net Realized Gains.................... -- -- --
----------- --------- ---------
Total Distributions................. -- -- --
- ---------------------------------------- -----------------------------------
Net Asset Value, End of Period.......... N/A+ N/A+ N/A+
- ---------------------------------------- -----------------------------------
- ---------------------------------------- -----------------------------------
Total Return............................ N/A+ N/A+ N/A+
- ---------------------------------------- -----------------------------------
Net Assets, End of Period (thousands)... $ 190,004 $ 175,342 $ 329,682
Ratio of Expenses to Average Net
Assets................................ 0.28% 0.29% 0.29%*
Ratio of Net Investment Income to
Average Net Assets.................... 1.29% 0.93% 0.76%*
Portfolio Turnover Rate................. 8.14% 13.17% 1.67%*
- ---------------------------------------- -----------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(a) Had certain waivers not been in effect the ratio of expenses to average net assets for the period ended November 30, 1994
would have been 0.48%, and the ratio of net investment income to average net assets for the period ended November 30,
1994 would have been 1.81%.
+ Not applicable as The Japanese Small Company Series is organized as a Partnership.
</TABLE>
See accompanying Notes to Financial Statements.
257
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE PACIFIC RIM THE UNITED KINGDOM
SMALL COMPANY SERIES SMALL COMPANY SERIES
---------------------------------- ----------------------------------
YEAR YEAR AUG. 9 YEAR YEAR AUG. 9
ENDED ENDED TO ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1998 1997 1996
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.... N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
--------- --------- ---------- --------- --------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized)............. -- -- -- -- -- --
--------- --------- ---------- --------- --------- ----------
Total From Investment Operations.... -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. -- -- -- -- -- --
Net Realized Gains.................... -- -- -- -- -- --
--------- --------- ---------- --------- --------- ----------
Total Distributions................. -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.......... N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
Total Return............................ N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
- -------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)... $ 139,881 $ 147,795 $231,481 $ 127,485 $ 171,851 $182,625
Ratio of Expenses to Average Net
Assets................................ 0.38% 0.40% 0.45%* 0.26% 0.25% 0.29%*
Ratio of Net Investment Income to
Average Net Assets.................... 4.01% 2.45% 2.50%* 3.66% 2.86% 2.94%*
Portfolio Turnover Rate................. 25.84% 24.00% 8.04%* 11.26% 4.26% 4.55%*
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
THE CONTINENTAL
SMALL COMPANY SERIES
----------------------------------
YEAR YEAR AUG. 9
ENDED ENDED TO
NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996
- ---------------------------------------- ----------------------------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period.... N/A+ N/A+ N/A+
--------- --------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income................. -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized)............. -- -- --
--------- --------- ----------
Total From Investment Operations.... -- -- --
- ---------------------------------------- ----------------------------------
LESS DISTRIBUTIONS
Net Investment Income................. -- -- --
Net Realized Gains.................... -- -- --
--------- --------- ----------
Total Distributions................. -- -- --
- ---------------------------------------- ----------------------------------
Net Asset Value, End of Period.......... N/A+ N/A+ N/A+
- ---------------------------------------- ----------------------------------
- ---------------------------------------- ----------------------------------
Total Return............................ N/A+ N/A+ N/A+
- ---------------------------------------- ----------------------------------
Net Assets, End of Period (thousands)... $ 304,402 $ 323,610 $ 335,882
Ratio of Expenses to Average Net
Assets................................ 0.27% 0.29% 0.31%*
Ratio of Net Investment Income to
Average Net Assets.................... 1.76% 1.84% 0.27%*
Portfolio Turnover Rate................. 0.74% 3.46% 6.69%*
- ---------------------------------------- ----------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
+ Not applicable as The Pacific Rim Small Company Series, The United Kingdom Small Company Series and The Continental Small
Company Series are organized as Partnerships.
</TABLE>
See accompanying Notes to Financial Statements.
258
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE EMERGING
MARKETS
SMALL CAP
THE EMERGING MARKETS SERIES SERIES
---------------------------------------------------------- ------------------------
YEAR YEAR YEAR YEAR APRIL 25 YEAR DEC. 2, 1996
ENDED ENDED ENDED ENDED TO ENDED TO
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994 1998 1997
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................... N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
--------- --------- --------- --------- ---------- --------- ------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income............ -- -- -- -- -- -- --
Net Gains (Losses) on Securities
(Realized and Unrealized)...... -- -- -- -- -- -- --
--------- --------- --------- --------- ---------- --------- ------------
Total From Investment
Operations................... -- -- -- -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income............ -- -- -- -- -- -- --
Net Realized Gains............... -- -- -- -- -- -- --
--------- --------- --------- --------- ---------- --------- ------------
Total Distributions............ -- -- -- -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period..... N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
Total Return....................... N/A+ N/A+ N/A+ N/A+ N/A+ N/A+ N/A+
- --------------------------------------------------------------------------------------------------------------------------
Net Assets, End of Period
(thousands)...................... $ 231,632 $ 220,941 $ 162,075 $ 49,351 $ 15,724 $ 21,399 $ 19,449
Ratio of Expenses to Average Net
Assets........................... 0.53% 0.54% 0.66% 0.87% 1.49%* 0.88% 0.90%*
Ratio of Net Investment Income to
Average Net Assets............... 1.66% 1.63% 1.63% 1.70% 0.56%* 2.32% 1.90%*
Portfolio Turnover Rate............ 9.76% 0.54% 0.37% 8.17% 1.28%* 13.41% 2.54%*
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
+ Not applicable as The Emerging Markets Series and The Emerging Markets Small Cap Series are organized as a partnerships.
</TABLE>
See accompanying Notes to Financial Statements.
259
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
THE DFA ONE-YEAR FIXED INCOME SERIES (1)
-------------------------------------------------------------
YEAR YEAR YEAR
YEAR ENDED YEAR ENDED ENDED ENDED ENDED
NOV. 30, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996 1995 1994
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 10.01 $ 10.03 $ 10.00 $ 9.84 $ 10.06
----------- ----------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........................... 0.56 0.59 0.56 0.60 0.44
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 0.02 (0.02) 0.03 0.16 (0.18)
----------- ----------- --------- --------- ---------
Total From Investment Operations.............. 0.58 0.57 0.59 0.76 0.26
- -----------------------------------------------------------------------------------------------------------------
LESS DISTRIBUTIONS
Net Investment Income........................... (0.57) (0.59) (0.56) (0.60) (0.43)
Net Realized Gains.............................. -- -- -- -- (0.05)
----------- ----------- --------- --------- ---------
Total Distributions............................... (0.57) (0.59) (0.56) (0.60) (0.48)
- -----------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period.................... $ 10.02 $ 10.01 $ 10.03 $ 10.00 $ 9.84
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
Total Return...................................... 5.92% 5.83% 6.10% 7.91% 2.61%
- -----------------------------------------------------------------------------------------------------------------
Net Assets, End of Period (thousands)............. $ 869,993 $ 782,236 $ 859,293 $ 705,554 $ 592,286
Ratio of Expenses to Average Net Assets........... 0.09% 0.10% 0.09% 0.10% 0.10%
Ratio of Net Investment Income to Average Net
Assets.......................................... 5.61% 5.85% 5.62% 6.04% 4.41%
Portfolio Turnover Rate........................... 23.62% 82.84% 95.84% 81.31% 140.82%
- -----------------------------------------------------------------------------------------------------------------
<CAPTION>
THE DFA TWO-YEAR GLOBAL FIXED
INCOME SERIES
-----------------------------------
YEAR
YEAR ENDED ENDED FEB 9 TO
NOV. 30, NOV. 30, NOV. 30,
1998 1997 1996
- -------------------------------------------------- -----------------------------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 10.22 $ 10.34 $ 10.00
----------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........................... 0.44 0.48 0.34
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 0.19 0.12 0.25
----------- --------- ---------
Total From Investment Operations.............. 0.63 0.60 0.59
- -------------------------------------------------- -----------------------------------
LESS DISTRIBUTIONS
Net Investment Income........................... (0.62) (0.71) (0.25)
Net Realized Gains.............................. (0.02) (0.01) --
----------- --------- ---------
Total Distributions............................... (0.64) (0.72) (0.25)
- -------------------------------------------------- -----------------------------------
Net Asset Value, End of Period.................... $ 10.21 $ 10.22 $ 10.34
- -------------------------------------------------- -----------------------------------
- -------------------------------------------------- -----------------------------------
Total Return...................................... 6.48% 5.96% 6.01%#
- -------------------------------------------------- -----------------------------------
Net Assets, End of Period (thousands)............. $ 440,842 $ 418,907 $ 319,272
Ratio of Expenses to Average Net Assets........... 0.16% 0.18% 0.20%*
Ratio of Net Investment Income to Average Net
Assets.......................................... 4.28% 4.64% 4.51%*
Portfolio Turnover Rate........................... 112.93% 119.27% 87.07%*
- -------------------------------------------------- -----------------------------------
</TABLE>
<TABLE>
<C> <S>
* Annualized
# Non-annualized
(1) Restated to reflect a 900% stock dividend as of January 2, 1996.
</TABLE>
See accompanying Notes to Financial Statements.
260
<PAGE>
THE DFA INVESTMENT TRUST COMPANY
NOTES TO FINANCIAL STATEMENTS
A. ORGANIZATION:
The DFA Investment Trust Company (the "Trust") is an open-end management
investment company registered under the Investment Company Act of 1940. At
November 30, 1998, the Trust consisted of sixteen investment portfolios
(collectively, the "Series"):
The U.S. Large Company Series
The Enhanced U.S. Large Company Series
The U.S. Large Cap Value Series
The U.S. 4-10 Value Series
The U.S. 6-10 Value Series
The U.S. 6-10 Small Company Series
The U.S. 9-10 Small Company Series
(the "Domestic Equity Portfolios")
The DFA One-Year Fixed Income Series
The DFA Two-Year Global Fixed Income Series
(the "Fixed Income Portfolios")
The DFA International Value Series
The Japanese Small Company Series
The Pacific Rim Small Company Series
The United Kingdom Small Company Series
The Continental Small Company Series
The Emerging Markets Series
The Emerging Markets Small Cap Series
(the "International Equity Portfolios")
Effective August 1, 1997, The U.S. Small Cap Value Series changed its name
to The U.S. 6-10 Value Series.
On December 1, 1997, The U.S. 9-10 Small Company Portfolio transferred its
investable assets for shares with an equal value of The U.S. 9-10 Small Company
Series of The DFA Investment Trust Company, a newly created series. This
portfolio invests solely in this series. The series will also issue its shares
to other investors.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Trust in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by the Domestic Equity Portfolios
which are listed on a securities exchange and for which market quotations are
readily available are valued at the last quoted sale price of the day, or if
there is no such reported sale, at the mean between the most recent bid and
asked prices. Securities held by the International Equity Portfolios that are
listed on a securities exchange are valued at the last quoted sale price. Price
information on listed securities is taken from the exchange where the security
is primarily traded. Unlisted securities for which market quotations are
available are valued at the mean between the most recent bid and asked prices.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Trustees. At
November 30, 1998, approximately $36,288,000 of Malaysian securities
representing 26.0% of total investments held by The Pacific Rim Small Company
Series were fair valued. As of September 10, 1998, The Pacific Rim Small Company
Series ceased offering its shares to new investors as a consequence of
restrictions imposed by the Malaysian government on the repatriation of assets
by foreign investors.
Fixed income instruments held by The Enhanced U.S. Large Company Series and
The Fixed Income Portfolios are valued on the basis of prices provided by a
pricing service when such prices are believed to reflect the fair market value
of such securities.
2. FOREIGN CURRENCY TRANSLATION: Securities, other assets and liabilities
of The Enhanced U.S. Large Company Series, the International Equity Portfolios
and The DFA Two-Year Global Fixed Income Series whose values are initially
expressed in foreign currencies are translated to U.S. dollars at the mean price
of such currency against U.S.
261
<PAGE>
dollars last quoted by a major bank. Dividend and interest income and certain
expenses are translated to U.S. dollars at the rate of exchange on their
respective accrual dates. Receivables and payables denominated in foreign
currencies are marked to market daily based on daily exchange rates and exchange
gains or losses are realized upon ultimate receipt or disbursement. The Enhanced
U.S. Large Company Series and The DFA Two-Year Global Fixed Income Series also
enter into forward foreign currency contracts solely for the purpose of hedging
against fluctuations in currency exchange rates. These contracts are also marked
to market daily based on daily exchange rates.
The International Equity Portfolios do not isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities held whether realized or unrealized. However, The
Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed Income
Series do isolate the effect of fluctuations in foreign currency rates when
determining the realized gain or loss upon the sale or maturity of foreign
currency denominated debt obligations pursuant to U.S. Federal income tax
regulations; such amounts are categorized as foreign exchange gain or loss for
both financial reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
securities transactions, and the difference between amounts of interest,
dividends and foreign withholding taxes recorded on the books of The Enhanced
U.S. Large Company Series, the International Equity Portfolios and The DFA
Two-Year Global Fixed Income Series and the U.S. dollar equivalent amounts
actually received or paid.
3. FEDERAL INCOME TAXES: It the intention of The Enhanced U.S. Large
Company Series, The U.S. Large Cap Value Series, The U.S. 4-10 Value Series, The
U.S. 6-10 Value Series, The U.S. 6-10 Small Company Series, The U.S. 9-10 Small
Company Series, The DFA International Value Series, The DFA One-Year Fixed
Income Series and The DFA Two-Year Global Fixed Income Series to continue to
qualify as a regulated investment company and distribute all of its taxable
income. Accordingly, no provision for federal taxes is required in the financial
statements.
The U.S. Large Company Series, The Japanese Small Company Series, The
Pacific Rim Small Company Series, The United Kingdom Small Company Series, The
Continental Small Company Series, The Emerging Markets Series and The Emerging
Markets Small Cap Series are treated as partnerships for federal income tax
purposes. Any interest, dividends and gains or losses of these Series will be
deemed to have been "passed through" to their Feeder Funds.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on an accrual basis. Discount and
premium on securities purchased are amortized over the lives of the respective
securities. Expenses directly attributable to a Series are directly charged.
Common expenses are allocated using methods determined by the Board of Trustees.
262
<PAGE>
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or the "Advisor") provides investment
advisory services to the Trust. For the year ended November 30, 1998, the
Series' advisory fees were computed daily and paid monthly to the Advisor based
on the following effective annual rates:
<TABLE>
<S> <C>
The U.S. Large Company Series.................................... .025 of 1%
The Enhanced U.S. Large Company Series........................... .05 of 1%
The U.S. Large Cap Value Series.................................. .10 of 1%
The U.S. 4-10 Value Series....................................... .10 of 1%
The U.S. 6-10 Value Series....................................... .20 of 1%
The U.S. 6-10 Small Company Series............................... .03 of 1%
The U.S. 9-10 Small Company Series............................... .10 of 1%
The DFA International Value Series............................... .20 of 1%
The Japanese Small Company Series................................ .10 of 1%
The Pacific Rim Small Company Series............................. .10 of 1%
The United Kingdom Small Company Series.......................... .10 of 1%
The Continental Small Company Series............................. .10 of 1%
The Emerging Markets Series...................................... .10 of 1%
The Emerging Markets Small Cap Series............................ .20 of 1%
The DFA One-Year Fixed Income Series............................. .05 of 1%
The DFA Two-Year Global Fixed Income Series...................... .05 of 1%
</TABLE>
Certain officers of the Series are also officers, directors and shareholders
of the Advisor.
D. PURCHASE AND SALES OF SECURITIES:
For the year ended November 30, 1998, the Series made the following
purchases and sales of investment securities:
<TABLE>
<CAPTION>
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
---------------------- --------------------
PURCHASES SALES PURCHASES SALES
----------- --------- --------- ---------
(000) (000) (000) (000)
<S> <C> <C> <C> <C>
The U.S. Large Company Series............................... -- -- $ 513,170 $ 107,862
The Enhanced U.S. Large Company Series...................... -- -- 41,180 2,054
The U.S. Large Cap Value Series............................. -- -- 503,556 404,421
The U.S. 4-10 Value Series.................................. -- -- 205,201 10,743
The U.S. 6-10 Value Series.................................. -- -- 993,193 522,776
The U.S. 6-10 Small Company Series.......................... -- -- 316,737 141,959
The U.S. 9-10 Small Company Series.......................... -- -- 383,593 376,799
The DFA International Value Series.......................... -- -- 261,205 283,971
The Japanese Small Company Series........................... -- -- 34,227 15,591
The Pacific Rim Small Company Series........................ -- -- 56,103 33,441
The United Kingdom Small Company Series..................... -- -- 17,197 35,337
The Continental Small Company Series........................ -- -- 2,400 78,137
The Emerging Markets Series................................. -- -- 67,933 21,083
The Emerging Markets Small Cap Series....................... -- -- 7,709 2,488
The DFA One-Year Fixed Income Series........................ -- $ 51,957 90,053 459,221
The DFA Two-Year Global Fixed Income Series................. -- -- 451,236 541,526
</TABLE>
263
<PAGE>
E. INVESTMENT TRANSACTIONS:
At November 30, 1998, gross unrealized appreciation and depreciation for
federal income tax purposes of futures, swap contracts, investment securities
and foreign currencies for each Series were as follows:
<TABLE>
<CAPTION>
GROSS GROSS
UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION NET
-------------- -------------- ----------
(000) (000) (000)
<S> <C> <C> <C>
The U.S. Large Company Series.............................. $ 571,157 $ (18,174) $ 552,983
The Enhanced U.S. Large Company Series..................... 2,250 (169) 2,081
The U.S. Large Cap Value Series............................ 425,729 (94,103) 331,626
The U.S. 4-10 Value Series................................. 10,912 (28,343) (17,431)
The U.S. 6-10 Value Series................................. 487,631 (421,185) 66,446
The U.S. 6-10 Small Company Series......................... 95,029 (113,580) (18,551)
The U.S. 9-10 Small Company Series......................... 375,484 (301,027) 74,457
The DFA International Value Series......................... 413,521 (272,462) 141,059
The Japanese Small Company Series.......................... -- (223,314) (223,314)
The Pacific Rim Small Company Series....................... 8,704 (117,796) (109,092)
The United Kingdom Small Company Series.................... 36,160 (39,268) (3,108)
The Continental Small Company Series....................... 112,785 (31,028) 81,757
The Emerging Markets Series................................ 33,989 (102,910) (68,921)
The Emerging Markets Small Cap Series...................... 3,179 (14,544) (11,365)
The DFA One-Year Fixed Income Series....................... 180 (59) 121
The DFA Two-Year Global Fixed Income Series................ 3,650 (869) 2,781
</TABLE>
At November 30, 1998, The DFA One-Year Fixed Income Series had a capital
loss carryover for federal income tax purposes of approximately $324,000 of
which $23,000 and $301,000 expire on November 30, 2002 and 2004, respectively.
F. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
AT NOVEMBER 30, 1998 NET ASSETS CONSIST OF:
------------------------------------------------------------------------------------------
(AMOUNTS IN THOUSANDS)
UNREALIZED
APPRECIATION
(DEPRECIATION)
OF
UNDISTRIBUTED FUTURES, SWAP UNREALIZED
UNDISTRIBUTED NET REALIZED CONTRACTS, NET FOREIGN
NET UNDISTRIBUTED FOREIGN INVESTMENT EXCHANGE
PAID-IN INVESTMENT NET REALIZED EXCHANGE SECURITIES AND GAIN TOTAL NET
CAPITAL INCOME (LOSS) GAIN (LOSS) GAIN (LOSS) FOREIGN CURRENCY (LOSS) ASSETS
---------- ------------- ------------- ------------- ---------------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
The Enhanced U.S. Large
Company Series.......... $ 52,296 $ 424 $ 1,975 $(1,368) $ 8,305 $ (110) $ 61,522
The U.S. Large Cap Value
Series.................. 1,287,321 971 135,989 -- 331,626 -- 1,755,907
The U.S. 4-10 Value
Series.................. 195,479 223 971 -- (17,431) -- 179,242
The U.S. 6-10 Value
Series.................. 2,163,416 1,045 204,827 -- 66,446 -- 2,435,734
The U.S. 6-10 Small
Company Series.......... 515,925 271 47,942 -- (17,335) -- 546,803
The U.S. 9-10 Small
Company Series.......... 1,140,412 335 124,420 -- 74,457 -- 1,339,624
The DFA International
Value Series............ 1,566,373 (5,619) 12,960 895 145,500 140 1,720,249
The DFA One-Year Fixed
Income Series........... 866,437 3,767 (332) -- 121 -- 869,993
The DFA Two-Year Global
Fixed Income Series..... 433,551 1,163 572 122 2,782 652 440,842
<CAPTION>
NUMBER OF
SHARES
AUTHORIZED
------------
<S> <C>
The Enhanced U.S. Large
Company Series.......... Unlimited
The U.S. Large Cap Value
Series.................. Unlimited
The U.S. 4-10 Value
Series.................. Unlimited
The U.S. 6-10 Value
Series.................. Unlimited
The U.S. 6-10 Small
Company Series.......... Unlimited
The U.S. 9-10 Small
Company Series.......... Unlimited
The DFA International
Value Series............ Unlimited
The DFA One-Year Fixed
Income Series........... Unlimited
The DFA Two-Year Global
Fixed Income Series..... Unlimited
</TABLE>
264
<PAGE>
G. FINANCIAL INSTRUMENTS:
In accordance with the Series' Investment Objectives and Policies, the
Series may invest in certain financial instruments that have off-balance sheet
risk and concentrations of credit risk. These instruments and their significant
corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The Series may purchase money market instruments
subject to the seller's agreement to repurchase them at an agreed upon date and
price. The seller will be required on a daily basis to maintain the value of the
collateral subject to the agreement at not less than the repurchase price
(including accrued interest). The agreements are conditioned upon the collateral
being deposited under the Federal Reserve book-entry system with the Trust's
custodian or a third party sub-custodian. All open repurchase agreements were
entered into on November 30, 1998.
2. FORWARD CURRENCY CONTRACTS: The Enhanced U.S. Large Company Series and
The DFA Two-Year Global Fixed Income Series may enter into forward foreign
currency contracts to hedge against adverse changes in the relationship of the
U.S. dollar to foreign currencies. At November 30, 1998, The Enhanced U.S. Large
Company and The DFA Two-Year Global Fixed Income Series had entered into the
following contracts and the related net unrealized foreign exchange gain is
reflected in the accompanying financial statements:
THE ENHANCED U.S. LARGE COMPANY SERIES
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION CONTRACT VALUE AT EXCHANGE
DATE CURRENCY SOLD AMOUNT NOVEMBER 30, 1998 GAIN (LOSS)
- ---------- ---------------------------------------- -------------- ------------------- ------------
<C> <C> <S> <C> <C> <C>
12/21/98 20,610,630 Swedish Krona $ 2,562,637 $ 2,540,602 $ 22,035
12/23/98 1,087,695 Australian Dollar 699,659 683,943 15,716
12/24/98 73,262,612 French Francs 12,908,442 12,909,522 (1,080)
12/24/98 11,988,395 Netherlands Guilders 6,294,465 6,287,906 6,559
12/28/98 21,021,914 German Marks 12,432,139 12,433,264 (1,125)
-------------- ------------------- ------------
$ 34,897,342 $ 34,855,237 $ 42,105
-------------- ------------------- ------------
-------------- ------------------- ------------
</TABLE>
THE DFA TWO-YEAR GLOBAL FIXED INCOME SERIES
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION VALUE AT NOVEMBER EXCHANGE
DATE CURRENCY SOLD CONTRACT AMOUNT 30, 1998 GAIN (LOSS)
- ---------- ---------------------------------------- ---------------- ------------------- ------------
<C> <C> <S> <C> <C> <C>
12/21/98 43,727,967 Swedish Krona $ 5,447,468 $ 5,390,196 $ 57,272
12/21/98 112,213,430 Swedish Krona 13,952,133 13,832,164 119,969
12/23/98 42,352,412 Australian Dollars 27,243,165 26,631,210 611,955
12/24/98 683,817,811 French Francs 120,566,963 120,577,057 (10,094)
12/28/98 199,291,320 German Marks 117,858,794 117,869,457 (10,663)
12/30/98 37,719,899 Netherlands Guilders 19,622,242 19,784,062 (161,820)
---------------- ------------------- ------------
$ 304,690,765 $ 304,084,146 $ 606,619
---------------- ------------------- ------------
---------------- ------------------- ------------
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter-parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. The Enhanced U.S. Large Company Series and The DFA Two-Year Global Fixed
Income Series will enter into forward contracts only for hedging purposes.
3. FOREIGN MARKET RISKS: Investments in foreign markets may involve
certain consideration and risks not typically associated with investments in the
United States, including the possibility of future political and economic
developments and the level of foreign government supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
265
<PAGE>
4. FUTURES CONTRACTS. During the year ended November 30, 1998, The
Enhanced U.S. Large Company Series (Enhanced) entered into futures contracts in
accordance with its investment objectives. Upon entering into a futures
contract, the Enhanced deposits cash or pledges U.S. Government securities to a
broker, equal to the minimum "initial margin" requirements of the exchange on
which the contract is traded. Subsequent payments are received from or paid to
the broker each day, based on the daily fluctuation in the market value of the
contract. These receipts or payments are known as "variation margin" and are
recorded daily by Enhanced as unrealized gains or losses until the contracts are
closed. When the contracts are closed, Enhanced records a realized gain or loss
equal to the difference between the value of the contract at the time it was
opened and the value at the time it was closed.
At November 30, 1998, Enhanced had outstanding 190 long futures contracts on
the S&P 500 Index, 188 of which expire on December 18, 1998, and two of which
expire on September 17, 1999. The value of such contracts on November 30, 1998
was $55,235,000, which resulted in an unrealized gain of $6,220,902.
Risks may arise upon entering into futures contracts from potential
imperfect price correlations between the futures contracts and the underlying
securities and from the possibility of an illiquid secondary market for these
instruments.
5. EQUITY INDEX SWAPS. Enhanced may enter into equity index swaps in
accordance with its investment objectives. A swap agreement obligates two
parties to exchange returns realized on a notional amount agreed upon by both
parties. The obligations of the parties are calculated on a net basis based on
the daily fluctuations in the indices on which the contract is based. The daily
net fluctuation is recorded as unrealized gains or losses by Enhanced. At the
termination of the agreement, Enhanced will receive from or pay to the counter
party, the accumulated net unrealized gain or loss, which will then be recorded
as realized.
At November 30, 1998, Enhanced had an outstanding equity index swap with
Morgan Stanley dated July 15, 1998 (which represents approximately 11% of the
net assets of Enhanced), terminating on January 15, 1999. The notional value of
the swap was $6,180,675, and Enhanced had recorded net unrealized depreciation
of $155,583, all of which Enhanced owed to Morgan Stanley. Payments made by
Enhanced are based on the London Interbank Offered Rate (LIBOR) plus 0.15% per
annum calculated on the original notional amount plus accumulated interest added
on the monthly LIBOR reset date. Payments received by Enhanced are based on the
daily value of the S&P 500 Index plus accumulated dividends as expressed in
Index points calculated on the original notional amount.
Risks may arise upon entering into equity index swaps in the event of the
default or bankruptcy of a swap agreement counter party.
H. LINE OF CREDIT:
The Trust, together with other DFA-advised portfolios, has entered into a
$50 million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. For the year ended November 30, 1998 borrowings
under the line were as follows:
<TABLE>
<CAPTION>
MAXIMUM
AMOUNT
WEIGHTED WEIGHTED NUMBER OF INTEREST BORROWED
AVERAGE AVERAGE DAYS EXPENSE DURING THE
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED PERIOD
------------- ------------ ----------- ------- ------------
<S> <C> <C> <C> <C> <C>
The U.S. Large Company Series........... 6.25% $5,573,087 19 $31,901 $33,400,000
The U.S. Large Cap Value Series......... 6.08% 3,038,667 3 1,539 3,596,000
The U.S. 6-10 Small Company Series...... 5.99% 3,337,500 7 4,440 5,102,000
The United Kingdom Small Company
Series................................ 5.97% 460,000 2 53 160,000
</TABLE>
There were no outstanding borrowings under the line of credit at November
30, 1998.
266
<PAGE>
I. SECURITIES LENDING:
Loans of domestic securities are required at all times to be secured by
collateral at least equal to 102% of the market value of the securities on loan.
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Portfolio or, at the option of
the lending agent, replace the loaned securities. Such cash collateral for
November 30, 1998 was reinvested into overnight repurchase agreements with
Warburg Dillon Reed and 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
DOMESTIC EQUITY PORTFOLIOS SECURITIES INDEMNIFICATION AGREEMENTS
- -------------------------------------------------- ---------------- ---------------- ----------------
<S> <C> <C> <C>
The U.S. Large Company Series..................... $ 6,188,118 $ 6,672,900 $ 6,228,371
The U.S. Large Cap Value Series................... 9,473,197 9,885,206 9,688,577
The U.S. 6-10 Value Series........................ 71,765,669 87,880,225 89,965,361
The U.S. 6-10 Small Company Series................ 42,466,849 50,554,015 51,903,093
The U.S. 9-10 Small Company Series................ 61,428,446 138,530,637 80,968,825
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIOS
- --------------------------------------------------
<S> <C> <C> <C>
The DFA International Value Series................ $ 124,139,275 $ 135,315,041 $ 155,880,092
The Japanese Small Company Series................. 30,104,229 32,589,517 32,930,970
The Pacific Rim Small Company Series.............. 2,259,634 2,600,358 2,594,524
The Continental Small Company Series.............. 11,980,896 12,421,556 13,917,761
</TABLE>
267
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
THE DFA INVESTMENT TRUST COMPANY:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments of The DFA Investment Trust Company comprising,
respectively, The U.S. Large Company Series, The Enhanced U.S. Large Company
Series, The U.S. Large Cap Value Series, The U.S. 4-10 Value Series, The U.S.
6-10 Value Series, The U.S. 6-10 Small Company Series, The U.S. 9-10 Small
Company Series, The DFA International Value Series, The Japanese Small Company
Series, The Pacific Rim Small Company Series, The United Kingdom Small Company
Series, The Continental Small Company Series, The Emerging Markets Series, The
Emerging Markets Small Cap Series, The DFA One-Year Fixed Income Series, and The
DFA Two-Year Global Fixed Income Series (the "Fund"), and the related statements
of operations, of changes in net assets, of cash flows of the Pacific Rim Small
Company Series and the financial highlights present fairly, in all material
respects, the financial position of the DFA Investment Trust Company, The U.S.
Large Company Series, The Enhanced U.S. Large Company Series, The U.S. Large Cap
Value Series, The U.S. 4-10 Value Series, The U.S. 6-10 Value Series, The U.S.
6-10 Small Company Series, The U.S. 9-10 Small Company Series, The DFA
International Value Series, The Japanese Small Company Series, The Pacific Rim
Small Company Series, The United Kingdom Small Company Series, The Continental
Small Company Series, The Emerging Markets Series, The Emerging Markets Small
Cap Series, The DFA One-Year Fixed Income Series and The DFA Two-Year Global
Fixed Income Series, at November 30 ,1998, the results of their operations, the
changes in there net assets, their cash flows for the Pacific Rim Small Company
Series 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
our opinion.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
January 15, 1999
268
