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DFA INVESTMENT DIMENSIONS GROUP INC.
VA SMALL VALUE PORTFOLIO
VA LARGE VALUE PORTFOLIO
VA INTERNATIONAL VALUE PORTFOLIO
VA INTERNATIONAL SMALL PORTFOLIO
VA SHORT-TERM FIXED PORTFOLIO
VA GLOBAL BOND PORTFOLIO
SEMI-ANNUAL REPORT
SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
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DFA INVESTMENT DIMENSIONS GROUP INC.
SEMI-ANNUAL REPORT
(UNAUDITED)
TABLE OF CONTENTS
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PAGE
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Schedules of Investments
VA Small Value Portfolio......................................................................................... 1-13
VA Large Value Portfolio......................................................................................... 14-15
VA International Value Portfolio................................................................................. 16-20
VA International Small Portfolio................................................................................. 21-29
Statements of Net Assets
VA Short-Term Fixed Portfolio.................................................................................... 30
VA Global Bond Portfolio......................................................................................... 31-32
Statements of Assets and Liabilities
VA Small Value Portfolio......................................................................................... 33
VA Large Value Portfolio......................................................................................... 33
VA International Value Portfolio................................................................................. 34
VA International Small Portfolio................................................................................. 34
Statements of Operations............................................................................................. 35-36
Statements of Changes in Net Assets.................................................................................. 37-39
Financial Highlights................................................................................................. 40-42
Notes to Financial Statements........................................................................................ 43-47
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This report is submitted for the information of the Fund's shareholders. It is
not authorized for distribution to prospective investors unless preceded or
accompanied by an effective prospectus.
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DFA INVESTMENT DIMENSIONS GROUP INC.
VA SMALL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
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COMMON STOCKS -- (96.8%)
*3-D Systems Corp..................................... 1,000 $ 5,656
*3D0 Co............................................... 700 3,653
*3Dfx Interactive, Inc................................ 130 2,511
AAR Corp.............................................. 1,000 19,750
*ABC Rail Products Corp............................... 400 5,837
*ACT Networks, Inc.................................... 1,000 20,187
*ACX Technologies, Inc................................ 2,800 34,825
*ADE Corp............................................. 1,000 9,719
*AEP Industries, Inc.................................. 1,100 41,594
*ARV Assisted Living, Inc............................. 600 2,325
#Aames Financial Corp................................. 2,800 4,025
*Abraxas Petroleum Corp............................... 1,000 2,125
*Accel International Corp............................. 400 812
*Acceptance Insurance Companies, Inc.................. 1,300 20,394
*Acclaim Entertainment, Inc........................... 2,500 16,133
Aceto Corp............................................ 660 7,755
*#Acme Metals, Inc.................................... 1,000 305
*Active Voice Corp.................................... 200 2,750
*Adaptive Broadband Corp.............................. 1,000 15,812
*Adept Technology, Inc................................ 500 3,641
*Adflex Solutions, Inc................................ 700 1,597
*Advance Lighting Technologies, Inc................... 1,000 7,172
*Advanced Communications Group, Inc................... 500 5,031
*#Advanced Health Corp................................ 1,000 4,578
Advanced Marketing Services, Inc...................... 750 11,766
*Advanced Neuromodulation Systems, Inc................ 200 1,362
Advanta Corp. Class A................................. 1,000 17,344
Advanta Corp. Class B Non-Voting...................... 2,000 28,062
Advest Group, Inc..................................... 700 14,612
*Aerovox, Inc......................................... 400 950
*Aftermarket Technology Corp.......................... 1,000 10,937
Agco Corp............................................. 4,000 46,500
*Air Methods Corp..................................... 300 647
*Airgas, Inc.......................................... 5,500 62,906
*Aldila, Inc.......................................... 1,300 2,559
Alfa Corp............................................. 2,100 35,634
Alico, Inc............................................ 200 3,225
*All American Semiconductor, Inc...................... 1,300 995
*Allen Telecom, Inc................................... 300 3,131
Alliance Bancorp...................................... 1,359 33,168
*Alliance Semiconductor Corp.......................... 3,500 16,734
*Allied Healthcare Products, Inc...................... 1,700 3,347
*Allied Holdings, Inc................................. 100 712
Allied Products Corp.................................. 1,000 5,187
*Allied Research Corp................................. 300 2,119
*#Allin Communications Corp........................... 500 1,344
*#Allou Health & Beauty Care, Inc. Class A............ 500 3,531
*Allstars Systems, Inc................................ 100 166
*Alpha Technologies Group, Inc........................ 500 1,828
*Alphanet Solutions, Inc.............................. 200 794
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Amcast Industrial Corp................................ 700 $ 11,769
Amcol International Corp.............................. 2,100 29,794
*#American Banknote Corp.............................. 1,600 600
American Business Products, Inc....................... 600 9,562
*American Ecology Corp................................ 700 1,969
*American Freightways Corp............................ 2,900 50,841
*American Homepatient, Inc............................ 1,000 1,984
American Medical Security Group, Inc.................. 1,800 16,762
*American Mobile Satellite Corp....................... 1,700 24,066
*American Oncology Resources, Inc..................... 3,700 37,578
*American Pacific Corp................................ 700 5,687
*American Physicians Services Group, Inc.............. 500 1,797
*American Software, Inc. Class A...................... 1,900 5,522
*Amerihost Properties, Inc............................ 400 1,519
*Amerin Corp.......................................... 2,600 69,712
*Ameripath, Inc....................................... 1,700 15,433
*Ameristar Casinos, Inc............................... 1,700 6,003
Ameron, Inc........................................... 300 12,919
Amerus Life Holdings, Inc. Class A.................... 2,000 51,625
Ampco-Pittsburgh Corp................................. 1,400 17,500
*Amrep Corp........................................... 600 3,431
*Amresco, Inc......................................... 4,200 28,612
*Amtran, Inc.......................................... 800 18,800
*Anadigics, Inc....................................... 1,400 34,737
Analogic Corp......................................... 100 3,259
Andover Bancorp, Inc. DE.............................. 600 17,775
Angelica Corp......................................... 800 13,550
*Anicom, Inc.......................................... 1,700 15,672
*Applied Digital Access, Inc.......................... 1,000 4,203
*Applied Extrusion Technologies, Inc.................. 2,000 15,250
*Applied Graphics Technologies, Inc................... 1,000 10,844
Applied Industrial Technologies, Inc.................. 2,000 33,875
*#Applied Magnetics Corp.............................. 1,700 5,100
*Applied Microsystems Corp............................ 200 609
*Applied Signal Technologies, Inc..................... 800 7,200
*Applix, Inc.......................................... 1,000 5,437
*#Arcadia Financial, Ltd.............................. 3,900 29,006
Arch Coal, Inc........................................ 3,300 48,262
*#Arch Communications Group, Inc...................... 3,300 7,992
Arctic Cat, Inc....................................... 1,800 15,075
Argonaut Group, Inc................................... 2,600 69,712
*Arkansas Best Corp................................... 2,700 24,131
*Armco, Inc........................................... 5,000 32,187
Arnold Industries, Inc................................ 2,000 33,125
*Arqule, Inc.......................................... 500 2,250
*Artisoft, Inc........................................ 1,700 7,252
*Asante Technologies, Inc............................. 400 281
Asarco, Inc........................................... 3,100 49,794
*Ascent Entertainment Group, Inc...................... 3,579 40,935
*Asche Transportation Services, Inc................... 500 2,016
*Ashworth, Inc........................................ 1,500 7,359
*Asyst Technologies, Inc.............................. 600 11,775
*Atchison Casting Corp................................ 200 2,200
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*Atlantic American Corp............................... 100 $ 434
*Atlantic Gulf Communities Corp....................... 1,500 1,805
*Atlantis Plastics, Inc............................... 200 2,875
*Atrion Corp.......................................... 200 1,925
*Audiovox Corp. Class A............................... 1,300 11,294
*Auspex Systems, Inc.................................. 2,500 27,266
*Autoimmune, Inc...................................... 1,100 2,458
Avado Brands, Inc..................................... 600 5,447
*Avalon Holding Corp. Class A......................... 262 1,785
*Avatar Holdings, Inc................................. 1,000 18,562
*Avatex Corp.......................................... 1,400 875
*Aviall, Inc.......................................... 800 12,550
*Avigen, Inc.......................................... 500 3,094
*Avondale Industries, Inc............................. 500 18,250
*Avteam, Inc. Class A................................. 500 3,578
*Aztar Corp........................................... 3,400 22,950
Aztec Manufacturing Co................................ 500 5,031
*BEI Electronics, Inc................................. 1,600 1,850
BEI Technologies, Inc................................. 1,600 15,950
*BFX Hospitality Group, Inc........................... 300 422
*BI, Inc.............................................. 1,000 9,187
BMC Industries, Inc................................... 2,600 26,162
BSB Bancorp, Inc...................................... 900 22,894
*BTG, Inc............................................. 300 2,156
*BTU International, Inc............................... 1,700 7,012
Badger Meter, Inc..................................... 200 6,725
Bairnco Corp.......................................... 900 6,244
Baker (J.), Inc....................................... 2,200 15,950
*Baker (Michael) Corp................................. 700 5,075
*Baldwin Piano & Organ Co............................. 300 2,287
*Baldwin Technology, Inc. Class A..................... 1,400 5,075
*Bancinsurance Corp................................... 525 2,920
*BancTec, Inc......................................... 700 11,287
Bandag, Inc........................................... 200 6,887
Bandag, Inc........................................... 1,000 28,625
*Bank Plus Corp....................................... 2,100 10,959
*Bank United Financial Corp. Class A.................. 2,200 19,834
#BankAtlantic Bancorp, Inc. Class A................... 562 4,110
BankAtlantic Bancorp, Inc. Class B.................... 1,000 7,969
BankNorth Group, Inc. DE.............................. 720 19,237
*Basin Exploration, Inc............................... 900 15,103
Bassett Furniture Industries, Inc..................... 2,200 52,319
Battle Mountain Gold Co............................... 10,100 24,619
Bay View Capital Corp................................. 1,900 34,200
*Baycorp Holdings, Ltd................................ 200 712
*Bayou Steel Corp. Class A............................ 900 3,262
*Beazer Homes USA, Inc................................ 700 15,575
*Bel Fuse, Inc. Class A............................... 200 6,512
Bel Fuse, Inc. Class B................................ 200 5,862
*Belco Oil & Gas Corp................................. 2,000 15,875
*Bell Industries, Inc................................. 860 8,815
*Bell Microproducts, Inc.............................. 1,500 10,617
*Bellwether Exploration Co............................ 1,500 6,937
*Ben & Jerry's Homemade, Inc.
Class A............................................. 1,500 42,234
*Benton Oil & Gas Co.................................. 2,100 7,350
*Bergen Brunswig Corp. Class A........................ 2,695 59,290
*Berlitz International, Inc........................... 900 19,181
*Beverly Enterprises.................................. 4,500 32,625
*Big 4 Ranch, Inc..................................... 300 0
*Binks Sames Corp..................................... 300 5,025
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*Bio Vascular, Inc.................................... 500 $ 1,383
*Bio-Rad Laboratories, Inc. Class A................... 400 11,275
*BioReliance Corp..................................... 500 3,328
*Biosource International, Inc......................... 1,000 4,875
Birmingham Steel Corp................................. 2,500 12,812
Blair Corp............................................ 500 8,594
Blimpie International................................. 1,000 2,625
*Bluegreen Corp....................................... 1,500 8,437
Bob Evans Farms, Inc.................................. 2,700 52,059
*Boca Research, Inc................................... 1,000 8,859
*Bombay Co., Inc...................................... 3,000 18,375
*Bon-Ton Stores, Inc.................................. 900 5,737
*#Books-a-Million, Inc................................ 1,400 11,550
*Boston Communications Group, Inc..................... 600 5,625
Bowne & Co., Inc...................................... 3,600 60,300
*Boyd Gaming Corp..................................... 5,500 32,656
*#Brazos Sportswear, Inc.............................. 50 5
*Broadway & Seymour, Inc.............................. 1,000 5,781
*Brooks Automation, Inc............................... 1,000 18,312
*Brookstone, Inc...................................... 1,500 22,547
*Brothers Gourmet Coffees, Inc........................ 800 17
*Brown & Sharpe Manufacturing Co. Class A............. 1,200 6,600
*Brown (Tom), Inc..................................... 3,200 41,500
Brown Shoe Company, Inc............................... 5,600 106,400
*Brunswick Technologies, Inc.......................... 300 1,828
Brush Wellman, Inc.................................... 1,900 32,181
*Budget Group, Inc.................................... 2,900 38,787
*Buffets, Inc......................................... 4,000 42,000
*Builders Transport, Inc.............................. 400 9
*Building Materials Holding Corp...................... 1,500 17,531
*Bull Run Corp. GA.................................... 2,200 8,869
Burlington Coat Factory Warehouse Corp................ 500 8,437
*Burlington Industries, Inc........................... 4,700 46,119
*Business Resource Group.............................. 500 1,672
Butler Manufacturing Co............................... 1,000 28,125
*C.P. Clare Corp...................................... 1,000 3,656
*CMC Industries, Inc.................................. 1,000 6,469
*CNS Income........................................... 2,300 7,691
CPAC, Inc............................................. 1,000 7,719
CPB, Inc.............................................. 1,400 28,875
*CSP, Inc............................................. 266 1,820
*CTB International Corp............................... 500 4,344
Cadmus Communications Corp............................ 300 3,844
*Caere Corp........................................... 1,500 17,812
Calgon Carbon Corp.................................... 2,800 15,925
*California Amplifier, Inc............................ 1,000 4,187
*California Coastal Comm, Inc......................... 1,000 6,406
*California Micro Devices Corp........................ 1,000 2,219
*Callon Petroleum Co.................................. 500 5,375
Cal-Maine Foods, Inc.................................. 800 4,350
*Cameron Ashley Building Products, Inc................ 1,200 14,400
*Canandaigua Wine Co., Inc. Class A................... 1,800 89,550
*Cannondale Corp...................................... 1,000 8,937
*Capital Pacific Holdings, Inc........................ 1,000 3,250
Capital Re Corp....................................... 2,600 42,412
Capitol Transamerica Corp............................. 700 10,522
*#Caribiner International, Inc........................ 1,000 5,375
*Carmike Cinemas, Inc. Class A........................ 1,000 17,562
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Carolina First Corp................................... 159 $ 4,358
*Carrington Laboratories, Inc......................... 1,000 2,969
*Carson, Inc.......................................... 300 1,050
Carter-Wallace, Inc................................... 2,900 52,381
Cascade Corp.......................................... 1,000 13,500
*Casino Data Systems.................................. 1,500 5,578
*Castle & Cooke, Inc.................................. 1,400 21,875
*Catalina Lighting, Inc............................... 600 2,700
*Catherines Stores Corp............................... 1,500 16,500
Cato Corp. Class A.................................... 2,000 26,312
Cavalier Homes, Inc................................... 1,000 9,062
*Cavanaughs Hospitality Corp.......................... 1,000 9,562
*Celadon Group, Inc................................... 1,000 9,937
*Celebrity, Inc....................................... 125 293
*Celeris Corp......................................... 1,300 1,178
*Celeritek, Inc....................................... 300 1,612
*Cell Genesys, Inc.................................... 500 2,406
*#Cell Pathways, Inc.................................. 581 6,391
Cenit Bancorp, Inc.................................... 300 6,131
*Centigram Communications Corp........................ 700 6,803
*Central Garden & Pet Co.............................. 3,100 42,141
*Central Sprinkler Corp............................... 200 3,406
Centris Group, Inc.................................... 600 5,812
Century Aluminum Co................................... 2,200 14,231
*Ceradyne, Inc........................................ 1,200 4,875
*#Cerion Technologies, Inc............................ 700 175
*Charming Shoppes, Inc................................ 12,300 62,077
*Chart House Enterprises, Inc......................... 700 3,850
Chartwell Re Corp..................................... 1,000 15,687
*Chase Industries, Inc................................ 1,000 8,375
*Checkpoint System, Inc............................... 2,000 18,250
Chemed Corp........................................... 1,000 32,437
*Cherry Corp. Class A................................. 600 8,100
*Cherry Corp. Class B................................. 400 5,462
Chesapeake Corp....................................... 1,000 36,062
#Chesapeake Energy Corp............................... 7,180 15,257
*Chic by His, Inc..................................... 1,000 3,125
*Children's Comprehensive Services, Inc............... 500 3,047
Chiquita Brands International, Inc.................... 2,066 16,657
*#Chock Full O' Nuts Corp............................. 1,000 10,437
*Chyron Corp.......................................... 1,000 2,062
*Cidco, Inc........................................... 1,000 6,187
*Ciprico, Inc......................................... 1,000 8,719
*Circuit City Stores, Inc. - Carmax Group............. 600 2,887
*Circuit Systems, Inc................................. 1,300 2,681
*Cirrus Logic, Inc.................................... 4,400 33,412
*Citadel Holding Corp................................. 300 1,519
*Citation Corp........................................ 2,000 26,687
*Citizens, Inc. Class A............................... 1,300 7,394
*Civic Bancorp........................................ 441 6,229
*Clean Harbors, Inc................................... 800 1,375
Cleveland Cliffs, Inc................................. 1,100 40,700
*Clintrials Research, Inc............................. 2,800 11,812
*Coast Distribution System............................ 300 862
Coastal Bancorp, Inc.................................. 1,000 16,062
*Coastcast Corp....................................... 1,000 12,000
*Cobra Electronic Corp................................ 1,000 4,062
*#Coeur d'Alene Mines Corp. ID........................ 2,000 8,375
*Coherent, Inc........................................ 2,200 35,612
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*Cohesion Technologies, Inc........................... 1,100 $ 6,187
*Coho Energy, Inc..................................... 1,700 1,062
Collagen Corp......................................... 1,100 15,056
*Comdial Corp......................................... 600 4,219
*Command Systems, Inc................................. 200 331
Commercial Intertech Corp............................. 800 12,100
Commercial Metals Co.................................. 1,300 30,469
Commonwealth Bancorp, Inc............................. 1,500 24,328
Commonwealth Industries, Inc.......................... 2,100 22,772
*Compass International Services Corp.................. 400 2,637
*Compdent Corp........................................ 200 2,894
*#Complete Management, Inc............................ 700 70
*Compucom Systems, Inc................................ 2,500 10,078
*CompUSA, Inc......................................... 3,600 29,025
*Computer Motion, Inc................................. 200 1,775
*Computer Outsourcing Services, Inc................... 500 4,578
*Comshare, Inc........................................ 1,000 3,406
*Comstock Resources, Inc.............................. 1,900 7,719
*Concord Camera Corp.................................. 1,000 5,187
*Concord Fabrics, Inc. Class A........................ 200 875
*Condor Technology Solutions, Inc..................... 500 5,344
*Cone Mills Corp. NC.................................. 2,000 12,375
*Conmed Corp.......................................... 1,200 40,762
*Conso Products Co.................................... 600 3,544
*Consolidated Freightways Corp........................ 2,500 33,281
*#Consumer Portfolio Services, Inc.................... 1,000 1,937
*#ContiFinancial Corp................................. 3,800 27,075
Cooker Restaurant Corp................................ 500 3,125
*Copart, Inc.......................................... 1,800 32,400
*Copley Pharmaceutical, Inc........................... 1,500 14,578
*Coram Healthcare Corp................................ 4,200 9,712
*Corporate Express, Inc............................... 11,000 72,016
*Corrpro Companies, Inc............................... 375 3,727
*Covenant Transport, Inc. Class A..................... 1,000 11,969
*Coventry Health Care, Inc............................ 1,900 25,294
*Craig Corp........................................... 300 2,269
*#Credit Acceptance Corp.............................. 3,500 20,891
*Criticare Systems, Inc............................... 600 1,294
Cross (A.T.) Co. Class A.............................. 1,800 11,250
Cross Timbers Oil Co.................................. 500 5,406
*Crown Central Petroleum Corp.
Class A............................................. 400 3,250
*Crown Central Petroleum Corp.
Class B............................................. 300 2,475
Crown Crafts, Inc..................................... 700 3,544
*Crown Vantage, Inc................................... 1,300 3,412
*Crown-Andersen, Inc.................................. 100 581
Cubic Corp............................................ 750 18,094
Culp, Inc............................................. 1,000 8,250
*Cybex International, Inc............................. 400 2,200
*Cylink Corp.......................................... 2,000 7,906
*Cyrk, Inc............................................ 1,300 8,653
*Cytotherapeutics, Inc................................ 100 102
*Cytrx Corp........................................... 700 1,827
*DII Group, Inc....................................... 400 13,112
DT Industries, Inc.................................... 1,300 12,472
*DVI, Inc............................................. 1,300 20,231
*Damark International, Inc. Class A................... 800 7,875
Dames & Moore, Inc.................................... 2,000 31,500
*Dan River, Inc. (GA) Class A......................... 800 7,350
Daniel Industries, Inc................................ 1,400 29,400
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*Danielson Holding Corp............................... 500 $ 2,656
*Data I/O Corp........................................ 1,500 1,711
*Data Race, Inc....................................... 400 1,825
*Data Systems & Software, Inc......................... 1,500 4,594
*Data Systems Network Corp............................ 30 35
*Datakey, Inc......................................... 200 525
*Datascope Corp....................................... 500 12,531
*DataTRAK International, Inc.......................... 200 950
*Dataware Technologies, Inc........................... 500 1,437
*Datron Systems, Inc.................................. 200 1,219
*Datum, Inc........................................... 300 2,512
Davel Communications, Inc............................. 329 2,015
*#Daw Technologies, Inc............................... 800 1,025
*Dawson Geophysical Co................................ 300 3,206
*Daxor Corp........................................... 400 4,975
Deb Shops, Inc........................................ 2,100 31,894
*Deckers Outdoor Corp................................. 1,000 3,406
*Del Global Technologies Corp......................... 500 4,500
*#Delta Financial Corp................................ 1,000 6,750
Delta Woodside Industries, Inc........................ 2,100 14,831
*Denali, Inc.......................................... 100 781
*Designs, Inc......................................... 1,300 2,559
*Detection Systems, Inc............................... 300 2,644
Detroit Diesel Corp................................... 1,800 44,662
*Devcon International Corp............................ 400 1,244
*Diagnostic Health Services, Inc...................... 400 406
*Diamond Home Services, Inc........................... 500 2,344
*#Diamond Multimedia Systems, Inc..................... 3,000 13,266
*Dianon Systems, Inc.................................. 500 4,609
*Digi International, Inc.............................. 1,000 8,312
*Digital Link Corp.................................... 1,000 7,359
Dime Community Bancorp, Inc........................... 500 11,078
Dimon, Inc............................................ 3,800 19,950
*Discount Auto Parts, Inc............................. 1,500 37,125
Dixie Group, Inc...................................... 1,000 9,062
*Dollar Thrifty Automotive Group, Inc................. 200 4,250
*Dominion Homes, Inc.................................. 800 6,300
*Donna Karan International, Inc....................... 100 1,025
*Donnkenny, Inc....................................... 1,400 1,466
Downey Financial Corp................................. 1,653 36,366
*Dress Barn, Inc...................................... 1,900 27,966
*Drug Emporium, Inc................................... 2,100 21,262
*Drypers Corp......................................... 600 1,969
*Dura Automotive Systems, Inc......................... 314 9,302
*Durakon Industries, Inc.............................. 300 3,750
Dyersburg Corp........................................ 1,100 1,512
*Dynamics Research Corp............................... 660 3,341
*E-Z-Em, Inc. Class A................................. 300 1,519
*E-Z-Em, Inc. Class B................................. 27 135
*EA Engineering Science & Technology, Inc............. 500 500
*ECC International Corp............................... 800 2,500
*EFTC Corp............................................ 1,300 8,003
*EIS International, Inc............................... 1,500 5,016
EMC Insurance Group, Inc.............................. 200 2,287
*EMS Technologies, Inc................................ 600 8,137
*ESCO Electronics Corp. Trust Receipts................ 900 10,856
Eagle Bancshares, Inc................................. 500 9,422
*Eagle Food Centers, Inc.............................. 1,000 2,437
*Eagle Geophysical, Inc............................... 1,128 3,756
<CAPTION>
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*Eagle Point Software Corp............................ 300 $ 1,950
Eastern Co............................................ 200 5,225
*Eclipsys Corp........................................ 157 3,577
Ecology & Environment, Inc. Class A................... 200 1,400
Edo Corp.............................................. 300 2,062
*#Einstein/Noah Bagel Corp............................ 1,600 1,725
*Ekco Group, Inc...................................... 1,600 7,600
*El Paso Electric Co.................................. 1,000 8,562
*Elantec Semiconductor, Inc........................... 1,000 9,516
*Elcom International, Inc............................. 1,100 6,273
*Electric Lightwave, Inc.............................. 500 5,937
*Electro Scientific Industries, Inc................... 1,000 37,594
*Electroglas, Inc..................................... 2,000 28,500
*Eltrax System, Inc................................... 990 4,084
*Emcon................................................ 1,700 11,156
*Encad, Inc........................................... 1,000 5,953
Energen Corp.......................................... 1,800 34,425
Engle Homes, Inc...................................... 1,000 13,594
*Enserch Exploration Corp............................. 3,300 22,481
*Enterprise Software, Inc............................. 250 1,984
*Environmental Elements Corp.......................... 600 2,137
*Equitrac Corp........................................ 300 5,325
*Equity Oil Co........................................ 2,300 2,731
*Esterline Technologies Corp.......................... 1,000 14,937
Ethyl Corp............................................ 6,200 31,000
*Evans & Sutherland Computer Corp..................... 700 11,047
*Exabyte Corp......................................... 1,800 9,956
*Exar Corp............................................ 1,000 20,937
*Executone Information Systems, Inc................... 3,800 20,959
Exide Corp............................................ 2,100 32,812
*Exponent, Inc........................................ 600 4,331
*Extended Systems, Inc................................ 300 1,411
Ezcorp, Inc. Class A Non-Voting....................... 1,100 8,147
*FEI Co............................................... 1,000 8,312
FFY Financial Corp.................................... 1,000 18,375
*FSI International, Inc............................... 2,400 19,500
Fab Industries, Inc................................... 500 7,812
*Fairchild Corp. Class A.............................. 3,113 46,500
*Fansteel, Inc........................................ 700 3,937
Farrel Corp........................................... 700 1,575
*Fibermark, Inc....................................... 1,000 14,312
*Filenes Basement Corp................................ 2,900 4,803
*Finish Line, Inc. Class A............................ 2,500 30,625
*Finishmaster, Inc.................................... 500 2,812
*First Alliance Corp.................................. 500 1,430
First Bell Bancorp, Inc............................... 500 9,719
*First Cash, Inc...................................... 300 3,103
First Defiance Financial Corp......................... 700 8,312
First Essex Bancorp................................... 500 8,344
First Northern Capital Corp........................... 800 8,725
*First Republic Bank.................................. 600 15,675
First Savings Bancorp, Inc. North Carolina............ 200 3,937
*#First Team Sports, Inc.............................. 500 1,312
First Washington Bancorp, Inc......................... 1,430 28,779
*FirstFed Financial Corp. DE.......................... 1,800 33,975
*Firstwave Technologies, Inc.......................... 300 619
*Fischer Imaging Corp................................. 1,000 1,703
*Flander Corp......................................... 2,800 10,587
Fleming Companies, Inc................................ 3,100 31,969
Flexsteel Industries, Inc............................. 600 8,212
</TABLE>
4
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VA SMALL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
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------------ ------------
<S> <C> <C>
*Florida Panthers Holdings, Inc.
Class A............................................. 2,500 $ 27,187
*Florsheim Group, Inc................................. 400 2,975
Flushing Financial Corp............................... 600 8,887
*Foodarama Supermarkets, Inc.......................... 100 2,787
*#Forcenergy, Inc..................................... 2,000 2,156
*Forest Oil Corp...................................... 3,700 39,081
*Forward Air Corp., Inc............................... 600 16,369
*Foster (L.B.) Co. Class A............................ 800 4,450
Foster Wheeler Corp................................... 3,700 50,875
*Four Media Co........................................ 1,000 6,687
*Franklin Covey Co.................................... 2,400 23,400
*Franklin Electronic Publishers, Inc.................. 500 2,625
Freds, Inc. Class A................................... 2,250 29,391
Frequency Electronics, Inc............................ 1,000 8,687
*Fresh Choice, Inc.................................... 500 1,172
*#Friedman Billings Ramsey Group, Inc. Class A........ 1,000 10,437
Friedman Industries, Inc.............................. 606 2,503
Friedmans, Inc. Class A............................... 1,000 9,062
Frisch's Restaurants, Inc............................. 648 6,642
*Fritz Companies, Inc................................. 2,100 22,837
Frontier Insurance Group, Inc......................... 2,400 41,250
Frozen Food Express Industries, Inc................... 1,200 8,400
*G-III Apparel Group, Ltd............................. 600 1,284
GA Financial, Inc..................................... 200 2,975
*GC Companies, Inc.................................... 300 10,837
*GP Strategies Corp................................... 500 5,000
*GZA Geoenvironmental Technologies, Inc............... 300 1,331
*Gadzooks, Inc........................................ 800 7,675
Gainsco, Inc.......................................... 1,500 6,844
*Galey & Lord, Inc.................................... 1,300 5,362
*Galileo Corp......................................... 600 3,262
*Gantos, Inc.......................................... 500 453
Garan, Inc............................................ 400 11,500
*Garden Fresh Restaurant Corp......................... 100 1,841
*Garden Ridge Corp.................................... 1,000 6,094
*Gart Sports Co....................................... 123 838
*Gasonics International, Inc.......................... 1,300 15,803
*Gehl Co.............................................. 500 10,297
*General Cigar Holdings, Inc. Class A................. 1,200 9,600
*General Communications, Inc.
Class A............................................. 5,000 24,844
*#General Datacomm Industries, Inc.................... 1,300 3,575
General Housewares Corp............................... 300 3,750
*General Surgical Innovations, Inc.................... 1,500 5,812
*Genesis Health Ventures, Inc......................... 3,100 13,756
*#Geneva Steel Co. Class A............................ 800 300
*Genicom Corp......................................... 700 1,291
*Genlyte Group, Inc................................... 1,100 23,616
*Gensym Corp.......................................... 500 1,922
*Geoscience Corp...................................... 200 1,337
*Getty Petroleum Marketing, Inc....................... 900 2,812
*Giant Group, Ltd..................................... 400 2,800
Giant Industries, Inc................................. 1,000 10,562
*Gibraltar Packaging Group, Inc....................... 900 1,125
Gibraltar Steel Corp.................................. 500 10,937
*Gibson Greetings, Inc................................ 1,400 10,237
*Gish Biomedical, Inc................................. 1,000 2,906
Glatfelter (P.H.) Co.................................. 3,700 49,256
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Gleason Corp.......................................... 200 $ 3,350
*Glenayre Technologies, Inc........................... 6,800 24,437
*Global Industrial Technologies, Inc.................. 1,900 23,631
*#Golden Books Family Entertainment, Inc.............. 1,000 345
*Good Guys, Inc....................................... 1,200 3,769
*Gottschalks, Inc..................................... 1,400 11,550
*Government Technology Services, Inc.................. 1,600 6,150
*Gradco Systems, Inc.................................. 700 1,728
*Graham-Field Health Products, Inc.................... 2,730 6,142
Grand Premier Financial, Inc.......................... 1,135 13,443
Granite State Bankshares, Inc......................... 300 6,581
Greenbrier Companies, Inc............................. 1,300 12,106
*Griffon Corp......................................... 2,800 22,400
Guarantee Life Companies, Inc......................... 1,100 21,794
*Guest Supply, Inc.................................... 500 5,281
Guilford Mills, Inc................................... 1,800 18,000
*Gundle/SLT Environmental, Inc........................ 1,600 6,400
*HCIA, Inc............................................ 1,800 15,469
HF Financial Corp..................................... 300 4,462
HMN Financial, Inc.................................... 750 9,469
*HS Resources, Inc.................................... 2,000 24,000
*Hadco Corp........................................... 1,300 40,381
Haggar Corp........................................... 600 7,612
*Halter Marine Group, Inc............................. 1,100 8,112
*Hampton Industries, Inc.............................. 484 2,148
*Harding Lawson Associates Group, Inc................. 400 3,375
Hardinge Brothers, Inc................................ 1,000 17,406
Harleysville Group, Inc............................... 3,400 65,875
Harman International Industries, Inc.................. 1,400 62,125
Harnischfeger Industries, Inc......................... 3,700 26,594
*Harry's Farmers Market, Inc. Class A................. 500 453
*Hartmarx Corp........................................ 2,800 13,825
*Harvey Entertainment Co.............................. 400 2,550
*Hastings Entertainment, Inc.......................... 600 6,862
*Hathaway Corp........................................ 400 675
*Hauser, Inc.......................................... 1,100 2,716
Haven Bancorp, Inc.................................... 1,000 14,000
Haverty Furniture Co., Inc............................ 1,700 50,150
*Hawaiian Airlines, Inc............................... 3,200 8,800
*Hawker Pacific Aerospace............................. 300 806
*Health Management Systems, Inc....................... 1,200 6,825
*Healthcare Services Group, Inc....................... 2,250 20,672
*Healthcor Holdings................................... 500 125
Healthplan Services Corp.............................. 600 5,325
Heilig-Meyers Co...................................... 5,450 37,809
*Hello Direct, Inc.................................... 300 3,403
*Hexcel Corp.......................................... 1,400 14,962
*#Hi/Fn, Inc.......................................... 25 1,446
*High Plains Corp..................................... 1,600 3,350
*Highlands Insurance Group, Inc....................... 1,500 16,031
*Hirsch International Corp. Class A................... 1,000 2,219
*Hoenig Group, Inc.................................... 500 4,594
Holly Corp............................................ 500 6,375
*Hollywood Casino Corp. Class A....................... 800 1,325
*Hollywood Entertainment Corp......................... 3,200 82,800
*Hollywood Park, Inc.................................. 2,000 28,875
*Hologic, Inc......................................... 2,000 15,250
Home Port Bancorp, Inc................................ 200 4,925
</TABLE>
5
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*#Homebase, Inc....................................... 3,400 $ 19,337
*Homestead Village, Inc............................... 2,500 7,344
Horizon Financial Corp................................ 1,230 16,951
*Hospitality Worldwide Services, Inc.................. 1,000 3,500
*Houston Exploration Co............................... 2,400 45,150
*Hovnanian Enterprises, Inc. Class A.................. 1,300 10,562
*Hub Group, Inc. Class A.............................. 1,000 27,812
Huffy Corp............................................ 800 10,750
Hughes Supply, Inc.................................... 1,450 39,059
Hunt (J.B.) Transport Services, Inc................... 4,400 74,525
Huntco, Inc. Class A.................................. 300 862
*Hurco Companies, Inc................................. 1,000 6,437
*Hutchinson Technology, Inc........................... 1,600 37,150
*Hvide Marine, Inc. Class A........................... 500 914
*Hycor Biomedical, Inc................................ 600 937
*Hypercom Corp........................................ 700 4,944
*Hyseq, Inc........................................... 1,400 4,637
*ICF Kaiser International, Inc........................ 1,800 900
*ICT Group, Inc....................................... 300 1,547
*ICU Medical, Inc..................................... 1,500 26,906
*IEC Electronics Corp................................. 1,300 4,712
*IFR Systems, Inc..................................... 1,000 3,937
*IHOP Corp............................................ 1,600 38,300
*II-VI, Inc........................................... 1,000 9,031
*IMC Mortgage Co...................................... 2,800 371
IMCO Recycling, Inc................................... 1,200 20,100
ISB Financial Corp. LA................................ 100 2,131
*ITEQ, Inc............................................ 3,044 6,373
*ITLA Capital Corp.................................... 1,000 16,125
*IVI Checkmate Corp................................... 400 1,181
Ico, Inc.............................................. 1,800 2,278
*Ikos Systems, Inc.................................... 1,000 8,687
*Imation Corp......................................... 3,100 72,850
*Immulogic Pharmaceutical Corp........................ 1,500 2,836
*Imperial Credit Industries, Inc...................... 3,300 27,431
Imperial Sugar Co..................................... 2,100 12,731
*In Focus Systems, Inc................................ 1,400 14,744
*Inacom Corp.......................................... 2,800 30,975
*Industrial Distribution Group, Inc................... 500 3,375
*Inference Corp. Class A.............................. 1,500 7,172
*Infonautics Corp. Class A............................ 500 3,094
*Information Management Associates, Inc............... 600 1,987
*Information Resources, Inc........................... 3,200 27,300
Ingles Market, Inc. Class A........................... 400 4,837
*Innodata Corp........................................ 66 672
*#Inprise Corp........................................ 1,900 6,887
*Input Software, Inc.................................. 1,000 5,687
*Input/Output, Inc.................................... 3,600 30,600
*Inso Corp............................................ 1,000 6,828
Insteel Industries, Inc............................... 700 6,037
Instron Corp.......................................... 1,000 19,875
*Insurance Auto Auctions, Inc......................... 1,000 13,000
*Integra, Inc......................................... 1,200 1,650
*Integrated Device Technology, Inc.................... 9,137 72,239
*Integrated Health Services, Inc...................... 1,400 8,225
*Integrated Silicon Solution, Inc..................... 2,100 5,578
*Intelligent Systems Corp............................. 500 1,531
*Interface Systems, Inc............................... 400 937
Interface, Inc. Class A............................... 3,600 28,125
*Intergraph Corp...................................... 5,300 42,234
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Interlinq Software Corp.............................. 1,000 $ 7,984
*Intermagnetics General Corp.......................... 1,020 7,969
International Aluminum Corp........................... 500 13,937
International Multifoods Corp......................... 1,500 33,000
*International Rectifier Corp......................... 4,000 43,500
*International Remote Imaging Systems, Inc............ 100 137
International Shipholding Corp........................ 400 5,575
*International Thoroughbred Breeders, Inc............. 800 250
*International Total Services, Inc.................... 400 1,525
*Interphase Corp...................................... 900 12,937
Interpool, Inc........................................ 1,950 24,497
*Intertan, Inc........................................ 900 13,894
*Ionics, Inc.......................................... 100 3,131
Isco, Inc............................................. 200 1,125
*Isle of Capri Casinos, Inc........................... 3,700 26,073
*Isolyser Co., Inc.................................... 4,100 14,542
*Iwerks Entertainment, Inc............................ 1,900 1,752
*J & J Snack Foods Corp............................... 1,800 37,125
*J. Alexander's Corp.................................. 300 1,237
*JDA Software Group, Inc.............................. 100 894
JSB Financial, Inc.................................... 900 46,125
*Jackpot Enterprises, Inc............................. 700 5,819
*Jaclyn, Inc.......................................... 200 600
*Jaco Electronics, Inc................................ 300 1,144
*Jacobson Stores, Inc................................. 500 3,687
*Jan Bell Marketing, Inc.............................. 2,200 6,737
*Jason, Inc........................................... 1,700 14,344
*Jean Philippe Fragrances, Inc........................ 500 4,094
*Johnson Worldwide Associates, Inc. Class A........... 1,500 13,406
*Johnston Industries, Inc............................. 600 1,350
*Johnstown American Industries, Inc................... 1,300 20,394
*Jos. A. Bank Clothiers, Inc.......................... 1,000 7,172
*Jps Packaging Company................................ 500 2,437
*#Jumbosports, Inc.................................... 1,700 208
*#Just for Feet, Inc.................................. 1,200 9,112
Justin Industries, Inc................................ 3,300 43,828
K Swiss, Inc. Class A................................. 600 34,500
K2, Inc............................................... 1,200 11,925
KCS Energy, Inc....................................... 3,100 1,744
*KLLM Transport Services, Inc......................... 500 3,375
*KVH Industries, Inc.................................. 500 1,219
*Kaiser Aluminum Corp................................. 7,000 61,250
*Kaiser Ventures, Inc................................. 1,600 22,400
Kaman Corp. Class A................................... 1,800 23,962
Katy Industries, Inc.................................. 800 13,150
Kellwood Co........................................... 1,800 42,750
*Kemet Corp........................................... 1,000 16,062
*Kent Electronics Corp................................ 2,600 33,962
*Key Energy Group, Inc................................ 1,000 3,187
*Key Production Co., Inc.............................. 800 6,800
*Key Tronic Corp...................................... 1,000 5,344
*Keystone Consolidated Industries, Inc................ 598 4,373
Kimball International, Inc. Class B................... 2,000 35,875
*Kimmins Corp......................................... 300 380
*Kinark Corp.......................................... 100 225
*Kinnard Investment, Inc.............................. 300 1,214
*Kitty Hawk, Inc...................................... 1,000 7,906
</TABLE>
6
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
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<S> <C> <C>
Klamath First Bancorp, Inc............................ 1,300 $ 20,394
Knape & Vogt Manufacturing Co......................... 500 7,875
*Komag, Inc........................................... 5,700 21,553
*Koss Corp............................................ 1,000 12,312
*Kulicke & Soffa Industries, Inc...................... 3,100 65,294
LNR Property Corp..................................... 200 4,000
LTV Corp.............................................. 2,000 12,250
*LTX Corp............................................. 3,900 34,856
*La Jolla Pharmceutical Co............................ 500 539
Lab Holdings, Inc..................................... 300 4,219
*Laboratory Corp. of America Holdings, Inc............ 1,500 3,750
*Laclede Steel Co..................................... 200 91
*Ladd Furniture, Inc.................................. 1,200 24,600
*Lai Worldwide, Inc................................... 100 594
*Lakes Gaming, Inc.................................... 825 9,642
*Lam Research Corp.................................... 500 13,859
*Lamson & Sessions Co................................. 1,500 8,812
*Lancer Corp.......................................... 300 2,344
*Landair Corp......................................... 300 1,430
Landamerica Financial Group, Inc...................... 800 22,950
*Landrys Seafood Restaurants, Inc..................... 3,300 30,525
*Larscom, Inc......................................... 200 506
*#LaserSight Corporation.............................. 1,300 22,466
*Layne Christensen Co................................. 1,000 6,687
*Lazare Kaplan International, Inc..................... 1,000 9,500
*Leapnet, Inc......................................... 1,000 2,469
*#Leasing Solutions, Inc.............................. 1,200 1,275
*Lechters, Inc........................................ 2,200 5,088
Lesco, Inc............................................ 500 8,875
Life USA Holdings, Inc................................ 2,700 53,916
Lifetime Hoan Corp.................................... 800 7,200
Lillian Vernon Corp................................... 800 10,300
Lindberg Corp......................................... 400 4,700
*Lodgenet Entertainment Corp.......................... 2,000 24,875
*Lodgian, Inc......................................... 1,200 8,400
*Loehmanns, Inc....................................... 200 178
*#Logic Devices, Inc.................................. 700 2,428
*Lone Star Steakhouse Saloon.......................... 4,300 43,672
*Lone Star Technologies, Inc.......................... 1,800 28,013
Longview Fibre Co..................................... 1,700 23,056
*Loronix Information Systems, Inc..................... 200 1,988
*Louis Dreyfus Natural Gas Corp....................... 3,350 65,325
Luby's Cafeterias, Inc................................ 400 6,800
Lufkin Industries, Inc................................ 600 10,069
*Lumisy, Inc.......................................... 1,100 4,263
*Lunar Corp........................................... 500 4,141
*Lydall, Inc. DE...................................... 1,000 12,063
M.A. Hanna Co......................................... 3,900 57,525
*#M.H. Meyerson & Co., Inc............................ 200 1,563
MDC Holdings, Inc..................................... 1,400 27,650
*MEMC Electronic Materials, Inc....................... 2,700 22,275
MI Schottenstein Homes, Inc........................... 800 15,500
*MIM Corp............................................. 200 544
MMI Companies, Inc.................................... 1,000 17,250
*MRV Communications, Inc.............................. 2,900 33,894
*MS Carriers, Inc..................................... 2,100 66,806
MTS Systems Corp...................................... 1,600 18,800
*Magellan Health Services, Inc........................ 1,800 14,513
*Magnetek, Inc........................................ 1,000 10,125
*Magnum Hunter Resources, Inc......................... 500 1,813
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Main Street & Main, Inc.............................. 1,000 $ 3,563
*Manugistic Group, Inc................................ 1,500 13,547
*Mapinfo Corp......................................... 100 1,888
Marcus Corp........................................... 1,500 18,844
*Marine Transport Corp................................ 360 1,541
*Mariner Post-Acute Network, Inc...................... 2,400 5,400
*Marisa Christina, Inc................................ 600 469
Maritrans, Inc........................................ 1,000 5,750
*Marlton Technologies, Inc............................ 200 938
Marsh Supermarkets, Inc. Class A...................... 300 4,463
Marsh Supermarkets, Inc. Class B...................... 400 5,000
*Marshall Industries.................................. 1,100 19,388
*Material Sciences Corp............................... 800 8,900
*Matlack Systems, Inc................................. 200 1,038
*Matria Healthcare, Inc............................... 3,400 20,188
*Matrix Pharmaceutical, Inc........................... 1,700 7,995
*Matrix Service Co.................................... 1,800 7,088
*Mattson Technology, Inc.............................. 1,200 8,625
*Maverick Tube Corp................................... 2,200 28,531
*Maxco, Inc........................................... 700 4,681
*Maxicare Health Plans, Inc........................... 500 2,484
*Maxim Group, Inc..................................... 900 8,100
*Maxxam, Inc.......................................... 500 30,625
*Maxxim Medical, Inc.................................. 700 11,113
*McNaughton Apparel Group, Inc........................ 800 4,850
*McWhorter Technologies, Inc.......................... 500 6,938
Meadowbrook Insurance Group, Inc...................... 500 6,750
*Medaphis Corp........................................ 8,600 42,731
Medford Bancorp, Inc.................................. 600 9,900
*Media 100, Inc....................................... 700 4,703
*Medical Alliance, Inc................................ 400 1,075
*Medical Graphics Corp................................ 300 403
*#Medical Resources, Inc.............................. 600 1,256
*Medicore, Inc........................................ 500 531
*Medstone International, Inc.......................... 300 2,184
Merchants Bancorp, Inc................................ 400 11,075
*Mercury Air Group, Inc............................... 400 2,650
*Meridian Data, Inc................................... 1,000 7,563
Meridian Insurance Group, Inc......................... 660 10,931
*Meridian Resource Corp............................... 1,000 5,375
*Merisel, Inc......................................... 2,500 5,820
*Merix Corp........................................... 500 3,000
*Mesa Air Group, Inc.................................. 3,800 25,056
*Mesaba Holdings, Inc................................. 1,050 15,586
*Metacreations Corp................................... 1,900 11,222
*#Metal Management, Inc............................... 4,300 7,928
*Metals USA, Inc...................................... 200 2,300
*Metatec Corp. Class A................................ 1,100 4,916
*Metra Biosystems, Inc................................ 2,000 2,156
*Metrika System Corp.................................. 200 1,913
*Metrocall, Inc....................................... 5,080 14,843
*Metromedia International Group, Inc.................. 3,600 29,925
*Michael Anthony Jewelers, Inc........................ 500 1,969
Michael Foods, Inc.................................... 1,700 39,844
*Michaels Stores, Inc................................. 3,400 91,163
*Micro Linear Corp.................................... 1,000 3,609
*Micro Warehouse, Inc................................. 3,600 55,913
*Microage, Inc........................................ 2,200 12,306
*Microcide Pharmaceuticals, Inc....................... 400 1,681
*Microsemi Corp....................................... 1,000 9,719
*Microtest, Inc....................................... 1,700 4,516
</TABLE>
7
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Microtouch Systems, Inc.............................. 1,000 $ 14,688
*Microwave Power Dynamics, Inc........................ 400 6,050
Mid America Banccorp.................................. 899 21,801
*Midway Airlines Corp................................. 500 5,156
*Midwest Grain Products, Inc.......................... 600 5,588
Mikasa, Inc........................................... 1,200 13,350
*Mikohn Gaming Corp................................... 1,800 6,863
*Miller Industries, Inc............................... 1,800 8,663
*Miltope Group, Inc................................... 500 578
Mine Safety Appliances Co............................. 500 31,594
Mississippi Chemical Corp............................. 2,800 26,950
Mitchell Energy & Development Corp. Class B........... 200 3,225
*Monarch Casino and Resort, Inc....................... 500 2,953
*Monarch Dental Corp.................................. 500 1,797
Monarch Machine Tool Co............................... 300 2,644
*Monro Muffler Brake, Inc............................. 630 5,335
*Moog, Inc. Class A................................... 500 13,719
*Moore Medical Corp................................... 100 1,056
Moore Products Co..................................... 100 2,338
*Morgan Products, Ltd................................. 700 2,603
*Morrison Knudsen Corp................................ 3,900 38,756
*#Morrow Snowboards, Inc.............................. 100 22
*Mosaix, Inc.......................................... 1,000 10,406
*Mother's Work, Inc................................... 200 2,238
*Motor Car Parts & Accessories, Inc................... 200 1,156
Movado Group, Inc..................................... 937 22,605
*Movie Gallery, Inc................................... 2,100 12,928
*Multiple Zones International, Inc.................... 500 4,438
*Mutual Savings Bank FSB Bay City, MI................. 500 6,453
*Mylex Corp........................................... 1,500 7,922
*N & F Worldwide Corp................................. 1,500 11,625
*NABI, Inc............................................ 3,900 11,091
NBT Bancorp........................................... 1,131 23,468
NCH Corp.............................................. 200 10,975
*NCS Healthcare, Inc.................................. 600 8,175
*NPS Pharmaceuticals, Inc............................. 1,000 7,000
*NS Group, Inc........................................ 1,200 8,550
*NSC Corp............................................. 1,269 1,487
NYMAGIC, Inc.......................................... 1,000 12,500
*Napco Security Systems, Inc.......................... 500 1,438
Nash Finch Co......................................... 900 8,381
*Nashua Corp.......................................... 500 5,688
*Nastech Pharmaceutical Co., Inc...................... 1,000 2,656
*Nathans Famous, Inc.................................. 400 1,513
*National City Bancorp................................ 798 15,960
*National Home Centers, Inc........................... 500 625
*National Home Health Care Corp....................... 206 895
National Presto Industries, Inc....................... 500 18,656
*National Processing, Inc............................. 600 3,600
*National Research Corp............................... 300 806
National Steel Corp. Class B.......................... 2,800 21,350
National Technical Systems, Inc....................... 100 450
*National Techteam, Inc............................... 1,200 6,413
*Natural Alternatives International, Inc.............. 200 719
*Natural Microsystems Corp............................ 300 1,838
*Natural Wonders, Inc................................. 700 2,603
Nelson (Thomas), Inc.................................. 300 2,944
*Neopath, Inc......................................... 500 1,984
*Netmanage, Inc....................................... 5,928 15,654
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Netrix Corp.......................................... 1,300 $ 4,306
*Network Computing Devices, Inc....................... 1,300 6,175
*Network Equipment Technologies, Inc.................. 2,200 22,825
*Network Peripherals, Inc............................. 800 11,575
*Neurocrine Biosciences, Inc.......................... 1,500 8,156
*New Brunswick Scientific Co., Inc.................... 418 3,919
*New Horizons Worldwide, Inc.......................... 600 12,038
Newmil Bancorp, Inc................................... 200 2,013
*Newpark Resources, Inc............................... 400 3,600
#Newport Corp......................................... 500 7,594
*Nexthealth, Inc...................................... 700 766
*#Niagara Corp........................................ 100 716
*Nine West Group...................................... 3,100 86,025
*Nitinol Medical Technologies, Inc.................... 200 625
*Nobel Learning Communities, Inc...................... 200 1,100
*Noodle Kidoodle, Inc................................. 1,700 10,997
*Nord Resources Corp.................................. 1,900 772
*Norstan, Inc......................................... 300 3,384
*North Face, Inc...................................... 1,200 10,763
Northland Cranberries, Inc. Class A................... 1,000 9,031
*Northwestern Steel & Wire Co......................... 3,900 4,753
*Novacare, Inc........................................ 5,600 11,900
*Nu Horizons Electronics Corp......................... 1,100 6,806
*Nuevo Energy Co...................................... 1,400 21,350
*Numerex Corp. Class A................................ 1,000 3,719
O'Sullivan Corp....................................... 1,600 14,200
*O'Sullivan Industries Holdings, Inc.................. 1,100 18,288
*O.I. Corp............................................ 400 1,913
*ODS Networks, Inc.................................... 1,300 4,469
*OMNI Energy Services Corp............................ 200 875
*OSI Systems, Inc..................................... 100 538
*Oak Technology, Inc.................................. 4,600 16,028
*Objective Systems Integrators, Inc................... 2,500 7,148
Ocean Financial Corp.................................. 1,600 28,050
*Oceaneering International, Inc....................... 500 7,719
*Ocwen Financial Corp................................. 1,500 13,031
*Offshore Logistics, Inc.............................. 2,800 31,588
Oil-Dri Corp. of America.............................. 100 1,538
*Old Dominion Freight Lines, Inc...................... 1,000 11,750
Olsten Corp........................................... 4,600 40,825
*Olympic Steel, Inc................................... 1,700 13,069
*Omtool, Ltd.......................................... 500 1,906
*One Price Clothing Stores, Inc....................... 1,900 7,808
*Onyx Acceptance Corp................................. 100 791
*Onyx Pharmacueticals, Inc............................ 800 6,450
*Opinion Research Corp................................ 200 1,075
*Opta Food Ingredients, Inc........................... 1,300 4,245
*Opti, Inc............................................ 1,200 7,613
Optical Coating Laboratory, Inc....................... 1,000 64,938
*Optika Imaging Systems, Inc.......................... 400 2,450
*Option Care, Inc..................................... 800 1,875
*Orange Co., Inc...................................... 700 3,588
Oregon Steel Mills, Inc............................... 2,700 36,956
*Oroamerica, Inc...................................... 700 5,359
*Ortel Corp........................................... 200 2,150
*Orthologic Corp...................................... 2,000 5,344
Oshkosh Truck Corp. Class B........................... 1,700 67,256
*Oshman's Sporting Goods, Inc......................... 500 1,313
*Osmonics, Inc........................................ 1,300 15,275
*Ostex International, Inc............................. 2,000 2,594
</TABLE>
8
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Outlook Group Corp................................... 400 $ 1,525
*Outsource International, Inc......................... 300 1,345
Overseas Shipholding Group, Inc....................... 1,800 22,500
Owosso Corp........................................... 200 1,050
Oxford Industries, Inc................................ 700 19,425
*P-Com, Inc........................................... 4,700 20,783
*PC Service Source, Inc............................... 1,000 3,813
*PIA Merchandising Services, Inc...................... 200 513
*PLM International, Inc............................... 1,000 6,000
*PMR Corp............................................. 100 391
*PPT Vision, Inc...................................... 300 1,425
*PS Group Holdings, Inc............................... 500 5,500
PXRE Corp............................................. 1,511 28,142
*Pancho's Mexican Buffet, Inc......................... 133 511
*Panera Bread CO...................................... 600 4,200
*Par Technology Corp.................................. 1,000 6,500
*Paragon Trade Brands, Inc............................ 500 1,250
Park Electrochemical Corp............................. 1,300 31,119
*Parker Drilling Co................................... 6,700 20,938
*Park-Ohio Holdings Corp.............................. 1,700 27,519
*Parlex Corp.......................................... 200 2,775
*Parlux Fragrances, Inc............................... 2,400 4,875
#Patina Oil & Gas Corp................................ 1,000 5,125
Patrick Industries, Inc............................... 1,000 13,000
*Patterson Energy, Inc................................ 3,400 28,209
*Paul Harris Stores, Inc.............................. 500 3,234
Paula Financial, Inc.................................. 300 2,578
*Paxson Communications Corp........................... 3,000 38,813
*Payless Cashways, Inc................................ 34 70
*Paymentech, Inc...................................... 3,100 77,694
*Pediatric Services of America, Inc................... 1,000 1,531
Penford Corp.......................................... 400 5,263
*#Penn Traffic Co..................................... 200 44
*Penn Treaty American Corp............................ 600 15,113
Penn Virginia Corp.................................... 400 7,750
Penn-America Group, Inc............................... 500 5,500
#Penncorp Financial Group, Inc........................ 2,100 1,181
Pennfed Financial Services, Inc....................... 1,000 14,563
*Pentacon, Inc........................................ 1,000 4,938
*Penwest Pharmaceuticals Company...................... 600 5,250
Peoples Bancor........................................ 1,900 19,772
*#Peoples Choice TV Corp.............................. 1,000 9,344
*Perceptron, Inc...................................... 200 1,013
*Perini Corp.......................................... 400 2,000
*Periphonics Corp..................................... 1,200 12,825
*Perrigo Co........................................... 4,900 44,866
*Personnel Group of America, Inc...................... 1,300 14,788
*Petco Animal Supplies, Inc........................... 2,500 35,234
*Petrocorp, Inc....................................... 1,700 10,200
*Petroleum Development Corp........................... 700 3,183
*Pharmchem Laboratories, Inc.......................... 500 1,297
*Phar-Mor, Inc........................................ 1,100 5,259
Phillips-Van Heusen Corp.............................. 2,500 21,875
*Phoenix International Life Sciences, Inc............. 34 288
*Phoenix International, Ltd........................... 300 1,884
*Phoenix Technologies, Ltd............................ 1,800 19,575
*Photon Dynamics, Inc................................. 400 3,556
*Phycor, Inc.......................................... 6,300 44,198
*Phymatrix Corp....................................... 1,600 2,625
*Physician Reliance Network, Inc...................... 4,200 39,244
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Piccadilly Cafeterias, Inc............................ 900 $ 9,563
*Pico Holdings, Inc................................... 780 15,795
*Picturetel Corp...................................... 3,800 33,606
Pillowtex Corp........................................ 1,100 17,875
Pinnacle Bancshares, Inc.............................. 200 2,025
*Pinnacle Global Group, Inc........................... 300 1,838
*Pinnacle Systems, Inc................................ 240 12,345
Pioneer Standard Electronics, Inc..................... 2,300 22,497
Pitt-Des Moines, Inc.................................. 1,000 25,250
Pittston Co. Burlington Group......................... 1,700 18,381
*Planar Systems, Inc.................................. 1,800 14,513
*#Planet Hollywood, Inc............................... 7,600 6,650
*Players International, Inc........................... 5,000 32,656
*#Pluma, Inc.......................................... 200 25
*Polymedica Industries, Inc........................... 500 4,328
*Polymer Group, Inc................................... 2,500 30,625
*Pool Energy Services Co.............................. 1,900 31,766
Pope & Talbot, Inc.................................... 1,100 11,000
*Powercerv Corp....................................... 1,300 2,844
*Powerhouse Technologies, Inc......................... 900 16,622
*Power-One, Inc....................................... 200 3,269
*Powertel, Inc........................................ 2,500 62,031
*Praegitzer Industries, Inc........................... 1,000 5,438
*Precision Response, Corp............................. 1,500 8,813
Presidential Life Corp................................ 2,900 53,197
*Price Communications Corp............................ 3,050 43,463
*Pricesmart, Inc...................................... 450 11,363
*Pride International, Inc............................. 4,100 42,794
*Primark Corp......................................... 600 16,238
Prime Bancorp, Inc.................................... 660 17,779
*Prime Hospitality Corp............................... 3,900 40,706
*Prime Medical Services, Inc.......................... 1,500 11,203
Primesource Corp...................................... 500 3,266
*Priority Healthcare Corp............................. 537 18,426
*#Procyte Corp........................................ 1,100 808
*ProMedCo Management Company.......................... 2,200 9,006
*Protocol Systems, Inc................................ 1,400 13,344
*Proxim, Inc.......................................... 900 34,425
*#Pure World, Inc..................................... 220 949
*Pyramid Breweries, Inc............................... 300 586
*QMS, Inc............................................. 900 3,994
*Qad, Inc............................................. 200 694
*Quad Systems Corp.................................... 1,200 2,288
Quaker Chemical Corp.................................. 500 8,688
*Quaker City Bancorp, Inc............................. 625 10,469
*Quaker Fabric Corp................................... 1,250 6,289
*Quality Dining, Inc.................................. 1,400 4,288
*Quality Systems, Inc................................. 1,000 5,813
Quanex Corp........................................... 1,600 41,800
*Quest Diagnostics, Inc............................... 1,700 43,456
*Quintel Entertainment, Inc........................... 1,000 1,641
Quixote Corp.......................................... 1,000 13,125
*R & B, Inc........................................... 1,100 9,350
*RCM Technologies, Inc................................ 500 7,234
*RDO Equipment Co. Class A............................ 200 1,850
RLI Corp.............................................. 750 27,891
*RMH Teleservices, Inc................................ 200 594
RPC, Inc.............................................. 2,400 21,600
*#RTI International Metals, Inc....................... 1,500 19,969
*RTW, Inc............................................. 1,000 6,375
*Radiance Medical Systems, Inc........................ 1,000 2,813
</TABLE>
9
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CONTINUED
<TABLE>
<CAPTION>
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------------ ------------
<S> <C> <C>
*Rag Shops, Inc....................................... 200 $ 488
*Railamerica, Inc..................................... 500 4,844
*Railtex, Inc......................................... 1,000 13,875
*Rainbow Technologies, Inc............................ 800 7,975
*Rainforest Cafe, Inc................................. 2,800 15,138
*Rally's Hamburgers, Inc.............................. 1,300 894
*Ramsay Youth Services, Inc........................... 233 1,362
#Range Resources Corp................................. 3,000 14,438
*Rare Hospitality International, Inc.................. 1,800 41,175
*Reading Entertainment, Inc........................... 400 3,163
*Read-Rite Corp....................................... 1,900 12,469
*#Recoton Corp........................................ 800 7,988
*Red Roof Inns, Inc................................... 1,600 28,800
*#Redhook Ale Brewery, Inc............................ 1,000 3,969
Redwood Empire Bancorp................................ 200 5,150
*Refac Technology Development Corp.................... 300 2,100
*Regeneron Pharmaceuticals, Inc....................... 2,100 14,930
*Reliability, Inc..................................... 500 2,047
*Relm Wireless Corp................................... 400 963
*Rentrak Corp......................................... 100 397
*#Reptron Electronics, Inc............................ 1,000 4,156
Republic Bancorp, Inc................................. 1,201 15,425
Republic Security Financial Corp...................... 5,452 45,490
*Research Partners International, Inc................. 300 1,116
Resource America, Inc................................. 1,100 15,847
Resource Bancshares Mortgage Group, Inc............... 1,630 16,962
*Response Oncology, Inc............................... 873 2,810
*Rex Stores Corp...................................... 500 10,313
*Riddell Sports, Inc.................................. 1,700 5,100
*#Ride, Inc........................................... 2,000 2,125
Riggs National Corp................................... 2,000 33,188
*Right Management Consultants, Inc.................... 300 4,988
*Rightchoice Managed Care, Inc. Class A............... 300 3,600
Riverview Bancorp, Inc................................ 300 3,581
Roanoke Electric Steel Corp........................... 1,800 28,800
*Roberds, Inc......................................... 500 1,234
*Robotic Vision Systems, Inc.......................... 1,500 4,289
*#Rochester Medical Corp.............................. 200 2,238
*Rock Bottom Restaurants, Inc......................... 1,600 14,375
*Rockshox, Inc........................................ 1,500 1,500
Rock-Tenn Co. Class A................................. 2,400 36,300
*Rocky Shoes & Boots, Inc............................. 100 672
*Rofin-Sinar Technologies, Inc........................ 1,000 8,219
*Rogue Wave Software, Inc............................. 500 4,375
Rollins Truck Leasing Corp............................ 5,850 63,619
Roslyn Bancorp, Inc................................... 2,050 36,964
*Rottlund, Inc........................................ 500 2,500
Rouge Industries, Inc. Class A........................ 900 7,875
*Rural/Metro Corp..................................... 1,000 7,438
Russ Berrie & Co., Inc................................ 500 12,844
*Ryans Family Steak Houses, Inc....................... 4,500 52,031
Ryland Group, Inc..................................... 1,800 50,063
*S&K Famous Brands, Inc............................... 400 3,863
*S3, Inc.............................................. 5,600 37,625
SCPIE Holdings, Inc................................... 1,100 31,350
*SED International Holdings, Inc...................... 1,000 2,531
*SEMX Corp............................................ 1,000 3,031
*SPR, Inc............................................. 200 1,344
*SSE Telecom, Inc..................................... 500 586
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*STM Wireless, Inc. Class A........................... 200 $ 538
*#SYNC Research, Inc.................................. 1,100 550
*Safety 1st, Inc...................................... 200 1,063
*San Filippo (John B.) & Son, Inc..................... 800 2,775
Sanderson Farms, Inc.................................. 1,300 17,306
*Sandisk Corp......................................... 1,500 46,875
*Sands Regent Casino Hotel............................ 400 750
*Santa Cruz Operation, Inc............................ 2,400 14,175
*Santa Fe Snyder Corp................................. 7,900 67,150
*Saucony, Inc. Class B................................ 300 5,081
*Savoir Technology Group, Inc......................... 500 4,844
*Scan-Optics, Inc..................................... 1,000 3,344
Schnitzer Steel Industries, Inc.
Class A............................................. 1,000 15,125
*Scholastic Corp...................................... 1,100 53,453
*#Schuff Steel Company................................ 200 1,238
*Schuler Homes, Inc................................... 1,800 13,050
Schulman (A.), Inc.................................... 2,100 35,044
Schweitzer-Maudoit Int'l, Inc......................... 700 10,719
Scotsman Industries, Inc.............................. 1,200 24,675
*Seacor Smit, Inc..................................... 1,000 49,625
*Seattle Filmworks, Inc............................... 1,000 3,219
*Secom General Corp................................... 80 183
*Segue Software, Inc.................................. 300 1,903
*Seibels Bruce Group, Inc............................. 1,000 4,875
*Seitel, Inc.......................................... 2,000 31,625
Selective Insurance Group, Inc........................ 2,100 39,375
*Semitool, Inc........................................ 1,300 11,091
*Sensormatic Electronics Corp......................... 1,800 24,075
*Sequa Corp. Class A.................................. 200 11,575
*Sequent Computer Systems, Inc........................ 4,700 61,394
*Service Experts, Inc................................. 500 9,281
*#Service Merchandise Co., Inc........................ 8,800 3,575
*Sharper Image Corp................................... 500 4,531
*Shaw Group, Inc...................................... 1,000 13,063
*Sheldahl, Inc........................................ 1,000 6,031
*Shells Seafood Restaurants, Inc...................... 300 1,322
*Shiloh Industries, Inc............................... 1,100 13,647
*Shoe Carnival, Inc................................... 800 12,950
*Sholodge, Inc........................................ 600 2,888
*Shoney's, Inc........................................ 2,258 5,222
*Sierra Health Services, Inc.......................... 1,100 16,775
Sifco Industries, Inc................................. 400 3,550
*Sight Resource Corp.................................. 1,700 6,641
*Signal Technology Corp............................... 600 3,225
*Signature Eyewear, Inc............................... 200 775
*Silicon Valley Group, Inc............................ 3,800 52,488
*Silverleaf Resorts, Inc.............................. 500 3,875
*Simione Central Holdings, Inc........................ 400 1,069
Simmons First National Corp. Class A.................. 200 6,725
Simpson Industries, Inc............................... 1,900 19,119
*Simula, Inc.......................................... 500 2,688
*Sitel Corp........................................... 4,000 11,000
*Sizzler International, Inc........................... 2,400 4,800
Skyline Corp.......................................... 900 28,069
Skywest, Inc.......................................... 2,200 51,013
Smart & Final Food, Inc............................... 2,000 19,125
*Smartflex Systems, Inc............................... 1,000 4,313
Smith (A.O.) Corp..................................... 1,200 29,250
Smith (A.O.) Corp. Convertible
Class A............................................. 300 7,275
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
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*Smithway Motor Express Corp.
Class A............................................. 100 $ 1,022
*Sodak Gaming, Inc.................................... 1,900 17,456
*Softech, Inc......................................... 300 694
*#Software Spectrum, Inc.............................. 1,000 13,531
*Sola International, Inc.............................. 2,500 41,719
*Sonosight, Inc....................................... 366 6,382
South Jersey Industries, Inc.......................... 500 14,000
*Southern Energy Homes, Inc........................... 1,200 5,550
*#Southern Pacific Funding Corp....................... 1,200 132
*Southwall Technologies, Inc.......................... 500 1,586
Southwestern Energy Co................................ 2,200 20,763
*Spacelabs Medical, Inc............................... 1,000 15,563
Spartan Motors, Inc................................... 1,000 5,781
*Sparton Corp......................................... 500 3,094
*Spectran Corp........................................ 500 4,602
*Spectrum Control, Inc................................ 500 3,094
*SpeedFam-IPEC, Inc................................... 3,065 40,037
*Speizman Industries, Inc............................. 300 975
*Sport Chalet, Inc.................................... 600 3,525
*Sport Supply Group, Inc.............................. 300 3,150
*Sports Authority, Inc................................ 1,800 9,000
*Sports Club Co., Inc................................. 600 2,700
*Sportsman's Guide, Inc............................... 1,000 5,016
St. Mary Land & Exploration Co........................ 100 1,981
St. Paul Bancorp, Inc................................. 3,000 77,813
*#Stac Software, Inc.................................. 25 147
*Staffmark, Inc....................................... 1,500 16,359
Standard Commercial Corp.............................. 856 5,457
*Standard Management Corp............................. 700 4,528
*Standard Microsystems Corp........................... 1,600 12,500
Standard Motor Products, Inc.
Class A............................................. 1,100 26,194
Standard Pacific Corp. DE............................. 2,600 34,125
Standard Products Co.................................. 1,400 31,238
*Stanley Furniture, Inc............................... 400 8,350
*Starcraft Corp....................................... 200 781
Starrett (L.S.) Co. Class A........................... 200 5,438
*Startec Global Communications Corp................... 300 2,456
*#Starter Corp........................................ 2,300 2,875
Steel Technologies, Inc............................... 1,500 13,453
Stepan Co............................................. 500 12,344
Stephan Co............................................ 200 975
Sterling Bancorp...................................... 500 10,250
*Sterling Financial Corp. WA.......................... 600 9,038
Stewart & Stevenson Services, Inc..................... 3,000 33,281
Stewart Information Services Corp..................... 1,000 19,438
Stifel Financial Corp................................. 551 5,269
*Stimsonite Corp...................................... 1,200 12,038
Stone & Webster, Inc.................................. 800 19,600
*Storage Computer Corp................................ 100 200
*Stormedia, Inc. Class A.............................. 1,000 1
*Strategic Distribution, Inc.......................... 2,000 4,656
*Stratus Properties, Inc.............................. 1,300 6,094
*Strawbridge and Clothier Liquidating Trust........... 900 200
Stride Rite Corp...................................... 500 5,219
*Strouds, Inc......................................... 1,100 1,856
*Stuart Entertainment, Inc............................ 600 120
*Suburban Lodges of America, Inc...................... 2,200 14,781
*Successories, Inc.................................... 200 625
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Summit Technology, Inc............................... 500 $ 9,859
*#Sun Healthcare Group, Inc........................... 4,800 5,400
*Sun Television and Appliances, Inc................... 2,400 34
*#Sunbeam Corp........................................ 3,700 26,131
*Sunrise Medical, Inc................................. 2,000 16,625
*Sunrise Resources, Inc............................... 1,400 5,731
Superior Surgical Manufacturing Co., Inc.............. 800 10,800
*Suprema Specialties, Inc............................. 1,200 7,388
*Supreme International Corp........................... 1,000 10,781
*Swift Energy Corp.................................... 1,200 15,525
*Swiss Army Brands, Inc............................... 1,700 14,078
*Sylvan, Inc.......................................... 400 4,550
*Symmetricom, Inc..................................... 2,100 13,256
*Syms Corp............................................ 1,500 11,906
Synalloy Corp. DE..................................... 1,000 8,250
*Synbiotics Corp...................................... 600 2,288
*Syncor International Corp. DE........................ 900 30,488
*Syntellect, Inc...................................... 1,300 2,031
*Synthetic Industries, Inc............................ 400 8,988
*Syntroleum Corp...................................... 450 3,291
*TBA Entertainment Corp............................... 500 2,203
*TBC Corp............................................. 2,600 18,444
TCBY Enterprises, Inc................................. 2,200 14,575
*TCSI Corp............................................ 3,800 9,916
*#TII Industries, Inc................................. 1,200 2,175
TJ International, Inc................................. 1,400 37,975
*TRC Companies, Inc................................... 300 1,519
*TRM Copy Centers Corp................................ 1,000 6,188
Tab Products Co. DE................................... 400 2,600
*Taco Cabana, Inc..................................... 2,500 26,484
*Tandy Brand Accessories, Inc......................... 500 7,953
*Tandy Crafts, Inc.................................... 1,000 3,375
*Technology Research Corp............................. 300 323
*Tech-Sym Corp........................................ 300 6,581
*Tegal Corp........................................... 1,200 4,163
Telxon Corp........................................... 500 5,234
Terra Industries, Inc................................. 6,200 24,413
*Tesoro Petroleum Corp................................ 3,100 36,619
*Tesseract Group, Inc................................. 1,000 3,406
*Tetra Technologies, Inc.............................. 800 6,800
Texas Industries, Inc................................. 1,800 65,475
*Texas Micro, Inc..................................... 1,000 6,344
*Thermedics, Inc...................................... 1,400 12,075
*#Thermo Bioanalysis Corp............................. 600 10,950
*Thermo Ecotek Corp................................... 500 5,313
*Thermo Power Corp.................................... 1,000 11,563
*Thermo Sentron, Inc.................................. 500 6,625
*Thermo Terratech, Inc................................ 500 2,875
*ThermoQuest Corp..................................... 500 6,375
Thermoretec Corp...................................... 900 3,713
*Thermospectra Corp................................... 1,000 15,438
*Thermotrex Corp...................................... 1,000 8,188
Thomas Industries, Inc................................ 450 9,113
Thomaston Mills, Inc.................................. 400 1,213
*#Thorn Apple Valley, Inc............................. 1,500 2,531
*Tipperary Corp....................................... 1,000 1,688
Titan International, Inc.............................. 1,200 11,250
#Titanium Metals Corp................................. 2,700 18,900
*Todd Shipyards Corp.................................. 800 4,300
*Tokheim Corp......................................... 800 7,900
</TABLE>
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CONTINUED
<TABLE>
<CAPTION>
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*Topps, Inc........................................... 3,800 $ 24,106
Toro Co............................................... 1,000 33,563
*Tower Air, Inc....................................... 1,100 2,819
*#Trans World Airlines, Inc........................... 3,000 15,563
*Transcoastal Marine Services, Inc.................... 1,400 6,081
*Transfinancial Holdings, Inc......................... 300 1,350
*Transmedia Network, Inc.............................. 200 750
Transtechnology Corp.................................. 500 9,750
*Transworld Healthcare, Inc........................... 2,000 7,813
*#Travel Ports of America, Inc........................ 228 958
Tremont Corp. DE...................................... 600 11,700
*Trend-Lines, Inc. Class A............................ 200 463
*Trico Marine Services, Inc........................... 1,500 10,734
*Trident Microsystems, Inc............................ 900 6,131
*Tridex Corp.......................................... 300 816
Trigen Energy Corp.................................... 400 6,525
Trion, Inc............................................ 100 422
*Tripos, Inc.......................................... 100 788
*Trism, Inc........................................... 500 391
*Triumph Group........................................ 500 15,313
*Trump Hotels & Casino Resorts, Inc................... 2,000 10,625
*Tuboscope Vetco International, Inc................... 2,800 37,450
*Tultex Corp.......................................... 2,500 1,875
*Turner Corp.......................................... 450 7,819
Twin Disc, Inc........................................ 200 3,800
U.S. Bancorp, Inc..................................... 1,500 23,344
*#U.S. Diagnostic, Inc................................ 2,500 3,711
U.S. Freightways Corp................................. 1,500 59,203
*U.S. Office Products, Co............................. 3,800 19,772
*U.S. Vision, Inc..................................... 100 498
*US Can Corp.......................................... 1,100 19,663
*US Xpress Enterprises, Inc. Class A.................. 1,000 12,000
*UTI Energy Corp...................................... 1,500 21,563
*Ugly Duckling Corp................................... 2,000 15,063
*Ultimate Electronics, Inc............................ 1,300 18,728
*Ultradata Corp....................................... 100 697
*Ultrafem, Inc........................................ 1,000 35
*Ultrak, Inc.......................................... 1,400 9,144
*Ultralife Batteries, Inc............................. 300 1,359
*Ultratech Stepper, Inc............................... 1,700 22,206
Unico American Corp................................... 500 5,344
*UniComp, Inc......................................... 1,000 5,938
Unifirst Corp......................................... 1,100 19,800
*Unimark Group, Inc................................... 1,000 3,547
*Uni-Marts, Inc....................................... 500 1,000
*Union Acceptance Corp. Class A....................... 500 3,438
*Unique Casual Restaurants, Inc....................... 900 3,544
*Uniroyal Technology Corp............................. 2,100 19,884
Unisource Worldwide, Inc.............................. 4,000 47,000
*Unit Corp............................................ 2,600 15,438
*United American Healthcare Corp.,.................... 700 963
#United Companies Financial Corp...................... 2,300 253
United Industrial Corp................................ 1,400 16,100
*#United Retail Group, Inc............................ 1,100 15,881
*United States Home Corp.............................. 1,000 34,500
United Wisconsin Services, Inc........................ 1,800 12,375
*Universal American Financial Corp.................... 700 2,450
*Universal Electronics, Inc........................... 300 7,444
*Universal International, Inc......................... 400 1,038
*Universal Stainless & Alloy Products, Inc............ 300 1,800
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Universal Standard Medical Labs, Inc................. 500 $ 156
*Uno Restaurant Corp.................................. 600 4,688
*Urocor, Inc.......................................... 1,100 6,050
*Urologix, Inc........................................ 1,000 3,031
*Utilx Corp........................................... 800 2,600
*VLSI Technology, Inc................................. 5,000 104,531
*VTEL Corp............................................ 2,600 12,838
*VWR Scientific Products Corp......................... 400 11,425
*Vallen Corp.......................................... 1,000 16,375
Valmont Industries, Inc............................... 500 8,188
*Value City Department Stores, Inc.................... 2,600 24,863
Value Line, Inc....................................... 600 22,425
*Valuevision International, Inc. Class A.............. 2,700 41,175
*Vans, Inc............................................ 1,500 16,313
*#Vari L Co., Inc..................................... 300 2,269
*Variflex, Inc........................................ 1,200 5,775
Varlen Corp........................................... 2,081 78,688
*Vectra Technologies, Inc............................. 500 11
*Venator Group, Inc................................... 5,000 54,688
*Vencor, Inc.......................................... 5,500 3,781
*Venture Stores, Inc.................................. 1,500 19
*Verilink Corp........................................ 500 1,641
*Veritas DGC, Inc..................................... 500 9,125
*Verity, Inc.......................................... 1,500 49,453
Vermont Financial Services Corp....................... 1,200 37,575
*Vertex Communications Corp........................... 200 2,963
Vesta Insurance Group, Inc............................ 1,000 5,063
*Vestcom Int'l, Inc................................... 300 1,744
*Veterinary Centers of America, Inc................... 1,500 20,859
*Viagrafix Corp....................................... 100 616
*Viasoft, Inc......................................... 1,500 5,859
*#Vicon Industries, Inc............................... 200 1,838
*Vicorp Restaurants, Inc.............................. 800 13,100
*Video Display Corp................................... 300 1,416
*Video Services Corp.................................. 500 1,094
*Video Update, Inc.................................... 2,175 1,937
*Videonics, Inc....................................... 200 188
Virco Manufacturing Corp.............................. 990 19,058
*Virtualfund.Com, Inc................................. 900 1,434
*Vista Medical Technologies, Inc...................... 500 797
Vital Signs, Inc...................................... 700 13,431
WFS Financial, Inc.................................... 1,800 21,150
*WHX Corp............................................. 2,200 16,500
*WLR Foods, Inc....................................... 1,314 10,060
*WPI Group, Inc....................................... 1,000 3,938
Wabash National Corp.................................. 1,000 19,063
*Walbro Corp.......................................... 1,600 31,200
*Walker Interactive Systems, Inc...................... 500 1,703
*Wall Data, Inc....................................... 600 6,056
*Warrantech Corp...................................... 1,000 3,391
Warren Bancorp, Inc................................... 600 4,875
*Washington Homes, Inc................................ 700 5,513
Washington Savings Bank FSB Waldorf, MD............... 400 1,600
*Waterlink, Inc....................................... 1,500 6,094
Watkins-Johnson Co.................................... 500 12,375
Watts Industries, Inc. Class A........................ 1,600 27,100
Webb (Del) Corp....................................... 1,600 36,000
*Weirton Steel Corp................................... 3,600 8,550
Wellman, Inc.......................................... 3,500 47,688
*#Wells-Gardner Electronics Corp...................... 210 617
</TABLE>
12
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CONTINUED
<TABLE>
<CAPTION>
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------------ ------------
<S> <C> <C>
Wesbanco, Inc......................................... 700 $ 20,519
*West Coast Entertainment Corp........................ 200 81
*West Marine, Inc..................................... 1,100 14,094
Westcorp, Inc......................................... 2,800 26,075
Westerfed Financial Corp.............................. 500 8,422
*Western Beef, Inc.................................... 500 3,188
*Weston (Roy F.), Inc. Class A........................ 600 1,781
*Wickes Lumber Co..................................... 1,200 6,188
*Williams Clayton Energy, Inc......................... 700 4,572
*#Wilshire Financial Services Group, Inc.............. 600 216
*Wilshire Oil Co. of Texas............................ 515 2,124
*Windmere Corp........................................ 1,000 13,125
Wiser Oil Co.......................................... 800 2,600
Wolohan Lumber Co..................................... 600 7,463
*Wolverine Tube, Inc.................................. 1,400 33,338
Woodhead Industries, Inc.............................. 500 6,313
*Workgroup Technology Corp............................ 900 1,659
*Worldtex, Inc........................................ 1,200 3,225
*Xetel Corp........................................... 1,300 3,656
*Xicor, Inc........................................... 1,600 2,300
*Xtra Corp............................................ 300 13,350
Yankee Energy Systems, Inc............................ 900 28,406
*Yellow Corp.......................................... 3,400 57,800
York Financial Corp................................... 793 12,093
*Zaring National Corp................................. 100 838
*Zemex Corp........................................... 756 4,725
Zenith National Insurance Corp........................ 1,500 34,125
*Zoll Medical Corp.................................... 900 11,109
*#Zoltek Companies, Inc............................... 1,000 7,781
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Zygo Corp............................................ 1,000 $ 7,938
*Zymetx, Inc.......................................... 200 413
------------
TOTAL COMMON STOCKS
(Cost $17,985,438)................................... 18,281,786
------------
RIGHTS/WARRANTS -- (0.0%)
*Arch Communications Warrants 09/01/03
(Cost $0)........................................... 5,704 0
------------
FACE
AMOUNT
------------
(000)
TEMPORARY CASH
INVESTMENTS -- (3.2%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.25%, 01/31/02, valued at $615,825) to be
repurchased at $604,309.
(Cost $604,000)..................................... $ 604 604,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $18,589,438)++................................. $ 18,885,786
------------
------------
- --------------------
+ 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.
13
<PAGE>
VA LARGE VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
COMMON STOCKS -- (97.8%)
AK Steel Holding Corp................................. 2,200 $ 52,800
*AMR Corp............................................. 9,500 618,094
AVX Corp.............................................. 2,100 42,919
*Advanced Micro Devices, Inc.......................... 7,300 135,050
Advanta Corp. Class A................................. 166 2,879
Advanta Corp. Class B Non-Voting...................... 272 3,816
Aetna, Inc............................................ 7,300 662,931
*Alaska Air Group, Inc................................ 1,100 45,650
Albemarle Corp........................................ 1,000 22,437
Alexander & Baldwin, Inc.............................. 3,100 70,137
*Allegheny Corp....................................... 102 18,462
Alliant Energy Corp................................... 3,600 108,675
Ambac, Inc............................................ 2,200 128,287
Amerada Hess Corp..................................... 5,200 311,675
*America West Holdings Corp.
Class B............................................. 2,000 39,000
American Annuity Group, Inc........................... 1,700 39,950
American Financial Group, Inc......................... 2,500 84,375
American General Corp................................. 9,219 666,073
*American Greetings Corp. Class A..................... 2,600 74,425
American National Insurance Co........................ 600 42,487
Amerus Life Holdings, Inc. Class A.................... 1,500 38,719
Apache Corp........................................... 5,800 208,800
Arch Coal, Inc........................................ 1,600 23,400
Archer-Daniels Midland Co............................. 36,756 551,340
Argonaut Group, Inc................................... 300 8,044
*Arrow Electronics, Inc............................... 7,300 126,837
Asarco, Inc........................................... 1,700 27,306
Atlantic Richfield Co................................. 1,200 100,425
Avnet, Inc............................................ 1,800 78,412
*BJ Services, Co...................................... 3,500 96,469
Baker Hughes, Inc..................................... 3,100 96,487
Bancwest Corp......................................... 1,200 45,600
Bankers Trust New York Corp........................... 1,100 101,819
Bear Stearns Companies, Inc........................... 5,734 254,446
Belo (A.H.) Corp. Class A............................. 4,900 108,106
Berkley (W.R.) Corp................................... 1,400 35,700
*Bethlehem Steel Corp................................. 7,200 59,850
*Beverly Enterprises.................................. 4,000 29,000
Black & Decker Corp................................... 2,600 148,037
Block Drug Co., Inc. Class A.......................... 318 11,806
Boise Cascade Corp.................................... 3,800 150,575
Borg Warner Automotive, Inc........................... 400 22,175
Bowater, Inc.......................................... 1,200 61,800
Brunswick Corp........................................ 3,900 93,600
Burlington Northern Santa Fe Corp..................... 34,600 1,072,600
*CNA Financial Corp................................... 10,100 438,719
CSX Corp.............................................. 11,800 553,862
*Cabletron Systems, Inc............................... 7,700 114,537
Capital Re Corp....................................... 1,000 16,312
Carpenter Technology Corp............................. 600 17,100
Case Corp............................................. 3,700 173,900
Champion International Corp........................... 4,700 240,875
Chesapeake Corp....................................... 700 25,244
Chiquita Brands International, Inc.................... 2,100 16,931
*Chris-Craft Industries, Inc.......................... 1,291 59,547
Cincinnati Financial Corp............................. 8,390 345,825
*Circus Circus Enterprises, Inc....................... 4,700 99,287
*Commerce Group, Inc.................................. 1,400 32,462
Comsat Corp. Series 1................................. 1,800 58,725
Consolidated Papers, Inc.............................. 3,900 108,225
*ContiFinancial Corp.................................. 1,000 7,125
Cooper Tire & Rubber Co............................... 1,400 33,250
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Corporate Express, Inc............................... 2,000 $ 13,094
Countrywide Credit Industries, Inc.................... 5,600 230,300
Crown Cork & Seal Co., Inc............................ 6,300 197,662
#Cummins Engine Co., Inc.............................. 2,100 106,312
*Cypress Semiconductor Corp........................... 3,600 40,050
Cyprus Amax Minerals Co., Inc......................... 5,200 65,325
*Delphi Automotive Systems Corp....................... 21,596 423,840
Devon Energy Corp..................................... 1,000 34,750
Dillards, Inc. Class A................................ 5,300 186,162
ENSCO International, Inc.............................. 7,200 127,800
Enhance Financial Services Group, Inc................. 1,000 19,562
Enron Oil & Gas Corp.................................. 2,800 53,375
*Enserch Exploration Corp............................. 1,899 12,937
Everest Reinsurance Holdings, Inc..................... 2,900 95,337
*Extended Stay America, Inc........................... 4,800 51,000
FBL Financial Group, Inc. Class A..................... 1,100 22,069
*Federated Department Stores, Inc..................... 10,600 577,700
Financial Security Assurance Holdings, Ltd............ 900 51,075
Florida East Coast Industries, Inc.................... 1,200 42,000
*Fluor Corp........................................... 3,400 126,650
Ford Motor Co......................................... 15,300 873,056
Fortune Brands, Inc................................... 12,800 523,200
*Fruit of The Loom, Inc. Class A...................... 2,400 24,750
GATX Corp............................................. 1,200 46,575
General Motors Corp................................... 30,900 2,132,100
*General Motors Corp. Class H......................... 5,600 307,300
*Genesis Health Ventures, Inc......................... 1,200 5,325
Georgia-Pacific Corp.................................. 5,300 458,119
*Golden State Bancorp, Inc............................ 2,600 63,862
Golden West Financial Corp............................ 1,400 132,825
#Goodrich (B.F.) Co................................... 1,300 52,650
Great Atlantic & Pacific Tea Co., Inc................. 1,900 62,225
Great Lakes Chemical Corp............................. 2,000 90,375
Harnischfeger Industries, Inc......................... 2,000 14,375
*Harris Corp.......................................... 1,400 52,937
*Healthsouth Corp..................................... 10,900 145,787
*Helmerich & Payne, Inc............................... 2,500 58,281
Hilton Hotels Corp.................................... 18,000 247,500
Hollinger International, Inc. Class A................. 2,500 34,687
Host Marriott Corp.................................... 302 3,775
*Humana, Inc.......................................... 6,000 75,375
*IBP, Inc............................................. 3,100 66,456
IMC Global, Inc....................................... 5,800 121,437
*IVAX Corp............................................ 300 4,031
Ikon Office Solutions, Inc............................ 6,100 85,019
*Integrated Health Services, Inc...................... 2,000 11,750
*Interim Services, Inc................................ 2,200 47,987
International Paper Co................................ 23,913 1,195,650
*International Speciality Products, Inc............... 3,500 32,813
*K Mart Corp.......................................... 22,000 338,250
Kennametal, Inc....................................... 1,200 34,125
Kerr-McGee Corp....................................... 2,300 106,950
LNR Property Corp..................................... 500 10,000
LTV Corp.............................................. 3,900 23,888
*Lafarge Corp......................................... 5,900 197,281
*Lam Research Corp.................................... 1,100 30,491
Lehman Brothers Holdings, Inc......................... 6,700 365,988
Liberty Corp.......................................... 1,000 51,688
Liberty Financial Companies, Inc...................... 2,700 70,538
Lincoln National Corp................................. 3,700 376,475
Loews Corp............................................ 6,100 496,006
Longs Drug Stores Corp................................ 1,100 38,294
</TABLE>
14
<PAGE>
VA LARGE VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Louisiana-Pacific Corp................................ 6,000 $ 121,500
*Lubrizol Corp........................................ 1,000 27,500
Mallinckrodt, Inc..................................... 2,500 86,563
Mark IV Industries, Inc............................... 2,500 46,250
Mead Corp............................................. 5,300 198,088
Media General, Inc. Class A........................... 600 30,975
Millennium Chemicals, Inc............................. 3,950 98,503
Mitchell Energy & Development Corp. Class B........... 1,000 16,125
Murphy Oil Corp....................................... 800 39,250
NAC RE Corp........................................... 1,000 54,563
*National Semiconductor Corp.......................... 12,900 249,938
Noble Affiliates, Inc................................. 2,100 55,650
Norfolk Southern Corp................................. 14,000 458,500
Occidental Petroleum Corp............................. 12,800 270,400
*Officemax, Inc....................................... 6,100 70,150
Ogden Corp............................................ 2,400 59,850
#Ohio Casualty Corp................................... 1,500 57,047
Old Republic International Corp....................... 6,850 124,584
Olsten Corp........................................... 3,000 26,625
Orion Capital Corp.................................... 2,000 58,375
Overseas Shipholding Group, Inc....................... 1,100 13,750
*Owens-Illinois, Inc.................................. 3,300 100,650
PMI Group, Inc........................................ 700 40,950
Pacific Century Financial Corp........................ 3,400 68,000
*Pacificare Health Systems, Inc.
Class B............................................. 1,052 90,834
*Park Place Entertainment Corp........................ 5,300 55,650
Penney (J.C.) Co., Inc................................ 12,700 656,431
*Pennzenergy Co....................................... 3,000 46,313
Penzoil Quaker State Co............................... 3,000 41,625
#Pep Boys - Manny, Moe & Jack......................... 3,000 56,625
#Phelps Dodge Corp.................................... 4,000 207,250
Pioneer Natural Resources Co.......................... 6,000 65,250
Potlatch Corp......................................... 1,500 59,063
Provident Companies, Inc.............................. 4,634 181,016
*Pulte Corp........................................... 1,400 33,338
Questar Corp.......................................... 1,500 28,594
RJR Nabisco Holdings Corp............................. 17,540 542,644
Rayonier, Inc......................................... 700 32,638
*Reliance Group Holdings, Inc......................... 8,500 84,469
Reynolds Metals Co.................................... 4,600 244,663
*Rowan Companies, Inc................................. 4,300 72,563
Russell Corp.......................................... 1,100 25,781
Ryder System, Inc..................................... 3,500 84,000
Ryerson Tull, Inc..................................... 629 14,467
Safeco Corp........................................... 6,800 298,988
Saint Paul Companies, Inc............................. 13,412 476,964
*Santa Fe Snyder Corp................................. 1,900 16,150
*Sensormatic Electronics Corp......................... 2,600 34,775
*Silicon Graphics, Inc................................ 6,600 81,675
*Smurfit-Stone Container Corp......................... 3,663 78,983
Springs Industries, Inc. Class A...................... 1,000 39,625
*Sprint Corp. (PCS Group)............................. 800 36,000
*Starwood Hotels and Resorts Worldwide, Inc........... 4,500 147,375
Tecumseh Products Co. Class A......................... 700 46,025
*Tecumseh Products Co. Class B........................ 300 17,981
Tektronix, Inc........................................ 2,100 48,694
Telephone & Data Systems, Inc......................... 2,700 181,575
Temple-Inland, Inc.................................... 1,900 127,300
*Tenneco, Inc......................................... 9,500 221,469
Terra Industries, Inc................................. 3,000 11,813
*Thermo-Electron Corp................................. 13,700 262,013
Tidewater, Inc........................................ 2,800 71,575
Timken Co............................................. 3,100 63,744
*Toys R Us, Inc....................................... 13,600 313,650
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Transamerica Corp..................................... 4,800 $ 352,200
Travelers Property Casualty Corp...................... 6,100 240,950
Tyson Foods, Inc. Class A............................. 1,100 25,300
*UMB Financial Corp................................... 330 14,004
USX-Marathon Group, Inc............................... 8,300 248,481
USX-US Steel Group.................................... 4,300 115,831
*Ultramar Diamond Shamrock Corp....................... 3,500 77,000
Union Pacific Corp.................................... 12,700 724,694
Union Pacific Resources Group, Inc.................... 14,600 203,488
Unisource Worldwide, Inc.............................. 2,500 29,375
*United States Cellular Corp.......................... 1,900 91,675
*Unitrin, Inc......................................... 2,000 70,125
*Unova, Inc........................................... 5,000 72,500
Valero Energy Corp.................................... 4,200 84,263
Valhi, Inc............................................ 5,000 59,063
*Venator Group, Inc................................... 7,300 79,844
*Viacom, Inc. Class A................................. 8,400 323,925
*Viacom, Inc. Class B................................. 9,200 354,200
*Vishay Intertechnology, Inc.......................... 3,064 63,770
Weis Markets, Inc..................................... 1,700 59,819
Wesco Financial Corp.................................. 400 129,900
Westvaco Corp......................................... 6,950 198,509
Whirlpool Corp........................................ 3,300 212,850
Willamette Industries, Inc............................ 4,100 173,738
Worthington Industries, Inc........................... 3,800 48,806
*Xtra Corp............................................ 500 22,250
------------
TOTAL COMMON STOCKS
(Cost $26,988,993)................................... 32,300,531
------------
PREFERRED STOCKS -- (0.0%)
*Pacificare Health Systems, Inc. 5% Cumulative,
Convertible, Redeemable, Class A
(Cost $11,301)...................................... 216 18,475
------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
FACE
AMOUNT
------------
<CAPTION>
(000)
<S> <C> <C>
TEMPORARY CASH
INVESTMENTS -- (2.2%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.25%, 01/31/02, valued at $729,675) to be
repurchased at $713,364
(Cost $713,000)..................................... $ 713 713,000
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $27,713,294)++................................. $ 33,032,006
------------
------------
- --------------------
+ 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.
15
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (26.0%)
COMMON STOCKS -- (26.0%)
Aichi Steel Works, Ltd............................... 4,000 $ 9,071
Aisin Seiki Co., Ltd................................. 2,000 21,851
Amada Co., Ltd....................................... 3,000 18,623
#Aoki Corp........................................... 6,000 3,874
Aoyama Trading Co., Ltd.............................. 1,100 33,322
Ashikaga Bank, Ltd................................... 9,000 17,356
Atsugi Nylon Industrial Co., Ltd..................... 5,000 5,794
Calpis Co., Ltd...................................... 2,000 9,601
Canon Sales Co., Inc................................. 2,000 31,187
Chiba Bank, Ltd...................................... 10,000 39,397
Chiyoda Fire and Marine Insurance Co., Ltd........... 5,000 17,961
Chudenko Corp........................................ 1,030 18,372
Chugoku Bank, Ltd.................................... 2,000 25,691
Chuo Trust and Banking Co., Ltd...................... 2,000 12,101
Citizen Watch Co., Ltd............................... 3,000 22,099
Cosmo Oil Co., Ltd................................... 10,000 17,961
Dai Tokyo Fire & Marine Insurance Co., Ltd........... 4,000 13,673
Daicel Chemical Industries, Ltd...................... 4,000 12,879
Daido Steel Co., Ltd................................. 5,000 7,987
Dai-Ichi Kangyo Bank, Ltd............................ 12,000 85,913
Daikyo, Inc.......................................... 3,000 8,666
Daishi Bank, Ltd..................................... 5,000 16,967
Daito Trust Construction Co., Ltd.................... 2,916 32,172
Daiwa Bank, Ltd...................................... 15,000 30,169
Daiwa House Industry Co., Ltd........................ 7,000 75,550
Daiwa Securities Co., Ltd............................ 22,000 116,173
Ezaki Glico Co., Ltd................................. 2,200 12,710
Fujita Corp.......................................... 9,000 6,555
Fukuoka City Bank, Ltd............................... 4,712 19,422
Fukuyama Transporting Co., Ltd....................... 4,000 20,328
Gunze, Ltd........................................... 4,000 9,634
Hanwa Co., Ltd....................................... 2,000 2,549
Haseko Corp.......................................... 8,000 6,290
Higo Bank, Ltd....................................... 3,000 12,788
Hino Motors, Ltd..................................... 5,000 23,506
Hiroshima Bank, Ltd.................................. 2,000 7,598
Hitachi Koki Co., Ltd................................ 2,000 6,588
Hitachi Maxell, Ltd.................................. 1,000 20,568
Hitachi Metals, Ltd.................................. 5,000 24,003
Hitachi Transport System, Ltd........................ 2,000 13,342
Hitachi, Ltd......................................... 61,000 448,841
Hokkaido Bank, Ltd................................... 7,000 10,950
Hokuriku Bank, Ltd................................... 7,000 13,326
House Foods Corp..................................... 2,000 29,829
Hyakugo Bank, Ltd. (105th Bank)...................... 4,000 16,388
Hyakujishi Bank, Ltd................................. 3,000 16,189
Inax Corp............................................ 2,000 13,607
Industrial Bank of Japan............................. 10,000 70,766
Itochu Corp.......................................... 22,000 50,074
KDD Corporation...................................... 900 48,792
Kajima Corp.......................................... 13,000 39,166
Kamagai Gumi Co., Ltd................................ 6,000 6,307
Kamigumi Co., Ltd.................................... 4,000 18,937
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Kandenko Co., Ltd.................................... 3,000 $ 18,772
Katokichi Co., Ltd................................... 1,000 13,309
Kinden Corp.......................................... 2,000 22,347
#Kiyo Bank, Ltd...................................... 5,000 13,160
Kobe Steel, Ltd...................................... 45,000 38,363
Kokusai Securities Co., Ltd.......................... 2,000 22,480
Komatsu, Ltd......................................... 14,000 83,198
Kureha Chemical Industry Co., Ltd.................... 4,000 9,932
Kyudenko Corp........................................ 2,000 12,647
Maeda Corp........................................... 2,000 6,936
Makita Corp.......................................... 2,000 21,784
Marubeni Corp........................................ 22,000 45,704
Maruetsu, Inc........................................ 3,000 10,106
Matsushita Electric Industrial Co., Ltd.............. 38,000 688,793
Meiji Seika Kaisha, Ltd. Tokyo....................... 6,000 32,975
Mitsubishi Chemical Corp............................. 33,000 93,685
Mitsubishi Corp...................................... 6,000 36,501
*Mitsubishi Electric Corp............................ 37,000 117,903
Mitsubishi Gas Chemical Co., Inc..................... 5,000 14,070
Mitsubishi Materials Corp............................ 10,000 19,864
*Mitsubishi Motors Corp.............................. 14,000 66,744
Mitsui Chemicals, Inc................................ 5,000 25,410
Mitsui Trust & Banking Co., Ltd...................... 16,000 24,234
Mizuno Corp.......................................... 2,000 6,125
NKK Corp............................................. 64,000 49,793
NSK, Ltd............................................. 7,000 33,546
NTN Corp............................................. 4,000 12,250
Nagase & Co., Ltd.................................... 2,000 9,518
Nanto Bank, Ltd...................................... 3,000 14,898
Nichimen Corp........................................ 5,000 6,166
Nikko Securities Co., Ltd............................ 24,000 104,883
*Nippon Credit Bank, Ltd............................. 20,000 0
Nippon Light Metal Co., Ltd.......................... 8,000 10,660
Nippon Mitsubishi Oil Company........................ 19,100 76,988
Nippon Sheet Glass Co., Ltd.......................... 4,000 13,177
Nippon Shinpan Co., Ltd.............................. 6,000 19,070
Nishimatsu Construction Co., Ltd..................... 4,000 22,049
*Nissan Motor Co., Ltd............................... 10,000 44,032
Nisshin Steel Co., Ltd............................... 12,000 16,885
Nisshinbo Industries, Inc............................ 3,000 11,919
Nittetsu Mining Co., Ltd............................. 2,000 5,910
Nitto Boseki Co., Ltd................................ 7,000 15,585
Noritz Corp.......................................... 1,000 11,447
Oki Electric Industry Co., Ltd....................... 9,000 31,286
Okumura Corp......................................... 4,000 15,792
Pioneer Electronic................................... 2,000 33,190
Sakura Bank, Ltd..................................... 43,000 145,919
San In Godo Bank, Ltd................................ 3,000 17,332
*Sankyo Aluminum Industry Co., Ltd................... 3,000 3,600
Sanyo Electric....................................... 35,000 126,014
Seino Transportation Co., Ltd........................ 2,000 12,250
Sekisui Chemical Co., Ltd............................ 8,000 49,528
Sekisui House, Ltd................................... 10,000 108,591
Sharp Corp. Osaka.................................... 19,000 211,041
Shiga Bank, Ltd...................................... 4,000 18,110
Shimizu Corp......................................... 12,000 42,410
</TABLE>
16
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Shinmaywa Industries, Ltd............................ 2,000 $ 4,817
Shionogi & Co., Ltd.................................. 3,000 24,706
Snow Brand Milk Products Co., Ltd.................... 4,000 19,666
Sumitomo Corp........................................ 15,000 103,294
Sumitomo Metal Mining Co., Ltd....................... 10,000 40,887
Sumitomo Realty & Development Co., Ltd............... 7,000 26,072
Taiheiyo Cement Corp................................. 11,600 31,011
Taisei Corp.......................................... 14,000 31,634
Tanabe Seiyaku Co., Ltd.............................. 4,000 23,738
Teijin, Ltd.......................................... 15,000 57,855
Toda Corp............................................ 4,000 19,864
*Tokyo Sowa Bank..................................... 4,000 5,463
Tokyo Steel Manufacturing Co., Ltd................... 1,500 6,940
Tokyo Style Co., Ltd................................. 1,000 11,008
Tokyo Tatemono Co., Ltd.............................. 4,000 8,873
Tostem Corp.......................................... 4,000 76,974
Toyo Engineering Corp................................ 3,000 3,327
Toyo Seikan Kaisha, Ltd.............................. 3,100 58,885
#Toyo Trust & Banking Co., Ltd....................... 11,000 31,866
Toyota Tsusho Corp................................... 4,000 11,952
Victor Co. of Japan, Ltd............................. 2,000 13,938
Yamaguchi Bank....................................... 2,000 18,490
Yamato Kogyo Co., Ltd................................ 2,000 12,812
*Yasuda Trust & Banking Co., Ltd..................... 13,000 15,709
Yodogawa Steel Works, Ltd............................ 4,000 16,785
Yokogawa Electric Corp............................... 3,000 14,849
------------
TOTAL COMMON STOCKS
(Cost $6,628,294).................................... 5,103,759
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen (Cost $981)............................ 969
------------
TOTAL -- JAPAN
(Cost $6,629,275).................................... 5,104,728
------------
UNITED KINGDOM -- (22.4%)
COMMON STOCKS -- (22.4%)
ASDA Group P.L.C..................................... 40,800 115,720
Aggregate Industries P.L.C........................... 16,000 20,126
Allied Domecq P.L.C.................................. 8,399 80,550
Anglian Water P.L.C.................................. 2,025 22,422
Arcadia Group P.L.C.................................. 2,337 9,044
Arjo Wiggins Appleton P.L.C.......................... 5,400 15,402
*Associated British Foods P.L.C...................... 8,800 66,945
Associated British Ports Holdings P.L.C.............. 4,600 20,344
BAA P.L.C............................................ 13,549 145,573
BG P.L.C............................................. 34,412 189,275
BOC Group P.L.C...................................... 6,500 111,239
BPB P.L.C............................................ 6,900 32,617
Barclays P.L.C....................................... 62 1,881
Bass P.L.C........................................... 9,464 139,672
Blue Circle Industries P.L.C......................... 10,000 61,973
Britannic P.L.C...................................... 2,600 41,121
British Airways P.L.C................................ 14,189 101,860
British Land Co. P.L.C............................... 5,766 50,817
British Steel P.L.C.................................. 26,700 56,689
CGU P.L.C............................................ 14,247 208,205
Capital Shopping Centres P.L.C....................... 4,000 24,773
Cookson Group P.L.C.................................. 9,000 26,103
Debenhams P.L.C...................................... 4,675 30,602
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Diageo P.L.C......................................... 142 $ 1,494
Fairview Holdings P.L.C.............................. 2,450 5,477
Great Universal Stores P.L.C......................... 10,100 107,788
Greenalls Group P.L.C................................ 2,700 14,667
Hammerson P.L.C...................................... 3,800 27,797
Hillsdown Holdings P.L.C............................. 4,900 11,464
Hilton Group P.L.C................................... 16,965 74,351
Hyder P.L.C.......................................... 1,795 21,616
Inchcape P.L.C....................................... 5,000 11,617
Invensys P.L.C....................................... 12,429 56,662
LaPorte P.L.C........................................ 2,000 23,587
Lasmo P.L.C.......................................... 8,700 18,402
Lonmin P.L.C......................................... 1,632 13,102
Lonrho Africa P.L.C.................................. 1,587 1,093
Mirror Group P.L.C................................... 6,000 22,161
National Power P.L.C................................. 6,226 48,511
National Westminster Bank P.L.C...................... 17,211 394,932
Norwich Union P.L.C.................................. 25,000 177,267
Pilkington P.L.C..................................... 8,117 9,495
Powergen P.L.C....................................... 6,228 67,763
RMC Group P.L.C...................................... 2,000 26,696
Rank Group P.L.C..................................... 9,535 34,148
Rio Tinto P.L.C...................................... 13,118 192,337
Rolls-Royce P.L.C.................................... 10,766 45,285
*Royal & Sun Alliance Insurance Group P.L.C.......... 19,742 161,496
Safeway P.L.C........................................ 14,794 61,221
Sainsbury (J.) P.L.C................................. 25,544 155,337
Scottish & Newcastle P.L.C........................... 8,300 96,359
Selfridges P.L.C..................................... 1,210 4,954
Severn Trent P.L.C................................... 2,995 43,745
Shell Transport & Trading Co., P.L.C................. 22,500 162,875
Slough Estates P.L.C................................. 4,000 23,619
Standard Chartered P.L.C............................. 6,097 92,277
Storehouse P.L.C..................................... 5,254 9,934
Tarmac P.L.C......................................... 10,892 20,770
Tate & Lyle P.L.C.................................... 4,000 26,280
Terranova Foods P.L.C................................ 2,450 5,869
Tesco P.L.C.......................................... 44,947 130,903
Thames Water P.L.C................................... 2,641 41,896
Thistle Hotels P.L.C................................. 5,457 15,740
Unigate P.L.C........................................ 2,600 17,707
*Unilever P.L.C...................................... 9,464 83,257
United Assurance Group P.L.C......................... 3,000 19,710
United Biscuits Holdings P.L.C....................... 5,141 16,332
United Utilities P.L.C............................... 4,670 56,386
Whitbread P.L.C...................................... 6,339 112,852
Wolseley P.L.C....................................... 4,000 31,231
Yorkshire Water P.L.C................................ 3,261 22,940
------------
TOTAL COMMON STOCKS (Cost $3,684,018).................. 4,394,355
------------
INVESTMENT IN CURRENCY -- (0.0%)
*British Pound Sterling (Cost $71)................... 71
------------
TOTAL -- UNITED KINGDOM
(Cost $3,684,089).................................... 4,394,426
------------
FRANCE -- (9.7%)
COMMON STOCKS -- (9.7%)
AGF (Assurances Generales de France SA).............. 835 41,506
</TABLE>
17
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Assurances Generales de France, Paris............... 137 $ 103
#Banque Nationale de Paris........................... 3,207 270,944
Banque Paribas....................................... 1,846 200,740
*Christian Dior SA................................... 300 42,630
Credit Commercial de France.......................... 700 77,218
Elf Aquitaine........................................ 1,609 233,515
*Eridania Beghin-Say SA.............................. 300 43,696
Euro Disney SCA...................................... 11,400 17,761
Generale des Establissements Michelin SA Series B.... 1,500 66,313
Groupe Danone........................................ 500 138,020
*Hachette Filipacchi Medias.......................... 100 26,193
*LaFarge SA.......................................... 1,267 114,462
*Pechiney SA Series A................................ 600 23,313
Pernod-Ricard........................................ 400 26,768
Peugeot SA........................................... 500 74,238
Rhone-Poulenc SA Series A............................ 1,144 54,426
*Saint-Gobain........................................ 1,013 159,410
#Societe Generale Paris.............................. 1,228 223,674
*Thomson-CSF......................................... 900 29,041
Usinor............................................... 2,700 36,870
------------
TOTAL COMMON STOCKS
(Cost $1,338,015).................................... 1,900,841
------------
RIGHTS/WARRANTS -- (0.0%)
*AGF (Assurances Generales de France SA) Warrants
06/15/00 (Cost $3,701)............................. 835 7,596
------------
TOTAL -- FRANCE
(Cost $1,341,716).................................... 1,908,437
------------
GERMANY -- (9.0%)
COMMON STOCKS -- (9.0%)
#BASF AG............................................. 10,650 407,011
BHF Bank AG.......................................... 1,500 48,778
*BHW Holding AG, Berlin.............................. 3,000 45,515
Bankgesellschaft Berlin AG........................... 2,700 39,524
Berliner Kraft & Licht Bewag AG...................... 2,000 34,066
Bilfinger & Berger Bau AG, Mannheim.................. 600 14,837
#Commerzbank AG...................................... 7,850 219,155
#Deutsche Bank AG.................................... 7,222 376,588
Deutsche Lufthansa AG................................ 4,100 88,098
Deutsche Pfandbrief und Hypothekenbank AG, Depfa..... 500 43,131
FPB Holding AG....................................... 200 34,505
Hochtief AG.......................................... 1,200 52,699
Linde AG............................................. 100 57,090
MAN AG............................................... 1,000 29,277
Merck KGAA........................................... 700 24,117
Siemens AG........................................... 1,700 114,473
*Thyssen Krupp AG.................................... 5,500 107,541
Vereins & Westbank AG................................ 1,206 33,291
------------
TOTAL -- GERMANY
(Cost $1,742,211).................................... 1,769,696
------------
SWITZERLAND -- (6.9%)
COMMON STOCKS -- (6.9%)
Baloise-Holding, Basel............................... 360 258,505
Banque Cantonale Vaudois............................. 110 32,490
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Bobst SA, Prilly..................................... 20 $ 24,679
Ciba Spezialitaetenchemie Holding AG................. 700 52,034
Financiere Richemont AG.............................. 160 258,767
Forbo Holding AG, Eglisau............................ 40 16,409
Helvetia Patria Holding, St. Gallen.................. 70 54,446
Holderbank Financiere Glarus AG, Glarus.............. 30 35,759
Intershop Holding AG, Zuerich........................ 40 23,629
Oerlikon-Buehrle Holding AG, Zuerich................. 500 72,119
Pargesa Holding SA, Geneve........................... 50 68,952
Roche Holding AG, Basel.............................. 12 208,332
Sairgroup, Zuerich................................... 250 56,448
Schindler Holding AG, Hergiswil...................... 25 40,941
Schweizerische Lebensvericherungs und
Rentenanstalt...................................... 120 74,905
Sig Schweizerische Industrie-Gesellschaft Holding AG,
Neuhausen AM Rheinfall............................. 80 49,727
Sulzer AG, Winterthur................................ 40 23,446
------------
TOTAL COMMON STOCKS
(Cost $1,137,505).................................... 1,351,588
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs (Cost $5,046).......................... 4,982
------------
TOTAL -- SWITZERLAND
(Cost $1,142,551).................................... 1,356,570
------------
NETHERLANDS -- (6.3%)
COMMON STOCKS -- (6.3%)
ABN Amro Holding NV.................................. 7,262 161,356
Asr Verzekeringsgroep NV............................. 815 56,286
Buhrmann NV.......................................... 2,068 34,597
DSM NV............................................... 559 52,196
Fortis (NL).......................................... 6,632 216,009
Heineken Holding NV Series A......................... 3,125 129,721
Ing Groep NV......................................... 5,039 270,027
KLM (Koninklijke Luchtvaart Mij NV).................. 1,917 55,723
Koninklijke Hoogovens NV............................. 776 30,103
Koninklijke Philips Electronics...................... 2,800 240,804
------------
TOTAL COMMON STOCKS
(Cost $761,321)...................................... 1,246,822
------------
RIGHTS/WARRANTS -- (0.0%)
*ASR Verzekerings Groep NV Rights 06/02/99........... 815 0
*Fortis (NL) Rights 06/17/99......................... 6,632 0
*Ing Groep NV Rights 06/07/99........................ 5,039 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- NETHERLANDS
(Cost $761,321)...................................... 1,246,822
------------
ITALY -- (3.6%)
COMMON STOCKS -- (3.6%)
Banca Commerciale Italiana SpA....................... 26,000 187,310
#Banca di Roma....................................... 80,000 117,108
#Fiat SpA............................................ 72,600 234,566
Ifil Finanziaria Partecipazioni SpA, Torino.......... 9,000 30,678
</TABLE>
18
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Italcementi Fabbriche Riunite Cemento SpA, Bergamo... 5,000 $ 56,986
#Montedison SpA...................................... 40,000 35,593
Toro Assicurazioni Cia Anonima d'Assicurazione di
Torino SpA......................................... 2,800 37,767
------------
TOTAL -- ITALY
(Cost $474,138)...................................... 700,008
------------
SPAIN -- (3.4%)
COMMON STOCKS -- (3.4%)
*Acerinox SA......................................... 2,500 71,886
Aumar (Autopistas del Mare Nostrum SA)............... 4,200 94,374
Autopistas Concesionaria Espanola SA................. 7,245 92,648
*Banco Pastor SA, La Coruna.......................... 400 20,824
Compania Espanola de Petroleos SA, Madrid............ 5,700 179,693
*Cristaleria Espanola SA, Madrid
Em 98.............................................. 50 2,565
Cristaleria Espanola SA, Madrid...................... 300 15,715
Grupo Dragados....................................... 2,500 86,655
Hidroelectrica del Cantabrico SA, Oviedo............. 2,400 103,892
------------
TOTAL -- SPAIN
(Cost $655,539)...................................... 668,252
------------
HONG KONG -- (2.7%)
COMMON STOCKS -- (2.7%)
Amoy Properties, Ltd................................. 68,000 56,122
Chinese Estates Holdings, Ltd........................ 25,304 4,177
*Evergo China Holdings, Ltd.......................... 3,838 85
Great Eagle Holdings, Ltd............................ 7,482 11,964
Hang Lung Development Co., Ltd....................... 25,000 29,015
Hong Kong & Shanghai Hotels, Ltd..................... 18,416 13,537
Hopewell Holdings, Ltd............................... 14,000 7,673
Hysan Development Co., Ltd........................... 17,390 25,677
Kerry Properties, Ltd................................ 14,000 14,443
New World Development Co., Ltd....................... 9,000 21,994
Paliburg Holdings, Ltd............................... 45,000 5,513
Shangri-la Asia, Ltd................................. 30,000 32,110
Sino Land Co., Ltd................................... 46,000 24,766
Swire Pacific, Ltd. Series A......................... 22,000 104,972
Tan Chong International Limited...................... 30,000 5,223
Tsim Sha Tsui Properties, Ltd........................ 12,000 7,815
Wharf Holdings, Ltd.................................. 51,000 129,893
Wheelock and Co., Ltd................................ 34,000 38,584
------------
TOTAL COMMON STOCKS
(Cost $822,643)...................................... 533,563
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars (Cost $2,229)..................... 2,236
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Chinese Estates Holdings, Ltd. Warrants 11/24/00.... 2,530 $ 150
*Chinese Estates Holdings, Ltd. Warrants 11/24/00.... 2,530 127
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 277
------------
TOTAL -- HONG KONG
(Cost $824,872)...................................... 536,076
------------
SWEDEN -- (2.4%)
COMMON STOCKS -- (2.3%)
*Assidomaen AB....................................... 3,700 74,446
Avesta Sheffield AB.................................. 2,000 8,002
*Boliden, Ltd........................................ 547 1,231
Diligentia AB........................................ 560 4,246
Mo Och Domsjoe AB Series B........................... 2,300 54,728
SSAB Swedish Steel Series A.......................... 1,200 13,577
Svenska Cellulosa AB Series B........................ 2,900 67,652
Svenska Kullagerfabriken AB Series B................. 1,900 29,807
Trelleborg AB Series B............................... 1,400 12,492
Volvo AB Series A.................................... 2,400 60,607
Volvo AB Series B.................................... 5,100 129,681
------------
TOTAL COMMON STOCKS
(Cost $538,603)...................................... 456,469
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Swedish Krona (Cost $9,870)......................... 9,622
------------
TOTAL -- SWEDEN
(Cost $548,473)...................................... 466,091
------------
AUSTRALIA -- (2.3%)
COMMON STOCKS -- (2.3%)
Amcor, Ltd........................................... 4,441 23,665
Boral, Ltd........................................... 9,016 14,737
CSR, Ltd............................................. 8,813 23,711
Goodman Fielder, Ltd................................. 18,360 18,006
MIM Holdings......................................... 12,201 6,621
News Corp., Ltd...................................... 11,803 97,699
Pioneer International, Ltd........................... 8,037 18,707
Rio Tinto, Ltd....................................... 8,871 124,702
Santos, Ltd.......................................... 8,775 27,252
St. George Bank, Ltd................................. 4,206 29,307
WMC, Ltd............................................. 16,569 61,533
------------
TOTAL COMMON STOCKS
(Cost $444,961)...................................... 445,940
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar (Cost $1,355)..................... 1,400
------------
TOTAL -- AUSTRALIA
(Cost $446,316)...................................... 447,340
------------
BELGIUM -- (2.1%)
COMMON STOCKS -- (2.1%)
Bekaert SA........................................... 100 41,824
CMB (Cie Martime Belge).............................. 300 12,861
Cofinimmo SA......................................... 220 25,304
Electrafina SA....................................... 200 22,585
*Glaverbel SA........................................ 200 19,522
</TABLE>
19
<PAGE>
VA INTERNATIONAL VALUE PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Groupe Bruxelles Lambert SA, Bruxelles............... 200 $ 34,923
Solvay SA............................................ 2,300 153,794
Suez Lyonnaise des Eaux.............................. 500 82,603
*Suez Lyonnaise des Eaux SA VVPR..................... 500 5
*Suez Lyonnaise ds Eaux CVG.......................... 500 4,789
Union Miniere SA..................................... 600 22,052
------------
TOTAL -- BELGIUM
(Cost $437,936)...................................... 420,262
------------
SINGAPORE -- (1.2%)
COMMON STOCKS -- (1.2%)
Fraser & Neave, Ltd.................................. 5,000 19,713
Keppel Corp., Ltd.................................... 24,000 68,463
Keppel Land, Ltd..................................... 29,000 49,266
*Neptune Orient Lines, Ltd........................... 23,000 19,070
Singapore Land, Ltd.................................. 9,000 24,734
United Industrial Corp., Ltd......................... 43,000 26,676
United Overseas Land, Ltd............................ 12,000 12,802
------------
TOTAL COMMON STOCKS
(Cost $314,205)...................................... 220,724
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars (Cost $3,169)..................... 3,123
------------
TOTAL -- SINGAPORE
(Cost $317,374)...................................... 223,847
------------
DENMARK -- (1.1%)
COMMON STOCKS -- (1.1%)
Kapital Holdings A.S................................. 503 18,829
Tele Danmark A.S. Series B........................... 1,087 111,366
Tryg Baltica Forsikring A.S.......................... 867 22,329
Unidanmark A.S. Series A............................. 803 56,504
------------
TOTAL COMMON STOCKS
(Cost $166,963)...................................... 209,028
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone (Cost $8,436).......................... $ 8,252
------------
TOTAL -- DENMARK
(Cost $175,399)...................................... 217,280
------------
FINLAND -- (0.6%)
COMMON STOCKS -- (0.6%)
Stora Enso AB Series A............................... 3,456 35,233
Stora Enso AB Series B............................... 8,590 87,842
------------
TOTAL -- FINLAND
(Cost $134,734)...................................... 123,075
------------
MALAYSIA -- (0.3%)
COMMON STOCKS -- (0.3%)
Berjaya Group Berhad................................. 15,000 3,474
Berjaya Land Berhad.................................. 11,000 3,890
Golden Hope Plantations Berhad....................... 15,000 10,611
Kuala Lumpur Kepong Berhad........................... 10,000 11,684
Sime Darby Berhad (Malaysia)......................... 30,000 31,453
------------
TOTAL -- MALAYSIA
(Cost $130,863)...................................... 61,112
------------
EMU -- (0.0%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency (Cost $4,511)......................... 4,467
------------
TOTAL INVESTMENTS -- (100.0%)
(Cost $19,451,318)++................................. $ 19,648,489
------------
------------
- --------------------
+ See Note B to Financial Statements.
* Non-Income Producing Securities
# Total or Partial Securities on Loan
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
20
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
SCHEDULE OF INVESTMENTS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
JAPAN -- (25.2%)
COMMON STOCKS -- (25.2%)
Achilles Corp......................................... 6,000 $ 7,250
Aica Kogyo Co., Ltd................................... 3,000 12,589
Aichi Tokei Denki Co., Ltd............................ 3,000 8,492
Aida Engineering, Ltd................................. 3,000 9,584
Akai Electric Co., Ltd................................ 9,000 9,162
Amada Metrecs Co., Ltd................................ 3,000 16,562
Amada Sonoike Co., Ltd................................ 7,000 20,220
Arai-Gumi, Ltd........................................ 1,200 2,622
Asahi Denka Kogyo KK.................................. 3,000 13,731
Asahi Diamond Industrial Co., Ltd..................... 5,000 26,196
Asahi Kogyosha Co., Ltd............................... 3,000 9,088
Asahi Optical Co., Ltd................................ 5,000 15,809
Asahi Organic Chemicals Industry Co., Ltd............. 3,000 8,442
Ashimori Industry Co., Ltd............................ 3,000 6,208
Asics Corp............................................ 7,000 7,706
Atsugi Nylon Industrial Co., Ltd...................... 19,000 22,016
Azel Corp., Tokyo..................................... 2,000 6,257
Bando Chemical Industries, Ltd........................ 5,000 12,622
*#Bank of Osaka, Ltd.................................. 9,000 14,824
CKD Corp.............................................. 2,000 8,426
Central Finance Co., Ltd.............................. 4,000 7,946
Central Glass Co., Ltd................................ 7,000 13,731
#Chiba Kogyo Bank, Ltd................................ 800 11,720
Chiyoda Corp.......................................... 12,000 23,042
Chori Co., Ltd........................................ 5,000 5,959
Chukyo Coca-Cola Bottling Co., Ltd.................... 3,000 38,735
Chukyo Sogo Bank, Ltd................................. 5,000 16,885
*Cosmo Securities Co., Ltd............................ 22,000 38,967
Dai-Dan Co., Ltd...................................... 3,000 20,361
Daido Hoxan, Inc...................................... 4,000 11,919
*Daiei OMC, Inc....................................... 9,000 12,887
Daihen Corp........................................... 11,000 17,754
Dainichiseika Colour & Chemicals Manufacturing Co.,
Ltd................................................. 4,000 13,408
Daisan Bank, Ltd...................................... 4,000 13,243
Daiwa Danchi Co., Ltd................................. 5,000 12,829
Daiwabo Co., Ltd...................................... 8,000 9,800
Denki Kogyo Co., Ltd.................................. 3,000 20,510
France Bed Co., Ltd................................... 4,000 14,931
Fuji Kosan Co., Ltd................................... 6,000 6,257
Fuji Kyuko Co., Ltd................................... 5,000 14,070
Fuji Spinning Co., Ltd., Tokyo........................ 4,000 4,370
Fujiko Co., Ltd....................................... 4,000 3,377
Fujiya Co., Ltd....................................... 10,000 23,175
Furukawa Battery Co., Ltd............................. 3,000 5,736
Furukawa Co., Ltd..................................... 18,000 25,178
Fuso Pharmaceutical Industries, Ltd................... 5,000 21,189
Gakken Co., Ltd....................................... 3,000 4,320
Godo Steel, Ltd....................................... 6,000 6,506
Hazama Corp........................................... 17,000 13,648
Hitachi Electronics, Ltd.............................. 3,000 13,905
Hitachi Medical Corp.................................. 2,000 22,430
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Hitachi Plant Engineering & Construction Co., Ltd..... 6,000 $ 16,587
Hitachi Seiki Co., Ltd................................ 4,000 6,952
Hokkaido Gas Co., Ltd................................. 4,000 7,317
Hokuriku Electric Industry Co., Ltd................... 4,000 5,396
Horiba, Ltd........................................... 2,000 19,864
Howa Machinery, Ltd................................... 5,000 6,001
Ichikoh Industries, Ltd............................... 4,000 6,423
Iino Kaiun Kaisha, Ltd................................ 9,000 16,909
Inageya Co., Ltd...................................... 2,000 14,898
Intec, Inc............................................ 2,000 20,444
Iseki & Co., Ltd...................................... 14,000 14,600
Itochu Fuel Corp...................................... 4,000 12,647
Iwasaki Electric Co., Ltd............................. 4,000 7,217
Iwatsu Electric Co., Ltd.............................. 3,000 4,047
JGC Corp.............................................. 10,000 25,492
Japan Aviation Electronics Industry, Ltd.............. 3,000 9,435
*Japan Coated Paper Manufacturing Co., Ltd............ 3,000 2,930
Japan Paperboard Industries Co., Ltd., Tokyo.......... 3,000 6,481
Japan Pulp and Paper Co., Ltd......................... 5,000 16,595
Japan Steel Works, Ltd................................ 21,000 25,377
Japan Transcity Corp.................................. 3,000 7,325
Japan Vilene Co., Ltd................................. 3,000 6,083
Japan Wool Textile Co., Ltd........................... 6,000 28,356
Jeol, Ltd............................................. 5,000 24,789
Joshin Denki Co., Ltd................................. 2,000 6,423
Kagawa Bank, Ltd...................................... 3,000 15,569
Kaken Pharmaceutical Co., Ltd......................... 7,000 42,932
Kanematsu Corp........................................ 21,000 15,295
Kanematsu-NNK Corp.................................... 3,000 8,939
Kansai Kisen Kaisha................................... 9,000 8,343
Kanto Auto Works, Ltd., Yokosuka...................... 3,000 16,785
Kanto Denka Kogyo Co., Ltd............................ 4,000 10,594
Kawada Industries, Inc................................ 2,000 6,373
Kawai Musical Instruments Manufacturing Co., Ltd...... 5,000 11,215
Keiyo Co., Ltd........................................ 2,000 9,634
Kita-Nippon Bank, Ltd................................. 400 17,878
Kokusai Kogyo Co., Ltd................................ 2,000 12,250
Komatsu Forklift Co., Ltd............................. 3,000 5,214
Kosei Securities Co., Ltd............................. 4,000 7,019
Kurabo Industries, Ltd................................ 13,000 15,279
#Kuraya Corp.......................................... 5,000 71,594
Kyodo Shiryo Co., Ltd................................. 5,000 6,166
Kyushu Bank, Ltd...................................... 4,000 12,746
Life Corp............................................. 2,000 10,694
Marudai Food Co., Ltd................................. 5,000 10,636
Maruha Corp........................................... 18,000 20,857
*Maruyama Manufacturing Co., Inc...................... 3,000 6,630
Maruzen Co., Ltd...................................... 4,000 9,767
Matsuo Bridge Co., Ltd................................ 3,000 6,158
Misawa Homes Co., Ltd................................. 9,000 32,180
</TABLE>
21
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Mitsubishi Cable Industries, Ltd...................... 14,000 $ 22,596
*Mitsubishi Plastics, Inc............................. 16,000 21,453
*Mitsubishi Shindoh Co., Ltd.......................... 3,000 4,594
*Mitsubishi Steel Manufacturing Co., Ltd.............. 5,000 4,842
Mitsuboshi Belting, Ltd............................... 8,000 20,063
Mitsui Construction Co., Ltd.......................... 6,000 5,711
Mitsui Home Co., Ltd.................................. 4,000 19,566
*Mitsui Mining Co., Ltd............................... 5,000 6,125
*Mitsui O.S.K. Lines, Ltd............................. 9,714 20,502
Mitsuuroko Co., Ltd................................... 3,000 14,277
Miura Co., Ltd........................................ 2,000 27,810
*Morinaga & Co., Ltd.................................. 16,000 26,486
Nachi-Fujikoshi Corp.................................. 13,000 19,583
*#Nagasakiya Co., Ltd. (Tokyo)........................ 5,000 8,732
Nakamuraya Co., Ltd................................... 3,000 8,492
Nakayama Steel Works, Ltd............................. 5,000 9,601
Nichias Corp.......................................... 4,000 6,919
Nichiha Corp.......................................... 4,000 43,072
Nichimo Co., Ltd...................................... 5,000 9,229
Nichireki Co., Ltd.................................... 2,000 9,899
Nichiro Corp.......................................... 5,000 7,573
Nifco, Inc............................................ 2,000 17,050
*Niigata Engineering Co., Ltd......................... 14,000 12,283
Nikkiso Co., Ltd...................................... 4,000 22,314
Nippon Beet Sugar Manufacturing Co., Ltd.............. 5,000 9,311
Nippon Carbon Co., Ltd................................ 5,000 6,994
Nippon Chemical Industrial Co., Ltd................... 2,000 5,545
Nippon Chemi-Con Corp................................. 5,000 18,167
Nippon Columbia Co., Ltd.............................. 3,000 5,711
Nippon Concrete Industries Co., Ltd................... 3,000 3,948
Nippon Densetsu Kogyo Co., Ltd........................ 2,000 6,820
*Nippon Kasei Chemical Co., Ltd....................... 5,000 7,490
Nippon Shinyaku Co., Ltd.............................. 3,000 20,361
Nippon Signal Co., Ltd................................ 3,000 16,636
*Nippon Steel Chemical Co., Ltd....................... 6,000 7,499
*Nippon Suisan Kaisha, Ltd............................ 18,000 26,668
Nippon Synthetic Chemical Industry Co., Ltd........... 3,000 5,587
Nippon Thompson Co., Ltd.............................. 3,000 19,318
*Nippon Yusen KK...................................... 250 1,014
Nissan Shatai Co., Ltd................................ 11,000 23,034
Nissha Printing Co., Ltd.............................. 3,000 19,070
Nisshin Oil Mills, Ltd................................ 10,000 26,486
Nitsuko Corp.......................................... 3,000 11,049
Nittetsu Mining Co., Ltd.............................. 3,000 8,864
Noritz Corp........................................... 2,000 22,894
*Odakyu Real Estate Co., Ltd.......................... 4,000 8,277
Okamoto Industries, Inc............................... 9,000 21,975
Okasan Securities Co., Ltd............................ 7,000 18,946
*Okura and Co., Ltd................................... 6,000 3,228
*Pacific Metals Co., Ltd.............................. 7,000 4,693
Parco Co., Ltd........................................ 2,000 9,866
*Pasco Corp........................................... 5,000 10,511
*Prima Meat Packers, Ltd.............................. 5,000 6,952
Raito Kogyo Co., Ltd.................................. 2,400 18,474
Rasa Industries, Ltd.................................. 3,000 8,467
Rheon Automatic Machinery Co., Ltd.................... 2,000 7,433
Rohto Pharmaceutical Co., Ltd......................... 2,000 15,113
Ryobi, Ltd............................................ 5,000 8,939
Ryoyo Electro Corp.................................... 2,000 20,857
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
SXL Corp.............................................. 3,000 $ 9,088
Sagami Co., Ltd....................................... 3,000 7,176
Sakai Chemical Industry Co., Ltd...................... 3,000 8,939
Sakata Inx Corp....................................... 3,000 8,939
*Sankyo Aluminum Industry Co., Ltd.................... 16,000 19,202
Sankyu, Inc., Tokyo................................... 20,000 25,989
Sanyo Shokai, Ltd..................................... 5,000 15,643
Sanyo Special Steel Co., Ltd.......................... 7,000 7,474
Sasebo Heavy Industries Co., Ltd., Tokyo.............. 7,000 9,096
Seiko Corp............................................ 3,000 12,912
Seiyo Food Systems, Inc............................... 3,000 11,770
Shikoku Chemicals Corp................................ 3,000 8,542
Shimizu Bank, Ltd..................................... 400 20,460
Shinagawa Fuel Co., Ltd............................... 3,000 10,925
Shindengen Electric Manufacturing Co., Ltd............ 3,000 15,469
Shin-Etsu Polymer Co., Ltd............................ 5,000 28,927
*Shinko Electric Co., Ltd............................. 6,000 10,031
Shinmaywa Industries, Ltd............................. 5,000 12,043
*Showa Electric Wire & Cable Co., Ltd., Kawasaki...... 12,000 16,289
Showa Sangyo Co., Ltd................................. 10,000 19,533
Sumitomo Construction Co., Ltd........................ 6,000 7,946
*Sumitomo Light Metal Industries, Ltd................. 11,000 10,379
Sumitomo Precision Products Co., Ltd., Amagasaki
City................................................ 2,000 6,952
Sun Wave Corp......................................... 2,000 5,380
Taisei Rotec Corp..................................... 3,000 7,697
Takaoka Electric Manufacturing Co., Ltd., Tokyo....... 4,000 7,217
Takasago International Corp........................... 3,000 15,593
Takashima & Co., Ltd.................................. 4,000 6,290
Takiron Co., Ltd...................................... 3,000 8,244
Tamura Corp........................................... 4,000 21,354
Tasaki Shinju Co., Ltd................................ 2,000 7,946
*Teac Corp............................................ 5,000 25,244
Teisan KK............................................. 5,000 13,864
Tenma Corp............................................ 2,000 26,817
Toa Corp.............................................. 12,000 19,964
Toa Doro Kogyo Co., Ltd............................... 3,000 6,133
*Toa Wool Spinning & Weaving Co., Ltd................. 6,000 9,485
Tochigi Bank, Ltd..................................... 3,000 15,271
Toenec Corp........................................... 3,000 11,670
Toho Zinc Co., Ltd.................................... 4,000 8,972
Tokai Carbon Co., Ltd................................. 12,000 24,036
Tokai Rika Co., Ltd................................... 3,000 21,677
Tokico, Ltd........................................... 4,000 5,628
Tokin Corp............................................ 2,000 12,233
Tokushu Paper Manufacturing Co., Ltd.................. 3,000 16,711
Tokyo Rope Manufacturing Co., Ltd..................... 4,000 5,363
*Tokyo Securities Co., Ltd............................ 4,000 7,383
Tokyo Tanabe Co., Ltd., Tokyo......................... 8,000 38,735
*Tokyo Tekko Co., Ltd................................. 3,000 2,731
Tokyo Theatres Co., Inc., Tokyo....................... 6,000 9,982
*Tokyu Hotel Chain Co., Ltd........................... 12,000 17,282
Tokyu Store Chain Corp................................ 4,000 15,825
Tonami Transportation Co., Ltd........................ 3,000 5,835
Topy Industries, Ltd.................................. 16,000 26,618
Toshiba Machine Co., Ltd.............................. 6,000 11,919
</TABLE>
22
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CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Totoku Electric Co., Ltd., Tokyo..................... 3,000 $ 6,307
Toyo Chemical Co., Ltd................................ 3,000 10,280
*Toyo Electric Co., Ltd............................... 5,000 6,208
Toyo Engineering Corp................................. 11,000 12,200
Toyo Exterior Co., Ltd................................ 3,000 35,036
Toyo Kohan Co., Ltd................................... 3,000 10,056
Toyo Tire & Rubber Co., Ltd........................... 8,000 13,773
Toyo Umpanki Co., Ltd................................. 5,000 9,518
Tsubaki Nakashima Co., Ltd............................ 4,000 26,717
Tsumura & Co., Inc.................................... 3,000 10,454
Unisia Jecs Corp...................................... 3,000 4,991
Wakachiku Construction Co., Ltd....................... 4,000 7,615
Yokohama Reito Co., Ltd............................... 3,000 20,063
Yomiuri Land Co., Ltd................................. 3,000 7,226
Yondenko Corp......................................... 2,100 8,187
Yonekyu Corp.......................................... 2,000 24,830
Yoshimoto Kogyo Co., Ltd.............................. 2,000 13,243
*Yuasa Corp........................................... 7,000 17,845
Yurtec Corp........................................... 4,000 23,076
Zenchiku Co., Ltd..................................... 4,000 12,084
------------
TOTAL COMMON STOCKS
(Cost $4,805,942).................................... 3,243,430
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Japanese Yen
(Cost $1,611)....................................... 1,586
------------
TOTAL -- JAPAN
(Cost $4,807,553).................................... 3,245,016
------------
UNITED KINGDOM -- (21.1%)
COMMON STOCKS -- (21.0%)
Abbot Group P.L.C..................................... 7,000 15,591
Albright & Wilson P.L.C............................... 12,000 31,343
Amec P.L.C............................................ 9,172 38,140
Ash & Lacy P.L.C...................................... 7,000 13,180
BICC P.L.C............................................ 22,000 34,548
BPP Holdings P.L.C.................................... 1,400 13,068
BSG International P.L.C............................... 13,300 31,755
Bellway P.L.C......................................... 4,000 22,722
Benchmark Group P.L.C................................. 5,000 18,147
Berisford P.L.C....................................... 7,000 26,752
Bespak P.L.C.......................................... 1,360 17,325
Black (Peter) Holdings P.L.C.......................... 3,000 17,330
Body Shop International P.L.C......................... 8,000 14,742
Booker P.L.C.......................................... 11,000 15,159
Bradford Property Trust P.L.C......................... 6,000 23,892
Bradstock Group P.L.C................................. 21,000 13,629
Brake Brothers P.L.C.................................. 2,430 29,885
Brammer (H.) P.L.C.................................... 1,909 15,784
*British Biotech P.L.C................................ 30,000 7,692
British Polythene Industries P.L.C.................... 2,000 12,178
British-Borneo Petroleum Syndicate P.L.C.............. 5,142 13,595
Bryant Group P.L.C.................................... 10,684 24,739
Bulmer (H.P.) Holdings P.L.C.......................... 2,002 11,790
Carpetright P.L.C..................................... 4,000 20,767
Charter P.L.C......................................... 4,400 27,286
*Chiroscience Group P.L.C............................. 5,000 19,429
City Centre Restaurants P.L.C......................... 9,500 11,113
Cordiant Communications Group P.L.C................... 12,000 29,901
Courtaulds Textiles P.L.C............................. 4,600 10,135
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Courts P.L.C.......................................... 2,320 $ 12,919
Cox Insurance Holdings P.L.C.......................... 7,000 21,480
Dawson Group P.L.C.................................... 4,000 9,935
*Dawson International P.L.C........................... 10,277 3,294
Delta P.L.C........................................... 6,000 14,133
Derwent Valley Holdings P.L.C......................... 2,000 18,107
Devro P.L.C........................................... 8,000 16,857
Dewhirst Group P.L.C.................................. 6,000 8,365
*Dialog Corp. P.L.C................................... 8,000 11,666
Diploma P.L.C......................................... 3,000 8,220
Ellis & Everard P.L.C................................. 4,382 14,851
Euromoney Publications P.L.C.......................... 990 26,374
Fairey Group P.L.C.................................... 4,610 29,068
Finelist Group P.L.C.................................. 3,000 9,590
First Choice Holidays................................. 14,437 55,753
Forth Ports P.L.C..................................... 2,000 16,345
GWR Group P.L.C....................................... 5,000 32,489
Geest P.L.C........................................... 3,000 24,397
Gerrard Group P.L.C................................... 3,500 26,416
Go-Ahead Group P.L.C.................................. 2,000 28,250
Graham Group P.L.C.................................... 7,000 17,218
Grantchester Holdings P.L.C........................... 10,000 25,959
Greene King P.L.C..................................... 2,000 20,671
Greggs P.L.C.......................................... 640 25,510
Greycoat P.L.C........................................ 6,000 24,661
Hambro Countrywide P.L.C.............................. 14,000 34,099
Hazlewood Foods P.L.C................................. 11,000 23,443
Henlys Group P.L.C.................................... 2,000 19,453
Heywood Williams Group P.L.C.......................... 5,000 21,512
Highland Distilleries Co. P.L.C....................... 6,000 23,075
Hillsdown Holdings P.L.C.............................. 19,700 46,089
Hiscox P.L.C.......................................... 6,000 16,345
Hogg Robinson P.L.C................................... 4,770 16,892
House of Fraser P.L.C................................. 8,000 11,537
Hunting P.L.C......................................... 5,163 11,665
Iceland Group P.L.C................................... 8,000 34,035
Invensys P.L.C........................................ 18 82
JJB Sports P.L.C...................................... 6,000 30,189
Jardine Lloyd Thompson Group P.L.C.................... 8,790 33,171
Johnston Press P.L.C.................................. 7,010 31,171
Laird Group P.L.C..................................... 6,800 28,276
London Clubs International P.L.C...................... 7,000 16,040
London Forfeiting Co.................................. 5,000 4,286
London Merchant Securities P.L.C...................... 10,000 16,905
Low & Bonar P.L.C..................................... 5,000 12,859
Lynx Holdings P.L.C................................... 5,000 13,020
MacFarlane Group Clansman P.L.C....................... 6,000 7,836
Manchester United P.L.C............................... 12,000 36,054
McBride P.L.C......................................... 6,500 12,134
Meggitt P.L.C......................................... 10,461 30,508
Menzies (John) P.L.C.................................. 3,000 15,960
Mersey Docks & Harbour Co. P.L.C...................... 3,580 29,544
*Micro Focus Group P.L.C.............................. 3,575 8,994
Molins P.L.C.......................................... 1,360 2,888
*Monument Oil & Gas Holdings P.L.C.................... 35,000 30,706
Mowlem (John) & Co. P.L.C............................. 8,000 18,460
*NXT P.L.C............................................ 2,800 22,097
Nestor - BNA P.L.C.................................... 3,700 25,494
*Oxford Molecular Group P.L.C......................... 6,530 5,337
Parity P.L.C.......................................... 2,000 19,373
Perkins Foods P.L.C................................... 6,688 13,932
</TABLE>
23
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VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Persimmon P.L.C....................................... 8,404 $ 32,791
Photo-Me International P.L.C.......................... 6,000 70,666
Polypipe P.L.C........................................ 8,225 26,162
*Premier Consolidated Oilfields P.L.C................. 40,000 12,339
Psion P.L.C........................................... 4,000 49,995
Quick Group P.L.C..................................... 12,738 16,839
Redrow Group P.L.C.................................... 11,000 35,694
Regent Inns P.L.C..................................... 4,000 11,794
Renishaw P.L.C........................................ 2,904 20,010
Rotork P.L.C.......................................... 4,000 28,299
SIG P.L.C............................................. 4,300 11,645
Salvesen (Christian) P.L.C............................ 12,000 19,421
Scapa Group P.L.C..................................... 11,000 23,531
Senior Engineering Group P.L.C........................ 12,000 29,613
Shanks & McEwan Group P.L.C........................... 8,000 29,741
St. Modwen Properties P.L.C........................... 23,000 29,300
Stanley Leisure Organisation P.L.C.................... 4,000 16,024
Staveley Industries P.L.C............................. 6,000 6,490
Swan Hill Group P.L.C................................. 13,000 13,957
T & S Stores P.L.C.................................... 7,690 45,409
Taylor Nelson AGB P.L.C............................... 18,000 41,102
Tibbett & Britten Group P.L.C......................... 2,300 19,349
Tilbury Douglas P.L.C................................. 9,249 41,720
Transport Development Group P.L.C..................... 4,126 13,454
Vardon P.L.C.......................................... 9,000 25,599
Vaux Group P.L.C...................................... 5,319 24,675
Versailles Group P.L.C................................ 13,000 31,559
Vitec Group P.L.C..................................... 2,000 19,037
Vosper Thornycroft Holdings P.L.C..................... 1,460 22,986
Waddington (John) P.L.C............................... 3,980 11,926
Wates City of London Properties P.L.C................. 12,000 18,267
Watson & Philip P.L.C................................. 2,300 3,262
Westbury P.L.C........................................ 5,170 24,025
Wilson (Connolly) Holdings P.L.C...................... 8,000 18,652
Wolverhampton & Dudley Breweries P.L.C................ 2,400 22,132
Yates Brothers Wine Lodges P.L.C...................... 3,013 22,692
------------
TOTAL COMMON STOCKS
(Cost $2,715,369).................................... 2,697,763
------------
INVESTMENT IN CURRENCY -- (0.1%)
*British Pound Sterling
(Cost $10,649)...................................... 10,600
------------
TOTAL -- UNITED KINGDOM
(Cost $2,726,018).................................... 2,708,363
------------
FRANCE -- (6.8%)
COMMON STOCKS -- (6.8%)
Boiron SA............................................. 300 19,448
Bollore Technologies SA............................... 200 37,956
Brioche Pasquier SA................................... 200 21,226
*CDE (Comptoir des Entrepeneurs SA)................... 7,678 19,187
Carbone Lorraine...................................... 400 20,235
Concorde Cie d'Assurances Contre les Risques de Toute
Nature SA........................................... 100 35,655
DMC (Dollfus Mieg et Cie)............................. 300 1,804
Damart SA............................................. 300 23,087
Dietrich et Cie....................................... 450 27,149
Europe 1 Communication................................ 81 22,901
Fimalac SA............................................ 330 36,817
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Fonciere Lyonnaise SA................................. 204 $ 27,090
Fraikin SA............................................ 400 21,330
GFI Industries SA..................................... 500 19,344
Gaumont............................................... 408 25,596
Generale de Geophysique SA............................ 300 13,833
Groupe Andre SA....................................... 304 44,501
Groupe du Louvre SA................................... 700 53,797
Groupe Norbert Dentressangle SA....................... 600 16,060
Guyenne et Gascogne SA................................ 60 30,666
Infogrames Entertainment SA........................... 550 38,991
Legris Industries SA.................................. 400 16,521
Metaleurop SA......................................... 1,500 9,724
*Moulinex SA.......................................... 1,440 16,593
Nord-Est SA........................................... 752 21,458
Rochefortaise Communication SA........................ 190 21,297
Rue Imperiale de Lyon................................. 20 23,212
*Signaux et d'Equipements Electroniques SA............ 321 18,125
Silic (Societe Immobiliere de Location pour
l'Industrie et le Commerce)......................... 160 24,041
Skis Rossignol SA..................................... 648 9,486
Societe des Immeubles de France....................... 1,620 28,796
Sogeparc SA........................................... 300 20,703
*Sommer-Allibert SA................................... 900 25,408
Sopra SA.............................................. 500 25,826
Strafor Facom SA...................................... 283 25,744
Sylea SA.............................................. 200 12,171
Vallourec (Usines a Tubes de Lorraine Escaut et
Vallourec Reunies).................................. 400 14,053
------------
TOTAL COMMON STOCKS
(Cost $801,186)...................................... 869,831
------------
RIGHTS/WARRANTS -- (0.0%)
*Fonciere Lyonnaise SA Warrants 07/30/02.............. 204 134
*Havas Advertising SA Warrants 05/13/01............... 207 448
*Inforgrames Entertainment SA Warrants 06/30/01....... 50 369
*LA Continental d'Enterprises SA Warrants 10/31/01.... 752 1,219
------------
TOTAL RIGHTS/WARRANTS
(Cost $1,423)........................................ 2,170
------------
TOTAL -- FRANCE
(Cost $802,609)...................................... 872,001
------------
GERMANY -- (5.7%)
COMMON STOCKS -- (5.7%)
AGIV AG fuer Industrie & Verkehrswesen................ 1,700 36,084
Andreae-Noris Zahn AG, Anzag.......................... 580 15,161
Barmag AG............................................. 700 12,443
Bayerische Handelsbank AG............................. 860 24,459
Binding-Brauerei AG................................... 70 16,102
Brau und Brunnen AG................................... 300 21,174
Concordia Bau und Boden AG............................ 667 4,464
DSL Holdings AG....................................... 1,500 23,840
Deutsche Babcock AG, Oberhausen....................... 380 19,072
Duerr Beteiligungs AG................................. 500 12,443
Dyckerhoff & Widmann AG............................... 100 9,411
</TABLE>
24
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VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Fag Kugelfischer Georg Schaeffer AG................... 1,250 $ 11,240
Gerresheimer Glas AG.................................. 1,000 15,684
Goldschmidt AG........................................ 50 27,767
Harpen AG............................................. 25 5,045
Harpener AG........................................... 100 21,017
Holsten-Brauerei AG, Hamburg.......................... 100 20,180
Holzmann (Philipp) AG................................. 200 30,908
Horten AG............................................. 200 25,304
Iwka AG............................................... 1,000 20,389
KWS Kleinwanzlebener Saatzucht AG..................... 15 9,222
Kali und Salz Beteiligungs AG......................... 200 26,663
Kiekert AG............................................ 500 17,357
Kloeckner-Werke AG.................................... 400 25,513
Km-Europa Metal AG.................................... 400 21,958
Kraftuebertragungswerke Rheinfelden AG................ 80 24,676
Mannheimer Versicherung AG............................ 48 25,095
Phoenix AG, Hamburg................................... 1,000 16,102
*Plettac AG........................................... 70 3,843
Rheinmetall Berlin AG................................. 990 19,461
Rhoen Klinikum AG..................................... 200 19,030
Salamander AG, Kornwesteim............................ 100 15,893
Schmalbach-Lubeca AG.................................. 140 20,494
Strabag AG............................................ 100 5,751
Stuttgarter Hofbraeu AG............................... 100 24,572
Sued-Chemie AG........................................ 200 7,842
Sueddeutsche Bodencreditbank AG....................... 150 4,893
#Tarkett AG........................................... 1,200 11,794
Varta AG.............................................. 130 16,923
Vossloh AG............................................ 800 21,163
Walter AG............................................. 1,000 28,127
------------
TOTAL -- GERMANY
(Cost $857,887)...................................... 738,559
------------
SINGAPORE -- (5.6%)
COMMON STOCKS -- (5.5%)
Amtek Engineering, Ltd................................ 15,000 12,263
Avimo Group, Ltd...................................... 11,000 16,391
British-American Tobacco Co. (Singapore), Ltd......... 7,000 23,540
Bukit Sembawang Estates, Ltd.......................... 1,000 11,248
Comfort Group, Ltd.................................... 37,000 20,595
First Capital Corp., Ltd.............................. 33,000 43,624
GK Goh Holdings....................................... 17,000 13,307
Haw Par Brothers International, Ltd................... 24,000 37,571
Hitachi Zosen (Singapore), Ltd........................ 22,000 16,327
Hotel Plaza, Ltd...................................... 25,000 10,219
Hotel Properties, Ltd................................. 32,000 24,676
Inchcape Motors, Ltd.................................. 18,000 28,805
Kay Hian Holdings, Ltd. (Foreign)..................... 13,000 8,291
Keppel Marine Industries, Ltd......................... 24,000 32,005
Keppel Telecommunications and Transportation, Ltd..... 27,000 36,945
Kim Eng Holdings, Ltd................................. 65,000 40,325
Labroy Marine, Ltd.................................... 25,000 25,076
*Neptune Orient Lines, Ltd............................ 34,000 28,190
Orchard Parade Holdings, Ltd.......................... 11,200 8,117
*Osprey Maritime, Ltd................................. 69,000 31,005
Overseas Union Enterprise, Ltd........................ 6,000 18,264
Robinson & Co., Ltd................................... 8,000 23,192
*Scotts Holdings, Ltd................................. 25,000 11,886
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Sembcorp Logistics, Ltd.............................. 12,000 $ 35,484
Shangri-la Hotel, Ltd................................. 7,000 15,666
Sime Singapore, Ltd................................... 49,000 20,029
Straits Trading Co., Ltd.............................. 51,000 63,871
Times Publishing, Ltd................................. 11,000 21,302
Tuan Sing Holdings, Ltd............................... 44,000 9,439
*Van der Horst, Ltd................................... 4,000 1,229
Vickers Ballas Holdings, Ltd.......................... 29,000 21,522
------------
TOTAL COMMON STOCKS
(Cost $662,776)...................................... 710,404
------------
PREFERRED STOCKS -- (0.1%)
*First Capital Corp., Ltd. 7% Non-Redeemable
Convertible
(Cost $5,895)....................................... 9,900 13,145
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Singapore Dollars
(Cost $1,854)....................................... 1,861
------------
TOTAL -- SINGAPORE
(Cost $670,525)...................................... 725,410
------------
HONG KONG -- (5.5%)
COMMON STOCKS -- (5.5%)
ASM Pacific Technology, Ltd........................... 30,000 19,537
Allied Group, Ltd..................................... 276,000 19,576
Allied Properties (Hong Kong), Ltd.................... 142,000 7,325
Asia Financial Holdings, Ltd.......................... 48,960 8,713
Asia Standard International Group, Ltd................ 70,000 8,485
Cafe de Coral Holdings, Ltd........................... 78,000 23,386
Century City International Holdings, Ltd.............. 394,000 18,291
Champion Technology Holdings, Ltd..................... 253,410 16,013
Chen Hsong Holdings, Ltd.............................. 72,000 11,792
*China Aerospace International Holdings, Ltd.......... 46,800 4,647
*China Everbright Technology, Ltd..................... 206,000 18,330
China Foods Holdings, Ltd............................. 30,000 6,770
China Motor Bus Co., Ltd.............................. 1,600 10,729
China-Hong Kong Photo Products Holdings, Ltd.......... 90,000 12,535
Continental Mariner Investment Co., Ltd............... 60,000 7,583
Cross Harbour Tunnel Co., Ltd......................... 29,000 21,878
*Dong-Jun Holdings, Ltd............................... 92,000 973
Dynamic Holdings, Ltd................................. 92,000 14,237
Elec & Eltek International Holdings, Ltd.............. 110,000 18,725
FPB Bank Holding Co., Ltd............................. 50,000 10,510
*Founder, Ltd......................................... 122,000 24,071
Four Seas Mercantile Holdings, Ltd.................... 60,000 20,891
Giordano International, Ltd........................... 82,000 43,355
Gold Peak Industries (Holdings), Ltd.................. 81,250 16,136
Goldlion Holdings, Ltd................................ 37,000 3,340
Grande Holdings, Ltd.................................. 28,000 10,201
Great Wall Electronic International, Ltd.............. 142,640 6,162
Harbour Centre Development, Ltd....................... 9,000 6,151
International Bank of Asia, Ltd....................... 138,285 33,169
JCG Holdings, Ltd..................................... 28,000 10,291
*Kumagai Gumi Hong Kong, Ltd.......................... 27,000 12,535
</TABLE>
25
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Lai Sun Development Co., Ltd.......................... 86,000 $ 6,987
Lai Sun Hotels International, Ltd..................... 150,000 6,383
Liu Chong Hing Investment, Ltd........................ 18,000 12,535
Moulin International Holdings, Ltd.................... 94,760 9,654
*Mountbatten Corp..................................... 57,656 0
*Mountbatten Corp..................................... 57,027 0
Ngai Lik Industrial Holdings, Ltd..................... 94,000 24,123
Oriental Press Group, Ltd............................. 85,000 10,194
*QPL International Holdings, Ltd...................... 23,000 4,775
Sea Holdings, Ltd..................................... 38,000 10,903
*Semi-Tech (Global) Co., Ltd.......................... 68,346 3,305
Shaw Brothers Hong Kong, Ltd.......................... 20,000 13,927
Shell Electric Manufacturing (Holdings) Co., Ltd...... 45,600 4,881
*Shougang Concord International Enterprises Co.,
Ltd................................................. 90,000 4,062
Shun Tak Holdings, Ltd................................ 224,000 70,050
Silver Grant International Industries, Ltd............ 40,000 3,508
Sime Darby Hong Kong, Ltd............................. 20,000 5,868
*Star Telecom International Holdings, Ltd............. 74,000 12,883
Sun Hung Kai & Co., Ltd............................... 59,000 7,456
Tai Cheung Holdings, Ltd.............................. 25,000 6,770
*Tem Fat Hing Fung (Holdings), Ltd.................... 348,000 15,931
*Triplenic Holdings, Ltd.............................. 168,000 3,618
Union Bank of Hong Kong, Ltd.......................... 24,000 14,624
------------
TOTAL COMMON STOCKS
(Cost $1,101,980).................................... 698,774
------------
RIGHTS/WARRANTS -- (0.0%)
*Champion Technology Holdings, Ltd. Warrants
06/30/00............................................ 16,800 726
*China Aerospace International Holdings Warrants
12/31/99............................................ 4,680 42
*Dong-Jun Holdings, Ltd. Warrants 03/31/00............ 18,400 24
*Grande Holdings, Ltd. Warrants 10/15/00.............. 5,600 166
*Ngai Lik Industrial Holdings, Ltd. Warrants
06/30/01............................................ 9,400 1,976
*Shell Electric Manufacturing (Holdings) Co., Ltd.
Warrants 05/31/99................................... 7,600 10
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 2,944
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Hong Kong Dollars
(Cost $2,022)....................................... 2,021
------------
TOTAL -- HONG KONG
(Cost $1,104,002).................................... 703,739
------------
AUSTRALIA -- (4.7%)
COMMON STOCKS -- (4.7%)
Adelaide Bank, Ltd.................................... 5,745 21,861
Ashton Mining, Ltd.................................... 22,406 10,401
*Aurora Gold, Ltd..................................... 15,600 9,180
Bank of Queensland, Ltd............................... 6,263 24,733
Capral Aluminium, Ltd................................. 9,174 13,316
*Centaur Mining & Exploration, Ltd.................... 16,005 3,244
Crane (G.E) Holdings, Ltd............................. 3,566 19,702
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Cultus Petroleum NL.................................. 7,573 $ 3,664
Evans Deakin Industries, Ltd.......................... 7,149 18,510
Flight Centre, Ltd.................................... 10,900 51,312
GWA International, Ltd................................ 11,386 19,951
Goldfields, Ltd....................................... 33,405 20,531
Hills Industries, Ltd................................. 14,956 23,469
*Hudson Conway, Ltd................................... 2,329 8,908
Iama, Ltd............................................. 14,718 22,614
Mirvac, Ltd........................................... 29,894 43,371
North Flinders Mines, Ltd............................. 6,728 14,956
OPSM Protector, Ltd................................... 2,313 4,295
Pacific BBA, Ltd...................................... 5,692 21,027
*Petsec Energy, Ltd................................... 4,391 1,378
*Queensland Metals Corp., Ltd......................... 33,273 13,705
Resolute, Ltd......................................... 10,133 6,095
Ridley Corp., Ltd..................................... 33,930 21,741
Siddons Ramset, Ltd................................... 4,586 16,431
Simsmetal, Ltd........................................ 3,430 15,362
Sonic Healthcare, Ltd................................. 15,918 44,544
Sons of Gwalia, Ltd................................... 4,449 11,723
Spotless Services, Ltd................................ 28,502 21,431
*Spotless Services, Ltd. Issue 99..................... 4,071 2,981
Thakral Holdings Group................................ 62,741 24,203
*Thakral Holdings Group Issue 99...................... 2,765 1,049
Tourism Assets Holdings, Ltd.......................... 35,578 14,655
Wills (W.D. & H.O.) Holdings, Ltd..................... 11,484 45,802
------------
TOTAL COMMON STOCKS
(Cost $666,837)...................................... 596,145
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Australian Dollar
(Cost $4,004)....................................... 4,103
------------
TOTAL -- AUSTRALIA
(Cost $670,841)...................................... 600,248
------------
MALAYSIA -- (3.5%)
COMMON STOCKS -- (3.5%)
Asiatic Development Berhad............................ 84,000 23,874
Ban Hin Lee Bank Berhad............................... 6,000 6,884
Bandar Raya Developments Berhad....................... 11,000 3,520
Batu Kawan Berhad..................................... 10,500 9,726
*Bimb Holdings Berhad................................. 85,000 43,663
Boustead Holdings Berhad.............................. 10,000 6,990
CCM Bioscience........................................ 18 13
Cahya Mata Sarawak Berhad............................. 37,000 20,097
Chemical Co. of Malaysia Berhad....................... 7,000 7,368
Esso Malaysia Berhad.................................. 12,000 8,337
Federal Flour Mills Berhad............................ 8,000 6,265
*Ho Hup Construction Co. Berhad....................... 5,000 3,084
Hock Hua Bank Berhad (Foreign)........................ 5,000 7,421
Hong Leong Industries Berhad.......................... 23,000 18,787
Hong Leong Properties Berhad.......................... 32,000 8,488
Hume Industries (Malaysia) Berhad..................... 26,000 23,646
IGB Corp. Berhad...................................... 18,000 6,745
*Kamunting Corp. Berhad............................... 29,000 4,762
*Kedah Cement Holdings Berhad......................... 24,000 12,076
Kelang Container Terminal Berhad...................... 7,000 4,863
*Kemayan Corp. Berhad................................. 11,000 1,007
*Kuala Lumpur Industries Holdings Berhad.............. 12,000 1,251
Kuala Sidim Berhad.................................... 18,000 19,137
Landmarks Berhad...................................... 15,000 3,284
</TABLE>
26
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
*Lingkaran Trans Kota Holdings Berhad................. 20,000 $ 16,926
Lingui Development Berhad............................. 22,000 14,219
*MBF Land Berhad...................................... 30,000 3,158
Malayan Cement Berhad................................. 58,000 29,672
Malaysia Assurance Alliance Berhad.................... 4,000 4,143
*Malaysian Plantations Berhad......................... 15,000 4,516
Metroplex Berhad...................................... 50,000 8,000
Mulpha International Berhad........................... 48,000 6,720
Pelangi Berhad........................................ 56,000 16,152
Pernas International Holdings Berhad.................. 24,000 6,164
Phileo Land Berhad.................................... 9,000 2,198
*Promet Berhad........................................ 23,000 1,404
Samanda Holdings Berhad............................... 16,000 21,053
Selangor Properties Berhad............................ 50,000 20,842
Shangri-la Hotels (Malaysia) Berhad................... 16,000 4,851
Sime UEP Properties Berhad............................ 19,000 19,120
Ta Enterprise Berhad.................................. 40,000 13,221
Tractors Malaysia Holdings Berhad..................... 12,000 4,472
------------
TOTAL -- MALAYSIA
(Cost $850,584)...................................... 448,119
------------
SWITZERLAND -- (3.4%)
COMMON STOCKS -- (3.4%)
Attisholz Holding AG, Attisholz....................... 24 14,382
Bank Sarasin & Cie Series B, Basel.................... 10 16,934
EGL (Elektrizitaets-Gesellschaft Laufenberg) AG,
Laufenberg.......................................... 100 15,720
ESEC Holding SA, Cham................................. 15 12,799
Feldschloesschen-Huerlimann Holding AG, Rheinfelden... 60 22,015
Financiere Michelin, Granges-Paccot................... 50 22,645
Forbo Holding AG, Eglisau............................. 51 20,922
Generali (Switzerland) Holdings, Adliswil............. 80 26,990
Kraftwerk Laufenburg, Laufenburg...................... 100 15,326
Moevenpick-Holding, Zuerich........................... 40 18,378
Oz Holding, Zuerich................................... 20 18,313
Phoenix Mecano AG, Stein am Rhein..................... 50 23,794
Phonak Holding AG Series B............................ 20 24,286
Publicitas Holding SA, Lausanne....................... 110 67,147
Sarna Kunststoff Holding AG, Sarnen................... 15 18,362
Schweizerische National Versicherungs Gesellschaft,
Basel............................................... 10 19,363
Sika Finanz AG, Baar.................................. 90 26,790
Von Roll Holding AG, Gerlafingen...................... 1,359 27,652
Zuercher Ziegeleien Holding, Zuerich.................. 27 21,975
------------
TOTAL COMMON STOCKS
(Cost $439,195)...................................... 433,793
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Swiss Francs
(Cost $1,903)....................................... 1,883
------------
TOTAL -- SWITZERLAND
(Cost $441,098)...................................... 435,676
------------
SWEDEN -- (3.2%)
COMMON STOCKS -- (3.1%)
Allgon AB Series B.................................... 1,400 16,820
*Argonaut AB Series B................................. 13,200 9,238
Avesta Sheffield AB................................... 14,800 59,212
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Bergman & Beving AB Series B.......................... 2,500 $ 34,992
Carbo AB.............................................. 2,400 48,429
Catena AB Series A.................................... 1,700 15,962
Celsius Industrier AB Series B........................ 1,400 17,473
Diligentia AB......................................... 3,100 23,503
Enator AB............................................. 1,400 35,354
Esselte AB Series A................................... 1,400 21,229
Esselte AB Series B................................... 1,100 16,936
Garphyttan Industrier AB.............................. 1,680 22,437
Lindex AB............................................. 700 18,902
Mandator AB........................................... 3,000 20,645
Nobelpharma AB........................................ 1,400 20,249
Rottneros Bruk AB..................................... 11,700 8,120
Scribona AB Series A.................................. 1,500 4,374
Sifo Group AB......................................... 1,500 8,923
------------
TOTAL COMMON STOCKS
(Cost $447,228)...................................... 402,798
------------
INVESTMENT IN CURRENCY -- (0.1%)
*Swedish Krona
(Cost $6,489)....................................... 6,332
------------
TOTAL -- SWEDEN
(Cost $453,717)...................................... 409,130
------------
SPAIN -- (2.7%)
COMMON STOCKS -- (2.7%)
Amper SA.............................................. 800 12,539
*Asturiana del Zinc SA................................ 2,100 24,483
Banco de Valencia SA.................................. 3,000 25,596
Banco Zaragozano SA................................... 1,200 36,977
Cementos Portland SA.................................. 1,000 36,492
*Europistas Concesionaria Espanola SA................. 3,361 21,332
GESA (Gas y Electricidad SA).......................... 400 31,431
Iberica de Autopistas SA Concesionaria de Estado
Iberpistas.......................................... 3,300 25,948
*Inmobiliaria Urbis SA................................ 2,300 32,755
Portland Valderrivas SA............................... 900 28,984
Prosegur Cia de Seguridad SA.......................... 2,200 24,568
Uralita SA............................................ 1,900 17,542
Viscofan Industria Navarra de Envolturas Celulosicas
S.A................................................. 2,730 33,940
------------
TOTAL -- SPAIN
(Cost $277,507)...................................... 352,587
------------
DENMARK -- (2.6%)
COMMON STOCKS -- (2.6%)
Alm Brand A.S. Series B............................... 623 11,398
Bang & Olufsen Holding A.S. Series B.................. 450 29,477
Coloplast A.S. Series B............................... 404 41,504
DFDS A.S., Copenhagen................................. 24 15,030
Danske Traelastko..................................... 200 15,058
Falck A.S............................................. 568 41,175
GN Great Nordic, Ltd.................................. 1,600 53,591
Korn-Og Foderstof Kompagnet A.S....................... 700 14,284
Nordiske Kabel og Traadfabrikker Holding A.S.......... 277 17,932
Obel (C.W.) A.S. Series B............................. 89 10,496
Radiometer A.S. Series B.............................. 432 20,367
Sas Danmark A.S....................................... 1,739 19,946
</TABLE>
27
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
Superfos A.S.......................................... 1,142 $ 15,911
Topdanmark A.S........................................ 145 23,569
------------
TOTAL COMMON STOCKS
(Cost $343,940)...................................... 329,738
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Danish Krone
(Cost $3,905)....................................... 3,842
------------
TOTAL -- DENMARK
(Cost $347,845)...................................... 333,580
------------
ITALY -- (2.5%)
COMMON STOCKS -- (2.5%)
*Ansaldo Trasporti SpA................................ 7,000 9,222
*Cartiere Burgo SpA................................... 4,000 25,722
Cia Assicuratrice Unipol SpA.......................... 6,000 26,161
*Dalmine SpA.......................................... 82,000 18,863
Falck (Acciaierie & Ferriere Lombarde)................ 5,000 37,119
Gewiss SpA............................................ 2,000 37,642
*Impregilo SpA........................................ 19,000 14,344
Magneti Marelli SpA................................... 15,000 19,997
*Premafin Finanziaria SpA............................. 29,600 18,818
*Premaimm SpA......................................... 7,400 3,172
Safilo (Sta Azionaria Fabbrica Italiana Lavorazione
Occhiali) SpA....................................... 5,000 27,813
Sorin Biomedica SpA................................... 7,500 23,918
UNICEM (Unione Cementi Marchini Emiliane e di
Augusta-Casale)..................................... 3,000 31,996
Vianini Lavori SpA.................................... 11,000 20,588
------------
TOTAL -- ITALY
(Cost $257,526)...................................... 315,375
------------
NETHERLANDS -- (2.4%)
COMMON STOCKS -- (2.4%)
ACF Holding NV (Certificate).......................... 800 12,045
Grolsche NV........................................... 800 20,912
Hoek's (W.A.) Machine & Zuurstoffafabriek NV.......... 312 12,136
Hollandsche Beton Groep NV............................ 1,436 18,468
Internatio-Mueller NV................................. 1,230 25,465
Kempen & Co. NV....................................... 324 17,413
Koninklijke Ahrend NV................................. 1,294 23,407
Koninklijke Frans Maas Groep NV....................... 765 23,597
Koninklijke Volker Wessels Stevin NV.................. 930 17,698
Nedlloyd Groep NV, Rotterdam.......................... 900 21,456
Otra NV............................................... 1,000 15,161
Schuttersveld NV...................................... 1,284 20,273
Twentsche Kabel Holding NV............................ 616 20,096
Unique International NV............................... 710 16,258
Van der Mollen Holding NV............................. 308 20,096
Wegener Arcade NV .................................... 1,590 23,691
------------
TOTAL COMMON STOCKS
(Cost $367,377)...................................... 308,172
------------
<CAPTION>
SHARES VALUE+
------------ ------------
<S> <C> <C>
RIGHTS/WARRANTS -- (0.0%)
*Hollandsche Beton Groep NV Rights 06/02/99........... 1,436 $ 0
*Koninklijke Nedlloyd NV Rights 06/03/99.............. 900 0
------------
TOTAL RIGHTS/WARRANTS
(Cost $0)............................................ 0
------------
TOTAL -- NETHERLANDS
(Cost $367,377)...................................... 308,172
------------
BELGIUM -- (1.2%)
COMMON STOCKS -- (1.2%)
Ackermans & Van Haaren SA............................. 120 40,151
Afrifina.............................................. 140 26,715
CMB (Cie Martime Belge)............................... 300 12,861
Cofinimmo SA.......................................... 220 25,304
Deceuninck Plastics Industries SA..................... 130 36,701
Immobel (Cie Immobiliere de Belgique SA).............. 200 12,966
Spector Photo Group SA................................ 188 6,094
------------
TOTAL -- BELGIUM
(Cost $144,742)...................................... 160,792
------------
NEW ZEALAND -- (1.0%)
COMMON STOCKS -- (1.0%)
Fernz Corp., Ltd...................................... 6,407 19,648
*Natural Gas Corp. Holdings, Ltd...................... 23,600 19,865
New Zealand Refining Co., Ltd......................... 1,008 8,647
Ports of Auckland..................................... 5,962 16,142
Trustpower, Ltd....................................... 18,000 38,699
Warehouse Group, Ltd.................................. 7,154 27,232
------------
TOTAL COMMON STOCKS
(Cost $132,739)...................................... 130,233
------------
INVESTMENT IN CURRENCY -- (0.0%)
*New Zealand Dollar
(Cost $1,785)....................................... 1,765
------------
TOTAL -- NEW ZEALAND
(Cost $134,524)...................................... 131,998
------------
UNITED STATES -- (0.2%)
COMMON STOCKS -- (0.2%)
Omnicom Group, Inc.
(Cost $20,239)...................................... 383 26,810
------------
EMU -- (0.1%)
INVESTMENT IN CURRENCY -- (0.0%)
*Euro Currency
(Cost $9,226)....................................... 9,092
------------
</TABLE>
28
<PAGE>
VA INTERNATIONAL SMALL PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (2.7%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.75%, 04/30/00, valued at $355,000) to be
repurchased at $341,174.
(Cost $341,000)..................................... $ 341 $ 341,000
------------
TOTAL INVESTMENTS - (100.0%) (Cost $15,284,820)++...... $ 12,865,667
------------
------------
- --------------------
+ 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.
29
<PAGE>
VA SHORT-TERM FIXED PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE+
------------ ------------
(000)
<S> <C> <C>
COMMERCIAL PAPER -- (60.4%)
Abbott Laboratories C.P.
4.750%, 06/08/99.................................. $ 500 $ 499,528
BP America C.P.
4.920%, 06/01/99.................................. 500 500,000
Bayer Corp. C.P.
4.800%, 06/25/99.................................. 500 498,380
CC (USA), Inc. C.P.
4.860%, 07/26/99.................................. 500 496,310
Caisse des Depots et Consignations C.P.
4.770%, 06/08/99.................................. 500 499,528
Campbell Soup Co. C.P.
4.800%, 06/11/99.................................. 500 499,331
Corporate Asset Funding Corp. C.P.
4.850%, 06/14/99.................................. 500 499,130
Enterprise Funding Corp. C.P.
4.900%, 07/13/99.................................. 500 497,165
Gannett Co. C.P.
4.780%, 06/14/99.................................. 500 499,124
Glaxo Wellcome P.L.C. C.P.
4.770%, 07/19/99.................................. 500 496,747
Koch Industries, Inc. C.P.
4.910%, 06/01/99.................................. 500 500,000
Metlife Funding, Inc. C.P.
4.780%, 06/16/99.................................. 500 498,996
National Rural Utilities C.P.
4.820%, 06/07/99.................................. 500 499,592
Paccar Financial Corp. C.P.
4.820%, 06/18/99.................................. 500 498,864
Procter & Gamble Co. C.P.
4.770%, 06/24/99.................................. 500 498,463
Sara Lee Corp. C.P.
4.750%, 06/02/99.................................. 500 499,933
Shell Oil Co. C.P.
4.760%, 06/28/99.................................. 500 498,196
Smithkline Beecham Corp. C.P.
4.830%, 06/04/99.................................. 500 499,798
St. Michael Finance, Ltd. C.P.
4.830%, 06/17/99.................................. 500 498,924
Toyota Motor Credit Corp. C.P.
4.780%, 06/11/99.................................. 500 499,331
USAA Capital Corp. C.P.
4.820%, 07/27/99.................................. 500 496,243
Windmill Funding Corp. C.P.
4.820%, 06/11/99.................................. 500 499,331
------------
TOTAL COMMERCIAL PAPER
(Cost $10,973,051)................................... 10,972,914
------------
AGENCY OBLIGATIONS -- (13.7%)
Federal Farm Credit Bank
5.125%, 04/02/01.................................. 500 495,529
Federal Home Loan Bank
5.375%, 03/02/01.................................. 500 497,771
5.125%, 04/17/01.................................. 500 495,352
Federal National Mortgage Association
5.310%, 05/18/01.................................. 500 496,869
5.440%, 05/21/01.................................. 500 498,056
------------
TOTAL AGENCY OBLIGATIONS
(Cost $2,493,720).................................... 2,483,577
------------
FACE
AMOUNT VALUE+
------------ ------------
(000)
BONDS -- (13.7%)
American International Group, Inc. Medium Term Notes
5.375%, 03/26/01.................................. $ 500 $ 496,300
Associates Corp. of North America Medium Term Notes
5.600%, 01/15/01.................................. 500 499,900
FCC National Bank Medium Term Notes
5.380%, 04/26/01.................................. 500 495,700
Norwest Financial, Inc. Corporate Bonds
5.500%, 03/19/01.................................. 500 495,000
Wachovia Bank N.A. Medium Term Notes
5.400%, 03/15/01.................................. 500 496,100
------------
TOTAL BONDS
(Cost $2,500,817).................................... 2,483,000
------------
VARIABLE RATE
OBLIGATIONS -- (8.2%)
Chase Manhattan Corp.
***5.298%, 08/24/99............................... 500 500,000
Key Bank N.A.
***5.245%, 08/02/99............................... 500 499,950
NationsBank Corporation
***5.098%, 08/26/99............................... 500 498,300
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $1,499,918).................................... 1,498,250
------------
TEMPORARY CASH INVESTMENTS -- (3.5%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.875%, 05/15/06, valued at $646,600) to be
repurchased at $632,323.
(Cost $632,000).................................... 632 632,000
------------
TOTAL INVESTMENTS -- (99.5%)
(Cost $18,099,506)++................................. 18,069,741
------------
OTHER ASSETS AND
LIABILITIES -- (0.5%)
Interest Receivable.................................. 48,444
Receivable for Fund Shares Sold...................... 57,444
Other Liabilities in Excess of Other Assets.......... (7,000)
------------
98,888
------------
NET ASSETS -- (100%) Applicable to 1,781,225
Outstanding $0.01 Par Value Shares (100,000,000
Shares Authorized)................................... $ 18,168,629
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.20
------------
------------
- --------------------
+ See Note B to Financial Statements.
*** Rates shown are the rates as of May 31, 1999, and maturities shown are the
next interest readjustment date.
++ Approximates cost for federal income tax purposes.
</TABLE>
See accompanying Notes to Financial Statements.
30
<PAGE>
VA GLOBAL BOND PORTFOLIO
STATEMENT OF NET ASSETS
MAY 31, 1999
(UNAUDITED)
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
UNITED STATES -- (26.5%)
BONDS -- (16.0%)
Amoco Canada Medium Term Notes
7.250%, 09/17/02..................................... 200 $ 206,500
Associates Corp. of North America Medium Term Notes
6.625%, 05/15/01..................................... 300 306,360
Credit Locale de France Holding SA Medium Term Notes
7.125%, 02/18/02..................................... 100 102,300
France Telecom SA Medium Term Notes
6.875%, 10/01/01..................................... 300 305,400
General Electric Capital Corp. Medium Term Notes
5.510%, 03/01/02..................................... 300 299,940
Glaxo K.K. Medium Term Notes
7.000%, 05/02/02..................................... 300 307,500
Wachovia Bank N.A. Medium Term Notes
5.400%, 03/15/01..................................... 300 297,660
------------
TOTAL BONDS
(Cost $1,834,408).................................... 1,825,660
------------
COMMERCIAL PAPER -- (10.5%)
Caisse des Depots et Consignations C.P.
4.770%, 06/04/99..................................... 300 299,880
Metlife Funding, Inc. C.P.
4.780%, 06/16/99..................................... 300 299,397
Shell Oil Co. C.P.
4.760%, 06/28/99..................................... 300 298,918
Toyota Motor Credit Corp. C.P.
4.780%, 06/11/99..................................... 300 299,598
------------
TOTAL COMMERCIAL PAPER
(Cost $1,197,814).................................... 1,197,793
------------
TOTAL -- UNITED STATES
(Cost $3,032,222).................................... 3,023,453
------------
FRANCE -- (18.5%)
BONDS -- (18.5%)
Belgium (Kingdom of)
6.875%, 05/30/02..................................... 1,000 175,980
Caisse d'Amortissement et de Dette Sociale
5.500%, 04/25/02..................................... 122 135,798
Caisse Nationale d'Autoroutes
5.500%, 02/14/02..................................... 1,800 303,996
Credit Local de France SA Euro Medium Term Notes
6.000%, 07/01/02..................................... 1,000 171,357
European Investment Bank
8.500%, 02/20/02..................................... 1,500 272,554
France (Government of) BTAN
5.500%, 10/12/01..................................... 168 185,634
4.750%, 03/12/02..................................... 152 166,607
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
KFW International Finance, Inc.
8.750%, 06/26/02..................................... 1,200 $ 221,409
Societe Nationale de Chemins de Fer Francais
7.750%, 03/01/02..................................... 2,200 392,065
Suedwestdeutsche Landesbank Giro & Suedwestlb Capital
Markets P.L.C.
6.000%, 03/08/02..................................... 500 85,615
------------
TOTAL -- FRANCE
(Cost $2,156,657).................................... 2,111,015
------------
JAPAN -- (18.5%)
BONDS -- (18.5%)
Asian Development Bank
5.000%, 02/05/03..................................... 45,000 434,245
Credit Local de France SA
6.000%, 10/31/01..................................... 9,000 84,920
Deutsche Siedlungs Landesrentenbank
2.600%, 07/10/02..................................... 32,000 283,953
Eksportfinans ASA
2.650%, 07/10/02..................................... 20,000 177,719
European Investment Bank
4.625%, 02/26/03..................................... 10,000 95,754
Export-Import Bank Japan
4.625%, 07/23/03..................................... 150 163,429
Inter-American Development Bank
6.000%, 10/30/01..................................... 25,000 235,391
2.250%, 02/05/02..................................... 10,000 87,229
Nordic Investment Bank
2.600%, 06/28/02..................................... 40,000 354,743
World Bank (International Bank for Reconstruction and
Development)
4.500%, 03/20/03..................................... 20,000 191,277
------------
TOTAL -- JAPAN
(Cost $2,013,060).................................... 2,108,660
------------
GERMANY -- (9.4%)
BONDS -- (9.4%)
Deutsche Bahn Finance BV
6.875%, 07/19/02..................................... 400 236,192
Germany (Republic of)
8.000%, 01/21/02..................................... 281 330,850
Japan Finance Corp. for Small Business
4.500%, 08/07/02..................................... 600 330,550
World Bank (International Bank for Reconstruction and
Development)
6.125%, 09/27/02..................................... 300 174,866
------------
TOTAL -- GERMANY
(Cost $1,158,644).................................... 1,072,458
------------
AUSTRALIA -- (8.8%)
BONDS -- (8.8%)
Airservices Australia
7.375%, 11/15/01..................................... 250 169,047
</TABLE>
31
<PAGE>
VA GLOBAL BOND PORTFOLIO
CONTINUED
<TABLE>
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
Alberta (Province of)
7.000%, 03/20/02..................................... 500 $ 335,412
Queensland Treasury Corp.
8.000%, 08/14/01..................................... 300 206,445
State Bank of New South Wales
11.750%, 08/16/01.................................... 200 146,653
9.250%, 02/18/03..................................... 200 143,842
------------
TOTAL -- AUSTRALIA
(Cost $1,055,235).................................... 1,001,399
------------
NETHERLANDS -- (4.5%)
BONDS -- (4.5%)
Bank Nederlandse Gemeenten NV
7.625%, 12/16/02..................................... 250 135,167
Netherlands (Kingdom of)
5.750%, 09/15/02..................................... 340 384,327
------------
TOTAL -- NETHERLANDS
(Cost $544,721)...................................... 519,494
------------
CANADA -- (4.3%)
BONDS -- (4.3%)
Canada Mortgage and Housing
6.250%, 01/02/02..................................... 400 276,849
Toyota Credit Canada, Inc.
8.000%, 12/29/00..................................... 200 140,905
7.375%, 12/31/01..................................... 100 70,588
------------
TOTAL BONDS
(Cost $509,481)...................................... 488,342
------------
INVESTMENT IN CURRENCY -- (0.0%)
*Canadian Dollars..................................... 3
------------
TOTAL -- CANADA
(Cost $509,484)...................................... 488,345
------------
<CAPTION>
FACE
AMOUNT@ VALUE+
------------ ------------
(000)
<S> <C> <C>
DENMARK -- (2.9%)
BONDS -- (2.9%)
Kingdom of Denmark
8.000%, 05/15/03..................................... 2,000 $ 325,654
------------
SWEDEN -- (2.1%)
BONDS -- (2.1%)
Sweden (Kingdom of)
5.000%, 01/15/04..................................... 2,000 244,129
------------
<CAPTION>
FACE
AMOUNT
------------
(000)
<S> <C> <C>
TEMPORARY CASH INVESTMENTS -- (1.7%)
Repurchase Agreement, PNC Capital Markets Inc. 4.60%,
06/01/99 (Collateralized by U.S. Treasury Notes
6.75%, 04/30/00, valued at $205,000) to be
repurchased at $199,102............................. $ 199 199,000
------------
TOTAL INVESTMENTS -- (97.2%)
(Cost $11,260,948)++................................. 11,093,607
------------
OTHER ASSETS AND LIABILITIES -- (2.8%)
Interest Receivable................................ 246,219
Other Assets....................................... 256,703
Other Liabilities.................................. (178,345)
------------
324,577
------------
NET ASSETS -- (100.0%) Applicable to 1,077,655
Outstanding $.01 Par Value Shares (100,000,000 Shares
Authorized).......................................... $ 11,418,184
------------
------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE................................................ $ 10.60
------------
------------
- --------------------
+ 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.
32
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<CAPTION>
VA SMALL VA LARGE
VALUE VALUE
PORTFOLIO PORTFOLIO
------------- -------------
<S> <C> <C>
ASSETS:
Investments at Value.............................. $ 18,886 $ 33,032
Collateral for Securities Lending................. 752 453
Cash.............................................. 1 --
Receivables
Dividends and Interest.......................... 15 84
Investment Securities Sold...................... 45 53
Fund Shares Sold................................ 4 9
Prepaid Expenses and Other Assets................. 3 5
------------- -------------
Total Assets.................................. 19,706 33,636
------------- -------------
LIABILITIES:
Payable for Securities Lending.................... 752 453
Payable for Investment Securities Purchased....... -- 396
Accrued Expenses and Other Liabilities............ 14 17
------------- -------------
Total Liabilities............................. 766 866
------------- -------------
NET ASSETS........................................ $ 18,940 $ 32,770
------------- -------------
------------- -------------
SHARES OUTSTANDING $.01 PAR VALUE (50,000,000
Shares Authorized).............................. 1,479,616 1,872,181
------------- -------------
------------- -------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE........................................... $ 12.80 $ 17.50
------------- -------------
------------- -------------
Investments at Cost............................... $ 18,589 $ 27,713
------------- -------------
------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
33
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS, EXCEPT SHARE AMOUNTS)
<TABLE>
<CAPTION>
VA VA
INTERNATIONAL INTERNATIONAL
VALUE SMALL
PORTFOLIO PORTFOLIO
------------- -------------
<S> <C> <C>
ASSETS:
Investments at Value.............................. $ 19,648 $ 12,866
Collateral for Securities Lending................. 1,688 126
Cash.............................................. 100 15
Receivables
Dividends, Interest and Foreign Tax Reclaims.... 145 67
Investment Securities Sold...................... 111 --
Fund Shares Sold................................ 7 6
Prepaid Expenses and Other Assets................. 6 1
------------- -------------
Total Assets.................................. 21,705 13,081
------------- -------------
LIABILITIES:
Payable for Securities Lending.................... 1,688 126
Payable for Investment Securities Purchased....... 2 7
Accrued Expenses and Other Liabilities............ 13 11
------------- -------------
Total Liabilities............................. 1,703 144
------------- -------------
NET ASSETS........................................ $ 20,002 $ 12,937
------------- -------------
------------- -------------
SHARES OUTSTANDING $.01 PAR VALUE (50,000,000
Shares Authorized).............................. 1,742,608 1,634,899
------------- -------------
------------- -------------
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER
SHARE........................................... $ 11.48 $ 7.91
------------- -------------
------------- -------------
Investments at Cost............................... $ 19,451 $ 15,285
------------- -------------
------------- -------------
</TABLE>
See accompanying Notes to Financial Statements.
34
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA SMALL VA LARGE VA INTERNATIONAL
VALUE VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ----------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes withheld of $0,
$0 and $26, respectively)..................... $ 79 $ 296 $ 280
Interest........................................ 18 20 10
Income from Securities Lending.................. 3 -- 6
------- ------- -------
Total Investment Income..................... 100 316 296
------- ------- -------
EXPENSES
Investment Advisory Services.................... 45 39 42
Accounting & Transfer Agent Fees................ 6 16 14
Custodian's Fees................................ 1 2 6
Legal Fees...................................... -- 1 --
Audit Fees...................................... 1 2 1
Filing Fees..................................... 1 1 --
Shareholders' Reports........................... 2 3 2
Organization Costs.............................. 1 3 2
Other........................................... -- 2 2
------- ------- -------
Total Expenses.............................. 57 69 69
------- ------- -------
NET INVESTMENT INCOME........................... 43 247 227
------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment Securities...... 1,314 3,650 893
Net Realized Gain on Foreign Currency
Transactions.................................. -- -- 2
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign
Currency.................................. (69) 241 102
Translation of Foreign Currency Denominated
Amounts................................... -- -- (4)
------- ------- -------
NET GAIN ON INVESTMENT SECURITIES AND FOREIGN
CURRENCY...................................... 1,245 3,891 993
------- ------- -------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................... $ 1,288 $ 4,138 $ 1,220
------- ------- -------
------- ------- -------
</TABLE>
See accompanying Notes to Financial Statements.
35
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MAY 31, 1999
(UNAUDITED)
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA INTERNATIONAL VA SHORT-TERM VA GLOBAL
SMALL FIXED BOND
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- ---------------- ----------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends (Net of Foreign Taxes withheld of $17,
$0 and $0, respectively)...................... $ 150 -- --
Interest........................................ 4 $ 478 $ 229
Income from Securities Lending.................. 3 -- --
------- ----- ------
Total Investment Income..................... 157 478 229
------- ----- ------
EXPENSES
Investment Advisory Services.................... 31 24 14
Accounting & Transfer Agent Fees................ 9 2 8
Custodian's Fees................................ 5 1 1
Audit Fees...................................... 1 1 --
Filing Fees..................................... 1 1 --
Shareholders' Reports........................... 1 2 1
Organization Costs.............................. 1 1 3
Other........................................... 2 -- 2
------- ----- ------
Total Expenses.............................. 51 32 29
------- ----- ------
NET INVESTMENT INCOME........................... 106 446 200
------- ----- ------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
Net Realized Gain on Investment Securities...... 109 -- 14
Net Realized Gain on Foreign Currency
Transactions.................................. 44 -- 451
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign
Currency.................................. 1,046 (32) (379)
Translation of Foreign Currency Denominated
Amounts................................... (2) -- 31
------- ----- ------
NET GAIN (LOSS) ON INVESTMENT SECURITIES AND
FOREIGN CURRENCY.............................. 1,197 (32) 117
------- ----- ------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS...................................... $ 1,303 $ 414 $ 317
------- ----- ------
------- ----- ------
</TABLE>
See accompanying Notes to Financial Statements.
36
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA SMALL VA LARGE
VALUE PORTFOLIO VALUE PORTFOLIO
----------------------- -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
1999 1998 1999 1998
---------- ---------- ---------- ----------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income........................... $ 43 $ 57 $ 247 $ 411
Net Realized Gain on Investment Securities...... 1,314 1,518 3,650 1,933
Change in Unrealized Appreciation (Depreciation)
of Investment Securities...................... (69) (3,079) 241 742
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................. 1,288 (1,504) 4,138 3,086
---------- ---------- ---------- ----------
Distributions From:
Net Investment Income........................... (54) (63) (120) (396)
Net Realized Gains.............................. (1,518) (1,173) (1,936) (1,625)
---------- ---------- ---------- ----------
Total Distributions......................... (1,572) (1,236) (2,056) (2,021)
---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................... 2,447 6,766 3,465 12,228
Shares Issued in Lieu of Cash Distributions..... 1,572 1,236 2,056 2,021
Shares Redeemed................................. (2,627) (4,858) (5,020) (9,672)
---------- ---------- ---------- ----------
Net Increase From Capital Share
Transactions.............................. 1,392 3,144 501 4,577
---------- ---------- ---------- ----------
Total Increase.............................. 1,108 404 2,583 5,642
NET ASSETS
Beginning of Period............................. 17,832 17,428 30,187 24,545
---------- ---------- ---------- ----------
End of Period................................... $ 18,940 $ 17,832 $ 32,770 $ 30,187
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................. 210 471 216 747
Shares Issued in Lieu of Cash Distributions.... 134 89 136 134
Shares Redeemed................................ (224) (328) (308) (579)
---------- ---------- ---------- ----------
120 232 44 302
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
</TABLE>
See accompanying Notes to Financial Statements.
37
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA INTERNATIONAL VA INTERNATIONAL
VALUE PORTFOLIO SMALL PORTFOLIO
----------------------- -----------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
1999 1998 1999 1998
---------- ---------- ---------- ----------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income........................... $ 227 $ 331 $ 106 $ 185
Net Realized Gain on Investment Securities...... 893 1,120 109 821
Net Realized Gain (Loss) on Foreign Currency
Transactions.................................. 2 2 44 (11)
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency.... 102 468 1,046 (1,081)
Translation of Foreign Currency Denominated
Amounts....................................... (4) 1 (2) (1)
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets
Resulting from Operations................. 1,220 1,922 1,303 (87)
---------- ---------- ---------- ----------
Distributions From:
Net Investment Income........................... (386) (295) (216) (119)
Net Realized Gains.............................. (1,043) (227) (823) (112)
---------- ---------- ---------- ----------
Total Distributions......................... (1,429) (522) (1,039) (231)
---------- ---------- ---------- ----------
Capital Share Transactions (1):
Shares Issued................................... 1,616 7,431 1,434 5,382
Shares Issued in Lieu of Cash Distributions..... 1,429 522 1,039 231
Shares Redeemed................................. (3,925) (5,872) (2,548) (2,431)
---------- ---------- ---------- ----------
Net Increase (Decrease) From Capital Share
Transactions.............................. (880) 2,081 (75) 3,182
---------- ---------- ---------- ----------
Total Increase (Decrease)................... (1,089) 3,481 189 2,864
NET ASSETS
Beginning of Period............................. 21,091 17,610 12,748 9,884
---------- ---------- ---------- ----------
End of Period................................... $ 20,002 $ 21,091 $ 12,937 $ 12,748
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................. 147 628 197 666
Shares Issued in Lieu of Cash Distributions.... 132 50 149 32
Shares Redeemed................................ (346) (488) (350) (295)
---------- ---------- ---------- ----------
(67) 190 (4) 403
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
</TABLE>
See accompanying Notes to Financial Statements.
38
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
STATEMENTS OF CHANGES IN NET ASSETS
(AMOUNTS IN THOUSANDS)
<TABLE>
<CAPTION>
VA SHORT-TERM VA GLOBAL
FIXED PORTFOLIO BOND PORTFOLIO
-------------------------- --------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
MAY 31, NOV. 30, MAY 31, NOV. 30,
1999 1998 1999 1998
------------- ---------- ------------- ----------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net Investment Income........................... $ 446 $ 879 $ 200 $ 320
Net Realized Gain on Investment Securities...... -- 19 14 1
Net Realized Gain on Foreign Currency
Transactions.................................. -- -- 451 35
Change in Unrealized Appreciation (Depreciation)
of:
Investment Securities and Foreign Currency...... (32) (7) (379) 513
Translation of Foreign Currency Denominated
Amounts....................................... -- -- 31 (154)
------------- ---------- ------------- ----------
Net Increase in Net Assets Resulting from
Operations................................ 414 891 317 715
------------- ---------- ------------- ----------
Distributions From:
Net Investment Income........................... (183) (864) (5) (798)
Net Realized Gains.............................. (19) (12) (2) (26)
Tax Return of Capital........................... -- -- -- (27)
------------- ---------- ------------- ----------
Total Distributions......................... (202) (876) (7) (851)
------------- ---------- ------------- ----------
Capital Share Transactions (1):
Shares Issued................................... 2,518 6,661 2,303 4,119
Shares Issued in Lieu of Cash Distributions..... 202 876 7 851
Shares Redeemed................................. (3,230) (4,221) (1,685) (1,424)
------------- ---------- ------------- ----------
Net Increase (Decrease) From Capital Share
Transactions.............................. (510) 3,316 625 3,546
------------- ---------- ------------- ----------
Total Increase (Decrease)................... (298) 3,331 935 3,410
NET ASSETS
Beginning of Period............................. 18,467 15,136 10,483 7,073
------------- ---------- ------------- ----------
End of Period................................... $ 18,169 $ 18,467 $ 11,418 $ 10,483
------------- ---------- ------------- ----------
------------- ---------- ------------- ----------
(1) SHARES ISSUED AND REDEEMED:
Shares Issued.................................. 250 662 220 410
Shares Issued in Lieu of Cash Distributions.... 20 87 1 87
Shares Redeemed................................ (320) (419) (161) (141)
------------- ---------- ------------- ----------
(50) 330 60 356
------------- ---------- ------------- ----------
------------- ---------- ------------- ----------
</TABLE>
See accompanying Notes to Financial Statements.
39
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA SMALL
VALUE PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR OCT. 3
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
----------- -------- -------- ---------- ----------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 13.11 $ 15.45 $11.75 $ 9.69 $ 10.00
----------- -------- -------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........................... 0.03 0.04 0.06 0.03 0.01
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 0.82 (1.27) 3.78 2.05 (0.31)
----------- -------- -------- ---------- ----------
Total from Investment Operations.............. 0.85 (1.23) 3.84 2.08 (0.30)
----------- -------- -------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income........................... (0.04) (0.06) (0.03) (0.02) (0.01)
Net Realized Gains.............................. (1.12) (1.05) (0.11) -- --
----------- -------- -------- ---------- ----------
Total Distributions........................... (1.16) (1.11) (0.14) (0.02) (0.01)
----------- -------- -------- ---------- ----------
Net Asset Value, End of Period.................... $ 12.80 $ 13.11 $15.45 $ 11.75 $ 9.69
----------- -------- -------- ---------- ----------
----------- -------- -------- ---------- ----------
Total Return...................................... 7.27%# (8.45)% 33.02% 21.47% (3.04)%#
Net Assets, End of Period (thousands)............. $18,940 $17,832 $17,428 $ 8,058 $ 4,848
Ratio of Expenses to Average Net Assets........... 0.64%* 0.70% 0.71% 1.05% 0.99%*
Ratio of Net Investment Income to Average Net
Assets.......................................... 0.48%* 0.32% 0.45% 0.34% 0.91%*
Portfolio Turnover Rate........................... 13.17%* 22.81% 21.18% 5.19% 0.00%*
<CAPTION>
VA LARGE
VALUE PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR JAN. 13
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
----------- --------- --------- --------- ---------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 16.51 $ 16.08 $ 13.46 $ 11.29 $ 10.00
----------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........................... 0.13 0.24 0.24 0.17 0.19
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 2.00 1.47 3.07 2.12 1.85
----------- --------- --------- --------- ---------
Total from Investment Operations.............. 2.13 1.71 3.31 2.29 2.04
----------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
Net Investment Income........................... (0.07) (0.24) (0.23) (0.12) (0.16)
Net Realized Gains.............................. (1.07) (1.04) (0.46) -- (0.59)
----------- --------- --------- --------- ---------
Total Distributions........................... (1.14) (1.28) (0.69) (0.12) (0.75)
----------- --------- --------- --------- ---------
Net Asset Value, End of Period.................... $ 17.50 $ 16.51 $ 16.08 $ 13.46 $ 11.29
----------- --------- --------- --------- ---------
----------- --------- --------- --------- ---------
Total Return...................................... 14.01%# 11.46% 25.72% 20.45% 20.41%#
Net Assets, End of Period (thousands)............. $32,770 $30,187 $24,545 $13,570 $ 6,562
Ratio of Expenses to Average Net Assets........... 0.44%* 0.46% 0.48% 1.03% 1.20%*
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.60%* 1.49% 1.71% 1.59% 2.03%*
Portfolio Turnover Rate........................... 43.90%* 22.98% 20.49% 18.54% 65.38%*
</TABLE>
<TABLE>
<C> <S>
- ------------------
* Annualized
# Non-Annualized
</TABLE>
See accompanying Notes to Financial Statements.
40
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA INTERNATIONAL
VALUE PORTFOLIO
--------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR OCT. 3
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
----------- -------- --------- ---------- ----------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 11.65 $ 10.87 $ 11.41 $ 10.03 $ 10.00
----------- -------- --------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........................... 0.13 0.19 0.17 0.11 --
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 0.48 0.91 (0.56) 1.29 (0.03)
----------- -------- --------- ---------- ----------
Total from Investment Operations.............. 0.61 1.10 (0.39) 1.40 (0.03)
----------- -------- --------- ---------- ----------
LESS DISTRIBUTIONS
Net Investment Income........................... (0.21) (0.18) (0.10) -- --
Net Realized Gains.............................. (0.57) (0.14) (0.05) (0.02) --
----------- -------- --------- ---------- ----------
Total Distributions........................... (0.78) (0.32) (0.15) (0.02) --
----------- -------- --------- ---------- ----------
Net Asset Value, End of Period.................... $ 11.48 $ 11.65 $ 10.87 $ 11.41 $ 10.03
----------- -------- --------- ---------- ----------
----------- -------- --------- ---------- ----------
Total Return...................................... 5.70%# 10.43% (3.45)% 13.92% 0.30%#
Net Assets, End of Period (thousands)............. $20,002 $21,091 $17,610 $10,517 $ 5,014
Ratio of Expenses to Average Net Assets........... 0.67%* 0.68% 0.76% 1.17% 1.32%*
Ratio of Net Investment Income to Average Net
Assets.......................................... 2.17%* 1.63% 1.83% 1.29% (0.20)%*
Portfolio Turnover Rate........................... 6.87%* 27.11% 7.95% 4.14% 0.00%*
<CAPTION>
VA INTERNATIONAL
SMALL PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR JAN. 13
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
----------- --------- --------- --------- ---------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 7.78 $ 7.99 $ 10.48 $ 9.71 $ 10.00
----------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........................... 0.06 0.11 0.09 0.06 (0.01)
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 0.70 (0.14) (2.30) 0.71 (0.28)
----------- --------- --------- --------- ---------
Total from Investment Operations.............. 0.76 (0.03) (2.21) 0.77 (0.29)
----------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
Net Investment Income........................... (0.13) (0.09) (0.06) -- --
Net Realized Gains.............................. (0.50) (0.09) (0.22) -- --
----------- --------- --------- --------- ---------
Total Distributions........................... (0.63) (0.18) (0.28) -- --
----------- --------- --------- --------- ---------
Net Asset Value, End of Period.................... $ 7.91 $ 7.78 $ 7.99 $ 10.48 $ 9.71
----------- --------- --------- --------- ---------
----------- --------- --------- --------- ---------
Total Return...................................... 10.83%# (0.23)% (21.54)% 7.93% (2.90)%#
Net Assets, End of Period (thousands)............. $12,937 $12,748 $ 9,884 $ 6,007 $ 4,856
Ratio of Expenses to Average Net Assets........... 0.81%* 0.90% 0.99% 1.27% 2.52%*
Ratio of Net Investment Income to Average Net
Assets.......................................... 1.69%* 1.56% 1.32% 0.63% (0.39)%*
Portfolio Turnover Rate........................... 5.62%* 20.82% 8.57% 6.40% 0.00%*
</TABLE>
<TABLE>
<C> <S>
- ------------------
* Annualized
# Non-Annualized
</TABLE>
See accompanying Notes to Financial Statements.
41
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
VA SHORT-TERM
FIXED PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR OCT. 3
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
----------- -------- --------- --------- ----------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 10.09 $ 10.08 $ 10.08 $10.04 $ 10.00
----------- -------- --------- --------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........................... 0.25 0.53 0.53 0.48 0.08
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... (0.03) 0.02 -- 0.04 --
----------- -------- --------- --------- ----------
Total from Investment Operations.............. 0.22 0.55 0.53 0.52 0.08
----------- -------- --------- --------- ----------
LESS DISTRIBUTIONS
Net Investment Income........................... (0.10) (0.53) (0.53) (0.48) (0.04)
Net Realized Gains.............................. (0.01) (0.01) -- -- --
Tax Return of Capital........................... -- -- -- -- --
----------- -------- --------- --------- ----------
Total Distributions........................... (0.11) (0.54) (0.53) (0.48) (0.04)
----------- -------- --------- --------- ----------
Net Asset Value, End of Period.................... $ 10.20 $ 10.09 $ 10.08 $10.08 $ 10.04
----------- -------- --------- --------- ----------
----------- -------- --------- --------- ----------
Total Return...................................... 2.18%# 5.54% 5.46% 5.34% 0.81%#
Net Assets, End of Period (thousands)............. $18,169 $18,467 $15,136 $7,789 $ 5,041
Ratio of Expenses to Average Net Assets........... 0.35%* 0.41% 0.43% 0.70% 0.63%*
Ratio of Net Investment Income to Average Net
Assets.......................................... 4.74%* 5.24% 5.44% 4.93% 5.11%*
Portfolio Turnover Rate........................... 14.32%* 49.84% 72.92% 29.27% 0.00%*
<CAPTION>
VA GLOBAL
BOND PORTFOLIO
-------------------------------------------------------------------
SIX MONTHS YEAR YEAR YEAR JAN. 13
ENDED ENDED ENDED ENDED TO
MAY 31, NOV. 30, NOV. 30, NOV. 30, NOV. 30,
1999 1998 1997 1996 1995
----------- --------- --------- --------- ---------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period.............. $ 10.30 $ 10.69 $ 11.14 $ 10.61 $ 10.00
----------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income........................... 0.22 0.52 0.42 0.37 0.48
Net Gains (Losses) on Securities (Realized and
Unrealized)................................... 0.09 0.30 0.34 0.57 0.81
----------- --------- --------- --------- ---------
Total from Investment Operations.............. 0.31 0.82 0.76 0.94 1.29
----------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
Net Investment Income........................... (0.01) (1.14) (0.94) (0.41) (0.57)
Net Realized Gains.............................. -- (0.04) (0.27) -- (0.11)
Tax Return of Capital........................... -- (0.03) -- -- --
----------- --------- --------- --------- ---------
Total Distributions........................... (0.01) (1.21) (1.21) (0.41) (0.68)
----------- --------- --------- --------- ---------
Net Asset Value, End of Period.................... $ 10.60 $ 10.30 $ 10.69 $ 11.14 $ 10.61
----------- --------- --------- --------- ---------
----------- --------- --------- --------- ---------
Total Return...................................... 2.98%# 8.44% 7.58% 9.16% 13.09%#
Net Assets, End of Period (thousands)............. $11,418 $10,483 $ 7,073 $ 3,703 $ 3,393
Ratio of Expenses to Average Net Assets........... 0.53%* 0.57% 0.65% 1.73% 1.31%*
Ratio of Net Investment Income to Average Net
Assets.......................................... 3.61%* 3.65% 4.09% 3.43% 5.08%*
Portfolio Turnover Rate........................... 31.34%* 36.97% 58.35% 88.93% 60.09%*
</TABLE>
<TABLE>
<C> <S>
- ------------------
(Restated to reflect a 900% stock dividend as of January 2, 1996.)
* Annualized
# Non-Annualized
</TABLE>
See accompanying Notes to Financial Statements.
42
<PAGE>
DFA INVESTMENT DIMENSIONS GROUP INC.
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
A. ORGANIZATION:
DFA Investment Dimensions Group Inc. (the "Fund") is an open-end management
investment company. The Fund offers thirty-four portfolios, six of which (the
"VA Portfolios") are included in this report. Of the remaining twenty-eight
portfolios, twenty-seven are presented in separate reports and the remaining
portfolio has not yet commenced operations. The VA Portfolios are only available
through a select group of insurance products.
B. SIGNIFICANT ACCOUNTING POLICIES:
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. Such policies
are consistently followed by the Fund in preparation of its financial
statements. The preparation of financial statements in accordance with generally
accepted accounting principles may require management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
1. SECURITY VALUATION: Securities held by VA Small Value Portfolio and VA
Large Value Portfolio (the "Domestic Equity Portfolios") which are listed on a
securities exchange and for which market quotations are readily available are
valued at the last quoted sale price of the day, or if there is no such reported
sale, at the mean between the most recent bid and asked prices. Securities held
by VA International Value Portfolio and VA International Small Portfolio (the
"International Equity Portfolios") which are listed on a securities exchange are
valued at the last quoted sale price. Price information on listed securities is
taken from the exchange where the security is primarily traded.
Unlisted securities for which market quotations are readily available are
valued at the mean between the most recent bid and asked prices. Securities for
which quotations are not readily available are valued in good faith at fair
value using methods determined by the Board of Directors.
Securities held by VA Short-Term Fixed Portfolio and VA Global Bond
Portfolio are valued on the basis of prices provided by a pricing service when
such prices are believed to reflect the fair market value of such securities.
Securities for which quotations are not readily available are valued in good
faith at fair value using methods determined by the Board of Directors.
2. FOREIGN CURRENCY: Securities, other assets and liabilities of the
International Equity Portfolios and VA Global Bond Portfolio whose values are
initially expressed in foreign currencies are translated to U.S. dollars at the
mean price of such currency against U.S. dollars last quoted by a major bank.
Dividend and interest income and certain expenses are translated to U.S. dollars
at the rate of exchange on their respective accrual dates. Receivables and
payables denominated in foreign currencies are marked to market daily based on
daily exchange rates and exchange gains or losses are realized upon ultimate
receipt or disbursement. VA Global Bond Portfolio also enters into forward
foreign currency contracts solely for the purpose of hedging against
fluctuations in currency exchange rates. These contracts are also marked to
market daily based on daily exchange rates.
The International Equity Portfolios do not generally isolate the effect of
fluctuations in foreign exchange rates from the effect of fluctuations in the
market prices of securities whether realized or unrealized. However, VA Global
Bond Portfolio does isolate the effect of fluctuations in foreign currency rates
when determining the gain or loss upon the sale or maturity of foreign currency
denominated debt obligations pursuant to U.S. Federal income tax regulations;
such amounts are categorized as foreign exchange gain or loss for both financial
reporting and income tax reporting purposes.
Realized gains or losses on foreign currency transactions represent net
foreign exchange gains or losses from the disposition of foreign currencies,
currency gains or losses realized between the trade and settlement dates on
43
<PAGE>
securities transactions, and the difference between amount of interest,
dividends and foreign withholding taxes recorded on the books of the
International Equity Portfolios and VA Global Bond Portfolio and the U.S. dollar
equivalent amounts actually received or paid.
3. FEDERAL INCOME TAXES: It is the VA Portfolios' intention to continue to
qualify as a regulated investment company and distribute all of their taxable
income. Accordingly, no provision for Federal taxes is required in the financial
statements.
4. OTHER: Security transactions are accounted for on the date the
securities are purchased or sold. Costs used in determining realized gains and
losses on the sale of investment securities are those of specific securities
sold. Dividend income and distributions to shareholders are recorded on the
ex-dividend date. Interest income is recorded on the accrual basis. Discount and
premium on debt securities purchased are amortized over the lives of the
respective securities. Expenses directly attributable to a VA Portfolio are
directly charged. Common expenses are allocated using methods determined by the
Board of Directors.
C. INVESTMENT ADVISOR:
Dimensional Fund Advisors Inc. ("DFA" or "the Advisor") provides investment
advisory services to the VA Portfolios. For the six months ended May 31, 1999,
the VA Portfolios' advisory fees were computed daily and paid monthly to the
Advisor based on the following effective annual rates:
<TABLE>
<S> <C>
VA Small Value Portfolio................................. 0.50 of 1%
VA Large Value Portfolio................................. 0.25 of 1%
VA International Value Portfolio......................... 0.40 of 1%
VA International Small Portfolio......................... 0.50 of 1%
VA Short-Term Fixed Portfolio............................ 0.25 of 1%
VA Global Bond Portfolio................................. 0.25 of 1%
</TABLE>
Certain officers of the VA Portfolios are also officers, directors and
shareholders of the Advisor.
D. PURCHASES AND SALES OF SECURITIES:
For the six months ended May 31, 1999, the VA Portfolios made the following
purchases and sales of investment securities other than U.S. Government
Securities (amounts in thousands):
<TABLE>
<CAPTION>
OTHER INVESTMENT
SECURITIES
----------------------
PURCHASES SALES
----------- ---------
<S> <C> <C>
VA Small Value Portfolio....................................... $ 2,597 $ 3,036
VA Large Value Portfolio....................................... 6,662 7,675
VA International Value Portfolio............................... 693 2,352
VA International Small Portfolio............................... 346 1,037
VA Short-Term Fixed Portfolio.................................. 6,987 301
VA Global Bond Portfolio....................................... 3,823 1,612
</TABLE>
44
<PAGE>
E. INVESTMENT TRANSACTIONS:
At May 31, 1999, gross unrealized appreciation and depreciation for federal
income tax purposes of investment securities and foreign currencies was as
follows (amounts in thousands):
<TABLE>
<CAPTION>
GROSS UNREALIZED GROSS UNREALIZED
APPRECIATION DEPRECIATION NET
----------------- ----------------- ---------
<S> <C> <C> <C>
VA Small Value Portfolio.................................................... $ 3,753 $ (3,456) $ 297
VA Large Value Portfolio.................................................... 6,570 (1,251) 5,319
VA International Value Portfolio............................................ 3,217 (3,020) 197
VA International Small Portfolio............................................ 1,654 (4,073) (2,419)
VA Short-Term Fixed Portfolio............................................... 4 (34) (30)
VA Global Bond Portfolio.................................................... -- (167) (167)
</TABLE>
F. FINANCIAL INSTRUMENTS:
In accordance with the VA Portfolios' Investment Objectives and Policies,
the VA Portfolios may invest in certain financial instruments which have
off-balance sheet risk and concentrations of credit risk. These instruments and
their significant corresponding risks are described below:
1. REPURCHASE AGREEMENTS: The VA Portfolios may purchase money market
instruments subject to the seller's agreement to repurchase them at an agreed
upon date and price. The seller will be required on a daily basis to maintain
the value of the collateral subject to the agreement at not less than the
repurchase price (including accrued interest). The agreements are conditioned
upon the collateral being deposited under the Federal Reserve book-entry system
with the Fund's custodian or a third party sub-custodian. All open repurchase
agreements were entered into on May 28, 1999.
2. FORWARD CURRENCY CONTRACTS: VA Global Bond Portfolio may enter into
forward foreign currency contracts to hedge against adverse changes in the
relationship of the U.S. dollar to foreign currencies. At May 31, 1999, VA
Global Bond Portfolio had entered into the following contracts and the related
net unrealized foreign exchange gain is reflected in the accompanying financial
statements:
<TABLE>
<CAPTION>
UNREALIZED
FOREIGN
EXPIRATION CONTRACT VALUE AT MAY 31, EXCHANGE
DATE CURRENCY SOLD AMOUNT 1999 GAIN (LOSS)
- ---------- -------------------------------------------- ------------- ------------------- ------------
<C> <C> <S> <C> <C> <C>
6/17/99 2,340,222 Denmark Krone $ 338,195 $ 329,343 $ 8,852
6/18/99 1,586,001 Australian Dollars 1,026,938 1,036,968 (10,030)
6/21/99 240,263,963 Japanese Yen 1,952,493 1,988,611 (36,118)
6/22/99 3,827,285 European Currency Unit 4,053,501 4,001,846 51,655
6/23/99 743,347 Canadian Dollars 509,440 505,018 4,422
6/23/99 2,139,389 Sweden Krona 253,723 249,540 4,183
------------- ------------------- ------------
$ 8,134,290 $ 8,111,326 $ 22,964
------------- ------------------- ------------
------------- ------------------- ------------
</TABLE>
Risks may arise upon entering into these contracts from the potential
inability of counter-parties to meet the terms of their contracts and from
unanticipated movements in the value of foreign currency relative to the U.S.
dollar. VA Global Bond Portfolio will enter into forward contracts only for
hedging purposes.
3. FOREIGN MARKETS RISKS: Investments in foreign markets may involve
certain considerations and risks not typically associated with investments in
the United States, including the possibility of future political and economic
developments and the level of foreign governmental supervision and regulation of
foreign securities markets. These markets are generally smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited.
45
<PAGE>
G. LINE OF CREDIT:
The Fund, together with other DFA-advised portfolios, has entered into a $50
million unsecured line of credit with its domestic custodian bank. Each
portfolio is permitted to borrow, subject to its investment limitations, up to a
maximum of $50 million. Borrowings under the line are charged interest at the
current overnight federal funds rate plus a variable rate determined at the date
of borrowing. Each portfolio is individually, and not jointly liable for its
particular advances under the line. There is no commitment fee on the unused
portion of the line of credit. For the six months ended May 31, 1999 borrowings
under the line by the VA Portfolios were as follows:
<TABLE>
<CAPTION>
WEIGHTED WEIGHTED NUMBER OF INTEREST MAXIMUM AMOUNT
AVERAGE AVERAGE DAYS EXPENSE BORROWED DURING
INTEREST RATE LOAN BALANCE OUTSTANDING INCURRED THE PERIOD
------------- ------------ ----------- -------- ---------------
<S> <C> <C> <C> <C> <C>
The VA Large Value Portfolio................. 5.22% $112,443 14 $228 $289,000
The VA International Value Portfolio......... 5.18% 116,071 14 468 375,000
The VA International Small Portfolio......... 5.26% 189,318 15 613 500,000
</TABLE>
There were no outstanding borrowings under the line of credit at May 31, 1999.
H. COMPONENTS OF NET ASSETS:
<TABLE>
<CAPTION>
AT MAY 31, 1999 NET ASSETS CONSIST OF:
(AMOUNTS IN THOUSANDS)
---------------------------------------------------
VA SMALL VA LARGE VA INTERNATIONAL
VALUE VALUE VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- --------------- ----------------
<S> <C> <C> <C>
Paid-In Capital.......................................................... $ 17,295 $ 23,564 $ 18,695
Undistributed Net Investment Income...................................... 34 240 131
Undistributed Net Realized Gain.......................................... 1,314 3,647 979
Undistributed Net Realized Foreign Exchange Gain......................... -- -- 2
Unrealized Appreciation of Investment Securities and Foreign Currency.... 297 5,319 197
Unrealized Net Foreign Exchange Loss..................................... -- -- (2)
-------- --------------- --------
$ 18,940 $ 32,770 $ 20,002
-------- --------------- --------
-------- --------------- --------
<CAPTION>
VA INTERNATIONAL VA SHORT-TERM VA GLOBAL
SMALL FIXED BOND
PORTFOLIO PORTFOLIO PORTFOLIO
---------------- --------------- ----------------
<S> <C> <C> <C>
Paid-In Capital.......................................................... $ 15,153 $ 17,862 $ 10,898
Undistributed Net Investment Income...................................... 53 337 209
Undistributed Net Realized Gain.......................................... 107 -- 12
Undistributed Net Realized Foreign Exchange Gain......................... 44 -- 451
Unrealized Depreciation of Investment Securities and Foreign Currency.... (2,419) (30) (167)
Unrealized Net Foreign Exchange Gain (Loss).............................. (1) -- 15
-------- --------------- --------
$ 12,937 $ 18,169 $ 11,418
-------- --------------- --------
-------- --------------- --------
</TABLE>
I. SECURITIES LENDING:
Loans of international securities are required at all times to be secured by
collateral at least equal to 105% of the market value of the securities on loan.
However, in the event of default or bankruptcy by the other party to the
agreement, realization and/or retention of the collateral may be subject to
legal proceedings. In the event that the borrower fails to return loaned
securities, and cash collateral being maintained by the borrower is insufficient
to cover the value of loaned securities and provided such collateral
insufficiency is not the result of investment losses, the lending agent has
agreed to pay the amount of the shortfall to the Portfolio or, at the option of
the lending agent,
46
<PAGE>
replace the loaned securities. Such cash collateral for May 31, 1999 was
reinvested into overnight repurchase agreements with Salomon Brothers, Barclays
de Zoette Wedd and Fuji Securities, 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 the value
of collateral on overnight repurchase agreements at May 31, 1999, was as
follows:
<TABLE>
<CAPTION>
VALUE OF
COLLATERAL ON
VALUE OF OVERNIGHT
VALUE OF COLLATERAL AND REPURCHASE
SECURITIES INDEMNIFICATION AGREEMENTS
------------- --------------- -------------
<S> <C> <C> <C>
VA Small Value Portfolio...................................................... $ 490,247 $ 751,767 $ 756,372
VA Large Value Portfolio...................................................... 428,121 453,300 456,077
VA International Value Portfolio.............................................. 1,565,014 1,687,590 1,666,104
VA International Small Portfolio.............................................. 118,995 126,380 136,997
</TABLE>
47
